FIDELITY
(registered trademark)
MASSACHUSETTS
MUNICIPAL
FUNDS
(FORMERLY FIDELITY MASSACHUSETTS
TAX-FREE PORTFOLIOS)
ANNUAL REPORT
JANUARY 31, 1996
DISTRIBUTIONS
The Board of Trustees of Fidelity Massachusetts Municipal Income Fund
(formerly Fidelity Massachusetts Tax-Free High Yield Portfolio) voted to
pay on March 4, 1996 to shareholders of record at the opening of business
on March 1, 1996 a distribution of $.001 derived from capital gains
realized from sales of portfolio securities.
TO CALL FIDELITY
FOR FUND INFORMATION AND QUOTES
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* WHEN YOU CALL THE QUOTES LINE, PLEASE REMEMBER THAT A FUND'S YIELD AND
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INVESTMENT IN
A MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE U.S. GOVERNMENT.
TOTAL
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN SHARE PRICE, REINVESTMENT OF
DIVIDENDS
AND CAPITAL GAINS, AND THE EFFECTS OF ANY SALES CHARGES.
INVESTMENT ADVISER
(registered trademark)
Fidelity Management & Research
Company
Boston, MA
SUB-ADVISER, MONEY MARKET FUND
FMR Texas Inc.
Irving, TX
OFFICERS
Edward C. Johnson 3d, President
J. Gary Burkhead, Senior Vice President
Fred L. Henning., Jr., Vice President
Janice Bradburn, Vice President -
MONEY MARKET FUND
Arthur S. Loring, Secretary
Kenneth A. Rathgeber, Treasurer
Thomas D. Maher, Assistant
Vice President - MONEY MARKET FUND
John H. Costello, Assistant Treasurer
Leonard M. Rush, Assistant Treasurer
BOARD OF TRUSTEES
J. Gary Burkhead
Ralph F. Cox*
Phyllis Burke Davis*
Richard J. Flynn*
Edward C. Johnson 3d
E. Bradley Jones*
Donald J. Kirk*
Peter S. Lynch
Marvin L. Mann*
Edward H. Malone*
Gerald C. McDonough*
Thomas R. Williams*
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER
SERVICING AGENTS
UMB Bank, n.a.
Kansas City, MO
and
Fidelity Service Co.
Boston, MA
CUSTODIAN
UMB Bank, n.a.
Kansas City, MO
THE FIDELITY TELEPHONE CONNECTION
MUTUAL FUND 24-HOUR SERVICE
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TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
* INDEPENDENT TRUSTEES
AUTOMATED LINES FOR QUICKEST SERVICE
FIDELITY MASSACHUSETTS MUNICIPAL INCOME FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE HIGH YIELD PORTFOLIO)
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance. You can
look at the total percentage change in value, the average annual percentage
change, or the growth of a hypothetical $10,000 investment. Each figure
includes changes in a fund's share price, plus reinvestment of any
dividends (or income) and capital gains (the profits the fund earns when it
sells securities that have grown in value). You can also look at the fund's
income to measure performance.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED JANUARY 31, 1996 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Massachusetts Municipal Income Fund 14.76% 51.54% 118.79%
Lehman Brothers Massachusetts Enhanc
ed 14.96% n/a n/a
Municipal Bond Index
Massachusetts Municipal Debt Funds Average 13.80% 50.73% 109.21%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, one year, five years, or ten years. For
example, if you invested $1,000 in a fund that had a 5% return over the
past year, the value of your investment would be $1,050. You can compare
the fund's returns to the performance of the Lehman Brothers Massachusetts
Enhanced Municipal Bond Index - a gauge of the Massachusetts municipal bond
market. To measure how the fund's performance stacked up against its peers,
you can compare it to the Massachusetts municipal debt fund's average,
which reflects the performance of 48 Massachusetts municipal bond funds
with similar objectives tracked by Lipper Analytical Services over the past
year. Both benchmarks include reinvested dividends and capital gains, if
any. Recent U.S. Consumer Price Index information was not available from
the U.S. Department of Labor at the time this report was printed.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED JANUARY 31, 1996 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Massachusetts Municipal Income Fund 14.76% 8.67% 8.14%
Lehman Brothers Massachusetts Enhanc
ed 14.96% n/a n/a
Municipal Bond Index
Massachusetts Municipal Debt Funds Average 13.80% 8.55% 7.66%
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened if the fund had performed at a
constant rate each year.
$10,000 OVER 10 YEARS
Mass Free High YielLB Municipal Bond I
01/31/86 10000.00 10000.00
02/28/86 10367.48 10396.60
03/31/86 10429.59 10399.93
04/30/86 10374.45 10407.83
05/31/86 10203.49 10238.39
06/30/86 10277.95 10336.07
07/31/86 10369.51 10398.81
08/31/86 10757.83 10864.36
09/30/86 10784.46 10891.63
10/31/86 10958.84 11079.73
11/30/86 11112.66 11299.22
12/31/86 11124.78 11268.03
01/31/87 11364.99 11607.31
02/28/87 11451.78 11664.42
03/31/87 11415.06 11540.78
04/30/87 10840.47 10961.66
05/31/87 10702.26 10907.29
06/30/87 10886.33 11227.53
07/31/87 11043.46 11342.05
08/31/87 11082.46 11367.57
09/30/87 10632.58 10948.45
10/31/87 10490.77 10987.20
11/30/87 10762.49 11274.08
12/31/87 10984.65 11437.67
01/31/88 11330.59 11845.08
02/29/88 11460.82 11970.28
03/31/88 11260.80 11830.83
04/30/88 11352.55 11920.74
05/31/88 11413.26 11886.29
06/30/88 11536.60 12060.19
07/31/88 11618.23 12138.82
08/31/88 11658.15 12149.50
09/30/88 11827.86 12369.41
10/31/88 12041.53 12587.73
11/30/88 11972.08 12472.42
12/31/88 12156.83 12600.02
01/31/89 12330.84 12860.58
02/28/89 12250.06 12713.84
03/31/89 12258.94 12683.46
04/30/89 12560.11 12984.56
05/31/89 12783.65 13254.25
06/30/89 12892.72 13434.25
07/31/89 12991.63 13617.09
08/31/89 12941.23 13483.77
09/30/89 12891.73 13443.59
10/31/89 13013.86 13608.01
11/30/89 13198.19 13846.15
12/31/89 13280.93 13959.41
01/31/90 13215.85 13893.38
02/28/90 13379.49 14017.73
03/31/90 13402.45 14021.93
04/30/90 13226.47 13920.41
05/31/90 13514.21 14224.30
06/30/90 13655.82 14349.33
07/31/90 13848.82 14560.98
08/31/90 13682.70 14349.56
09/30/90 13728.52 14357.73
10/31/90 13775.39 14618.18
11/30/90 14201.09 14912.16
12/31/90 14261.65 14977.02
01/31/91 14437.87 15178.02
02/28/91 14548.61 15310.06
03/31/91 14621.09 15315.58
04/30/91 14823.74 15520.04
05/31/91 14973.08 15658.01
06/30/91 15002.64 15642.51
07/31/91 15220.04 15833.04
08/31/91 15358.69 16041.56
09/30/91 15499.88 16250.42
10/31/91 15638.04 16396.67
11/30/91 15679.45 16442.42
12/31/91 15874.00 16795.27
01/31/92 16012.10 16833.57
02/29/92 16063.12 16838.95
03/31/92 16078.96 16845.18
04/30/92 16221.76 16995.11
05/31/92 16398.80 17195.14
06/30/92 16671.52 17483.67
07/31/92 17119.77 18007.83
08/31/92 16904.39 17832.26
09/30/92 17048.32 17948.88
10/31/92 16760.31 17772.44
11/30/92 17184.52 18090.75
12/31/92 17348.48 18275.45
01/31/93 17603.54 18488.00
02/28/93 18209.18 19156.71
03/31/93 18044.46 18954.22
04/30/93 18210.27 19145.47
05/31/93 18333.80 19253.07
06/30/93 18622.63 19574.40
07/31/93 18609.64 19600.04
08/31/93 18997.95 20008.12
09/30/93 19322.45 20236.01
10/31/93 19369.94 20275.06
11/30/93 19210.80 20096.44
12/31/93 19590.06 20520.68
01/31/94 19816.45 20755.02
02/28/94 19401.78 20217.47
03/31/94 18566.86 19394.21
04/30/94 18629.43 19558.67
05/31/94 18812.84 19728.25
06/30/94 18725.23 19607.71
07/31/94 19079.11 19967.12
08/31/94 19163.10 20036.20
09/30/94 18851.19 19742.07
10/31/94 18471.69 19391.45
11/30/94 17950.40 19040.86
12/31/94 18400.24 19459.95
01/31/95 19065.31 20016.11
02/28/95 19599.40 20598.18
03/31/95 19862.04 20834.85
04/30/95 19871.68 20859.44
05/31/95 20493.52 21525.06
06/30/95 20177.41 21336.72
07/31/95 20313.99 21538.99
08/31/95 20560.76 21812.10
09/30/95 20731.48 21950.18
10/31/95 21069.59 22269.33
11/30/95 21439.89 22638.78
12/31/95 21725.41 22856.34
01/31/96 21879.22 23028.90
$10,000 OVER 10 YEARS: Let's say you invested $10,000 in Fidelity
Massachusetts Municipal Income Fund on January 31, 1986. As the chart
shows, by January 31, 1996, the value of your investment would have grown
to $21,879 - a 118.79% increase on your initial investment. For comparison,
look at how the Lehman Brothers Municipal Bond index did over the same
period. With dividends reinvested, the same $10,000 would have grown to
$23,029 - a 130.29% increase.
UNDERSTANDING
PERFORMANCE
How a fund did yesterday is no
guarantee of how it will do
tomorrow. Bond prices, for
example, generally move in
the opposite direction of
interest rates. In turn, the
share price, return, and yield of
a fund that invests in bonds
will vary. That means if you
sell your shares during a
market downturn, you might
lose money. But if you can ride
out the market's ups and
downs, you may have a gain.
(checkmark)
TOTAL RETURN COMPONENTS
YEARS ENDED JANUARY 31,
1996 1995 1994 1993 1992
Dividend return 6.41% 5.85% 6.32% 6.67% 7.08%
Capital appreciation
return 8.35% -9.64% 6.25% 3.27% 3.82%
Total return 14.76% -3.79% 12.57% 9.94% 10.90%
DIVIDEND returns and capital appreciation returns are both part of a bond
fund's total return. A dividend return reflects the actual dividends paid
by the fund. A capital appreciation return reflects both the amount paid by
the fund to shareholders as capital gain distributions and changes in the
fund's share price. Both returns assume the dividends or gains are
reinvested.
DIVIDENDS AND YIELD
<TABLE>
<CAPTION>
<S> <C> <C> <C>
PERIODS ENDED JANUARY 31, 1996 PAST PAST 6 PAST 1
MONTH MONTHS YEAR
Dividends per share 5.26(cents) 31.86(cents) 65.16(cents)
Annualized dividend rate 5.32% 5.53% 5.77%
30-day annualized yield 4.83% - -
30-day annualized tax-equivalent yield 8.58% - -
</TABLE>
DIVIDENDS per share show the income paid by the fund for a set period. If
you annualize this number, based on an average share price of $11.64 over
the past month, $11.42 over the past six months and $11.30 over the past
year, you can compare the fund's income over these three periods. Dividends
per share show the income paid by the fund for a set period and do not
reflect any tax reclassifications. The 30-day annualized YIELD is a
standard formula for all funds based on the yields of the bonds in the
fund, averaged over the past 30 days. This figure shows you the yield
characteristics of the fund's investments at the end of the period. It also
helps you compare funds from different companies on an equal basis. The
tax-equivalent yield shows what you would have to earn on a taxable
investment to equal the fund's tax-free yield, if you're in the 43.68%
combined 1996 federal and state tax bracket. A portion of the fund's income
may be subject to the alternative minimum tax.
FIDELITY MASSACHUSETTS MUNICIPAL INCOME FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE HIGH YIELD PORTFOLIO)
FUND TALK: THE MANAGER'S OVERVIEW
MARKET RECAP
In sharp contrast to much of 1994,
the municipal bond market posted
strong returns for the 12 months
ended January 31, 1996. For the
period, the Lehman Brothers
Municipal Bond Index - a broad
measure of the tax-free market -
had a total return of 15.05%. By
comparison, the Lehman Brothers
Aggregate Bond Index - a proxy
for investment-grade taxable
bonds - had a total return of
16.95%. Tax-free bonds kicked off
1995 by surging ahead of their
taxable counterparts in the first
quarter on signs of a slowing
economy and tamer inflation
expectations. By spring, however,
the muni bond market began to
underperform U.S. Treasury
securities when Congress began
consideration of tax-code changes,
some of which threatened the
tax-exempt status of municipal
securities. This threat of tax reform
dampened enthusiasm in the
municipal bond market, stalling the
rally and helping shorter maturity
bonds to outperform their longer
counterparts throughout the spring
and summer months. By the fourth
quarter of 1995, historically
attractive valuations relative to
Treasuries, a slowdown in supply,
and stronger demand from
insurance companies and retail
buyers helped longer-term tax-free
bonds rebound.
An interview with Steven Harvey, Portfolio Manager of Fidelity
Massachusetts Municipal Income Fund
Q. HOW DID THE FUND PERFORM, STEVE?
A. For the 12 months ended January 31, 1996, the fund returned 14.76%. That
beat the average Massachusetts municipal debt fund's average, which
returned 13.80% for the same period, as tracked by Lipper Analytical
Services. The Lehman Brothers Massachusetts Enhanced Municipal Bond Index
returned 14.96%.
Q. WHAT HELPED THE FUND PERFORM BETTER THAN THE AVERAGE FUND OF ITS TYPE?
A. Beginning in August when I started managing the fund, I increased the
fund's investments in intermediate maturity bonds, or those with maturities
between five and 15 years. I did that because the yield curve (a graphical
representation of the yields offered by bonds with various maturities) was
historically flat. In other words, bonds with longer-maturities didn't
really offer much of an incentive in the form of additional income in order
to compensate for their increased interest rate risk. From my perspective,
the tax-reform debate in Washington caused investors to favor short- and
intermediate-term bonds over long- term bonds in fear that municipal bonds
would lose their tax-exempt status. Intermediate bonds did quite well
during the fall and helped the fund's performance.
Q. WERE THERE OTHER FACTORS?
A. During the period, the fund was generally overweighted in long-term
discount coupon bonds. Discount coupon bonds sell below their face value
because they offer coupons, or interest rates, below that of current
interest payments. As interest rates fell, discount bonds appreciated and
helped the fund's performance. Toward the end of the period, I began
selling some of these longer-term discount coupon bonds, locking in their
gains. I bought intermediate-maturity premium coupon bonds which offered
interest payments above newly-issued bonds.
Q. THERE WAS A NOTICEABLE CHANGE IN THE FUND'S CREDIT QUALITY OVER THE PAST
SIX MONTHS ...
A. In Massachusetts, the decline in municipal issuance was particularly
evident in the area of higher-yielding, lower-quality municipal bonds. With
this drop in supply of non-investment grade munis in Massachusetts - and a
stable demand - the prices of these bonds rose throughout the year. That's
because yield-hungry investors sought these higher-yielding securities as a
way to compensate for falling yields. So I was able to sell at a profit the
majority of the fund's stake in these bonds, and invested much of the
proceeds in higher-quality, investment-grade bonds.
Q. THE FUND'S HEALTH-CARE STAKE ALSO DROPPED DURING THE PAST SIX MONTHS.
WAS THAT RELATED TO THE IMPROVEMENT OF THE FUND'S CREDIT QUALITY?
A. Yes, in part. However, I sold many health-care bonds because I was
concerned about the continued growth in competitive pressures among
Massachusetts health-care providers. National organizations including
Columbia HCA have acquired some providers in state, and there were a number
of consolidations among teaching and community hospitals last year. Like
any investor, I've tried to maintain holdings in the leading providers with
large market shares in their respective location. In general, I look for
facilities with a management team that is preparing for the future, as
opposed to one that will circle the wagons and fight out local turf wars.
Q. YOU ALSO ADDED SOME STUDENT LOAN BONDS SINCE TAKING OVER. WHAT'S THE
ATTRACTION TO THIS SECTOR?
A. The fund's student loan holdings generally offered a yield advantage
over bonds with comparable credit ratings and maturities. Student loan
bonds are perceived to carry prepayment risk, meaning they could be paid
off before their scheduled maturity dates. Because of this perceived risk,
they tended to offer a good value relative to other types of bonds with
similar credit ratings and maturities. Using Fidelity's research
capabilities, I targeted student loan bonds which appeared to have carried
the smallest risk of being prepaid.
Q. THERE WAS A CHANGE TO THE FUND'S INVESTMENT POLICY. HOW DOES THIS AFFECT
YOUR STRATEGY?
A. The fund is now permitted to invest in any amount of municipal
securities that may be considered taxable under the alternative minimum tax
(AMT). The AMT is an alternative method for calculating federal income tax
liabilities and is generally limited to individuals in high-income tax
brackets. I am now able to focus on all marketplace opportunities -
including areas dominated by AMT securities, such as student loans and
airports. If you are not subject to the AMT, the recent policy change will
in no way affect the tax-exempt status of your income from the fund. If you
are one of the few investors who is subject to the AMT or if you are
unsure, you should consult your tax advisor for further information.
Q. WHAT'S YOUR OUTLOOK?
A. The past 12 months were a tremendous year for all of the fixed-income
markets. Investors, however, should not assume the bond markets will be
able to maintain the torrid pace they set in 1995. Rather, I believe that
identifying the right securities within the right sectors will be the key
to performance in 1996. So I'll continue to leverage Fidelity's research
capabilities in order to pursue these opportunities.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED ON MARKET AND
OTHER CONDITIONS.
FUND FACTS
GOAL: high current tax-free
income for Massachusetts
residents by investing mainly
in longer-term,
investment-grade municipal
securities whose interest is
free from federal and state
income tax
START DATE: November 10,
1983
SIZE: as of January 31, 1996,
more than $1 billion
MANAGER: Steven Harvey,
since August 24, 1995;
manager,
Fidelity Ohio Municipal
Income Fund, since 1994;
manager, Spartan
Pennsylvania Municipal
Income, Spartan Maryland
Municipal Income funds since
1993; joined Fidelity in 1986
(checkmark)
STEVEN HARVEY'S OUTLOOK ON THE
MASSACHUSETTS ECONOMY, FISCAL
HEALTH AND MUNICIPAL BOND
MARKET:
"From an economic
standpoint, Massachusetts is
quite strong and has
successfully rebounded from
its problems stemming from
the recession in the late
1980s and the early 1990s.
