N-Q 1 pmte1.txt PUTNAM MASSACHUSETTS TAX EXEMPT INCOME FUND Item 1. Schedule of Investments: -------------------------------- Putnam Massachusetts Tax Exempt Income Fund QUARTERLY PORTFOLIO HOLDINGS 2-28-05
Putnam Massachusetts Tax Exempt Income Fund -------------------------------------------------------------------------------------------------------------------------------- The fund's portfolio February 28, 2005 (Unaudited) KEY TO ABBREVIATIONS AMBAC -- AMBAC Indemnity Corporation FGIC -- Financial Guaranty Insurance Company FSA -- Financial Security Assurance GNMA Coll. -- Government National Mortgage Association Collateralized G.O. Bonds -- General Obligation Bonds MBIA -- MBIA Insurance Company U.S. Govt. Coll. -- U.S. Government Collateralized VRDN -- Variable Rate Demand Notes XLCA -- XL Capital Assurance Municipal bonds and notes (94.4%) (a) -------------------------------------------------------------------------------------------------------------------------------- Principal amount Rating (RAT) Value -------------------------------------------------------------------------------------------------------------------------------- Massachusetts (93.7%) -------------------------------------------------------------------------------------------------------------------------------- $2,150,000 Boston, Indl. Dev. Fin. Auth. Rev. Bonds (Springhouse, Inc.), 6s, 7/1/28 BB-/P $2,133,789 6,055,000 Boston, Indl. Dev. Fin. Auth. Swr. Fac. Rev. Bonds (Harbor Elec. Energy Co.), 7 3/8s, 5/15/15 Aa3 6,086,244 7,435,000 Boston, Wtr. & Swr. Comm. Rev. Bonds, Ser. A, 5 3/4s, 11/1/13 AA 8,354,338 Fall River, G.O. Bonds, FSA 1,990,000 5s, 2/1/13 Aaa 2,193,219 1,950,000 5s, 2/1/12 Aaa 2,143,187 2,100,000 Framingham, Hsg. Auth. Rev. Bonds (Beaver Terrace), Ser. A, GNMA Coll., 6.35s, 2/20/32 AAA 2,310,987 5,185,000 Holden, G.O. Bonds, FGIC, 5 1/2s, 3/1/20 Aaa 5,684,990 4,000,000 MA Bay Trans. Auth. Rev. Bonds (Gen. Trans. Syst.), Ser. A, 5 1/2s, 3/1/12 Aa2 4,422,840 4,000,000 MA State College Bldg. Auth. Rev. Bonds, Ser. B, XLCA, 5 1/2s, 5/1/28 Aaa 4,515,560 MA State Dev. Fin. Agcy. Rev. Bonds 1,325,000 (Beverly Enterprises, Inc.), 7 3/8s, 4/1/09 B+/P 1,380,253 1,480,000 (Lasell College), 6 3/4s, 7/1/31 BB+ 1,510,000 1,320,000 (Lasell Village), Ser. A, 6 3/8s, 12/1/25 BB-/P 1,332,830 1,950,000 (MA Biomedical Research), Ser. C, 6 1/8s, 8/1/12 A1 2,160,464 1,830,000 (MA Biomedical Research), Ser. C, 5 7/8s, 8/1/10 A1 2,019,734 10,200,000 (WGBH Edl. Foundation), Ser. A, AMBAC, 5 3/4s, 1/1/42 Aaa 12,188,796 1,750,000 (Boston Biomedical Research), 5 3/4s, 2/1/29 Baa3 1,789,428 1,315,000 (Hampshire College), 5.7s, 10/1/34 BBB 1,386,365 1,000,000 (Middlesex School), 5 1/8s, 9/1/23 A1 1,072,160 7,500,000 MA State Dev. Fin. Agcy. Resource Recvy. Rev. Bonds (Semass Syst.), Ser. A, MBIA, 5 1/2s, 1/1/10 Aaa 8,212,950 3,625,000 MA State Edl. Fin. Auth. Rev. Bonds, Ser. E, AMBAC, 5s, 1/1/13 AAA 3,758,436 MA State G.O. Bonds 5,500,000 Ser. D, 5 1/2s, 11/1/19 Aa2 6,315,595 7,500,000 Ser. C, FSA, 5 1/2s, 11/1/10 Aaa 8,378,175 3,750,000 Ser. C, 5 1/4s, 8/1/15 AAA 4,065,600 6,500,000 