Nuveen Massachusetts Quality Municipal Income Fund

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-07484

Nuveen Massachusetts Quality Municipal Income Fund

(Exact name of registrant as specified in charter)

Nuveen Investments

    333 West Wacker Drive, Chicago, Illinois 60606    

(Address of principal executive offices) (Zip code)

Gifford R. Zimmerman

Vice President and Secretary

    333 West Wacker Drive, Chicago, Illinois 60606    

(Name and address of agent for service)

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

Date of fiscal year end:       May 31      

Date of reporting period: August 31, 2018

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

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

 

 

 

 

 

Item 1. Schedule of Investments

 

 

NMT
Nuveen Massachusetts Quality Municipal Income Fund
Portfolio of Investments    August 31, 2018
(Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    LONG-TERM INVESTMENTS – 152.0% (100.0% of Total Investments)        
    MUNICIPAL BONDS – 152.0% (100.0% of Total Investments)        
    Education and Civic Organizations – 38.5% (25.3% of Total Investments)        
$ 3,515   Massachusetts Development Finance Agency, Revenue Bonds, Berkley College of Music, Series 2016, 5.000%, 10/01/39   10/26 at 100.00 A $3,964,533
2,200   Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2013S, 5.000%, 7/01/38   7/23 at 100.00 AA- 2,449,392
730   Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2017T, 5.000%, 7/01/42   7/27 at 100.00 AA- 832,076
    Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Tender Option Bond Trust 2016-XG0070:        
1,880   12.819%, 10/01/48, 144A (IF) (4)   10/23 at 100.00 Aa1 2,618,201
575   12.754%, 10/01/48, 144A (IF) (4)   10/23 at 100.00 Aa1 800,498
    Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2017A:        
2,000   5.000%, 1/01/34   1/28 at 100.00 BBB+ 2,226,680
2,435   5.000%, 1/01/40   1/28 at 100.00 BBB+ 2,676,503
2,150   Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2011B-1, 5.250%, 7/01/33  –  AGM Insured   7/21 at 100.00 AA 2,322,280
1,955   Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2016, 5.000%, 7/01/35   7/26 at 100.00 A- 2,190,988
    Massachusetts Development Finance Agency, Revenue Bonds, MCPHS University Issue, Series 2015H:        
450   3.500%, 7/01/35   7/25 at 100.00 AA 442,112
190   5.000%, 7/01/37   7/25 at 100.00 AA 212,781
1,200   Massachusetts Development Finance Agency, Revenue Bonds, Merrimack College, Series 2017, 5.000%, 7/01/47   7/26 at 100.00 BBB- 1,297,440
550   Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2012, 5.000%, 10/01/31   10/22 at 100.00 A1 605,380
    Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2014A:        
875   5.000%, 3/01/39   3/24 at 100.00 A1 958,318
1,400   5.000%, 3/01/44   3/24 at 100.00 A1 1,529,612
500   Massachusetts Development Finance Agency, Revenue Bonds, Simmons College, Series 2013J, 5.250%, 10/01/39   10/23 at 100.00 BBB+ 542,505
1,230   Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2015, 5.000%, 7/01/33   7/25 at 100.00 AA 1,404,328
1,000   Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2017, 5.000%, 4/01/37   10/27 at 100.00 AA- 1,156,080
1