Nearly half of the jobs lost
during that time have been
regained, in part due to the
growing health care,
technology and financial
services industries. The
state's fiscal situation also
continues to improve.
Economic strength coupled
with tight control over
spending has helped
strengthen the state's fiscal
status over the past several
years.
"Over the next several years
we could see increased
municipal bond issuance in
Massachusetts. That's
primarily because of the
financing needed for the
depression of Boston's
Central Artery and
improvements to Logan
Airport."
FIDELITY MASSACHUSETTS MUNICIPAL INCOME FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE HIGH YIELD PORTFOLIO)
INVESTMENT CHANGES
TOP FIVE SECTORS AS OF JANUARY 31, 1996
% OF FUND'S % OF FUND'S INVESTMENT
INVESTMENTS S
IN THESE SECTORS
6 MONTHS AGO
General Obligation 20.2 12.5
Health Care 18.4 33.1
Education 14.6 10.7
Escrowed/Pre-refunded 9.0 0.2
Electric Revenue 8.1 9.3
AVERAGE YEARS TO MATURITY AS OF JANUARY 31, 1996
6 MONTHS AGO
Years 15.3 18.9
AVERAGE YEARS TO MATURITY IS BASED ON THE AVERAGE TIME UNTIL PRINCIPAL
PAYMENTS ARE EXPECTED FROM EACH OF THE FUND'S BONDS, WEIGHTED BY DOLLAR
AMOUNT.
DURATION AS OF JANUARY 31, 1996
6 MONTHS AGO
Years 7.5 8.5
DURATION SHOWS HOW MUCH A BOND FUND'S PRICE FLUCTUATES WITH CHANGES IN
COMPARABLE INTEREST RATES. IF RATES RISE 1%, FOR EXAMPLE, A FUND WITH A
FIVE-YEAR DURATION IS LIKELY TO LOSE ABOUT 5% OF ITS VALUE. OTHER FACTORS
ALSO CAN INFLUENCE A BOND FUND'S PERFORMANCE AND SHARE PRICE. ACCORDINGLY,
A BOND FUND'S ACTUAL PERFORMANCE MAY DIFFER FROM THIS EXAMPLE.
QUALITY DIVERSIFICATION (MOODY'S RATINGS)
AS OF JANUARY 31, 1996 AS OF JULY 31, 1995
Aaa 30.3%
Aa, A 45.1%
Baa 10.0%
Ba, B 1.3%
Non-rated 7.2%
Short-term
investments 6.1%
Aaa 25.2%
Aa, A 45.6%
Baa 11.0%
Ba, B 2.4%
Non-rated 12.8%
Short-term
investments 3.0%
Row: 1, Col: 1, Value: 30.3
Row: 1, Col: 2, Value: 45.1
Row: 1, Col: 3, Value: 10.0
Row: 1, Col: 4, Value: 1.3
Row: 1, Col: 5, Value: 7.2
Row: 1, Col: 6, Value: 6.1
Row: 1, Col: 1, Value: 25.2
Row: 1, Col: 2, Value: 45.6
Row: 1, Col: 3, Value: 11.0
Row: 1, Col: 4, Value: 2.4
Row: 1, Col: 5, Value: 12.8
Row: 1, Col: 6, Value: 3.0
SHOWN AS A PERCENTAGE OF THE FUND'S INVESTMENTS. WHERE MOODY'S RATINGS ARE
NOT AVAILABLE, WE HAVE USED S&P RATINGS. UNRATED DEBT SECURITIES THAT ARE
EQUIVALENT TO BA AND BELOW ACCOUNT FOR 3.7% AND 10.1% OF THE FUND'S
INVESTMENTS AT JANUARY 31, 1996, AND JULY 31, 1995, RESPECTIVELY.
FIDELITY MASSACHUSETTS MUNICIPAL INCOME FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE HIGH YIELD PORTFOLIO)
INVESTMENTS JANUARY 31, 1996
Showing Percentage of Total Value of Investments
MUNICIPAL BONDS - 93.9%
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
MASSACHUSETTS - 90.6%
Amherst Gen. Oblig.:
6.50% 1/15/08 Aa $ 795,000 $ 873,505
6.50% 1/15/09 Aa 770,000 841,224
6.50% 1/15/10 Aa 750,000 818,437
Barnstable Ind. Dev. Fing. Auth. Ind. Dev. Rev.
(Whitehall Pavilion Health Proj.) 10.125%
2/15/26 (FHA Guaranteed) A 3,075,000 3,181,056
Bellingham Gen. Oblig.:
7.50% 7/1/06 A 310,000 356,112
7.50% 7/1/07 A 310,000 356,887
7.50% 7/1/08 A 310,000 356,887
7.50% 7/1/09 A 310,000 354,174
7.50% 7/1/10 A 310,000 352,624
7.50% 7/1/11 A 300,000 339,749
Boston Gen. Oblig. Series A :
7% 2/1/00 (AMBAC Insured) Aaa 2,060,000 2,273,724
Unltd. Tax , 6.75% 7/1/11 (MBIA Insured)
(Pre-Refunded to 7/1/01 @102) (c) Aaa 2,500,000 2,853,124
Boston Econ. Dev. & Ind. Corp. (Boston Army
Base 1983 Proj.) 6.25% 8/1/03 AA 4,830,000 5,186,212
Boston Hsg. Dev. Corp. Mtg. Rev. Rfdg. Section 8,
Series A, 5.15% 7/1/08 (FHA Guaranteed)
(MBIA Insured) Aaa 3,340,000 3,310,774
Boston Ind. Dev. Rev. (North End Commty.
Nursing Home) 11.45% 3/15/25
(FHA Guaranteed) AA 4,820,000 5,494,799
Boston Wtr. & Swr. Commission Gen. Sr. Series A:
Rev. Rfdg. 5.75% 11/1/13 A 10,025,000 10,513,718
5.40% 11/01/08 A 1,000,000 1,023,749
5.25% 11/1/19 A 10,100,000 9,935,874
Bourne Gen. Oblig. Unltd. Tax (Land Acquisition Loan):
8% 12/15/04 Baa1 290,000 339,662
8% 12/15/05 Baa1 290,000 343,649
8% 12/15/06 Baa1 290,000 345,099
8% 12/15/07 Baa1 290,000 347,274
Brockton Gen. Oblig. 7.75% 12/15/96 Baa 1,500,000 1,541,505
Brockton Hsg. Dev. Corp. Multi-Family Hsg. Rev.
Rfdg. (Douglas House Proj.) 7.375% 9/1/24
(FNMA Coll.) AAA 8,305,000 8,782,538
Chelsea School Proj. Loan Act 1948:
6.50% 6/15/12 (AMBAC Insured) Aaa 1,500,000 1,635,000
6%, 6/15/14 (AMBAC Insured) Aaa 1,830,000 1,903,200
Dedham-Westwood Wtr. Dist. Rfdg. 5.10%
10/15/12 (MBIA Insured) Aaa 1,000,000 970,000
Dighton & Rehoboth Reg'l. School Dist.:
5.40% 5/15/10 (AMBAC Insured) Aaa 385,000 392,219
5.40% 5/15/11 (AMBAC Insured) Aaa 185,000 188,006
5.40% 5/15/12 (AMBAC Insured) Aaa 225,000 226,969
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Framingham Hsg. Dev. Corp. Mtg. Rev.
(Claffin House) Series A, 6.95% 1/1/24
(FHA Guaranteed) AAA $ 1,820,000 $ 1,904,175
Granville Gen. Oblig.:
7.30% 7/15/05 (MBIA Insured) Aaa 145,000 174,181
7.30% 7/15/06 (MBIA Insured) Aaa 145,000 175,269
7.30% 7/15/07 (MBIA Insured) Aaa 140,000 170,100
7.30% 7/15/08 (MBIA Insured) Aaa 140,000 170,450
Halifax Gen. Oblig.:
6.20% 6/1/10 (AMBAC Insured) Aaa 325,000 353,438
6.25% 6/1/11 (AMBAC Insured) Aaa 325,000 353,438
6.30% 6/1/12 (AMBAC Insured) Aaa 325,000 353,844
6.30% 6/1/13 (AMBAC Insured) Aaa 325,000 352,625
Haverhill Rfdg. Series A:
6.40% 9/1/03 (AMBAC Insured) Aaa 1,600,000 1,772,000
6.50% 9/1/04 (AMBAC Insured) Aaa 1,595,000 1,766,463
Holyoke School Proj. Loan Act :
7.35% 8/1/02 Baa 2,270,000 2,542,400
7.65% 8/1/09 Baa 2,205,000 2,417,231
Hudson Ltd. Tax :
7.50% 8/15/01 A 215,000 246,713
7.50% 8/15/02 A 215,000 244,294
7.50% 8/15/03 A 215,000 246,175
Leicester Gen. Oblig. Unltd. Tax :
5% 1/15/11 (MBIA Insured) Aaa 515,000 505,988
5.10% 5/15/13 (MBIA Insured) Aaa 305,000 297,756
5.10% 1/15/14 (MBIA Insured) Aaa 500,000 485,000
Lowell Gen. Oblig.:
Rfdg. Series A, 5.50% 1/15/10 (FSA Insured) Aaa 2,000,000 2,022,500
8% 1/15/00 Baa1 995,000 1,123,106
Ltd. Tax 6.25% 8/1/04 (AMBAC Insured) Aaa 2,035,000 2,253,763
Ltd. Tax 6.25% 8/1/05 (AMBAC Insured) Aaa 2,120,000 2,353,200
5.80% 4/1/08 ((CGIC Insured) Aaa 1,195,000 1,260,725
8.40% 1/15/09 Aaa 1,250,000 1,460,938
7.625% 2/15/10
(Pre-Refunded to 2/15/01 @ 103) (c) Aaa 1,650,000 1,947,000
Lowell Hsg. Dev. Corp. Multi-Family Rev. Rfdg.
Series A:
7.875% 11/1/24 (FNMA Coll.) AAA 5,440,000 5,807,200
7.875% 11/1/00 (FNMA Coll.) AAA 645,000 682,894
Lynn Gen. Oblig. Rfdg. 5.25% 1/15/11
(FSA Insured) Aaa 5,570,000 5,472,525
Lynn Wtr. & Swr. Commission Rev. Rfdg.:
5.35% 12/1/07 (FGIC Insured) Aaa 760,000 790,400
5.40% 12/1/08 (FGIC Insured) Aaa 805,000 833,175
5.45% 12/1/09 (FGIC Insured) Aaa 850,000 874,438
5.50% 12/1/10 (FGIC Insured) Aaa 500,000 513,125
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Bay Trans. Auth. Gen.:
Rfdg. (Gen. Trans. Sys.) Series A:
5.50% 3/1/09 A1 $ 6,000,000 $ 6,202,500
5.50% 3/1/12 A1 4,350,000 4,480,500
6.25% 3/1/12 A1 1,500,000 1,666,875
(Gen. Trans. Sys.) Series A:
6.25% 3/1/05 A1 2,780,000 3,106,650
5.70% 3/1/09 A1 5,000,000 5,293,750
7% 3/1/21 A1 1,500,000 1,828,125
6% 3/1/12 A1 4,400,000 4,603,500
Series B:
6.20% 3/1/16 A1 6,000,000 6,645,000
5.50% 3/1/21 A1 8,250,000 8,105,625
7.80% 3/1/10
(Pre-refunded to 3/1/01 @ 102) (c) Aaa 5,000,000 5,906,250
7.875% 3/1/21
(Pre-refunded to 3/1/01 @ 102) (c) Aaa 13,450,000 15,938,250
Massachusetts Gen. Oblig.:
(Consolidated Loan):
Series A:
5% 1/1/04 (MBIA Insured) Aaa 9,150,000 9,413,063
5.40% 11/1/06 A1 1,000,000 1,053,750
7.625% 6/1/08
(Pre-Refunded to 6/1/01 @102) (c) Aaa 7,355,000 8,678,900
5% 1/1/10 (FGIC Insured) Aaa 3,000,000 2,955,000
Series B:
0% 6/1/99 A1 2,000,000 1,742,500
0% 7/1/02 A1 12,250,000 9,218,125
7.25% 7/1/05
(Pre-Refunded to 7/1/98 @101.5) (c) Aaa 1,000,000 1,091,250
5.40% 11/1/07 (MBIA Insured) Aaa 17,645,000 18,505,194
Series C:
7.25% 12/1/00 (FGIC Insured) Aaa 2,000,000 2,200,000
0% 12/1/05 A1 6,500,000 4,078,750
5.625% 8/1/13 Aaa 4,000,000 4,125,000
Series D:
6.875% 7/1/10
(Pre-Refunded to 7/1/0 @102) (c) Aaa 1,000,000 1,146,250
5.125% 11/1/11 (FGIC Insured) Aaa 5,000,000 4,962,500
5.125% 11/1/12 (FGIC Insured) Aaa 7,765,000 7,697,056
Rfdg. Series A:
6.25% 7/1/02 A1 9,315,000 10,293,075
6.25% 7/1/03 A1 18,000,000 20,025,000
6.25% 7/1/04 A1 3,000,000 3,352,500
5.25% 2/1/08 A1 5,000,000 5,087,500
Rfdg. Series B:
5.40% 11/1/06 A1 3,750,000 3,951,563
6.50% 8/1/08 A1 2,500,000 2,853,125
Massachusetts State College Bldg. Rfdg.
Series A, 7.50% 5/1/05 A1 3,000,000 3,633,750
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Health & Edl. Facs. Auth. Rev.:
Rfdg. (Boston College) Series K:
5.25% 6/1/09 A1 $ 2,980,000 $ 3,054,500
5.25% 6/1/10 A1 3,025,000 3,077,938
5.375% 6/1/14 A1 10,445,000 10,706,125
5.25% 6/1/23 A1 8,000,000 7,880,000
Rfdg. (Massachusetts Gen. Hosp.) Series F,
6.25% 7/1/12 (AMBAC Insured) Aaa 3,250,000 3,668,438
Rfdg. (Wheaton College)
Series C, 5.125% 7/1/09 A 1,130,000 1,110,225
(Anna Jaques Hosp.) Series B:
5.90% 10/1/99 Baa1 930,000 952,088
6% 10/1/00 Baa1 985,000 1,013,319
6.875% 10/1/12 Baa1 3,250,000 3,371,875
(Baystate Medical Center) Series D, 5%
7/1/12 (FGIC Insured) Aaa 1,500,000 1,447,500
(Blood Institute) Series A, 6.50% 2/1/22 - 15,770,000 16,144,538
(Cape Cod Health Sys.) Series A, 5.25%
11/15/13 (Connie Lee Insured) AAA 3,500,000 3,399,375
(Cardinal Cushing Gen. Hosp.)
Series A, 8.50% 7/1/00 - 800,000 824,000
(Central Med. Ctr.) Series B, 0% 6/23/22
(AMBAC Insured) INFL (d) Aaa 10,000,000 11,987,500
(Daughter's Charity-Carney Hosp.)
Series C, 7.75% 7/1/14
(Pre-Refunded to 7/1/00 @ 102) (c) Aaa 2,300,000 2,679,500
(Emerson Hosp.) Series C, 8% 7/1/18
(Pre-Refunded to 7/1/00 @ 102) (c) Baa1 22,545,000 26,377,650
(Falmouth Hosp.) Series C, 5.50% 7/1/08
(MBIA Insured) Aaa 1,000,000 1,041,250
(Faulkner Hosp.) Series C:
6% 7/1/13 Baa1 8,995,000 8,792,613
6% 7/1/23 Baa1 6,605,000 6,274,750
(Harvard Univ.):
Rfdg. Series P, 5.60% 11/1/14 Aaa 1,000,000 1,037,500
5.625% 11/1/28 Aaa 1,500,000 1,533,750
5.375% 11/1/32 Aaa 5,880,000 5,887,350
(Hebrew Rehabilitation Ctr. for Aged) Series B:
7% 7/1/97 A- 735,000 757,969
7.375% 7/1/17 A- 14,000,000 14,682,500
(Lowell Gen. Hosp.) Series A:
8.25% 6/1/00 Baa1 2,955,000 3,235,725
8.40% 6/1/11 Baa1 2,565,000 2,879,213
(Medical, Academic, & Scientific Cmnty.
Organizations) Series A, 6.625% 1/1/15 A- 4,150,000 4,440,500
(Milford Whitinsville Reg'l. Hosp.) Series B:
7.125% 7/15/02 Ba1 3,100,000 3,165,875
7.75% 7/15/17 Ba1 12,400,000 12,570,500
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Health & Edl. Facs. Auth. Rev. - continued
(Morton Hosp. & Med. Ctr.) Series B, 5.25%
7/1/08 (Connie Lee Insured) AAA $ 2,800,000 $ 2,821,000
(Mt. Auburn Hosp.) Issue Series B-1, 6.25%
8/15/14 (MBIA Insured) Aaa 1,250,000 1,346,875
(Newton/Wellesley Hosp.) Issue C, 8% 7/1/18
(MBIA Insured)
(Pre-Refunded to 7/1/98 @ 102) (c) Aaa 500,000 556,250
(Notre Dame Health Care Ctr.) Series A:
7.25% 10/1/01 - 690,000 734,850
7.875% 10/1/22 - 5,000,000 5,243,750
(Simmons College) Series B, 7.50% 10/1/20 Baa1 6,190,000 6,940,538
(Sisters Providence Health Sys.)
Series A, 6.50% 11/15/08 Baa1 1,300,000 1,327,625
(Tufts Univ.):
Series C, 7.40% 8/1/08 A1 1,000,000 1,098,750
6.13% 8/15/18 (FGIC Insured) INFL (d) Aaa 7,900,000 7,949,375
(Wellesley College) Series D:
5.30% 7/1/14 Aa1 5,400,000 5,440,500
5.375% 7/1/19 Aa1 7,015,000 7,085,150
(Wheaton College) Series C:
5.25% 7/1/14 A 2,655,000 2,635,088
5.25% 7/1/19 A 2,000,000 1,970,000
(Whidden Mem. Hosp.) Series B:
7.375% 7/1/98 - 710,000 739,288
7.875% 7/1/12 - 6,530,000 6,709,575
(Williams College) Series D, 5.50% 7/1/17 Aa1 4,000,000 4,065,000
Massachusetts Hsg. Fin. Agcy. (Hsg. Proj.)