Ser. D, FSA, 5s, 11/1/24 Aaa 6,901,245 9,100,000 Ser. B, U.S. Govt. Coll., 5s, 5/1/12 AAA 9,882,236 MA State Hlth. & Edl. Fac. Auth. Rev. Bonds 3,000,000 (Winchester Hosp.), Ser. E, 6 3/4s, 7/1/30 BBB 3,507,510 3,125,000 (UMass Memorial), Ser. C, 6 1/2s, 7/1/21 Baa2 3,418,844 1,300,000 (Berkshire Hlth. Syst.), Ser. E, 6 1/4s, 10/1/31 BBB+ 1,385,176 5,000,000 (Harvard U.), Ser. N, 6 1/4s, 4/1/20 Aaa 6,283,900 1,000,000 (Learning Ctr. for Deaf Children), Ser. C, 6 1/8s, 7/1/29 Ba2 998,010 3,000,000 (Hlth. Care Syst. Covenant Hlth.), Ser. E, 6s, 7/1/31 A- 3,166,170 2,100,000 (Partners Healthcare Syst.), Ser. C, 6s, 7/1/15 Aa3 2,393,181 1,460,000 (Partners Healthcare Syst.), Ser. C, 6s, 7/1/14 Aa3 1,660,283 3,015,000 (Newton-Wellesley Hosp.), Ser. E, MBIA, 5.9s, 7/1/11 Aaa 3,107,681 4,000,000 (Partners Healthcare Syst.), Ser. C, 5 3/4s, 7/1/32 Aa3 4,388,240 1,000,000 (Baystate Med. Ctr.), Ser. F, 5.7s, 7/1/27 A1 1,053,080 1,955,000 (Caritas Christian Oblig. Group), Ser. A, 5 5/8s, 7/1/20 BBB 2,004,051 800,000 (Milton Hosp.), Ser. C, 5 1/2s, 7/1/16 BBB 814,032 3,665,000 (Williams College), Ser. G, 5 1/2s, 7/1/14 Aa1 4,033,369 1,265,000 (Milton Hosp.), Ser. C, 5 1/2s, 7/1/11 BBB 1,327,516 2,600,000 (Cape Cod Healthcare), Ser. B, 5.45s, 11/15/23 BBB 2,648,178 3,000,000 (Jordan Hosp.), Ser. D, 5 3/8s, 10/1/28 BBB- 2,771,970 4,250,000 (Boston College), Ser. K, 5 3/8s, 6/1/14 Aa3 4,785,075 3,000,000 (Partners Healthcare Syst.), Ser. B, 5 1/4s, 7/1/11 Aa3 3,238,590 10,000,000 (MA Inst. of Tech.), Ser. I-1, 5.2s, 1/1/28 Aaa 11,206,200 5,245,000 (Simmons College), Ser. F, FGIC, 5s, 10/1/33 Aaa 5,437,282 1,000,000 (Wellesley College), 5s, 7/1/17 Aa1 1,076,790 15,800,000 (New England Med. Ctr.), MBIA, 5.24s, 7/1/18 Aaa 16,089,614 2,000,000 (New England Med. Ctr. Hosp.), Ser. H, FGIC, 5s, 5/15/11 Aaa 2,180,940 3,840,000 (New England Med. Ctr. Hosp.), Ser. H, FGIC, 5s, 5/15/10 Aaa 4,168,512 3,660,000 (New England Med. Ctr. Hosp.), Ser. H, FGIC, 5s, 5/15/09 Aaa 3,939,185 4,160,000 MA State Hlth. & Edl. Fac. Auth. VRDN, Ser. D, MBIA, 1.8s, 1/1/35 VMIG1 4,160,000 MA State Hsg. Fin. Agcy. Rev. Bonds 2,000,000 (Rental Mtge.), Ser. E, AMBAC, 5.9s, 7/1/25 Aaa 2,058,600 5,000,000 (Rental Mtge.), Ser. C, AMBAC, 5 5/8s, 7/1/40 Aaa 5,137,550 2,180,000 (Single Fam.), Ser. 86, 5.1s, 12/1/21 Aa2 2,213,419 1,590,000 (Rental Mtge.), Ser. E, FSA, 4.1s, 7/1/06 Aaa 1,597,696 1,520,000 (Rental Mtge.), Ser. E, FSA, 3.95s, 7/1/05 Aaa 1,525,928 MA State Hsg. Fin. Auth. Agcy. Single Fam. Mtge. Rev. Bonds, Ser. 84 435,000 4 1/4s, 12/1/07 Aa2 434,395 360,000 4.05s, 12/1/06 Aa2 361,066 405,000 3.9s, 12/1/05 AA 407,560 MA State Indl. Fin. Agcy. Rev. Bonds 1,500,000 (1st Mtge. Stone Institution & Newton), 7.9s, 1/1/24 BB-/P 1,536,435 5,140,000 (1st Mtge. Loomis & Village), U.S. Govt. Coll., 7 5/8s, 7/1/25 AAA 5,334,446 2,000,000 (1st Mtge. Brookhaven), Ser. A, 7s, 1/1/15 BBB/P 2,053,040 1,030,000 (1st Mtge. Brookhaven), Ser. A, 7s, 1/1/09 BBB/P 1,060,385 4,520,000 (American Hinghan, Wtr. Treatment), 6 3/4s, 12/1/25 BBB/P 4,757,662 3,850,000 (1st Mtge. Berkshire Retirement), Ser. A, 6 