NMT Nuveen Massachusetts Quality Municipal Income Fund (continued)
  Portfolio of Investments August 31, 2018
  (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
$ 875   Massachusetts Development Finance Agency, Revenue Bonds, Tufts University, Series 2015Q, 5.000%, 8/15/38   8/25 at 100.00 Aa2 $996,301
1,000   Massachusetts Development Finance Agency, Revenue Bonds, Wheaton College, Series 2017H, 5.000%, 1/01/37   1/28 at 100.00 A3 1,138,000
1,510   Massachusetts Development Finance Agency, Revenue Bonds, Woods Hole Oceanographic Institution, Series 2018, 5.000%, 6/01/43   6/28 at 100.00 AA- 1,730,369
1,365   Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2012, 5.000%, 9/01/50   9/22 at 100.00 A1 1,479,196
700   Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2017, 5.000%, 9/01/47   9/27 at 100.00 A1 788,431
1,500   Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2017B, 5.000%, 9/01/45   9/27 at 100.00 A1 1,688,250
500   Massachusetts Development Finance Authority, Revenue Bonds, Suffolk University, Refunding Series 2017, 5.000%, 7/01/35   7/27 at 100.00 Baa2 553,680
3,000   Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42  –  AMBAC Insured   No Opt. Call AA- 3,999,480
    Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series 1999P:        
1,090   6.000%, 5/15/29   No Opt. Call Aa3 1,351,022
1,000   6.000%, 5/15/59   5/29 at 105.00 Aa3 1,241,460
420   Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2011J, 5.625%, 7/01/33 (Alternative Minimum Tax)   7/21 at 100.00 AA 440,878
255   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northeastern University, Series 2010A, 4.875%, 10/01/35   10/20 at 100.00 A1 268,209
165   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Suffolk University, Refunding Series 2009A, 5.750%, 7/01/39   7/19 at 100.00 Baa2 169,057
2,000   University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2014-1, 5.000%, 11/01/44   11/24 at 100.00 Aa2 2,237,540
4,000   University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2015-1, 5.000%, 11/01/40   11/25 at 100.00 Aa2 4,522,560
44,215   Total Education and Civic Organizations       50,834,140
    Health Care – 31.6% (20.8% of Total Investments)        
1,500   Massachusetts Development Finance Agency Revenue Bonds, CareGroup Issue, Series 2018J-2, 5.000%, 7/01/38   7/28 at 100.00 A- 1,657,995
1,000   Massachusetts Development Finance Agency Revenue Bonds, Children's Hospital Issue, Series 2014P, 5.000%, 10/01/46   10/24 at 100.00 AA 1,104,990
1,340   Massachusetts Development Finance Agency Revenue Bonds, South Shore Hospital, Series 2016I, 5.000%, 7/01/41   7/26 at 100.00 A- 1,458,268
1,410   Massachusetts Development Finance Agency, Hospital Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2013, 5.250%, 11/15/41   11/23 at 100.00 A+ 1,543,019
1,000   Massachusetts Development Finance Agency, Revenue Bonds, Baystate Medical Center Issue, Series 2014N, 5.000%, 7/01/44   7/24 at 100.00 A+ 1,081,080
2

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care (continued)        
    Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems, Series 2012G:        
$ 895   5.000%, 10/01/29   10/21 at 100.00 AA- $971,540
700   5.000%, 10/01/31   10/21 at 100.00 AA- 758,996
500   Massachusetts Development Finance Agency, Revenue Bonds, Boston Medical Center Issue, Series 2016E, 5.000%, 7/01/32   7/26 at 100.00 BBB 555,245
1,200   Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Refunding Series 2016-I, 5.000%, 7/01/29   7/26 at 100.00 A- 1,363,488
    Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2015H-1:        
900   5.000%, 7/01/30   7/25 at 100.00 A- 1,012,041
1,000   5.000%, 7/01/32   7/25 at 100.00 A- 1,110,140
500   5.000%, 7/01/33   7/25 at 100.00 A- 550,240
1,000   Massachusetts Development Finance Agency, Revenue Bonds, Covenant Health System Obligated Group, Series 2012, 5.000%, 7/01/31   7/22 at 100.00 BBB+ 1,067,950
2,800   Massachusetts Development Finance Agency, Revenue Bonds, Dana-Farber Cancer Institute Issue, Series 2016N, 5.000%, 12/01/46   12/26 at 100.00 A1 3,123,680
    Massachusetts Development Finance Agency, Revenue Bonds, Lahey Health System Obligated Group Issue, Series 2015F:        
1,345   5.000%, 8/15/35   8/25 at 100.00 A 1,488,485
3,500   5.000%, 8/15/45   8/25 at 100.00 A 3,816,610
1,080   Massachusetts Development Finance Agency, Revenue Bonds, Milford Regional Medical Center Issue, Series 2014F, 5.750%, 7/15/43   7/23 at 100.00 BBB- 1,164,164
3,450   Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System Issue, Series 2016Q, 5.000%, 7/01/47   7/26 at 100.00 AA- 3,826,188
    Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System Issue, Series 2017S-1:        
820   5.000%, 7/01/37   1/28 at 100.00 AA- 939,548
2,100   4.000%, 7/01/41   1/28 at 100.00 AA- 2,142,546
5   Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2012L, 5.000%, 7/01/36   7/21 at 100.00 AA- 5,360
820   Massachusetts Development Finance Agency, Revenue Bonds, Southcoast Health System Obligated Group Issue, Series 2013F, 5.000%, 7/01/37   7/23 at 100.00 BBB+ 882,017
    Massachusetts Development Finance Agency, Revenue Bonds, The Lowell General Hospital, Series 2013G:        
1,000   5.000%, 7/01/37   7/23 at 100.00 BBB+ 1,060,510
2,200   5.000%, 7/01/44   7/23 at 100.00 BBB+ 2,320,164
610   Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care Obligated Group Issue, Series 2017K, 5.000%, 7/01/38   1/27 at 100.00 A- 668,615
    Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care Obligated Group Issue, Series 2017L:        
400   3.625%, 7/01/37   7/27 at 100.00 A- 386,448
1,095   5.000%, 7/01/44   7/27 at 100.00 A- 1,198,675
3