Series A, 6.15% 10/1/15 (AMBAC Insured) Aaa 1,000,000 1,020,000
Massachusetts Hsg. Fin. Agcy. Hsg. Rev.:
Rfdg. Series A:
4.25% 12/1/98 (MBIA Insured) Aaa 1,500,000 1,511,250
6% 12/1/13 (MBIA Insured) Aaa 5,680,000 5,829,100
(Single Family Hsg.):
Series 3, 7.30% 6/1/14 Aa 6,000,000 6,215,520
Series 8, 7.70% 6/1/17 Aa 500,000 529,375
Series 10, 7.70% 12/1/17 Aa 755,000 795,581
Series 16, 7.80% 12/1/05 Aa 880,000 930,600
Series 16, 7.90% 6/1/14 Aa 890,000 943,400
Massachusetts Ind. Fin. Agcy. Rev.:
Rfdg. (Atlanticare Med. Ctr.)
Series A, 10.125% 11/1/14 - 8,400,000 7,980,000
Rfdg. (Chelsea Jewish Nursing Home) Series A,
11.15% 2/15/25 (FHA Guaranteed) A- 3,590,000 4,132,234
Rfdg. (Eastern Edison Co. Proj.) 5.875% 8/1/08 Baa2 3,050,000 3,088,125
Rfdg. (Framingham Union Hosp.)
Series A, 8.25% 7/1/00 Baa1 2,945,000 3,154,831
Rfdg. (Framingham Union Hosp.)
Series A, 8.625% 7/1/12 Baa1 14,645,000 15,889,825
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Ind. Fin. Agcy. Rev. - continued
Rfdg. (Inner Belt Realty Trust Proj.)
Series 1985, 9.50% 12/1/98 - $ 1,484,233 $ 1,552,256
Rfdg. (Lesley College) Series A, 6.30% 7/1/15
(Connie Lee Insured) Aaa 2,525,000 2,704,906
Rfdg. (Milton Academy) Series B, 5.25% 9/1/19
(MBIA Insured) Aaa 3,000,000 2,951,250
Rfdg. (Philips Academy) 5.375% 9/1/23 Aa1 14,800,000 14,874,000
(Atlanticare Med. Ctr.)
Series A, 10.125% 11/1/14 - 1,900,000 1,805,000
(Babson College) Series A:
5.60% 10/1/06 (MBIA Insured) Aaa 515,000 555,556
5.70% 11/1/07 (MBIA Insured) Aaa 545,000 587,919
(Boston Architectural Ctr. Proj.) 8.50% 9/1/19 - 3,595,000 3,833,169
(Brandon Residential Treatment Proj.)
8.75% 2/1/24 - 5,360,000 5,494,000
(Concord Academy) 6.90% 9/1/21 (FSA Insured) Aaa 1,370,000 1,529,263
(Emerson College):
8.50% 1/1/03 - 5,000,000 5,637,500
Series 1992, 8.25% 1/1/17 - 3,000,000 3,330,000
8.90% 1/1/18 - 4,250,000 4,791,875
(Evergreen Ctr., Inc.) 9.25% 11/1/11 - 4,435,000 4,872,956
(Holy Cross College) 7% 7/1/19 A1 9,000,000 9,573,750
(Institite Dev. Disabilities) 9.25% 6/1/09 - 4,185,000 4,101,300
(Leominster Hosp.) Series A, 8.375% 8/1/99,
(Escrowed to Maturity) (c) - 2,800,000 3,003,000
(Meadow Green Nursing) 9.60% 8/1/27
(FHA Guaranteed) AA 3,820,000 4,011,000
(Massachusetts Biomedical):
(Cap. Appreciation):
Series A-1, 0% 8/1/02 A1 3,650,000 2,691,875
Series A-1, 0% 8/1/03 A1 1,000,000 682,500
Series A-2, 0% 8/1/05 A- 24,600,000 14,975,250
Series A-2, 0% 8/1/07 A- 25,000,000 13,250,000
Series A-2, 0% 8/1/08 A- 20,000,000 9,975,000
Series A-2, 0% 8/1/10 A- 10,000,000 4,325,000
(Museum of Science Proj.):
4.90% 11/1/06 ((CGIC Insured) Aaa 480,000 480,600
5% 11/1/07 ((CGIC Insured) Aaa 515,000 513,069
5% 11/1/08 ((CGIC Insured) Aaa 1,590,000 1,570,125
5.10% 11/1/09 ((CGIC Insured) Aaa 830,000 821,700
(New England Ctr. for Autism) 7% 11/1/19 - 1,100,000 1,067,000
(Springfield College):
5.25% 9/15/03 Baa1 755,000 758,775
5.25% 9/15/04 Baa1 885,000 885,000
5.35% 9/15/05 Baa1 930,000 930,000
5.625% 9/15/10 Baa1 1,000,000 972,500
(Whitehead Institute Biomedical Research)
5.125% 7/1/26 Aa 14,600,000 13,705,750
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Muni. Wholesale Elec. Co. Pwr. Supply Rev.:
Rfdg. Series A:
5.10% 7/1/08 (AMBAC Insured) Aaa $ 1,000,000 $ 1,022,500
6.75% 7/1/08 A 3,000,000 3,303,750
6% 7/1/18 A 10,000,000 10,212,500
(Reg. Inflos) Series A, 5.45% 7/1/18
(AMBAC Insured) Aaa 28,500,000 28,321,875
Rfdg. Series B:
6.625% 7/1/04 A 4,675,000 5,224,313
6.75% 7/1/08 A 2,000,000 2,202,500
4.75% 7/1/10 (MBIA Insured) Aaa 11,230,000 10,794,838
5% 7/1/17 (MBIA Insured) Aaa 7,710,000 7,391,963
Series B, 6.75% 7/1/17 A 9,050,000 9,751,375
Series C, 6.625% 7/1/18 A 10,000,000 10,712,500
Series D, 6% 7/1/06 A 1,000,000 1,072,500
Series E, 6% 7/1/06 A 1,640,000 1,758,900
Massachusetts Port Auth. Rev.:
Rfdg. Series A, 5.50% 7/1/09 Aa 3,160,000 3,239,000
Rfdg. 7.125% 7/1/12 Aa 2,490,000 2,512,261
Rfdg. Series A, 5% 7/1/13 Aa 8,835,000 8,580,994
5.625% 7/1/12 (Escrowed to Maturity) (c) Aaa 1,900,000 1,968,875
Massachusetts Spl. Oblig. Rev.:
(Gas Tax) Series A, 6% 6/1/13 A1 18,195,000 18,922,800
Series A, 5.80% 6/1/14 A1 4,185,000 4,326,244
Massachusetts Tpk. Auth. Tpk. Rev. Rfdg. Series A:
5% 1/1/20 A1 38,485,000 36,127,794
5.125% 1/1/23 (FGIC Insured) Aaa 20,120,000 19,491,250
Massachusetts Wtr. Poll. Abatement Trust Rev.:
6% 8/1/02 Aa 2,255,000 2,460,769
6% 8/1/03 Aa 3,450,000 3,782,063
6% 8/1/04 Aa 3,670,000 4,037,000
5.30% 2/1/05 Aa 1,000,000 1,040,000
6% 8/1/05 Aa 1,500,000 1,651,875
Massachusetts Wtr. Poll. Abatement Trust Rev.
(Massachusetts Wtr. Resources Auth. Loan Prog.):
Series 1:
5.40% 2/1/06 Aa 2,175,000 2,275,594
5.40% 8/1/06 Aa 2,230,000 2,333,138
5.45% 2/1/07 Aa 2,000,000 2,085,000
5.45% 8/1/07 Aa 2,355,000 2,455,088
5.50% 2/1/08 Aa 1,000,000 1,032,500
5.50% 8/1/08 Aa 2,000,000 2,065,000
5.60% 8/1/13 Aa 14,300,000 14,586,000
Series A, 5.20% 8/1/11 Aa 5,520,000 5,526,900
Series B, 5.10% 8/1/08 Aa 1,500,000 1,515,000
Massachusetts Wtr. Resources Auth.:
Rfdg. Series C, 6% 12/1/11 A 2,000,000 2,172,500
6.50% 7/15/07 A 6,000,000 6,855,000
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Wtr. Resources Auth. - continued
Series A:
0% 4/1/06 (MBIA Insured) Aaa $ 10,000,000 $ 6,112,500
7.50% 4/1/09
(Pre-refunded to 4/1/00 @102) (c) Aaa 6,600,000 7,573,500
7.625% 4/1/14
(Pre-Refunded to 4/1/00 @102) (c) Aaa 1,000,000 1,152,500
6.50% 7/15/21
(Pre-Refunded to 7/15/02 @102) (c) Aaa 1,000,000 1,141,250
Methuen Gen. Oblig. Wtr. Ltd. Tax Lot A:
9.50% 12/15/98 A1 260,000 299,650
9.50% 12/15/99 A1 260,000 310,700
9.50% 12/15/00 A1 260,000 320,125
Monson Gen. Oblig.:
Rfdg. 5.40% 10/15/07 (MBIA Insured) Aaa 1,005,000 1,055,250
5.50% 10/15/10 (MBIA Insured) Aaa 1,080,000 1,109,700
Nantucket Island Bank Rfdg. Series E, 7.25%
7/1/19 A 6,175,000 6,846,531
New England Ed. Loan Marketing Corp. Student
Loan Rev. Issue A, 5.80% 3/1/02 Aaa 10,440,000 11,105,550
North Attleborough Gen. Oblig. Ltd. Tax Rfdg.
5.25% 11/1/13 (AMBAC Insured) Aaa 1,000,000 987,500
Orleans Gen. Oblig. Unltd. Tax:
6.70% 6/15/08 A1 180,000 195,300
6.70% 6/15/09 A1 120,000 129,750
Pentucket Reg'l. School Dist. Gen. Oblig.:
5.10% 2/15/11 (MBIA Insured) Aaa 530,000 523,375
5.10% 2/15/12 (MBIA Insured) Aaa 220,000 216,150
5.10% 2/15/13 (MBIA Insured) Aaa 575,000 558,469
5.10% 2/15/14 (MBIA Insured) Aaa 525,000 509,250
Pittsfield Gen. Oblig. 7.25% 8/1/06
(Pre-Refunded to 8/1/96 @102) (c) A 600,000 629,106
Plainville Gen. Oblig. Ltd. Tax:
7% 9/1/05 A 175,000 190,750
7% 9/1/06 A 175,000 190,750
7% 9/1/07 A 175,000 190,750
Plymouth County Ctfs. of Prtn. Series A, 7% 4/1/22 A- 10,995,000
12,080,756
Quabbin Reg'l. School Dist. Gen. Oblig.
6.80% 6/15/05 A 510,000 549,525
Quincy Hosp. Rev.:
Rfdg. 5.25% 1/15/16 (FSA Insured) Aaa 2,000,000 1,945,000
5.30% 1/15/11 (FSA Insured) Aaa 11,400,000 11,343,000
South Essex Swr. Dist. Gen. Oblig. Unltd. Tax :
8.75% 12/1/01 A 425,000 515,313
8.75% 12/1/02 A 425,000 513,188
8.75% 12/1/03 A 400,000 481,000
8.75% 12/1/04 A 400,000 480,000
8.75% 12/1/05 A 400,000 479,500
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Southern Berkshire Reg'l. School Dist. Gen. Oblig.
7% 4/15/11 (MBIA Insured) (e) Aaa $ 4,000,000 $ 4,555,000
Springfield Hsg. Auth. Multi-Family Mtg. Rev.
(Citywide Apts.):
9.50% 11/1/05 (FHA Guaranteed) - 435,000 463,275
9.625% 11/1/17 (FHA Guaranteed) - 1,500,000 1,610,625
9.625% 11/1/26 (FHA Guaranteed) - 3,250,000 3,489,688
Taunton Elec. Gen. Oblig.:
8% 2/1/00 A 1,000,000 1,128,750
8% 2/1/05 A 1,000,000 1,230,000
Taunton Ind. Dev. Fing. Rev. (Pepsi Cola
Metropolitan Bottle Co.) 5.65% 8/1/12 A1 2,400,000 2,406,144
Tewksbury Gen. Oblig. Various Purp. Unltd. Tax:
9.60% 12/15/98 Baa1 595,000 673,838
9.60% 12/15/99 Baa1 595,000 695,406
9.60% 12/15/00 Baa1 210,000 253,575
9.60% 12/15/01 Baa1 210,000 258,038
9.60% 12/15/02 Baa1 210,000 264,075
Tewksbury Wtr. Gen. Oblig.:
7.20% 6/1/05 Baa1 350,000 399,875
7.20% 6/1/06 Baa1 150,000 172,500
Westfield Muni. Purp. Loan Gen. Oblig.:
5% 9/1/10 (FSA Insured) Aaa 745,000 728,238
5% 9/1/11 (FSA Insured) Aaa 640,000 621,600
5% 9/1/12 (FSA Insured) Aaa 745,000 719,856
5% 9/1/13 (FSA Insured) Aaa 750,000 715,313
Winchedon School Proj. Gen. Oblig. 6.05%
3/15/12 (AMBAC Insured) Aaa 1,275,000 1,345,125
Woods Hole, Martha's Vineyard & Nantucket
(Massachusetts Steamship Auth.) Series A:
5.125% 3/1/11 A1 1,100,000 1,083,500
5.125% 3/1/12 A1 630,000 614,250
Worcester Gen. Oblig. 5.50% 7/1/03
(MBIA Insured) Aaa 3,430,000 3,631,513
1,052,303,551
PUERTO RICO - 3.3%
Puerto Rico Commonwealth Pub. Impt. 6.80%
7/1/21 (Pre-Refunded to 7/1/02 @101.5) (c) AAA 4,000,000 4,660,000
Puerto Rico Commonwealth Hwy. & Trans. Auth. Hwy. Rev.:
Series S, 6.50% 7/1/22
(Pre-Refunded to 7/1/02 @101.50) (c) Baa1 2,500,000 2,871,875
Series T, 6.50% 7/1/22 Baa1 1,540,000 1,769,075
Puerto Rico Elec. Pwr. Auth. Rev.:
Rfdg. Series W, 6.50% 7/1/05 (MBIA Insured) Aaa 9,410,000 10,821,500
Series P, 7% 7/1/21 Baa1 10,785,000 12,483,638
Puerto Rico Ind., Med. & Environmental Poll. Ctl.
Facs. Fing. Auth. Rev. (Motorola,Inc.)
Series A, 6.75% 1/1/14 Aa3 1,500,000 1,631,250
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
PUERTO RICO - CONTINUED
Puerto Rico Univ. Rev. Series M, 5.50% 6/1/15
(MBIA Insured) Aaa $ 3,500,000 $ 3,574,375
37,811,713
TOTAL MUNICIPAL BONDS
(Cost $1,022,349,646) 1,090,115,264
MUNICIPAL NOTES (A) - 6.1%
MASSACHUSETTS - 4.9%
Commonwealth of Massachusetts Series A, 3.30%
2/15/96, LOC Union Bank of Switzerland, CP P-1 3,700,000 3,700,000
Massachusetts Bay Trans. Auth. Series C, CP:
3.15% 2/21/96,
LOC Westdeutsche Landesbank P-1 3,300,000 3,300,099
3.25% 2/23/96,
LOC Westdeutsche Landesbank P-1 3,500,000 3,500,315
Massachusetts Dedicated Income Tax Bonds Updates
First Recovery Loan Series 1990 B, 3.70%,
LOC National Westminster Bank PLC,
VRDN VMIG 1 2,700,000 2,700,000
Massachusetts Health & Edl. Facs. Auth. Rev.:
Bonds:
(Harvard Univ.) 3.10%, tender 2/1/96 VMIG 1 4,700,000 4,700,000
VRDN:
(Capital Asset Prog.) Series A, 2.95%,
LOC First Nat'l. Bank of Chicago VMIG 1 4,000,000 4,000,000
(Harvard Univ.) Series I, 2.75% VMIG 1 18,900,000 18,900,000
(Massachusetts Institute of Technology)
Series G, 2.80% VMIG 1 9,000,000 9,000,000
(Wellesley College) Issue B, 2.70% VMIG 1 200,000 200,000
Massachusetts Hsg. Fin. Agcy. Rev. Rfdg.
(Multi-Family) Series 1995 A, 3.05%,
LOC Republic Bank of New York, VRDN A-1+ 3,100,000 3,100,000
Massachusetts Ind. Fin. Poll. Cont. Rev. Bonds Rfdg.
(New England Pwr. Co. Proj.) Series 1992 B,
3.30%, tender 3/19/96 P-1 1,500,000 1,500,195
Massachusetts Muni. Wholesale Elec. Co. Pwr.
Supply Sys. Series 1994 C, 2.85%,
LOC Canadian Imperial Bank, VRDN VMIG 1 1,000,000 1,000,000
Massachusetts Port Auth. Rev. Series 1995 A, 3.60%,
LOC Landesbank Hessen-Thuringen, VRDN VMIG 1 1,310,000 1,310,000
56,910,609
MUNICIPAL NOTES (A) - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) (B) AMOUNT (NOTE 1)
PUERTO RICO - 1.2%
Puerto Rico Gov't. Dev. Bank, CP:
3.15% 2/6/96 A-1+ $ 2,000,000 $ 2,000,000
3% 3/6/96 A-1+ 11,800,000 11,798,348
13,798,348
TOTAL MUNICIPAL NOTES
(Cost $70,710,000) 70,708,957
TOTAL INVESTMENTS - 100%
(Cost $1,093,059,646) $ 1,160,824,221
FUTURES CONTRACTS
EXPIRATION UNDERLYING FACE UNREALIZED
DATE AMOUNT AT VALUE GAIN/(LOSS)
PURCHASED
280 Treasury Bond Contracts Mar. 1996 $ 33,862,500 $ (80,040)
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL INVESTMENT IN
SECURITIES - 2.9%
SECURITY TYPE ABBREVIATIONS
INFL - Inverse Floating Rate Security
VRDN - Variable Rate Demand Notes
LEGEND
(a) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
(b) Standard & Poor's Corporation credit ratings are used in the absence of
a rating by Moody's Investors Service, Inc.
(c) Security collateralized by an amount sufficient to pay interest and
principal.
(d) Coupon is inversely indexed to a floating interest rate. The price will
be more volatile than the price of a comparable fixed rate security. The
rate shown is the rate at period end.
(e) A portion of the Security was pledged to cover margin requirements for
futures contracts. At the period end, the value of securities pledged
amounted to $4,555,000.