5/8s, 7/1/16 BBB- 3,903,361 3,385,000 (Park School), 5.9s, 9/1/26 A3 3,622,695 1,650,000 (Wentworth Inst. of Tech.), 5 3/4s, 10/1/28 Baa1 1,735,998 MA State Port Auth. Rev. Bonds 2,400,000 Ser. A, MBIA, 5s, 7/1/33 Aaa 2,462,304 2,000,000 Ser. C, MBIA, 5s, 7/1/08 Aaa 2,131,580 5,330,000 Ser. C, MBIA, 5s, 7/1/07 Aaa 5,602,097 MA State Special Oblig. Dedicated Tax Rev. Bonds, FGIC 2,000,000 5 1/4s, 1/1/22 Aaa 2,188,960 5,000,000 5 1/4s, 1/1/20 Aaa 5,476,300 MA State Wtr. Poll. Abatement Rev. Bonds, Ser. 5 4,490,000 5 3/8s, 8/1/27 Aaa 4,778,662 2,510,000 5 3/8s, 8/1/27 (Prerefunded) Aaa 2,783,113 MA State Wtr. Resource Auth. Rev. Bonds, Ser. A 5,500,000 6 1/2s, 7/15/19 AA 6,725,950 10,000,000 FGIC, 5 3/4s, 8/1/39 Aaa 11,204,000 4,000,000 MBIA, 5s, 8/1/29 Aaa 4,173,760 1,065,000 Maynard, G.O. Bonds, MBIA, 5s, 2/1/13 Aaa 1,173,758 Norwell, G.O. Bonds 1,000,000 AMBAC, 5s, 2/15/25 AAA 1,062,400 1,760,000 FGIC, 5s, 11/15/18 Aaa 1,954,322 10,000,000 Quincy, Rev. Bonds, FSA, 5.3s, 1/15/11 Aaa 10,119,700 1,000,000 Springfield, G.O. Bonds, MBIA, 5s, 1/15/13 Aaa 1,098,000 U. MA Bldg. Auth. Rev. Bonds, Ser. 04-1, AMBAC 2,000,000 5 3/8s, 11/1/19 AAA 2,240,600 2,500,000 5 3/8s, 11/1/18 AAA 2,807,170 2,500,000 5 3/8s, 11/1/17 AAA 2,802,875 1,000,000 5 3/8s, 11/1/16 AAA 1,122,870 Westfield, G.O. Bonds, MBIA 2,190,000 5s, 9/1/11 Aaa 2,402,014 2,190,000 5s, 9/1/10 Aaa 2,391,787 1,000,000 Westford, G.O. Bonds, FGIC, 5 1/4s, 4/1/20 Aaa 1,086,200 --------------- 326,971,458 Puerto Rico (0.7%) -------------------------------------------------------------------------------------------------------------------------------- 2,520,000 Children's Trust Fund Tobacco Settlement Rev. Bonds, 5 3/8s, 5/15/33 BBB 2,546,006 -------------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $311,484,527) (b) $329,517,464 ================================================================================================================================
Putnam Massachusetts Tax Exempt Income Fund Interest rate swap contracts outstanding at February 28, 2005 (Unaudited) Unrealized Notional Termination appreciation/ amount date (depreciation) -------------------------------------------------------------------------------------------------------------------------------- Agreement with Citibank, N.A. dated December 14, 2004 to receive quarterly the notional amount multiplied by 4.106% and pay quarterly the notional amount multiplied by the Bond Market Association Municipal Swap Index. $5,000,000 3/17/2025 $7,083 Agreement with Citibank, N.A. dated December 14, 2004 to receive quarterly the notional amount multiplied by 3.13% and pay quarterly the notional amount multiplied by the Bond Market Association Municipal Swap Index. 10,000,000 3/17/2010 77,870 Agreement with Citigroup Financial Products, Inc. dated February 7, 2005 to receive quarterly the notional amount multiplied by 3.935% and pay quarterly the notional amount multiplied by the USD-Muni-BMA-Rate. 4,000,000 8/10/2030 (152,786) Agreement with Merrill Lynch International & Co. C.V. dated February 7, 2005 to pay quarterly the notional amount multiplied by 3.125% and receive quarterly the notional amount multiplied by the USD-Muni-BMA-Rate. 3,000,000 8/10/2009 20,622 -------------------------------------------------------------------------------------------------------------------------------- $ (47,211) ================================================================================================================================