NMT Nuveen Massachusetts Quality Municipal Income Fund (continued)
  Portfolio of Investments August 31, 2018
  (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care (continued)        
$ 445   Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care, Series 2016I, 5.000%, 7/01/36   7/26 at 100.00 A- $489,669
25   Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health, Series 2011H, 5.500%, 7/01/31   7/21 at 100.00 BBB+ 26,861
2,500   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Dana-Farber Cancer Institute, Series 2008K, 5.000%, 12/01/37   12/18 at 100.00 A1 2,522,225
1,495   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32   11/18 at 100.00 BBB- 1,507,169
38,635   Total Health Care       41,803,926
    Housing/Multifamily – 1.4% (0.9% of Total Investments)        
500   Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%, 4/01/20  –  AGM Insured   11/18 at 100.00 AA 501,260
1,295   Massachusetts Housing Finance Agency, Housing Bonds, Series 2003H, 5.125%, 6/01/43   11/18 at 100.00 AA 1,296,282
1,795   Total Housing/Multifamily       1,797,542
    Long-Term Care – 4.3% (2.8% of Total Investments)        
    Massachusetts Development Finance Agency Revenue Refunding Bonds, NewBridge on the Charles, Inc. Issue, Series 2017:        
1,040   4.125%, 10/01/42, 144A   10/22 at 105.00 BB+ 1,040,364
250   5.000%, 10/01/47, 144A   10/22 at 105.00 BB+ 267,483
460   Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Retirement Community Lennox, Series 2015, 5.000%, 7/01/31   7/25 at 100.00 A 509,473
285   Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30   12/19 at 100.00 A- 295,787
1,000   Massachusetts Development Finance Agency, Revenue Bonds, Loomis Communities, Series 2013A, 5.250%, 1/01/26   1/23 at 100.00 BBB 1,097,340
2,410   Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26   10/18 at 100.00 N/R 2,414,531
5,445   Total Long-Term Care       5,624,978
    Tax Obligation/General – 15.3% (10.1% of Total Investments)        
1,250   Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 5.000%, 2/15/32   2/20 at 100.00 AA 1,301,475
930   Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21   No Opt. Call Aa1 997,490
1,500   Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.250%, 8/01/21  –  AGM Insured   No Opt. Call Aa1 1,645,830
2,000   Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2015C, 5.000%, 7/01/45   7/25 at 100.00 Aa1 2,239,800
3,895   Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2017F, 5.000%, 11/01/46   11/27 at 100.00 Aa1 4,444,117
1,000   Newburyport, Massachusetts, General Obligation Bonds, Municipal Purpose Loan, Refunding Series 2013, 4.000%, 1/15/30   1/23 at 100.00 AAA 1,051,860
4