INCOME TAX INFORMATION
At January 31, 1996, the aggregate cost of investment securities for income
tax purposes was $1,093,059,646. Net unrealized appreciation aggregated
$67,764,575, of which $68,939,766 related to appreciated investment
securities and $1,175,191 related to depreciated investment securities.
At January 31, 1996, the fund was required to defer $8,722,394 of losses on
futures contracts.
At January 31, 1996, the fund had a capital loss carryforward of
approximately $6,001,487 which will expire on January 31, 2004.
OTHER INFORMATION
The composition of long-term debt holdings as a percentage of total value
of investment in securities, is as follows (ratings are unaudited):
MOODY'S RATINGS S&P RATINGS
Aaa, Aa, A 64.7% AAA, AA, A 68.2%
Baa 10.0% BBB 8.7%
Ba 1.3% BB 1.3%
B 0.0% B 0.0%
Caa 0.0% CCC 0.0%
Ca, C 0.0% CC, C 0.0%
D 0.0%
The percentage not rated by either S&P or Moody's amounted to 7.2%. FMR has
determined that unrated debt securities that are lower quality account for
3.7% of the total value of investment in securities.
The distribution of municipal securities by revenue source, as a percentage
of total value of investment in securities, is as follows:
General Obligation 20.2%
Health Care 18.4
Education 14.6
Others
(individually less than 10%) 46.8
TOTAL 100.0%
FIDELITY MASSACHUSETTS MUNICIPAL INCOME FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE HIGH YIELD PORTFOLIO)
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JANUARY 31, 1996
1.ASSETS 2. 3.
4.Investment in securities, at value (cost 5. $ 1,160,824,221
$1,093,059,646) - See accompanying schedule
6.Cash 7. 42,972
8.Interest receivable 9. 13,412,004
10.Receivable for daily variation on futures contracts 11. 70,000
12. 13.TOTAL ASSETS 14. 1,174,349,197
15.LIABILITIES 16. 17.
18.Payable for investments purchased $ 1,063,990 19.
20.Payable for fund shares redeemed 754,517 21.
22.Distributions payable 1,736,653 23.
24.Accrued management fee 389,217 25.
26.Other payables and accrued expenses 197,397 27.
28. 29.TOTAL LIABILITIES 30. 4,141,774
31.32.NET ASSETS 33. $ 1,170,207,423
34.Net Assets consist of: 35. 36.
37.Paid in capital 38. $ 1,117,375,661
39.Accumulated undistributed net realized gain (loss) 40. (14,852,773)
on investments
41.Net unrealized appreciation (depreciation) 42. 67,684,535
on investments
43.44.NET ASSETS, for 100,035,627 shares outstanding 45. $ 1,170,207,423
46.47.NET ASSET VALUE, offering price and redemption 48. $11.70
price per share ($1,170,207,423 (divided by) 100,035,627
shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JANUARY 31, 1996
49.50.INTEREST INCOME 51. $ 70,911,703
52.EXPENSES 53. 54.
55.Management fee $ 4,488,400 56.
57.Transfer agent, accounting and custodian fees 1,581,904 58.
and expenses
59.Non-interested trustees' compensation 7,560 60.
61.Registration fees 1,219 62.
63.Audit 52,932 64.
65.Legal 33,734 66.
67.Reports to shareholders 617 68.
69.Miscellaneous 2,193 70.
Total expenses before reductions 6,168,559
Expense reductions (172,476 5,996,083
)
71.72.NET INTEREST INCOME 73. 64,915,620
74.REALIZED AND UNREALIZED GAIN (LOSS) 76. 77.
75.Net realized gain (loss) on:
78. Investment securities 2,219,819 79.
80. Futures contracts (4,555,203) (2,335,384)
81.Change in net unrealized appreciation (depreciation) 82. 83.
on:
84. Investment securities 90,046,221 85.
86. Futures contracts 732,559 90,778,780
87.88.NET GAIN (LOSS) 89. 88,443,396
90.91.NET INCREASE (DECREASE) IN NET ASSETS 92. $ 153,359,016
RESULTING FROM OPERATIONS
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR YEAR
ENDED ENDED
JANUARY 31, JANUARY 31,
1996 1995
93.INCREASE (DECREASE) IN NET ASSETS
94.Operations $ 64,915,620 $ 71,935,262
Net interest income
95. Net realized gain (loss) (2,335,384) 16,811,425
96. Change in net unrealized appreciation (depreciation) 90,778,780 (147,205,535)
97. 98.NET INCREASE (DECREASE) IN NET ASSETS 153,359,016 (58,458,848)
RESULTING FROM OPERATIONS
99.Distributions to shareholders (65,116,860) (71,935,262)
From net interest income
100. From net realized gain - (23,938,149)
101. 102.TOTAL DISTRIBUTIONS (65,116,860) (95,873,411)
103.Share transactions 303,978,166 278,510,983
Net proceeds from sales of shares
104. Reinvestment of distributions 48,817,732 74,034,441
105. Cost of shares redeemed (307,011,398) (549,442,213)
106.107. 45,784,500 (196,896,789)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM SHARE TRANSACTIONS
108. 134,026,656 (351,229,048)
109.TOTAL INCREASE (DECREASE) IN NET ASSETS
110.NET ASSETS 111. 112.
113. Beginning of period 1,036,180,767 1,387,409,815
114. End of period $ 1,170,207,423 $ 1,036,180,767
115.OTHER INFORMATION 117. 118.
116.Shares
119. Sold 26,960,428 25,544,589
120. Issued in reinvestment of distributions 4,312,969 6,698,427
121. Redeemed (27,152,538) (49,946,373)
122. Net increase (decrease) 4,120,859 (17,703,357)
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
YEARS ENDED JANUARY 31, SIX MONTHS YEARS ENDED JULY 31,
ENDED
JANUARY 31,
1996 1995 1994C 1993 1992 1991
123.SELECTED PER-SHARE DATA
124.Net asset value,
beginning of period $ 10.800 $ 12.210 $ 11.750 $ 11.860 $ 11.320 $ 11.160
125.Income from
Investment Operations .652 .700 .714 .364 .735 .783
Net interest income
126. Net realized and
unrealized gain (loss) .902 (1.180) .720 (.040) .620 .270
127. Total from
investment operations 1.554 (.480) 1.434 .324 1.355 1.053
128.Less Distributions (.654)E (.700) (.714) (.364) (.735) (.783)
From net interest income
129. From net realized gain - (.230) (.230) (.070) (.080) (.110)
130. In excess of net
realized gain - - (.030) - - -
131. Total distributions (.654) (.930) (.974) (.434) (.815) (.893)
132.Net asset value, end
of period $ 11.700 $ 10.800 $ 12.210 $ 11.750 $ 11.860 $ 11.320
133.TOTAL RETURN B 14.76% -3.79% 12.57 2.83% 12.48 9.90
% % %
134.RATIOS AND SUPPLEMENTAL DATA
135.Net assets, end of
period (000 omitted) $ 1,170,207 $ 1,036,181 $ 1,387,410 $ 1,262,596 $ 1,235,407 $ 842,179
136.Ratio of expenses to
average net assets .55% .54% .54 .55% .57 .56
% A % %
137.Ratio of expenses to
average net assets after .54%D .54% .54 .55% .57 .56
expense reductions % A % %
138.Ratio of net interest
income to average net assets 5.80% 6.29% 5.93 6.19% 6.43 7.05
% A % %
139.Portfolio turnover rate 33% 22% 40 42% 18 29
% A % %
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C EFFECTIVE FEBRUARY 1, 1993, THE FUND ADOPTED STATEMENT OF POSITION 93-2,
"DETERMINATION, DISCLOSURE, AND FINANCIAL STATEMENT PRESENTATION OF INCOME,
CAPITAL GAIN, AND RETURN OF CAPITAL DISTRIBUTIONS BY INVESTMENT COMPANIES."
AS A RESULT, NET INTEREST INCOME PER SHARE MAY REFLECT CERTAIN
RECLASSIFICATIONS RELATED TO BOOK TO TAX DIFFERENCES.
D FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD PARTIES
WHO EITHER PAID OR REDUCED A PORTION OF THE FUND'S EXPENSES (SEE NOTE 5 OF
NOTES TO FINANCIAL STATEMENTS).
E THE AMOUNT SHOWN REFLECTS CERTAIN RECLASSIFICATIONS RELATED TO BOOK TO
TAX DIFFERENCES (SEE NOTE 1 OF NOTES TO FINANCIAL STATEMENTS).
FIDELITY MASSACHUSETTS MUNICIPAL MONEY MARKET FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE MONEY MARKET PORTFOLIO)
PERFORMANCE: THE BOTTOM LINE
To measure a money market fund's performance, you can look at either total
return or yield. Total return reflects the change in a fund's share price
over a given period and reinvestment of its dividends (or income). Yield
measures the income paid by a fund. Since a money market fund tries to
maintain a $1 share price, yield is an important measure of performance.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED JANUARY 31, 1996 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Massachusetts Municipal Money Market 3.20% 13.84% 43.71%
Average Massachusetts Tax-Free
Money Market Fund 3.26% 14.32% n/a
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, one year, five years or ten years. For
example, if you invested $1,000 in a fund that had a 5% return over the
past year, the value of your investment would be $1,050. To measure how the
fund's performance stacked up against its peers, you can compare it to the
average Massachusetts tax-free money market fund, which reflects the
performance of 11 Massachusetts tax-free money market funds with similar
objectives tracked by IBC/Donoghue over the past year. (The periods
covered by the IBC/Donoghue numbers are those closest available match to
those covered by the fund.) Recent U.S. Consumer Price Index information
was not available from the U.S. Department of Labor at the time this report
was printed.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED JANUARY 31, 1996 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Massachusetts Municipal Money Market 3.20% 2.63% 3.69%
Average Massachusetts Tax-Free
Money Market Fund 3.26% 2.71% n/a
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened if the fund had performed at a
constant rate each year.
YIELDS
1/30/95 4/24/95 7/31/95 10/30/95 1/29/96
Massachusetts Municipal 2.79% 3.51% 3.11% 3.16% 2.69%
Money Market
Average Massachusetts 2.95% 3.57% 3.15% 3.22% 2.77%
Tax-Free Money Market
Fund
Massachusetts Municipal 4.95% 6.23% 5.52% 5.61% 4.78%
Money Market Tax-equivalen
t
Portion of fund's income 0.50% - - - -
subject to state taxes on
last day of period
YIELD refers to the income paid by the fund over a given period. Yields for
money market funds are usually for seven-day periods, expressed as annual
percentage rates. A yield that assumes income earned is reinvested or
compounded is called an effective yield. The chart above shows the fund's
seven-day yield at quarterly intervals over the past year. You can compare
these yields to the average Massachusetts tax-free money market fund. Or
you can look at the fund's tax-equivalent yield, which is based on a
combined effective 1996 federal and state income tax rate of 43.68% and
reflects that a portion of the fund's income was subject to state taxes.
Figures for the average Massachusetts tax-free money market fund are from
IBC/Donoghue. A portion of the fund's income may be subject to the
alternative minimum tax.
A MONEY MARKET FUND'S TOTAL RETURNS AND YIELDS WILL VARY, AND REFLECT PAST
RESULTS RATHER THAN PREDICT FUTURE PERFORMANCE.
COMPARING
PERFORMANCE
Yields on tax-free investments
are usually lower than yields
on taxable investments.
However, a straight
comparison between the two
may be misleading because it
ignores the way taxes reduce
taxable returns. Tax-equivalent
yield - the yield you'd have to
earn on a similar taxable
investment to match the
tax-free yield - makes the
comparison more meaningful.
Keep in mind that the U.S.
government neither insures nor
guarantees a money market
fund. And there is no
assurance that a money fund
will maintain a $1 share price.
(checkmark)
FIDELITY MASSACHUSETTS MUNICIPAL MONEY MARKET FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE MONEY MARKET PORTFOLIO)
FUND TALK: THE MANAGER'S OVERVIEW
An interview with Jan Bradburn,
Portfolio Manager of Fidelity
Massachusetts Municipal
Money Market Fund
Q. JAN, HOW HAS THE INVESTMENT CLIMATE CHANGED DURING THE PAST YEAR?
A. Overall, conditions have been favorable, characterized by moderate
growth, low inflation and declining interest rates. The economy expanded at
an annual rate of only 2.7% during the first quarter of 1995, down from
more than 5% during the previous quarter. When growth slowed still further
to 1.3% during the second quarter of 1995, some economists warned of a
recession. That's when the Fed shifted to an easing mode. Since then there
have been three rate cuts of one-quarter percentage point each - in July
1995, December 1995 and January 1996. The federal funds rate ended the
period at 5.25%.
Q. WHAT WAS YOUR STRATEGY IN THE FACE OF DECLINING RATES?
A. When the period began, the fund's average maturity was relatively short
at 30 days, with a fairly high level of VRDNs (Variable Rate Demand Notes).
That made sense since it was expected that the Fed would raise interest
rates in February. That spring, as supply entered the market and rates
declined, I moved the fund's average maturity farther out, reaching 67 days
by the end of August. Since then, tighter supply and my desire to have the
flexibility to respond to changing conditions have resulted in a slightly
less aggressive average maturity for the fund - 51 days at the end of
January 1996.
Q. HOW DID THE FUND PERFORM?
A. Fidelity Massachusetts Municipal Money Market Fund's seven-day yield on
January 31, 1996, was 2.69%, compared to 2.88% a year ago. For
Massachusetts investors in the 43.68% combined state and federal income-tax
bracket, the latest yield was the equivalent of a 4.78% yield on a taxable
investment. Through January 31, 1996, the fund's one-year total return was
3.20%, compared to 3.26% for the average Massachusetts tax-free money
market fund, according to IBC/Donoghue.
Q. THERE WAS A CHANGE TO THE FUND'S INVESTMENT POLICY. HOW DOES THIS AFFECT
YOUR STRATEGY?
A. The fund is now permitted to invest in any amount of municipal
securities that may be considered taxable under the alternative minimum tax
(AMT). The AMT is an alternative method for calculating federal income tax
liabilities and is generally limited to individuals in high-income tax
brackets. I am now able to focus on all marketplace opportunities -
including areas dominated by AMT securities, such as student loans and
airports. If you are not subject to the AMT, the recent policy change will
in no way affect the tax-exempt status of your income from the fund. If you
are one of the few investors who is subject to the AMT or if you are
unsure, you should consult your tax advisor for further information.
Q. WHAT'S THE OUTLOOK?
A. Given the likely prospects for continued slow economic growth and benign
inflation, I think it's unlikely that we've seen the last of the Fed rate
cuts in the current cycle. However, there's enough uncertainty in the
market right now that it would be imprudent to extend the fund
aggressively. So, in the months ahead, I'll look for opportunities to lock
in longer-term securities at attractive rates but I probably won't move the
fund's average maturity much beyond 60 days. My goal is to capture a
portion of the higher yields available from longer-term securities without
giving up the flexibility to respond to changing conditions.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED ON MARKET AND
OTHER CONDITIONS.
FUND FACTS
GOAL: high current tax-free
income for Massachusetts
residents while maintaining a
stable $1.00 share price
START DATE: November 11,
1983
SIZE: as of January 31, 1996,
more than $847million
MANAGER: Janice Bradburn,
since 1992; manager,
Spartan Florida Money
Market, since 1995; Fidelity
Ohio Municipal Money
Market, since 1993; Spartan
Massachusetts Municipal
Money Market, since 1992;
Fidelity New York Municipal
Money Market, since 1989;
Spartan New York Municipal
Money Market, since 1990;
joined Fidelity in 1989
(checkmark)
WORDS TO KNOW
COMMERCIAL PAPER: A security
issued by a municipality to
finance capital or operating
needs.
FEDERAL FUNDS RATE: The interest
rate banks charge each other
for overnight loans.
MATURITY: The time remaining
before an issuer is scheduled
to repay the principal amount
on a debt security. When the
fund's average maturity -
weighted by dollar amount -
is short, the fund manager is
anticipating a rise in interest
rates. When the average
maturity is long, the manager
is expecting rates to fall.
When the average maturity is
neutral, the manager wants
the flexibility to respond to
rising rates, while still
capturing a portion of the
higher yields available from
issues with longer maturities.
MUNICIPAL NOTE: A security
issued in advance of future
tax or other revenues and
payable from those specific
sources.
TENDER BOND: A variable-rate,
long-term security that gives
the bond holder the option to
redeem the bond at face
value before maturity.
VARIABLE RATE DEMAND NOTE
(VRDN): A tender bond that
can be redeemed on short
notice, typically one or seven
days. VRDNs are useful in
managing the fund's average
maturity and liquidity.
FIDELITY MASSACHUSETTS MUNICIPAL MONEY MARKET FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE MONEY MARKET PORTFOLIO)
INVESTMENT CHANGES
MATURITY DIVERSIFICATION
DAYS % OF FUND ASSETS % OF FUND ASSETS % OF FUND ASSETS
1/31/96 7/31/95 1/31/95
0 - 30 68 78 83
31 - 90 7 7 4
91 - 180 17 4 11
181 - 397 8 11 2
WEIGHTED AVERAGE MATURITY
1/31/96 7/31/95 1/31/95
Massachusetts Municipal
Money Market 51 days 49 days 28 days
Average Massachusetts
Tax-Free Money Market
Fund* 52 days 48 days 34 days
ASSET ALLOCATION
AS OF JANUARY 31, 1996 AS OF JULY 31, 1995
Row: 1, Col: 1, Value: 57.0
Row: 1, Col: 2, Value: 18.0
Row: 1, Col: 3, Value: 2.0
Row: 1, Col: 4, Value: 19.0
Row: 1, Col: 5, Value: 4.0
Row: 1, Col: 1, Value: 66.0
Row: 1, Col: 2, Value: 16.0
Row: 1, Col: 3, Value: 3.0
Row: 1, Col: 4, Value: 13.0
Row: 1, Col: 5, Value: 2.0
Variable rate
demand notes
(VRDNs) 57%
Commercial
paper 18%
Tender bonds 2%
Municipal
notes 19%
Other 4%
Variable rate
demand notes
(VRDNs) 66%
Commercial
paper 16%
Tender bonds 3%
Municipal
notes 13%
Other 2%
* SOURCE: IBC/DONOGHUE'S MONEY FUND REPORT(registered trademark)
FIDELITY MASSACHUSETTS MUNICIPAL MONEY MARKET FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE MONEY MARKET PORTFOLIO)
INVESTMENTS JANUARY 31, 1996
Showing Percentage of Total Value of Investments
MUNICIPAL SECURITIES (A) - 100%
PRINCIPAL VALUE
AMOUNT (NOTE 1)
MASSACHUSETTS - 95.5%
Attleboro Gen. Oblig. 6.80% 12/1/96 (AMBAC Insured) $ 1,000,000 $
1,025,038
Bedford Gen. Oblig. Bonds 4.50% 12/15/96 970,000 978,209
Boston Gen. Oblig. Bonds Series 1995 A, 5% 10/1/96
(MBIA insured) 2,000,000 2,014,941
Boston City Hosp. Participating VRDN, Series PT-2, 3.30%
(Liquidity Facility Bank National De Paris) (c) 13,150,000 13,150,000
Boston Wtr. & Swr. Commission Gen. Rev., VRDN:
Series 1985 A, 3.10%,
LOC Canadian Imperial Bank of Commerce 9,130,000 9,130,000
Series 1985 B, 3.10%,
LOC Canadian Imperial Bank of Commerce 16,185,000 16,185,000
Series 1994 A, 3%
LOC State Street Bank & Trust Co. 10,500,000 10,500,000
Boxborough BAN 3.80% 7/12/96 3,500,000 3,500,732
Chelmsford BAN 3.75% 6/28/96 3,200,000 3,201,246
Chicopee BAN 4.875% 4/3/96 3,075,000 3,077,219
Clipper Participating VRDN,
Series 93-2, 3.29%
(Liquidity Facility State Street Bank & Trust Co.) (c) 19,000,000
19,000,000
Commonwealth of Massachusetts Series A, 3.30% 2/15/96,
LOC Union Bank of Switzerland, CP 300,000 300,000
Danvers BAN 4.10% 7/19/96 2,815,000 2,818,810
Edgartown BAN 3.80% 4/18/96 3,965,000 3,965,805
Fall River RAN 4.25% 6/28/96 (BPA Fleet National Bank) 1,000,000
1,002,832
Framingham BAN 4.10% 3/29/96 3,885,000 3,886,358
Framingham Ind. Rev. Board (Perini Corp. Proj.)