NOTES (a) Percentages indicated are based on net assets of $349,139,595. (RAT) The Moody's or Standard & Poor's ratings indicated are believed to be the most recent ratings available at February 28, 2005 for the securities listed. Ratings are generally ascribed to securities at the time of issuance. While the agencies may from time to time revise such ratings, they undertake no obligation to do so, and the ratings do not necessarily represent what the agencies would ascribe to these securities at February 28, 2005. Securities rated by Putnam are indicated by "/P". Security ratings are defined in the Statement of Additional Information. (b) The aggregate identified cost on a tax basis is $311,484,527, resulting in gross unrealized appreciation and depreciation of $18,799,857 and $766,920, respectively, or net unrealized appreciation of $18,032,937. The rates shown on VRDN are the current interest rates at February 28, 2005. The fund had the following industry group concentrations greater than 10% at February 28, 2005 (as a percentage of net assets): Health care 26.4% Education 17.0 Water & sewer 12.3 The fund had the following insurance concentrations greater than 10% at February 28, 2005 (as a percentage of net assets): MBIA 15.2% FGIC 12.4 Security valuation Tax-exempt bonds and notes are valued at fair value on the basis of valuations provided by an independent pricing service, approved by the Trustees. Such services use information with respect to transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities in determining value. Other investments are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund's exposure to interest rates. Interest rate swap contracts are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund's portfolio. For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com Item 2. Controls and Procedures: -------------------------------- (a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms. (b) Changes in internal control over financial reporting: Not applicable Item 3. Exhibits: ------------------ A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Investment Company Act of 1940, as amended, are filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. NAME OF REGISTRANT By (Signature and Title): /s/ Michael T. Healy -------------------------- Michael T. Healy Principal Accounting Officer Date: April 27, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title): /s/ Charles E. Porter --------------------------- Charles E. Porter Principal Executive Officer Date: April 27, 2005 By (Signature and Title): /s/ Steven D. Krichmar --------------------------- Steven D. Krichmar Principal Financial Officer Date: April 27, 2005