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/General (continued)        
$ 1,775   North Reading, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2012, 5.000%, 5/15/35  –  AMBAC Insured   5/22 at 100.00 Aa2 $1,943,750
1,760   Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20  –  FGIC Insured   No Opt. Call AAA 1,855,339
    Quincy, Massachusetts, General Obligation Bonds, State Qualified Municipal Purpose Loan Series 2011:        
1,280   5.125%, 12/01/33   12/20 at 100.00 Aa2 1,367,411
2,000   5.250%, 12/01/38   12/20 at 100.00 Aa2 2,145,200
1,220   Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19  –  FGIC Insured   11/18 at 100.00 AA 1,223,123
18,610   Total Tax Obligation/General       20,215,395
    Tax Obligation/Limited – 20.1% (13.3% of Total Investments)        
    Government of Guam, Business Privilege Tax Bonds, Series 2011A:        
2,000   5.250%, 1/01/36   1/22 at 100.00 A 2,117,140
1,310   5.125%, 1/01/42   1/22 at 100.00 A 1,375,317
    Government of Guam, Business Privilege Tax Bonds, Series 2012B-1:        
400   5.000%, 1/01/37   1/22 at 100.00 A 418,516
1,115   5.000%, 1/01/42   1/22 at 100.00 A 1,163,770
855   Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, Refunding Green Series 2014, 5.000%, 5/01/33  –  BAM Insured   11/24 at 100.00 AA 970,476
500   Martha's Vineyard Land Bank, Massachusetts, Revenue Refunding Bonds, Green Bonds, Series 2017, 5.000%, 5/01/35  –  BAM Insured   5/27 at 100.00 AA 574,070
1,000   Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2012A, 5.000%, 7/01/41   7/22 at 100.00 AAA 1,089,800
770   Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Refunding Senior Lien Series 2004C, 5.250%, 7/01/21   No Opt. Call AA 842,981
1,610   Massachusetts College Building Authority, Project Revenue Bonds, Green Series 2014B, 5.000%, 5/01/44   5/24 at 100.00 Aa2 1,784,250
1,000   Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 5.375%, 5/01/23  –  SYNCORA GTY Insured   No Opt. Call Aa2 1,147,370
855   Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 5.000%, 5/01/37   5/22 at 100.00 Aa2 928,265
1,350   Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Refunding Series 2015C, 5.000%, 8/15/37   8/25 at 100.00 AAA 1,524,420
1,875   Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series 2013A, 5.000%, 5/15/38   5/23 at 100.00 AAA 2,070,844
1,000   Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B, 5.000%, 10/15/41   10/21 at 100.00 AAA 1,074,980
2,000   Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Subordinated Series 2018A, 5.250%, 2/15/48   2/28 at 100.00 AA+ 2,333,640
2,415   Massachusetts State, Federal Highway Grant Anticipation Notes, Accelerated Bridge Program, Series 2017A, 5.000%, 6/01/47   6/27 at 100.00 AAA 2,751,892
5

NMT Nuveen Massachusetts Quality Municipal Income Fund (continued)
  Portfolio of Investments August 31, 2018
  (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 1,070   Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20  –  FGIC Insured   No Opt. Call A1 $1,115,518
1,500   Massachusetts State, Transportation Fund Revenue Bonds, Rail Enhancement Program, Series 2015A, 5.000%, 6/01/45   6/25 at 100.00 AAA 1,681,740
520   Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series 2012A, 5.000%, 10/01/32  –  AGM Insured   10/22 at 100.00 AA 558,958
1,000   Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Series 2012A, 5.000%, 10/01/32  –  AGM Insured   10/22 at 100.00 AA 1,074,920
24,145   Total Tax Obligation/Limited       26,598,867
    Transportation – 10.2% (6.7% of Total Investments)        
400   Massachusetts Department of Transportation, Metropolitan Highway System Revenue Bonds, Commonwealth Contract Assistance Secured, Refunding Series 2010B, 5.000%, 1/01/35   1/20 at 100.00 AA+ 415,412
1,500   Massachusetts Port Authority, Revenue Bonds, Refunding Series 2017A, 5.000%, 7/01/42 (AMT)   7/27 at 100.00 AA 1,682,745
1,000   Massachusetts Port Authority, Revenue Bonds, Series 2010A, 5.000%, 7/01/30   7/20 at 100.00 AA 1,057,830
1,000   Massachusetts Port Authority, Revenue Bonds, Series 2012B, 5.000%, 7/01/33   7/22 at 100.00 AA 1,102,850
    Massachusetts Port Authority, Revenue Bonds, Series 2014A:        
1,000   5.000%, 7/01/39   7/24 at 100.00 AA 1,122,540
2,500   5.000%, 7/01/44   7/24 at 100.00 AA 2,799,200
    Massachusetts Port Authority, Revenue Bonds, Series 2015A:        
715   5.000%, 7/01/40   7/25 at 100.00 AA 804,010
1,000   5.000%, 7/01/45   7/25 at 100.00 AA 1,121,210
1,400   Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32  –  FGIC Insured (Alternative Minimum Tax)   11/18 at 100.00 A2 1,402,800
1,225   Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27  –  AMBAC Insured (Alternative Minimum Tax)   1/19 at 100.00 N/R 1,237,078
730   Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Parking Revenue Bonds, Senior Lien Series 2011, 5.000%, 7/01/41   7/21 at 100.00 A+ 778,998
12,470   Total Transportation       13,524,673
    U.S. Guaranteed – 20.6% (13.6% of Total Investments) (5)        
500   Boston Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Senior Lien Series 2010A, 5.000%, 11/01/30 (Pre-refunded 11/01/19)   11/19 at 100.00 AA+ 518,850
2,580   Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 (Pre-refunded 10/01/20)  –  AGM Insured   10/20 at 100.00 AA 2,750,435
2,000   Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation Bonds, Series 2011, 5.000%, 2/15/41 (Pre-refunded 2/15/21)   2/21 at 100.00 Aa3 2,155,360
750   Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29 (Pre-refunded 10/01/19)   10/19 at 100.00 Aa3 776,745
6