Series 1985, 3.30%,
LOC Harris Trust & Savings Bank, Chicago, VRDN 400,000 400,000
Georgetown BAN 4% 6/14/96,
LOC State Street Bank & Trust Company 7,500,000 7,505,863
Holyoke Poll. Cont. Rev. (Holyoke Pwr. & Light Proj.)
Series 1988, 2.90%,
LOC Union Bank of Switzerland, VRDN 1,200,000 1,200,000
Hopkinton BAN 3.70% 7/5/96 1,300,000 1,301,546
Lincoln BAN 4% 7/5/96 4,000,000 4,003,844
Marlborough BAN 4% 2/29/96 1,275,000 1,275,141
Mashpee BAN 3.70% 7/5/96 3,200,000 3,200,921
Massachusetts Bay Transit Auth. RAN :
Series 1995 A, 5.50% 3/1/96 2,045,000 2,046,644
Series 1995 B, 4.75% 9/6/96 22,000,000 22,094,734
Massachusetts Bay Transit Auth. CP:
Series C:
3.60% 2/12/96, LOC Westdeutsche Landesbank 2,000,000 2,000,000
3.65% 2/16/96, LOC Westdeutsche Landesbank 1,000,000 1,000,000
3.35% 2/26/96, LOC Westdeutsche Landesbank 7,000,000 7,000,000
Massachusetts Dedicated Income Tax Rev. Series 1990 B,
3.70%, LOC Nat'l. Westminster, VRDN 300,000 300,000
Massachusetts Ed. Fin. Auth. Ed. Loan Rev., 2.90%,
VRDN (b) 27,500,000 27,500,000
Massachusetts Gen. Oblig. BAN Series 1995 A,
4.25% 6/12/96 35,000,000 35,075,343
MUNICIPAL SECURITIES (A) - CONTINUED
PRINCIPAL VALUE
AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Gen. Oblig. Bonds:
Series A:
7.25% 6/1/96 (FGIC Insured) $ 2,000,000 $ 2,023,476
7.25% 6/1/96 5,805,000 5,873,574
Series 1996 A, 5% 1/1/97 4,400,000 4,454,821
Massachusetts Gen. Oblig. Participating VRDN (c):
Series 1993 A:
3.35% (Liquidity Facility Citibank) 5,000,000 5,000,000
3.36% (AMBAC Insured) (Liquidity Facility Citibank) 3,000,000
3,000,000
Series 93-I, 3.35% (Liquidity Facility Citibank) 13,000,000 13,000,000
Series CR-147, 3.35% (Liquidity Facility Citibank) 5,000,000 5,000,000
Series PW-21, 3.30%
(Liquidity Facility Canadian Imperial Bank) 8,000,000 8,000,000
Massachusetts Health & Ed. Facs. Auth. Bonds
(Harvard Univ.) 3.80%, tender 2/8/96 1,500,000 1,500,000
Massachusetts Health & Ed. Facs. Auth. Rev., VRDN:
(Capital Asset Prog.) Series A, 2.95%,
LOC First Nat'l. Bank of Chicago 17,400,000 17,400,000
(Harvard Univ.):
Series I:
2.75% 22,995,000 22,995,000
2.75% 53,120,000 53,120,000
(Massachusetts Institute of Technology)
Series G, 2.80% 4,600,000 4,600,000
(Mount Ida College) 3.15%, LOC Chemical Bank 6,800,000 6,800,000
(Newton Wellesley Hosp.) 2.90% (MBIA Insured)
(Liquidity Facility Credit Suisse) 10,500,000 10,500,000
(Wellesley College) Series E, 2.70% 15,000,000 15,000,000
(Williams College) 3% 2,900,000 2,900,000
Massachusetts Hsg. Fin. Agcy.:
Multi-Family Rfdg. Series 1995 A, 3.05%,
LOC Republic Bank of New York, VRDN 18,600,000 18,600,000
Participating VRDN (c):
Series 13-C, 3.15% (AMBAC Insured)
(Liquidity Facility Morgan Guaranty Trust Co.) 5,900,000 5,900,000
Series PA-83, 3.30% (AMBAC Insured)
(Liquidity Facility Merrill Lynch & Co.) (b) 4,920,000 4,920,000
Series PT-33, 3.40% (AMBAC Insured)
(Liquidity Facility Industrial Bank of Japan) (b) 5,180,000 5,180,000
Series PT-42, 3.30%
(Liquidity Facility Industrial Bank of Japan) 5,080,000 5,080,000
Massachusetts Health & Fin. Agcy. Single Family Hsg.
Rev. Bonds:
Series 34, 4.15%, tender 6/1/96
(FGIC Insured) (b) 5,500,000 5,500,000
Series 35, 4.10%, tender 6/1/96 (FGIC Insured) 7,000,000 7,000,000
Massachusetts Ind. Fin. Agcy. Ind. Dev. Rev., VRDN:
Rfdg. (First Healthcare Corp. Proj.)
Series 1992 A, 3.30%,
LOC Wachovia Bank of Georgia 2,025,000 2,025,000
MUNICIPAL SECURITIES (A) - CONTINUED
PRINCIPAL VALUE
AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Ind. Fin. Agcy. Ind. Dev. Rev., VRDN: - continued
Rfdg. (First Healthcare Corp.)
Series 1993 B, 3.30% LOC Wachovia Bank $ 700,000 $ 700,000
Rfdg. (First Healthcare Corp. for Hillhaven Proj.)
3.30%, LOC Wachovia Bank of Georgia 2,000,000 2,000,000
Rfdg. (Quamco Inc. Proj.) Series 1988 B, 2.90%,
LOC Bank of Nova Scotia 1,200,000 1,200,000
(Falmount Assisted Living) Series 1995, 3.15%,
LOC First Nat'l. Bank of Boston 3,800,000 3,800,000
(Interpolymer Corp.) Series 1992, 3.30%,
LOC Bank of Boston (b) 3,600,000 3,600,000
(Longview Fiber Co.) Series 1987, 3.20%,
LOC Algemene Bank 2,070,000 2,070,000
(Nova Realty) Series 1994, 3.10%,
LOC First Nat'l. Bank of Boston 2,900,000 2,900,000
(United Medical Corp.) Series 1992, 3.20%,
LOC Chemical Bank (b) 1,500,000 1,500,000
Massachusetts Ind. Fin. Agcy. Multimodal Rev.
(Hampshire College Proj.) 3.05%,
LOC Nat'l. Westminster Bank, VRDN 970,000 970,000
Massachusetts Ind. Fin. Agcy. Poll. Cont. Rev.:
(Holyoke Wtr. Pwr. Co. Proj.) Series 1990, 3.30%,
LOC Swiss Bank, VRDN (b) 8,700,000 8,700,000
(New England Pwr. Proj.) Rfdg.:
Series 1992 B:
3.80%, tender 2/13/96 5,200,000 5,200,000
3.80%, tender 2/21/96 1,000,000 1,000,000
3.85%, tender 2/21/96 2,800,000 2,800,000
3.70%, tender 2/27/96 6,200,000 6,200,000
3.75%, tender 3/8/96 5,000,000 5,000,000
3.35%, tender 3/15/96 2,500,000 2,500,000
3.30%, tender 3/21/96 2,200,000 2,200,000
3.50%, tender 3/27/96 1,600,000 1,600,000
3.35%, tender 5/15/96 2,000,000 2,000,000
3.25%, tender 5/24/96 2,000,000 2,000,000
Series 1993 A:
3.35%, tender 2/29/96 4,000,000 4,000,000
3.55%, tender 3/11/96 3,600,000 3,600,000
Series 1993 B:
3.15%, tender 2/23/96 2,600,000 2,600,000
3.55%, tender 2/26/96 1,700,000 1,700,000
3.40%, tender 3/13/96 6,800,000 6,800,000
3.20%, tender 4/8/96 4,100,000 4,100,000
Massachusetts Ind. Fin. Agcy. Resource Recovery Rev., VRDN:
(Ogden-Haverhill Proj.):
Series 1986 B, 2.80%,
LOC Union Bank of Switzerland (b) 17,475,000 17,475,000
Series 1992 A, 2.90%,
LOC Union Bank of Switzerland 12,900,000 12,900,000
MUNICIPAL SECURITIES (A) - CONTINUED
PRINCIPAL VALUE
AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Ind. Fin. Agcy. Rev., VRDN:
Rfdg. (WGBH Ed. Foundation Proj.) Series 1992, 3.10%,
LOC Nat'l. Westminster Bank $ 4,495,000 $ 4,495,000
(Bradford College) Series 1995 A, 3.20%,
LOC First National Bank of Boston 1,000,000 1,000,000
(Edgewood Retirement Community) Series 1995 C, 3.20%,
LOC Dresdner Bank 4,500,000 4,500,000
(General Signal Proj.) 2.80%,
LOC Wachovia Bank of Georgia 7,500,000 7,500,000
(Riverdale Mills Corp.) Series 1995, 3.30%,
LOC Bank of Boston (b) 4,400,000 4,400,000
(Mary Ann Morse Nursing Home):
Series A, 3.80%, LOC Shawmut Bank 6,000,000 6,000,000
3% LOC Shawmut Bank 7,000,000 7,000,000
(New England Deaconess Assoc.) Series 1993 B, 2.90%,
LOC Banque Paribas 100,000 100,000
(Wheelock College Issue) Series A, 3.10%,
LOC Nat'l. Westminster Bank 4,600,000 4,600,000
Massachusetts Muni. Wholesale Elec. Co. Pwr. Supply
Sys. Rev. Series 1994 C, 2.85%,
LOC Canadian Imperial Bank, VRDN 31,200,000 31,200,000
Massachusetts Port Auth. Rev. Series 1995 B, 3.70%,
LOC Landesbanken Hessen-Thuringen, VRDN (b) 15,000,000 15,000,000
Massachusetts Tpk. Auth. Participating VRDN, Series PA-26,
3.30% (Liquidity Facility Merrill Lynch & Co.) (c) 4,020,000 4,020,000
Massachusetts Wtr. Resource Auth.:
Bonds Series 1995 B, 4% 12/1/96 4,000,000 4,019,375
CP:
3.70% 2/9/96, LOC Morgan Guaranty Trust Co. 5,000,000 5,000,000
3.35% 2/12/96, LOC Morgan Guaranty Trust Co. 5,000,000 5,000,000
3.80% 2/14/96, LOC Morgan Guaranty Trust Co. 3,000,000 3,000,000
3.70% 2/15/96, LOC Morgan Guaranty Trust Co. 6,000,000 6,000,000
3.75% 2/20/96, LOC Morgan Guaranty Trust Co. 6,800,000 6,800,000
3.75% 2/20/96, LOC Morgan Guaranty Trust Co. 5,200,000 5,200,000
3.50% 2/22/96, LOC Morgan Guaranty Trust Co. 1,100,000 1,100,000
3.65% 2/27/96, LOC Morgan Guaranty Trust Co. 4,600,000 4,600,000
3.75% 2/28/96, LOC Morgan Guaranty Trust Co. 4,600,000 4,600,000
3.55% 3/12/96, LOC Morgan Guaranty Trust Co. 5,000,000 5,000,000
3.25% 3/26/96, LOC Morgan Guaranty Trust Co. 6,000,000 6,000,000
3.30% 4/9/96, LOC Morgan Guaranty Trust Co. 2,500,000 2,500,000
3.35% 4/9/96, LOC Morgan Guaranty Trust Co. 500,000 500,000
3.30% 5/16/96, LOC Morgan Guaranty Trust Co. 6,600,000 6,600,000
3.20% 5/16/96, LOC Morgan Guaranty Trust Co. 1,000,000 1,000,000
3.30% 5/22/96, LOC Morgan Guaranty Trust Co. 7,000,000 7,000,000
3.35% 5/23/96, LOC Morgan Guaranty Trust Co. 5,000,000 5,000,000
Participating VRDN (c):
Series 1994 PW-11, 3.30%
(Liquidity Facility Bank of Nova Scotia) 11,565,000 11,565,000
Series PW-20, 3.30% (Liquidity Facility CIBC) 10,000,000 10,000,000
MUNICIPAL SECURITIES (A) - CONTINUED
PRINCIPAL VALUE
AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Methuen BAN 3.70% 12/6/96 $ 1,500,000 $ 1,501,222
Milford Gen. Oblig. Bonds 6.60% 12/15/96
(AMBAC Insured) 684,000 701,353
Natick BAN:
4.10% 5/22/96 4,700,000 4,701,372
4% 8/8/96 3,700,000 3,706,859
Northampton BAN:
3.80% 5/31/96 5,800,000 5,805,624
4% 5/31/96 2,000,000 2,000,947
4.20% 5/31/96 3,200,000 3,201,210
Northborough Ind. Rev. (Tru Realty Corp. Proj. Toys "R"
Us, Inc.) 3.225%, LOC Bankers Trust Co., VRDN 2,900,000 2,900,000
Peabody BAN 3.70% 12/12/96 1,000,000 1,000,813
Pioneer Valley RAN 4.25% 8/9/96,
LOC State Street Bank & Trust Co. 10,000,000 10,012,199
Quincy Hosp. Rev. Bonds (Quincy City Hosp.)
Series A, 7.875% 7/15/96 2,400,000 2,491,148
Reading BAN:
3.80% 7/12/96 5,818,000 5,819,217
4% 7/12/96 6,000,000 6,006,977
Springfield BAN 4.50% 2/9/96 (BPA Fleet Bank) 4,400,000 4,400,565
Town of Uxbridge BAN 3.73% 12/20/96 1,211,600 1,212,930
Westborough BAN 3.80% 7/18/96 2,500,000 2,500,552
Worcester BAN 4.25% 8/29/96,
LOC State Street Bank & Trust Co. 12,300,000 12,316,820
816,706,280
PUERTO RICO - 4.5%
Puerto Rico Commonwealth Participating VRDN, Series PT-63,
3%, (Liquidity Facility Bayerische Hypotheken) (c) 5,200,000 5,200,000
Puerto Rico Elec. Pwr. Auth. Participating VRDN,
Series BT-105, 2.975%
(Liquidity Facility Bankers Trust Co.) (c) 3,060,000 3,060,000
Puerto Rico Elec. Pwr. Auth. Rev. Rfdg. Bonds
Series W, 4.25% 7/1/96 11,800,000 11,816,299
Puerto Rico Govt. Dev. Bank CP:
3.15% 2/6/96 5,000,000 5,000,000
3% 3/6/96 7,900,000 7,900,000
3.35% 4/23/96 3,500,000 3,500,000
Puerto Rico Pub. Bldg. Auth.
Participating VRDN, Series PA-110, 3%
(AMBAC Insured) (Liquidity Facility Merrill Lynch) (c) 2,115,000
2,115,000
38,591,299
TOTAL INVESTMENTS - 100% $ 855,297,579
Total Cost for Income Tax Purposes $ 855,298,240
SECURITY TYPE ABBREVIATIONS
BAN - Bond Anticipation Notes
CP - Commercial Paper
RAN - Revenue Anticipation Notes
VRDN - Variable Rate Demand Notes
LEGEND
(a) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
(b) Private activity obligations whose interest is subject to the federal
alternative minimum tax for individuals.
(c) Provides evidence of ownership in one or more underlying municipal
bonds.
INCOME TAX INFORMATION
At January 31, 1996, the fund had a capital loss carryforward of
approximately $30,000 of which $17,000 and $13,000 will expire on January
31, 1998 and 2003, respectively.
FIDELITY MASSACHUSETTS MUNICIPAL MONEY MARKET FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE MONEY MARKET PORTFOLIO)
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JANUARY 31, 1996
140.ASSETS 141. 142.
143.Investment in securities, at value - See 144. $ 855,297,579
accompanying schedule
145.Cash 146. 35,015
147.Interest receivable 148. 6,935,406
149. 150.TOTAL ASSETS 151. 862,268,000
152.LIABILITIES 153. 154.
155.Payable for investments purchased $ 1,203,144 156.
157.Share transactions in process 12,996,678 158.
159.Distributions payable 68,509 160.
161.Accrued management fee 286,219 162.
163.Other payables and accrued expenses 223,298 164.
165. 166.TOTAL LIABILITIES 167. 14,777,848
168.169.NET ASSETS 170. $ 847,490,152
171.Net Assets consist of: 172. 173.
174.Paid in capital 175. $ 847,517,281
176.Accumulated net realized gain (loss) on 177. (27,129)
investments
178.179.NET ASSETS, for 847,419,370 shares 180. $ 847,490,152
outstanding
181.182.NET ASSET VALUE, offering price and 183. $1.00
redemption price per share ($847,490,152 (divided by)
847,419,370 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JANUARY 31, 1996
184.185.INTEREST INCOME 186. $ 29,253,498
187.EXPENSES 188. 189.
190.Management fee $ 3,124,244 191.
192.Transfer agent, accounting and custodian fees 1,486,741 193.
and expenses
194.Non-interested trustees' compensation 4,347 195.
196.Registration fees 52,322 197.
198.Audit 25,114 199.
200.Legal 6,135 201.
202.Miscellaneous 4,131 203.
Total expenses before reductions 4,703,034
Expense reductions (5,115 4,697,919
)
204.205.NET INTEREST INCOME 206. 24,555,579
207.REALIZED AND UNREALIZED GAIN (LOSS) 209. 105,241
208.Net realized gain (loss) on investment securities
210.Increase (decrease) in net unrealized gain from 211. (3,861)
accretion
of market discount
212.213.NET GAIN (LOSS) 214. 101,380
215.216.NET INCREASE IN NET ASSETS RESULTING FROM 217. $ 24,656,959
OPERATIONS
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR YEAR
ENDED ENDED
JANUARY 31, JANUARY 31,
1996 1995
218.INCREASE (DECREASE) IN NET ASSETS
219.Operations $ 24,555,579 $ 15,446,888
Net interest income
220. Net realized gain (loss) 105,241 (13,283)
221. Increase (decrease) in net unrealized gain from (3,861) 3,861
accretion of market discount
222. 24,656,959 15,437,466
223.NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS
224.Distributions to shareholders from net interest (24,555,579) (15,446,888)
income
225.Share transactions at net asset value of $1.00 per 2,141,149,830 1,739,919,170
share
Proceeds from sales of shares
226. Reinvestment of distributions from net interest 23,734,269 14,845,806
income
227. Cost of shares redeemed (2,074,423,938) (1,607,981,120)
228.229. 90,460,161 146,783,856
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES
RESULTING FROM SHARE TRANSACTIONS
230. 90,561,541 146,774,434
231.TOTAL INCREASE (DECREASE) IN NET ASSETS
232.NET ASSETS 233. 234.
235. Beginning of period 756,928,611 610,154,177
236. End of period $ 847,490,152 $ 756,928,611
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
YEARS ENDED JANUARY 31, SIX MONTHS YEARS ENDED JULY 31,
ENDED
JANUARY 31,
1996 1995 1994 1993 1992 1991
237.SELECTED PER-SHARE DATA
238.Net asset value, beginning
of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
239.Income from Investment
Operations .032 .023 .017 .010 .029 .046
Net interest income
240.Less Distributions (.032) (.023) (.017) (.010) (.029) (.046)
From net interest income
241.Net asset value, end of
period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
242.TOTAL RETURN B 3.20% 2.29% 1.71% .99% 2.94% 4.70%
243.RATIOS AND SUPPLEMENTAL DATA
244.Net assets, end of period
(000 omitted) $ 847,490 $ 756,929 $ 610,154 $ 584,939 $ 600,945 $ 714,567
245.Ratio of expenses to
average net assets .60% .63% .66% .64% .65% .60%
A
246.Ratio of net interest
income to average 3.15% 2.28% 1.69% 1.96% 2.93% 4.60%
net assets A
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
FINANCIAL HIGHLIGHTS
NOTES TO FINANCIAL STATEMENTS
For the period ended January 31, 1996
1. SIGNIFICANT ACCOUNTING POLICIES.
On December 14, 1995, the Board of Trustees approved a change in the funds'
names from Fidelity Massachusetts Tax-Free High Yield Portfolio and
Fidelity Massachusetts Tax-Free Money Market Portfolio to Fidelity
Massachusetts Municipal Income Fund and Fidelity Massachusetts Municipal
Money Market Fund, respectively. The funds' name changes will be effective
in 1996 with the next prospectus revision. Fidelity Massachusetts Municipal
Income Fund(the income fund) and Fidelity Massachusetts Municipal Money
Market Fund(the money market fund) are funds of Fidelity Massachusetts
Municipal Trust (the trust). The trust is registered under the Investment
Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust. Each fund
is authorized to issue an unlimited number of shares. The financial
statements have been prepared in conformity with generally accepted
accounting principles which permit management to make certain estimates and
assumptions at the date of the financial statements. The following
summarizes the significant accounting policies of the funds:
SECURITY VALUATION.
INCOME FUND. Securities are valued based upon a computerized matrix system
and/or appraisals by a pricing service, both of which consider market
transactions and dealer-supplied valuations. Short-term securities maturing
within sixty days of their purchase date are valued either at amortized
cost or original cost plus accrued interest, both of which approximate
current value. Securities for which quotations are not readily available
through the pricing service are valued at their fair value as determined in
good faith under consistently applied procedures under the general
supervision of the Board of Trustees.
MONEY MARKET FUND. As permitted under Rule 2a-7 of the 1940 Act, and
certain conditions therein, securities are valued initially at cost and
thereafter assume a constant amortization to maturity of any discount or
premium.
INCOME TAXES. As a qualified regulated investment company under Subchapter
M of the Internal Revenue Code, each fund is not subject to income taxes to
the extent that it distributes substantially all of its taxable income for
the fiscal year. The schedules of investments include information regarding
income taxes under the caption "Income Tax Information."
INTEREST INCOME. Interest income, which includes amortization of premium
and accretion of discount, is accrued as earned. For the money market fund,
accretion of market discount represents unrealized gain until realized at
the time of a security disposition or maturity.
EXPENSES. Most expenses of the trust can be directly attributed to a fund.
Expenses which cannot be directly attributed are apportioned between the
funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS.
Dividends are declared daily and paid monthly from net interest income.
Distributions from realized gains, if any, are recorded on the ex-dividend
date. Income and capital gain distributions are determined in accordance
with income tax regulations which may differ from
1. SIGNIFICANT ACCOUNTING
POLICIES - CONTINUED
DISTRIBUTIONS TO SHAREHOLDERS -
CONTINUED
generally accepted accounting principles. These differences, which may
result in distribution reclassifications, are primarily due to differing
treatments for futures and options transactions, losses deferred due to
wash sales, market discount and excise tax regulations.
SECURITY TRANSACTIONS. Security transactions are accounted for as of trade
date. Gains and losses on securities sold are determined on the basis of
identified cost.
2. OPERATING POLICIES.
FUTURES CONTRACTS AND OPTIONS. The income fund may invest in futures and
options contracts, and may also write options. These investments involve,
to varying degrees, elements of market risk and risks in excess of the
amount recognized in the Statement of Assets and Liabilities. The face or
contract amounts, as reflected in the schedule of investments under the
caption "Futures Contracts," reflect the extent of the involvement the
income fund has in the particular classes of instruments. Risks may be
caused by an imperfect correlation between movements in the price of the
instruments and the price of the underlying securities and interest rates.
Risks also may arise if there is an illiquid secondary market for the
instruments, or due to the inability of counterparties to perform.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. Options traded
on an exchange are valued using the last sale price or, in the absence of a
sale, the last offering price. Options traded over-the-counter are valued
using dealer-supplied valuations.
3. PURCHASES AND SALES OF INVESTMENTS.
INCOME FUND. Purchases and sales of securities, other than short-term
securities, aggregated $361,396,971 and $352,853,251, respectively.
The market value of futures contracts opened and closed during the period
amounted to $416,263,890 and $458,490,467, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As each fund's investment adviser, Fidelity Management &
Research Company (FMR) receives a monthly fee that is calculated on the
basis of a group fee rate plus a fixed individual fund fee rate applied to
the average net assets of each fund. The group fee rate is the weighted
average of a series of rates and is based on the monthly average net assets
of all the mutual funds advised by FMR. The rates ranged from .1100% to
.3700% for the period. In the event that these rates were lower than the
contractual rates in effect during the period, FMR voluntarily implemented
the above rates, as they resulted in the same or a lower management fee.
The annual individual fund fee rate is .25%. For the period, the management
fee was equivalent to an annual rate of .40% of average net assets for the
income and money market funds, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED
SUB-ADVISER FEE. As the money market fund's investment sub-adviser, FMR
Texas Inc., a wholly owned subsidiary of FMR, receives a fee from FMR of
50% of the management fee payable to FMR. The fee is paid prior to any
voluntary expense reimbursements which may be in effect.
DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service
Plans (the Plans), and in accordance with Rule 12b-1 of the 1940 Act, FMR
or the funds' distributor, Fidelity Distributors Corporation (FDC), an
affiliate of FMR, may use their resources to pay administrative and
promotional expenses related to the sale of each fund's shares. Subject to
the approval of each Board of Trustees, the Plans also authorize payments
to third parties that assist in the sale of each fund's shares or render
shareholder support services. FMR or FDC has informed the funds that
payments made to third parties under the Plans amounted to $21,241 and
$47,440 for the income and money market funds, respectively, for the
period.
TRANSFER AGENT AND ACCOUNTING FEES. UMB Bank, n.a. (UMB) is the custodian
and transfer and shareholder servicing agent for the funds. UMB has entered
into a sub-contract with Fidelity Service Co. (FSC), an affiliate of FMR,
under which FSC performs the activities associated with the funds' transfer
and shareholder servicing agent and accounting functions. The funds pay
account fees and asset-based fees that vary according to account size and
type of account. FSC pays for typesetting, printing and mailing of all
shareholder reports, except proxy statements. The accounting fee is based
on the level of average net assets for the month plus out-of-pocket
expenses. For the period, FSC received transfer agent and accounting fees
amounting to $1,103,190 and $346,623 for the income fund and $1,303,362 and
$131,857 for the money market fund, respectively.
For the period, the transfer agent fees were equivalent to an annual rate
of .10% and .17% of average net assets for the income fund and the money
market fund, respectively.
MONEY MARKET FUND. Shareholders participating in the Fidelity Ultra Service
Account(registered trademark) Program (the Program) pay a $5.00 monthly fee
to Fidelity Brokerage Services, Inc. (FBSI), an affiliate of FMR, for
performing services associated with the Program. For the period, fees paid
to FBSI by shareholders participating in the Program amounted to $117,970.
5. EXPENSE REDUCTIONS.
Each fund has entered into certain arrangements with its custodian and
transfer agent whereby interest earned on uninvested cash balances was used
to offset a portion of each fund's expenses. During the period, the custody
and transfer agent fees were reduced by $103,582 and $68,894 for the income
fund and $5,115 and $0 for the money market fund, respectively, under these
arrangements.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Massachusetts
Municipal Trust and the Shareholders of: Fidelity Massachusetts Tax-Free
High Yield Portfolio and Fidelity Massachusetts Tax-Free Money Market
Portfolio:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments (except for Moody's and Standard &
Poor's ratings) and the related statements of operations and of changes in
net assets and the financial highlights present fairly, in all material
respects, the financial position of Fidelity Massachusetts Tax-Free High
Yield Portfolio and Fidelity Massachusetts Tax-Free Money Market Portfolio
(each a fund of Fidelity Massachusetts Municipal Trust ) at January 31,
1996, the results of their operations for the year then ended, and the
changes in their net assets and the financial highlights for the periods
indicated, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to
as "financial statements") are the responsibility of the trust's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the
amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe
that our audits, which included confirmation of securities at January 31,
1996 by correspondence with the custodian and brokers and the application
of alternative auditing procedures where confirmations from brokers were
not received, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
February 28, 1996
CONTENTS
<TABLE>
<CAPTION>
<S> <C> <C>
PRESIDENT'S MESSAGE 3 Ned Johnson on investing
strategies.
FIDELITY MASSACHUSETTS MUNICIPAL INCOME FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE HIGH YIELD PORTFOLIO)
PERFORMANCE 4 How the fund has done over time.
FUND TALK 7 The manager's review of fund
performance, strategy and outlook.
INVESTMENT CHANGES 10 A summary of major shifts in the
fund's investments over the past six
months
and one year.
INVESTMENTS 11 A complete list of the fund's
investments with their market value.
FINANCIAL STATEMENTS 23 Statements of assets and liabilities,
operations, and changes in net
assets,
as well as financial highlights.
FIDELITY MASSACHUSETTS MUNICIPAL MONEY MARKET FUND
(FORMERLY FIDELITY MASSACHUSETTS TAX-FREE MONEY MARKET PORTFOLIO)
PERFORMANCE 27 How the fund has done over time.
FUND TALK 29 The manager's review of fund
performance, strategy and outlook.
INVESTMENT CHANGES 31 A summary of major shifts in the
fund's investments over the past six
months
and one year.
INVESTMENTS 32 A complete list of the fund's
investments with their market value.
FINANCIAL STATEMENTS 38 Statements of assets and liabilities,
operations, and changes in net
assets,
as well as financial highlights.
NOTES 42 Notes to the financial statements.
REPORT OF INDEPENDENT
ACCOUNTANTS 45 The auditors' opinion.
DISTRIBUTIONS 46
</TABLE>
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL
INFORMATION OF THE SHAREHOLDERS OF THE FUNDS. THIS REPORT IS NOT AUTHORIZED
FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUNDS UNLESS PRECEDED OR
ACCOMPANIED BY
AN EFFECTIVE PROSPECTUS.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED
BY, ANY DEPOSITORY INSTITUTION. SHARES ARE NOT INSURED BY THE FDIC,
FEDERAL RESERVE BOARD OR ANY OTHER AGENCY, AND ARE SUBJECT TO
INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
NEITHER THE FUNDS NOR FIDELITY DISTRIBUTORS CORPORATION IS A BANK.
FOR MORE INFORMATION ON ANY FIDELITY FUND, INCLUDING CHARGES AND EXPENSES,
CALL
1-800-544-8888 FOR A FREE PROSPECTUS. READ IT CAREFULLY BEFORE YOU INVEST
OR SEND
MONEY.
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
Although the markets were fairly positive in 1995, no one can predict what
lies ahead for investors. The previous year, stocks posted below-average
returns and bonds had one of the worst years in history. This downturn
followed a period in which the investing environment was generally very
positive.
These market ups and downs are a normal part of investing, and there are
some basic principles that are helpful for investors to remember in
different types of markets.
Keeping in mind that the effects of interest rate changes on your bond
investments will only be "paper" gains or losses unless you sell your
shares, staying in your bond fund may be appropriate if your investment
horizon is at least a year or more. The longer your investing time frame,
the more likely it is that you will retain your principal investment
through both up and down markets. For example, a 10-year time frame, such
as saving
for a college education, enables you to weather these ups and downs in a
long-term fund, which has higher potential returns. An intermediate-length
fund could be appropriate if your investment horizon is two to four years,
and a short-term bond fund could be the right choice if you need your money
in one or two years.
If your time horizon is less than a year, you might want to consider moving
some of your bond investment into a money market fund, which seeks income
and a stable share price by investing in high-quality, short-term
investments. Of course, there is no assurance that a money market fund will
achieve its goal, and it is important to remember that money market funds
are not insured or guaranteed by any agency of the U.S. government.
No matter what your investment horizon or portfolio diversity, it makes
good sense to follow a regular investment plan - investing a certain amount
of money at the same time each month or quarter - and to review your
portfolio periodically. A periodic investment plan will not, of course,
assure a profit or protect against a loss.
If you have any questions, please call us at 1-800-544-8888. We stand ready
to provide the information you need to make the investments that are right
for you.
Best regards,
Edward C. Johnson 3d
SPARTAN(registered trademark)
(registered trademark)
MASSACHUSETTS
MUNICIPAL
MONEY MARKET
FUND
(FORMERLY SPARTAN MASSACHUSETTS
MUNICIPAL MONEY MARKET PORTFOLIO)
ANNUAL REPORT
JANUARY 31, 1996
CONTENTS
PRESIDENT'S MESSAGE 3 Ned Johnson on investing
strategies.
PERFORMANCE 4 How the fund has done over time.
FUND TALK 6 The manager's review of fund
performance, strategy and outlook.
INVESTMENT CHANGES 8 A summary of major shifts in the
fund's investments over the past six
months
and one year.
INVESTMENTS 9 A complete list of the fund's
investments with their market value.
FINANCIAL STATEMENTS 15 Statements of assets and liabilities,
operations, and changes in net
assets,
as well as financial highlights.
NOTES 19 Notes to the financial statements.
REPORT OF INDEPENDENT
ACCOUNTANTS 21 The auditors' opinion.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL
INFORMATION OF THE SHAREHOLDERS OF THE FUND. THIS REPORT IS NOT AUTHORIZED
FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUND UNLESS PRECEDED OR
ACCOMPANIED BY
AN EFFECTIVE PROSPECTUS.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED
BY, ANY DEPOSITORY INSTITUTION. SHARES ARE NOT INSURED BY THE FDIC,
FEDERAL RESERVE BOARD OR ANY OTHER AGENCY, AND ARE SUBJECT TO
INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
NEITHER THE FUND NOR FIDELITY DISTRIBUTORS CORPORATION IS A BANK.
FOR MORE INFORMATION ON ANY FIDELITY FUND, INCLUDING CHARGES AND EXPENSES,
CALL
1-800-544-8888 FOR A FREE PROSPECTUS. READ IT CAREFULLY BEFORE YOU INVEST
OR SEND
MONEY.
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
Although the markets were fairly positive in 1995, no one can predict what
lies ahead for investors. The previous year, stocks posted below-average
returns and bonds had one of the worst years in history. This downturn
followed a period in which the investing environment was almost ideal.
These market ups and downs are a normal part of investing, and there are
some basic principles that can help investors in every type of market.
First, take a long-term approach when investing. If you can afford to leave
your money invested through the inevitable ups and downs of financial
markets, you will greatly reduce your vulnerability to any single decline.
Over time, for example, stock prices have gone up - and have significantly
outperformed other types of investments and stayed ahead of inflation.
Second, you can further manage risk by diversifying your investments. A
stock mutual fund is already diversified, because it invests in many
different companies. You can increase your diversification by investing in
a number of different stock funds, or in different investment categories,
such as bonds. You should also keep money you'll need in the near future in
a more stable investment.
Finally, it makes good sense to follow a regular investment plan, investing
a set amount of money at the same time each month or quarter. That way, you
can avoid getting caught up in the excitement of a rapidly-rising market -
and won't end up buying all your shares at market highs. This strategy
won't assure a profit or protect you from a loss in a declining market, but
it should help you lower the average cost of your purchases. For this to be
effective, you must continue to buy shares in both up and down markets.
If you have questions, please call us at 1-800-544-8888. We would be happy
to send you a Fidelity FundMatch kit, which can help you determine the mix
of investments that is right for you. You might also find it convenient to
set up a regular investment plan using the Fidelity Automatic Account
Builder.SM
We look forward to hearing from you.