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (5) (continued)        
    Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A:        
$ 1,275   5.000%, 1/01/40 (Pre-refunded 1/01/20)   1/20 at 100.00 N/R $1,330,603
125   5.000%, 1/01/40 (Pre-refunded 1/01/20)   1/20 at 100.00 BBB+ 130,451
500   Massachusetts Development Finance Agency, Revenue Bonds, North Hill Communities Issue, Series 2013A, 6.250%, 11/15/28 (Pre-refunded 11/15/23), 144A   11/23 at 100.00 N/R 577,775
2,200   Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2011K-6, 5.375%, 7/01/41 (Pre-refunded 7/01/20)   7/20 at 100.00 AA- 2,344,408
995   Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2012L, 5.000%, 7/01/36 (Pre-refunded 7/01/21)   7/21 at 100.00 N/R 1,080,491
1,000   Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2011A, 5.000%, 7/01/41 (Pre-refunded 7/01/21)   7/21 at 100.00 AA 1,085,920
3,000   Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 5.250%, 4/01/37 (Pre-refunded 4/01/21)   4/21 at 100.00 AA- 3,257,400
475   Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health, Series 2011H, 5.500%, 7/01/31 (Pre-refunded 7/01/21)   7/21 at 100.00 N/R 522,310
160   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical Center, Series 2009I, 5.750%, 7/01/36 (Pre-refunded 7/01/19)   7/19 at 100.00 A+ 165,398
500   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2004D, 5.125%, 11/15/35 (Pre-refunded 11/15/19)  –  AGC Insured   11/19 at 100.00 AA 520,210
410   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21)  –  NPFG Insured   7/21 at 100.00 N/R 437,056
2,000   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children's Hospital, Series 2009M, 5.500%, 12/01/39 (Pre-refunded 12/01/19)   12/19 at 100.00 Aa2 2,091,460
1,500   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, Series 2010, 5.500%, 10/15/31 (Pre-refunded 10/15/19)   10/19 at 100.00 N/R 1,562,790
335   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Suffolk University, Refunding Series 2009A, 5.750%, 7/01/39 (Pre-refunded 7/01/19)   7/19 at 100.00 N/R 346,303
2,030   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College Issues, Series 2010F, 5.000%, 1/01/41 (Pre-refunded 1/01/20)   1/20 at 100.00 A3 2,118,528
1,500   Massachusetts State, Transportation Fund Revenue Bonds, Rail Enhancement Program, Series 2013A, 5.000%, 6/01/38 (Pre-refunded 6/01/21)   6/21 at 100.00 AAA 1,627,680
1,065   Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19  –  NPFG Insured (ETM)   No Opt. Call Baa2 1,098,143
720   Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Series 2010B, 5.000%, 11/15/30 (Pre-refunded 11/15/20)  –  AGC Insured   11/20 at 100.00 AA 770,623
25,620   Total U.S. Guaranteed       27,268,939
    Utilities – 1.1% (0.7% of Total Investments)        
1,265   Massachusetts Clean Energy Cooperative Corporation, Revenue Bonds, Massachusetts Municipal Lighting Plant Cooperative, Series 2013, 5.000%, 7/01/32   7/23 at 100.00 A1 1,408,400
7