Best regards,
Edward C. Johnson 3d
PERFORMANCE: THE BOTTOM LINE
To measure a money market fund's performance, you can look at either total
return or yield. Total return reflects the change in a fund's share price
over a given period, reinvestment of its dividends (or income), and the
effect of the fund's $5 account closeout fee. Yield measures the income
paid by a fund. Since a money market fund tries to maintain a $1 share
price, yield is an important measure of performance.
If Fidelity had not reimbursed certain fund expenses, the life of fund
total returns would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED JANUARY 31, 1996 PAST 1 LIFE OF
YEAR FUND
Spartan Massachusetts Municipal
Money Market Fund 3.32% 14.92%
Massachusetts Tax-Free Money Market
Fund Average 3.26% 13.51%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, one year, or since the fund started on
March 4, 1991. For example, if you invested $1,000 in a fund that had a 5%
return over the past year, the value of your investment would be $1,050. To
measure how the fund's performance stacked up against its peers, you can
compare it to the Massachusetts tax-free money market fund average, which
reflects the performance of 11 Massachusetts tax-free money market funds
with similar objectives tracked by IBC/Donoghue over the past year. (The
periods covered by the IBC/Donoghue numbers are the closest available match
to those covered by the fund.) Recent U.S. Consumer Price Index information
was not available from the U.S. Department of Labor at the time this report
was printed.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED JANUARY 31, 1996 PAST 1 LIFE OF
YEAR FUND
Spartan Massachusetts Municipal
Money Market Fund 3.32% 2.87%
Massachusetts Tax-Free Money Market
Fund Average 3.26% 2.65%
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened if the fund had performed at a
constant rate each year.
YIELDS
1/30/95 4/24/95 7/31/95 10/30/95 1/29/96
Spartan Massachusetts 2.94% 3.63% 3.22% 3.28% 2.82%
Municipal Money Market
Fund
Massachusetts 2.95% 3.57% 3.15% 3.22% 2.77%
Tax-Free Money Market
Fund Average
Spartan Massachusetts 5.22% 6.45% 5.72% 5.82% 5.01%
Municipal Money Market
Fund - Tax-equivalent
YIELD refers to the income paid by the fund over a given period. Yields for
money market funds are usually for seven-day periods, expressed as annual
percentage rates. A yield that assumes income earned is reinvested or
compounded is called an effective yield. The chart above shows the fund's
current seven-day yield at quarterly intervals over the past year. You can
compare these yields to the Massachusetts tax-free money market fund
average. Or you can look at the fund's tax-equivalent yield, which is based
on a combined effective 1996 federal and state income tax rate of 43.68%.
Figures for the Massachusetts tax-free money market fund average are from
IBC/Donoghue. A portion of the fund's income may be subject to the
alternative minimum tax.
A MONEY MARKET FUND'S TOTAL RETURNS AND YIELDS WILL VARY, AND REFLECT PAST
RESULTS RATHER THAN PREDICT FUTURE PERFORMANCE.
COMPARING
PERFORMANCE
Yields on tax-free
investments are usually lower
than yields on taxable
investments. However, a
straight comparison between
the two may be misleading
because it ignores the way
taxes reduce taxable returns.
Tax-equivalent yield - the
yield you'd have to earn on a
similar taxable investment to
match the tax-free yield -
makes the comparison more
meaningful. Keep in mind that
the U.S. government neither
insures nor guarantees a
money market fund. In fact,
there is no assurance that a
money market fund will
maintain a $1 share price.
(checkmark)
FUND TALK: THE MANAGER'S OVERVIEW
An interview with Jan Bradburn,
Portfolio Manager of Spartan
Massachusetts Municipal
Money Market Fund
Q. JAN, HOW HAS THE INVESTMENT CLIMATE CHANGED DURING THE PAST YEAR?
A. Overall, conditions have been favorable, characterized by moderate
growth, low inflation and declining interest rates. Twelve months ago, the
Federal Reserve was still in a tightening mode, periodically raising
interest rates in hopes of slowing down the pace of economic growth and
preventing an outbreak of inflation. In February 1995, days after the
period began, the Fed raised the interest rate banks charge each other for
overnight loans - known as the federal funds rate - one-quarter percentage
point. It was the seventh rate increase in a year, doubling the federal
funds rate during that span to 6.00%. Not long after that, we began to see
evidence that Fed policy was working. The economy expanded at an annual
rate of only 2.7% during the first quarter of 1995, down from more than 5%
during the previous quarter. When growth slowed still further to 1.3%
during the second quarter of 1995, some economists warned of a recession.
That's when the Fed shifted to an easing mode. Since then there have been
three rate cuts of one-quarter percentage point each - in July 1995,
December 1995 and January 1996. The federal funds rate ended the period at
5.25%.
Q. WHAT WAS YOUR STRATEGY IN THE FACE OF DECLINING RATES?
A. When the period began, the fund's average maturity was relatively short
at 30 days, with a fairly high level of VRDNs (Variable Rate Demand Notes).
That made sense since it was expected that the Fed would raise interest
rates in February. That spring, as supply entered the market and rates
declined, I moved the fund's average maturity farther out, reaching 61 days
by the end of August. Since then, tighter supply and my desire to have the
flexibility to respond to changing conditions have resulted in a slightly
less aggressive average maturity for the fund - 52 days at the end of
January 1996.
Q. HOW DID THE FUND PERFORM?
A. Spartan Massachusetts Municipal Money Market Fund's seven-day yield on
January 31, 1996, was 2.83%, compared to 3.01% a year ago. For
Massachusetts investors in the 43.68% combined state and federal income-tax
bracket, the latest yield was the equivalent of a 5.02% yield on a taxable
investment. Through January 31, 1996, the fund's one-year total return was
3.32%, compared to 3.26% for the Massachusetts tax-free money market fund
average, according to IBC/Donoghue.
Q. WHAT'S THE OUTLOOK?
A. Given the likely prospects for continued slow economic growth and benign
inflation, I think it's unlikely that we've seen the last of the Fed rate
cuts in the current cycle. However, there's enough uncertainty in the
market right now that it would be imprudent to extend the fund
aggressively. So, in the months ahead, I'll look for opportunities to lock
in longer-term securities at attractive rates but I probably won't move the
fund's average maturity much beyond 60 days. My goal is to capture a
portion of the higher yields available from longer-term securities without
giving up the flexibility to respond to changing conditions.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED ON MARKET AND
OTHER CONDITIONS.
FUND FACTS
GOAL: high current tax-free
income for Massachusetts
residents while maintaining a
$1.00 share price
START DATE: March 4, 1991
SIZE: as of January 31, 1996
more than $514 million
MANAGER: Janice Bradburn,
since 1992; manager, Fidelity
Ohio Municipal Money
Market, since 1993; Fidelity
Massachusetts Municipal
Money Market, since 1992;
Fidelity New York Municipal
Money Market, since 1989;
Spartan New York Municipal
Money Market, since 1990;
joined Fidelity in 1989
(checkmark)
WORDS TO KNOW
COMMERCIAL PAPER: A security
issued by a municipality to
finance capital or operating
needs.
FEDERAL FUNDS RATE: The interest
rate banks charge each other
for overnight loans.
MATURITY: The time remaining
before an issuer is scheduled
to repay the principal amount
on a debt security. When the
fund's average maturity -
weighted by dollar amount -
is short, the fund manager is
anticipating a rise in interest
rates. When the average
maturity is long, the manager
is expecting rates to fall.
When the average maturity is
neutral, the manager wants
the flexibility to respond to
rising rates, while still
capturing a portion of the
higher yields available from
issues with longer maturities.
MUNICIPAL NOTE: A security
issued in advance of future
tax or other revenues and
payable from those specific
sources.
TENDER BOND: A variable-rate,
long-term security that gives
the bond holder the option to
redeem the bond at face
value before maturity.
VARIABLE RATE DEMAND NOTE
(VRDN): A tender bond that
can be redeemed on short
notice, typically one or seven
days. VRDNs are useful in
managing the fund's average
maturity and liquidity.
INVESTMENT CHANGES
MATURITY DIVERSIFICATION
DAYS % OF FUND ASSETS % OF FUND ASSETS % OF FUND ASSETS
1/31/96 7/31/95 1/31/95
0 - 30 67 76 82
31 - 90 9 10 5
91 - 180 17 2 11
181 - 397 7 12 2
WEIGHTED AVERAGE MATURITY
1/31/96 7/31/95 1/31/95
Spartan Massachusetts
Municipal Money Market Fun 52 days 49 days 30 days
d
Massachusetts Tax-Free
Money Market Fund
Average * 52 days 48 days 34 days
ASSET ALLOCATION
AS OF JANUARY 31, 1996 AS OF JULY 31, 1995
Row: 1, Col: 1, Value: 54.0
Row: 1, Col: 2, Value: 19.0
Row: 1, Col: 3, Value: 3.0
Row: 1, Col: 4, Value: 19.0
Row: 1, Col: 5, Value: 5.0
Row: 1, Col: 1, Value: 66.0
Row: 1, Col: 2, Value: 16.0
Row: 1, Col: 3, Value: 4.0
Row: 1, Col: 4, Value: 13.0
Row: 1, Col: 5, Value: 2.0
Variable rate
demand notes
(VRDNs) 54%
Commercial
paper 19%
Tender bonds 3%
Municipal
notes 19%
Other 5%
Variable rate
demand notes
(VRDNs) 66%
Commercial
paper 16%
Tender bonds 4%
Municipal
notes 13%
Other 1%
* SOURCE: IBC/DONOGHUE'S MONEY FUND REPORT(registered trademark)
INVESTMENTS JANUARY 31, 1996
Showing Percentage of Total Value of Investments
MUNICIPAL SECURITIES (A) - 100%
PRINCIPAL VALUE
AMOUNT (NOTE 1)
MASSACHUSETTS - 95.8%
Andover Gen. Oblig. Bonds 7.25% 11/15/96 $ 1,200,000 $ 1,232,581
Arlington Gen. Oblig. Bonds 4.75% 12/1/96 800,000 807,435
Attleboro Gen. Oblig. Bonds 6.80% 12/1/96
(AMBAC Insured) 775,000 794,404
Boston City Hosp. Participating VRDN, Series PT-2, 3.30%
(Liquidity Facility Banque National de Paris) (c) 1,700,000 1,700,000
Boston Gen. Oblig. Bonds Series 1995 A, 5% 10/1/96
(MBIA insured) 4,000,000 4,029,882
Boston Wtr. & Swr. Commission Gen. Rev., VRDN:
Series 1985 A, 3.10%, LOC Canadian Imperial
Bank of Commerce 14,805,000 14,805,000
Series 1994 A, 3%, LOC State Street Bank & Trust Co. 5,000,000
5,000,000
Boxborough BAN 3.80% 7/12/96 1,000,000 1,000,209
Chelmsford BAN 3.75% 6/28/96 1,900,000 1,900,740
Clipper Tax-Exempt Trust Participating VRDN, Series 93-2,
3.29% (Liquidity Facility State Street Bank & Trust Co.) (c) 15,630,200
15,630,200
Danvers BAN 4.10% 7/19/96 2,000,000 2,002,707
Edgartown BAN 3.80% 4/18/96 1,000,000 1,000,203
Fall River RAN 4.25% 6/28/96 (BPA Fleet National Bank) 850,000 852,407
Framingham BAN 4.10% 3/29/96 2,200,000 2,200,769
Georgetown BAN 4% 6/14/96,
LOC State Street Bank & Trust Co. 7,500,000 7,505,862
Holyoke Poll. Cont. Rev. (Holyoke Pwr. & Light Proj.)
Series 1988, 2.90%,
LOC Union Bank of Switzerland, VRDN 3,400,000 3,400,000
Lincoln BAN 4% 7/5/96 2,300,000 2,302,210
Marlborough BAN 4% 2/29/96 1,000,000 1,000,110
Mashpee BAN 3.70% 7/5/96 2,100,000 2,100,604
Massachusetts Bay Transit Auth. RAN:
Series 1995 A, 5.50% 3/1/96 13,050,000 13,058,813
Series 1995 B, 4.75% 9/6/96 9,200,000 9,239,616
Massachusetts Bay Transit Auth. Series C, 3.60% 2/15/96,
LOC Westdeutsche Landesbank, CP 3,000,000 3,000,000
Massachusetts Ed. Fin. Auth. Ed. Loan Rev., 2.90%,
VRDN (b) 16,500,000 16,500,000
Massachusetts Gen Oblig.:
BAN Series 1995 A, 4.25% 6/12/96 20,000,000 20,042,677
Bonds:
Series A:
7.25% 6/1/96 2,700,000 2,731,249
7.25% 6/1/96 (FGIC Insured) 1,500,000 1,518,101
Series 1996 A, 5% 1/1/97 2,740,000 2,774,138
Participating VRDN (c):
Series CR-159, 3.35% (Liquidity Facility Citibank) 3,200,000
3,200,000
Series PW-21, 3.30%
(Liquidity Facility Canadian Imperial Bank) 6,750,000 6,750,000
Series 1993 A, 3.36% (AMBAC Insured)
(Liquidity Facility Citibank) 4,000,000 4,000,000
Series 1993 I, 3.35% (AMBAC Insured)
(Liquidity Facility Citibank) 7,800,000 7,800,000
Tender Option Ctfs. Series CR-147, 3.35%
(Liquidity Facility Citibank) (c) 3,000,000 3,000,000
MUNICIPAL SECURITIES (A) - CONTINUED
PRINCIPAL VALUE
AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Health & Ed. Fac. Auth. Bonds
(Harvard Univ.):
3.80%, tender 2/8/96 $ 1,500,000 $ 1,500,000
3.80%, tender 2/14/96 1,000,000 1,000,000
3.70%, tender 2/22/96 1,500,000 1,500,000
3.40%, tender 5/15/96 4,000,000 4,000,000
Massachusetts Health & Ed. Facs. Auth. Rev., VRDN:
(Capital Asset Prog.):
Series A, 2.95%, LOC First Nat'l. Bank of Chicago 13,300,000
13,300,000
Series G1, 2.75% (MBIA Insured) (BPA Credit Suisse) 4,700,000
4,700,000
(Harvard Univ.) Series I, 2.75% 56,106,000 56,106,000
(Massachusetts Institute of Technology) Series G, 2.80% 5,400,000
5,400,000
(Newton Wellesley Hosp.) 2.90% (MBIA Insured)
(Liquidity Facility Credit Suisse Bank) 5,900,000 5,900,000
(Williams College) Series E, 3% 2,000,000 2,000,000
Massachusetts Hsg. Fin. Agcy. Multi-Family Hsg. Rev. Rfdg.
Series 1995 A, VRDN:
3% (FNMA Guaranteed) 1,000,000 1,000,000
3.05%, LOC Republic Bank of New York 8,300,000 8,300,000
Massachusetts Hsg. Fin. Agcy. Participating VRDN (c):
Series PT-33, 3.40% (AMBAC Insured)
(Liquidity Facility Banque Nationale de Paris) (b) 1,500,000 1,500,000
Series PT-42, 3.30%
(Liquidity Facility Commerzbank) 2,960,000 2,960,000
Series 13-C, 3.15% (AMBAC Insured)
(Liquidity Facility Morgan Guaranty Trust Co.) 3,600,000 3,600,000
Massachusetts Hsg. Fin. Agcy. Single Family Hsg. Rev.
Bonds:
Series 34, 4.15%, tender 6/1/96 (FGIC & Capital Market
Services, Inc. Insured) (b) 3,500,000 3,500,000
Series 35, 4.10%, tender 6/1/96 (FGIC & Capital Market
Services, Inc. Insured) 4,100,000 4,100,000
Massachusetts Ind. Fin. Agcy., VRDN:
Rfdg. (WGBH Ed. Foundation Proj.) Series 1992, 3.10%,
LOC Nat'l. Westminster Bank 2,305,000 2,305,000
(Bradford College) Series 1995 A, 3.20%,
LOC Bank of Boston 1,000,000 1,000,000
(Edgewood Retirement Community) Series 1995 C,
3.20%, LOC Dresdner Bank 3,000,000 3,000,000
(General Signal Proj.) 2.80%,
LOC Wachovia Bank of Georgia 3,000,000 3,000,000
(Mary Ann Morse Nursing Home):
Series A, 3.80%, LOC AMRO Bank 3,300,000 3,300,000
Series B, 3%, LOC AMRO Bank 4,600,000 4,600,000
(New England Deaconess Assoc.) Series 1993 B, 2.90%,
LOC Banque Paribas 400,000 400,000
(Riverdale Mills Corp.) Series 1995, 3.30%,
LOC Bank of Boston (b) 2,200,000 2,200,000
MUNICIPAL SECURITIES (A) - CONTINUED
PRINCIPAL VALUE
AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Ind. Fin. Agcy. Ind. Dev. Rev., VRDN:
Rfdg:
(First Healthcare Corp. for Hillhaven Proj.) 3.30%,
LOC Wachovia Bank of Georgia $ 1,195,000 $ 1,195,000
(First Healthcare Corp. Proj.) Series 1992 B, 3.30%,
LOC Wachovia Bank of Georgia 1,130,000 1,130,000
(Nova Realty) Series 1994, 3.10%,
LOC Bank of Boston 2,000,000 2,000,000
(Quamco Inc. Proj.):
Series 1988 A, 2.90%, LOC Bank of Nova Scotia 550,000 550,000
Series 1988 B, 2.90%, LOC Bank of Nova Scotia 725,000 725,000
(Falmount Assisted Living) Series 1995, 3.15%,
LOC Bank of Boston 2,200,000 2,200,000
Massachusetts Ind. Fin. Agcy. Ind. Rev.
(United Medical Corp.) Series 1992, 3.20%,
LOC Chemical Bank, VRDN (b) 1,400,000 1,400,000
Massachusetts Ind. Fin. Agcy. Poll. Cont. Rev. Rfdg. Bonds
(New England Pwr. Co. Proj.):
Series 1992 B:
3.80%, tender 2/13/96 3,000,000 3,000,000
3.85%, tender 2/21/96 1,000,000 1,000,000
3.80%, tender 2/27/96 2,800,000 2,800,000
3.75%, tender 3/8/96 5,000,000 5,000,000
3.50%, tender 3/27/96 4,000,000 4,000,000
3.40%, tender 3/28/96 2,300,000 2,300,000
3.35%, tender 5/23/96 4,000,000 4,000,000
3.25%, tender 5/24/96 2,000,000 2,000,000
Series 1993 A:
3.35%, tender 2/29/96 2,300,000 2,300,000
3.55%, tender 3/11/96 2,000,000 2,000,000
3.40%, tender 3/13/96 2,200,000 2,200,000
3.20%, tender 4/8/96 5,800,000 5,800,000
Series 1993 B:
3.15%, tender 2/23/96 1,700,000 1,700,000
3.55%, tender 2/26/96 500,000 500,000
3.10%, tender 3/6/96 1,000,000 1,000,000
3.40%, tender 3/13/96 3,350,000 3,350,000
3.20%, tender 4/8/96 2,600,000 2,600,000
3.20%, tender 4/9/96 1,800,000 1,800,000
3.30%, tender 4/10/96 2,800,000 2,800,000
Massachusetts Ind. Fin. Agcy. Poll. Cont. Rev. (Holyoke Wtr. Pwr.
Co. Proj.) Series 1990, 3.30%, LOC Swiss Bank, VRDN (b) 2,600,000
2,600,000
Massachusetts Ind. Fin. Agcy. Resource Recovery Rev.
(Ogden-Haverhill Proj.) VRDN:
Series 1986 B, 2.80%,
LOC Union Bank of Switzerland (b) 12,650,000 12,650,000
Series 1992 A, 2.90%,
LOC Union Bank of Switzerland 9,395,000 9,395,000
MUNICIPAL SECURITIES (A) - CONTINUED
PRINCIPAL VALUE
AMOUNT (NOTE 1)
MASSACHUSETTS - CONTINUED
Massachusetts Muni. Wholesale Elec. Co. Pwr. Supply Sys.
Rev. Series 1994 C, 2.85%,
LOC Canadian Imperial Bank, VRDN $ 18,200,000 $ 18,200,000
Massachusetts Port Auth. Rev. Series 1995 B, 3.70%,
LOC Landesbank Hessen-Thuringen, VRDN (b) 1,705,000 1,705,000
Massachusetts Single Family Hsg. Auth. Bonds
3.65%, tender 3/1/96 (AMBAC Insured)
(Liquidity Facility Citibank) (b) (c) (d) 5,400,000 5,400,000
Massachusetts Tpk. Auth. Participating VRDN, Series PA-1009,
3.30% (Liquidity Facility Merrill Lynch & Co.) (c) 3,360,000 3,360,000
Massachusetts Wtr. Resource Auth.:
Participating VRDN (c):
Series PW-11, 3.30%
(Liquidity Facility Bank of Nova Scotia) 2,000,000 2,000,000
Series PW-20, 3.30% (Liquidity Facility CIBC) 2,000,000 2,000,000
CP:
3.70% 2/9/96, LOC Morgan Guaranty Trust Co. 4,000,000 4,000,000
3.40% 2/12/96, LOC Morgan Guaranty Trust Co. 500,000 500,000
3.65% 2/12/96, LOC Morgan Guaranty Trust Co. 1,100,000 1,100,000
3.80% 2/14/96, LOC Morgan Guaranty Trust Co. 2,000,000 2,000,000
3.75% 2/20/96, LOC Morgan Guaranty Trust Co. 5,400,000 5,400,000
3.65% 2/27/96, LOC Morgan Guaranty Trust Co. 3,000,000 3,000,000
3.75% 2/28/96, LOC Morgan Guaranty Trust Co. 3,000,000 3,000,000
3.55% 3/12/96, LOC Morgan Guaranty Trust Co. 4,000,000 4,000,000
3.30% 4/9/96, LOC Morgan Guaranty Trust Co. 2,500,000 2,500,000
3.30% 5/16/96, LOC Morgan Guaranty Trust Co. 4,400,000 4,400,000
3.30% 5/22/96, LOC Morgan Guaranty Trust Co. 3,000,000 3,000,000
Massachusetts Wtr. Resource Auth. Gen. Rev. Bonds
Series 1995 B, 4% 12/1/96 2,210,000 2,220,705
Methuen BAN 3.70% 12/6/96 1,000,000 1,000,816
Natick BAN:
4.10% 5/22/96 2,710,000 2,710,791
4% 8/8/96 2,420,000 2,424,486
Northampton BAN:
3.80% 5/31/96 1,000,000 1,000,970
4% 5/31/96 535,000 535,253
4.20% 5/31/96 1,790,000 1,790,677
Northampton Bond 7.50% 12/1/96 (AMBAC Insured) 525,000 540,681
Pioneer Valley RAN 4.25% 8/9/96,
LOC State Street Bank & Trust Co. 4,000,000 4,004,879
Randolph Gen. Oblig. Bonds 5.45% 9/15/96
(AMBAC Insured) 819,000 827,630
Reading BAN:
3.80% 7/12/96 3,000,000 3,000,627
4% 7/12/96 2,440,000 2,441,560
Sharon Gen. Oblig. Bonds 4.45% 12/1/96 358,000 360,748
Springfield BAN 4.50% 2/9/96 (BPA Fleet Bank) 2,600,000 2,600,335
Westborough BAN 3.80% 7/18/96 1,500,000 1,500,332
Worcester BAN 4.25% 8/29/96,
LOC State Street Bank & Trust Co.. 7,700,000 7,710,530
487,281,937
MUNICIPAL SECURITIES (A) - CONTINUED
PRINCIPAL VALUE
AMOUNT (NOTE 1)
PUERTO RICO - 4.2%
Puerto Rico Commonwealth Participating VRDN, Series PT-63,
3%, (Liquidity Facility Bayerische Hypotheken) (c) $ 2,900,000 $ 2,900,000
Puerto Rico Elec. Pwr. Auth. Participating VRDN,
Series BT-105, 2.975%
(Liquidity Facility Bankers Trust Co.) (c) 7,068,600 7,068,600
Puerto Rico Elec. Pwr. Auth. Pwr. Rev. Rfdg. Bonds
Series W, 4.25% 7/1/96 6,700,000 6,709,254
Puerto Rico Government Development Bank, CP:
3.15% 2/6/96 1,500,000 1,500,000
3.35% 4/23/96 1,500,000 1,500,000
Univ. of Puerto Rico Participating VRDN, Series PA-109, 3%
(Liquidity Facility Merrill Lynch & Co.) (c) 1,425,000 1,425,000
21,102,854
TOTAL INVESTMENTS - 100% $ 508,384,791
Total Cost for Income Tax Purposes $ 508,384,791
SECURITY TYPE ABBREVIATIONS
BAN - Bond Anticipation Notes
CP - Commercial Paper
RAN - Revenue Anticipation Notes
VRDN - Variable Rate Demand Notes
LEGEND
(a) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
(b) Private activity obligations whose interest is subject to the federal
alternative minimum tax for individuals.
(c) Provides evidence of ownership in one or more underlying municipal
bonds.
(d) Restricted securities - Investment in securities not registered under
the Securities Act of 1933 (see Note 2 of Notes to Financial Statements).
Additional information on each holding is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
Massachusetts
Single Family Hsg.
Auth. Bonds 12/1/95 $ 5,400,000
INCOME TAX INFORMATION
At January 31, 1996, the fund had a capital loss carryforward of
approximately $16,000 of which $8,000 and $8,000 will expire on January 31,
2003 and 2004, respectively.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JANUARY 31, 1996
6.ASSETS 7. 8.
9.Investment in securities, at value - See accompanying 10. $ 508,384,791
schedule
11.Cash 12. 1,977,305
13.Interest receivable 14. 4,376,252
15. 16.TOTAL ASSETS 17. 514,738,348
18.LIABILITIES 19. 20.
21.Distributions payable $ 24,830 22.
23.Accrued management fee 221,791 24.
25. 26.TOTAL LIABILITIES 27. 246,621
28.29.NET ASSETS 30. $ 514,491,727
31.Net Assets consist of: 32. 33.
34.Paid in capital 35. $ 514,506,141
36.Accumulated net realized gain (loss) on investments 37. (14,414)
38.39.NET ASSETS, for 514,504,716 shares outstanding 40. $ 514,491,727
41.42.NET ASSET VALUE, offering price and redemption 43. $1.00
price per share ($514,491,727 (divided by) 514,504,716 shares)
</TABLE>
STATEMENT OF OPERATIONS
YEAR ENDED JANUARY 31, 1996
44.45.INTEREST INCOME 46. $ 17,374,672
47.EXPENSES 48. 49.
50.Management fee $ 2,304,831 51.
52.Non-interested trustees' compensation 2,058 53.
54. Total expenses before reductions 2,306,889 55.
56. Expense reductions (16,501) 2,290,388
57.58.NET INTEREST INCOME 59. 15,084,284
60.61.NET REALIZED GAIN (LOSS) ON INVESTMENTS 62. (7,534)
63.64.NET INCREASE IN NET ASSETS RESULTING FROM 65. $ 15,076,750
OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR YEAR
ENDED ENDED
JANUARY 31, JANUARY 31,
1996 1995
66.INCREASE (DECREASE) IN NET ASSETS
67.Operations $ 15,084,284 $ 9,035,922
Net interest income
68. Net realized gain (loss) (7,534) (7,953)
69. 70.NET INCREASE (DECREASE) IN NET ASSETS 15,076,750 9,027,969
RESULTING FROM OPERATIONS
71.Distributions to shareholders from net interest (15,084,284) (9,035,922)
income
72.Share transactions at net asset value of $1.00 per 630,560,707 566,930,253
share
Proceeds from sales of shares
73. Reinvestment of distributions from net interest 14,773,809 8,761,154
income
74. Cost of shares redeemed (537,122,656) (516,275,938)
75.76. 108,211,860 59,415,469
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES
RESULTING FROM SHARE TRANSACTIONS
77. 78.TOTAL INCREASE (DECREASE) IN NET ASSETS 108,204,326 59,407,516
79.NET ASSETS 80. 81.
82. Beginning of period 406,287,401 346,879,885
83. End of period $ 514,491,727 $ 406,287,401
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
YEARS ENDED JANUARY 31, SIX MONTHS YEAR MARCH 4, 1991
ENDED ENDED (COMMENCEMENT
JANUARY 31, JULY 31, OF OPERATIONS) TO
JULY 31,
1996 1995 1994 1993 1992 1991
84.SELECTED PER-SHARE DATA
85.Net asset value,
beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
86.Income from
Investment Operations .033 .024 .019 .012 .034 .017
Net interest income
87.Less Distributions (.033) (.024) (.019) (.012) (.034) (.017)
From net interest income
88.Net asset value,
end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
89.TOTAL RETURN B 3.32% 2.42% 1.95% 1.23% 3.45% 1.71%
90.RATIOS AND SUPPLEMENTAL DATA
91.Net assets, end of
period (000 omitted) $ 514,492 $ 406,287 $ 346,880 $ 333,655 $ 278,369 $ 122,114
92.Ratio of expenses
to average net assets .50% .50% .40% .17%A, .05% .00%
C C C C
93.Ratio of net interest
income to average 3.27% 2.40% 1.93% 2.44%A 3.29% 4.17%
net assets A
</TABLE>
A ANNUALIZED
B TOTAL RETURNS DO NOT INCLUDE THE ACCOUNT CLOSEOUT FEE AND FOR PERIODS OF
LESS THAN ONE YEAR ARE NOT ANNUALIZED. THE TOTAL RETURNS WOULD HAVE BEEN
LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN.
C FMR VOLUNTARILY AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES
DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO
WOULD HAVE BEEN HIGHER.
FINANCIAL HIGHLIGHTS
NOTES TO FINANCIAL STATEMENTS
For the period ended January 31, 1996
1. SIGNIFICANT ACCOUNTING POLICIES.
On December 14, 1995, the Board of Trustees approved a change in the fund's
name from Spartan Massachusetts Municipal Money Market Portfolio to Spartan
Massachusetts Municipal Money Market Fund. The fund's name change will be
effective in 1996 with the next prospectus revision. Spartan Massachusetts
Municipal Money Market Fund (the fund) is a fund of Fidelity Massachusetts
Municipal Trust (the trust) and is authorized to issue an unlimited number
of shares. The trust is registered under the Investment Company Act of
1940, as amended (the 1940 Act), as an open-end management investment
company organized as a Massachusetts business trust. The financial
statements have been prepared in conformity with generally accepted
accounting principles which permit management to make certain estimates and
assumptions at the date of the financial statements. The following
summarizes the significant accounting policies of the fund:
SECURITY VALUATION. As permitted under Rule 2a-7 of the 1940 Act, and
certain conditions therein, securities are valued initially at cost and
thereafter assume a constant amortization to maturity of any discount or
premium.
INCOME TAXES. As a qualified regulated investment company under Subchapter
M of the Internal Revenue Code, the fund is not subject to income taxes to
the extent that it distributes substantially all of its taxable income for
its fiscal year. The schedule of investments includes information regarding
income taxes under the caption "Income Tax Information."
INTEREST INCOME. Interest income, which includes amortization of premium
and accretion of original issue discount, is accrued as earned. Accretion
of market discount represents unrealized gain until realized at the time of
a security disposition or maturity.
EXPENSES. Most expenses of the trust can be directly attributed to a fund.
Expenses which cannot be directly attributed are apportioned between the
funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS. Dividends are declared daily and paid
monthly from net interest income.
SECURITY TRANSACTIONS. Security transactions are accounted for as of trade
date. Gains and losses on securities sold are determined on the basis of
identified cost.
2. OPERATING POLICIES.
RESTRICTED SECURITIES. The fund is permitted to invest in securities that
are subject to legal or contractual restrictions on resale. These
securities generally may be resold in transactions exempt from registration
or to the public if the securities are registered. Disposal of these
securities may involve time-consuming negotiations and expense, and prompt
sale at an acceptable price may be difficult. At the end of the period,
restricted securities (excluding 144A issues) amounted to $5,400,000 or
1.0% of net assets.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, Fidelity Management &
Research Company (FMR) pays all expenses, except the compensation of the
non-interested Trustees and certain exceptions such as interest, taxes,
brokerage commissions and extraordinary expenses. FMR receives a fee that
is computed daily at an annual rate of .50% of the fund's average net
assets.
FMR also bears the cost of providing shareholder services to the fund. To
offset the cost of providing these services, FMR or its affiliates collect
certain transaction fees from the fund's shareholders which amounted to
$7,181 for the period.
SUB-ADVISER FEE. As the fund's investment sub-adviser, FMR Texas Inc., a
wholly owned subsidiary of FMR, receives a fee from FMR of 50% of the
management fee payable to FMR. The fee is paid prior to any voluntary
expense reimbursements which may be in effect.
4. EXPENSE REDUCTIONS.
FMR agreed to reimburse a portion of the fund's expenses. For the period,
the reimbursement reduced the expenses by $16,501.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Massachusetts Municipal Trust and the
Shareholders of Spartan Massachusetts Municipal Money Market Portfolio:
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of the
Spartan Massachusetts Municipal Money Market Portfolio ( the "Fund")at
January 31, 1996, the results of its operations for the year then ended,
the changes in its net assets and the financial highlights for the periods
indicated, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to
as "financial statements") are the responsibility of the Fund's management;
our responsibility is to express an opinion on these financial statements
based on our audits. We conducted our audits of these financial statements
in accordance with generally accepted auditing standards which require that
we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at January 31, 1996
by correspondence with the custodian, provide a reasonable basis for the
opinion expressed above.
PRICE WATERHOUSE LLP
Dallas, Texas
February 27, 1996
TO CALL FIDELITY
FOR FUND INFORMATION AND QUOTES
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services for quotes and balances. The services are easy to use,
confidential and quick. All you need is a Touch Tone telephone.
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you'll need it to establish your PIN. If
you would ever like to change your PIN, just choose the "Change your
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you call. If you forget your PIN, please
call a Fidelity representative at 1-800-
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5.
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4.
* WHEN YOU CALL THE QUOTES LINE, PLEASE REMEMBER THAT A FUND'S YIELD AND
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YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. THERE IS NO
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MONEY MARKET FUNDS WILL BE ABLE TO MAINTAIN A STABLE $1 SHARE PRICE; AN
INVESTMENT IN
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TOTAL
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN SHARE PRICE, REINVESTMENT OF
DIVIDENDS
AND CAPITAL GAINS, AND THE EFFECTS OF ANY SALES CHARGES.
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P.O. Box 660602
Dallas, TX 75266-0602
INVESTMENT ADVISER
(registered trademark)
Fidelity Management & Research
Company
Boston, MA
INVESTMENT SUB-ADVISER
FMR Texas Inc.
Irving, TX
OFFICERS
Edward C. Johnson 3d, President
J. Gary Burkhead, Senior Vice President
Janice Bradburn, Vice President
Fred L. Henning, Jr., Vice President
Arthur S. Loring, Secretary
Kenneth A. Rathgeber, Treasurer
Thomas D. Maher, Assistant
Vice President
John H. Costello, Assistant Treasurer
Leonard M. Rush, Assistant Treasurer
BOARD OF TRUSTEES
J. Gary Burkhead
Ralph F. Cox*
Phyllis Burke Davis*
Richard J. Flynn*
Edward C. Johnson 3d
E. Bradley Jones*
Donald J. Kirk*
Peter S. Lynch
Edward H. Malone*
Marvin L. Mann*
Gerald C. McDonough*
Thomas R. Williams*
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER
SERVICING AGENTS
UMB Bank, n.a.
Kansas City, MO
and
Fidelity Service Co.
Boston, MA
CUSTODIAN
UMB Bank, n.a.
Kansas City, MO
FIDELITY'S MUNICIPAL
MONEY MARKET FUNDS
California Municipal Money Market
Connecticut Municipal Money Market
Massachusetts Municipal Money Market
Michigan Municipal Money Market
New Jersey Municipal Money Market
New York Municipal Money Market
Ohio Municipal Money Market
Spartan Arizona Municipal Money Market
Spartan California Municipal
Money Market
Spartan Connecticut Municipal
Money Market
Spartan Florida Municipal Money Market
Spartan Massachusetts Municipal
Money Market
Spartan Municipal Money Fund
Spartan New Jersey Municipal
Money Market
Spartan New York Municipal
Money Market
Spartan Pennsylvania Municipal
Money Market
Tax-Exempt Money Market
THE FIDELITY TELEPHONE CONNECTION
MUTUAL FUND 24-HOUR SERVICE
Account Balances 1-800-544-7544
Exchanges/Redemptions 1-800-544-7777
Mutual Fund Quotes 1-800-544-8544
Account Assistance 1-800-544-6666
Product Information 1-800-544-8888
Retirement Accounts 1-800-544-4774 (8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
* INDEPENDENT TRUSTEES
AUTOMATED LINES FOR QUICKEST SERVICE