NMT Nuveen Massachusetts Quality Municipal Income Fund (continued)
  Portfolio of Investments August 31, 2018
  (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Water and Sewer – 8.9% (5.8% of Total Investments)        
$ 565   Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Refunding Series 2014A, 5.000%, 7/01/29   7/24 at 100.00 A- $617,353
845   Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Refunding Series 2017, 5.000%, 7/01/40   7/27 at 100.00 A- 933,024
420   Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46   7/26 at 100.00 A- 457,661
415   Lynn Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2003A, 5.000%, 12/01/32  –  NPFG Insured   11/18 at 100.00 A1 416,054
2,300   Massachusetts Clean Water Trust, State Revolving Fund Bonds, Green 18 Series 2015, 5.000%, 2/01/45   2/24 at 100.00 AAA 2,561,901
60   Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22   11/18 at 100.00 AAA 60,157
140   Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20   11/18 at 100.00 AAA 140,402
    Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Series 2016B:        
1,000   4.000%, 8/01/40   8/26 at 100.00 AA+ 1,039,150
455   5.000%, 8/01/40   8/26 at 100.00 AA+ 517,239
1,000   Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 8/01/19  –  AGM Insured   No Opt. Call AA+ 1,032,850
1,230   Massachusetts Water Resources Authority, General Revenue Bonds, Series 2017B, 5.000%, 8/01/42   8/27 at 100.00 AA+ 1,418,891
    Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2014A:        
185   5.000%, 7/15/22   No Opt. Call AA 206,103
150   5.000%, 7/15/23   No Opt. Call AA 170,593
    Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2017C:        
1,010   5.000%, 4/15/33   4/27 at 100.00 AA 1,179,791
805   5.000%, 4/15/34   4/27 at 100.00 AA 937,648
10,580   Total Water and Sewer       11,688,817
$ 182,780   Total Long-Term Investments (cost $193,536,894)       200,765,677
    Variable Rate Demand Preferred Shares, net of deferred offering costs – (55.8)% (6)       (73,721,938)
    Other Assets Less Liabilities – 3.8%       5,064,546
    Net Asset Applicable to Common Shares – 100%       $ 132,108,285
8

Fair Value Measurements
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
Level 1  –     Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2  –     Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3  –     Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:
  Level 1 Level 2 Level 3 Total
Long-Term Investments:        
Municipal Bonds $ — $200,765,677 $ — $200,765,677
Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
The table below presents the cost and unrealized appreciation (depreciation) of the Fund's investment portfolio, as determined on a federal income tax basis, as of August 31, 2018.
Tax cost of investments $193,463,617
Gross unrealized:  
Appreciation $ 7,879,098
Depreciation (577,038)
Net unrealized appreciation (depreciation) of investments $ 7,302,060
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.  
(2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.  
(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.  
(4) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.  
(5) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest.  
(6) Variable Rate Demand Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 36.7%.  
144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.  
ETM Escrowed to maturity.  
IF Inverse floating rate security issued by a tender option bond (“TOB”) trust, the interest rate on which varies inversely with the Securities Industry Financial Markets Association (SIFMA) short-term rate, which resets weekly, or a similar short-term rate, and is reduced by the expenses related to the TOB trust.  
9

Item 2. Controls and Procedures.

 

  a.

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

 

  b.

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

Item 3. Exhibits.

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

 

 

SIGNATURES

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

 

(Registrant)    Nuveen Massachusetts Quality Municipal Income Fund   
By (Signature and Title)    /s/ Gifford R. Zimmerman                                                       
   Gifford R. Zimmerman   
   Vice President and Secretary   

Date: October 30, 2018

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/ Cedric H. Antosiewicz                                                        
   Cedric H. Antosiewicz   
   Chief Administrative Officer (principal executive officer)   
Date: October 30, 2018      
By (Signature and Title)    /s/ Stephen D. Foy                                                                    
   Stephen D. Foy   
   Vice President and Controller (principal financial officer)   
Date: October 30, 2018