UNITEDSTATES
SECURITIESANDEXCHANGECOMMISSION
Washington,D.C.20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-07660
Name of Fund: The Massachusetts Health & Education Tax-Exempt Trust (MHE)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, The
Massachusetts Health & Education Tax-Exempt Trust, 55 East 52nd Street, New York, NY
10055
Registrants telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2011
Date of reporting period: 05/31/2011
Item 1 Schedule of Investments
The Massachusetts Health & Education Tax-Exempt Trust (MHE)
Schedule of InvestmentsMay 31, 2011 (Unaudited)
(Percentages shown are based on Net Assets)
Par | |||
Municipal Bonds | (000) | Value | |
Massachusetts — 145.4% | |||
Corporate — 4.1% | |||
Massachusetts Development Finance | |||
Agency, RB, Ogden Haverhill Project, | |||
Series A, AMT, 6.70%, 12/01/14 | $ 255 | $ 255,938 | |
Massachusetts Health & Educational | |||
Facilities Authority, RB, Cape Cod | |||
Healthcare Obligor (AGC), 5.00%, | |||
11/15/31 | 1,000 | 971,290 | |
1,227,228 | |||
Education — 82.5% | |||
Massachusetts Development Finance | |||
Agency, RB: | |||
Boston University, Series T-1 | |||
(AMBAC), 5.00%, 10/01/39 | 1,000 | 971,890 | |
College Issue, Series B (Syncora), | |||
5.25%, 7/01/33 | 860 | 865,513 | |
College of Pharmacy & Allied | |||
Health, Series D (AGC), 5.00%, | |||
7/01/27 | 500 | 515,605 | |
Foxborough Regional Charter | |||
School, Series A, 7.00%, | |||
7/01/42 | 250 | 253,157 | |
Smith College, 5.00%, | |||
7/01/35 | 2,000 | 2,038,340 | |
WGBH Educational Foundation, | |||
Series A (AMBAC), 5.75%, 1/01/42 | 1,100 | 1,112,650 | |
Massachusetts Development Finance | |||
Agency, Refunding RB: | |||
Boston University, Series P, | |||
5.45%, 5/15/59 | 1,500 | 1,439,085 | |
Clark University (Syncora), 5.13%, | |||
10/01/35 | 500 | 500,060 | |
Harvard University, Series B-1, | |||
5.00%, 10/15/40 | 350 | 368,165 | |
Trustees of Deerfield | |||
Academy, 5.00%, 10/01/40 | 1,675 | 1,744,630 | |
Western New England, Series A | |||
(AGC), 5.00%, 9/01/33 | 250 | 248,323 | |
Wheelock College, Series C, | |||
5.25%, 10/01/37 | 1,000 | 895,200 | |
Williston Northampton School | |||
Project (Syncora), 5.00%, 10/01/25 | 500 | 496,430 | |
Worcester Polytechnic Institute | |||
(NPFGC), 5.00%, 9/01/27 | 1,985 | 2,042,763 | |
Massachusetts Health & Educational | |||
Facilities Authority, RB: | |||
Harvard University, 5.13%, | |||
7/15/12 (a) | 155 | 163,406 |
Par | |||
Municipal Bonds | (000) | Value | |
Massachusetts (continued) | |||
Education (concluded) | |||
Massachusetts Health & Educational | |||
Facilities Authority, RB (continued): | |||
Harvard University, 5.13%, | |||
7/15/37 | $ 695 | $ 701,046 | |
Harvard University, Series B, | |||
5.00%, 10/01/38 | 400 | 415,356 | |
Northeastern University, Series | |||
R, 5.00%, 10/01/33 | 225 | 226,771 | |
Springfield College, 5.63%, | |||
10/15/40 | 500 | 478,865 | |
Tufts University, 5.38%, | |||
8/15/38 | 1,000 | 1,056,420 | |
University of Massachusetts, Series | |||
C (NPFGC), 5.13%, 10/01/34 | 230 | 230,380 | |
Massachusetts Health & Educational | |||
Facilities Authority, Refunding RB: | |||
Berklee College of Music, | |||
Series A, 5.00%, 10/01/37 | 1,000 | 981,260 | |
Boston College, Series N, | |||
5.13%, 6/01/37 | 1,000 | 1,002,730 | |
Harvard University, Series A, | |||
5.50%, 11/15/36 | 100 | 109,249 | |
Tufts University, Series M, | |||
5.50%, 2/15/27 | 1,000 | 1,167,220 | |
Wellesley College, 5.00%, | |||
7/01/33 | 1,500 | 1,521,855 | |
Massachusetts Health & Educational | |||
Facilities Authority, Wheaton College, | |||
Series D, 6.00%, 1/01/18 | 855 | 855,162 | |
Massachusetts State College Building | |||
Authority, RB, Series A (AMBAC), | |||
5.00%, 5/01/31 | 1,000 | 1,030,690 | |
Massachusetts State College Building | |||
Authority, Refunding RB, Series B | |||
(Syncora), 5.50%, 5/01/39 | 825 | 889,738 | |
24,321,959 | |||
Health — 43.5% | |||
Massachusetts Development Finance | |||
Agency, RB: | |||
First Mortgage, Edgecombe | |||
Project, Series A, 6.75%, | |||
7/01/21 | 855 | 871,510 | |
First Mortgage, Overlook | |||
Communities, Series A, 6.13%, | |||
7/01/24 (a) | 850 | 918,102 | |
Seven Hills Foundation & Affiliates | |||
(Radian), 5.00%, 9/01/35 | 240 | 188,998 |
Portfolio Abbreviations | ||||
To simplify the listings of portfolio holdings in the | AGC | Assured Guaranty Corp. | ERB | Education Revenue Bonds |
Schedule of Investments, the names and | AGM | Assured Guaranty Municipal Corp. | HFA | Housing Finance Agency |
descriptions of many of the securities have been | AMBAC | American Municipal Bond Assurance | HRB | Housing Revenue Bonds |
abbreviated according to the following list: | Corp. | NPFGC | National Public Finance Guarantee | |
AMT | Alternative Minimum Tax (subject to) | Corp. | ||
BHAC | Berkshire Hathaway Assurance Corp. | RB | Revenue Bonds |
THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST | MAY 31, 2011 | 1 |
The Massachusetts Health & Education Tax-Exempt Trust (MHE)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)
Par | ||
Municipal Bonds | (000) | Value |
Massachusetts (continued) | ||
Health (concluded) | ||
Massachusetts Development Finance | ||
Agency, Refunding RB, Carleton- | ||
Willard Village, 5.63%, 12/01/30 | $ 500 | $494,460 |
Massachusetts Health & Educational | ||
Facilities Authority, RB: | ||
Baystate Medical Center, | ||
Series F, 5.75%, 7/01/33 | 1,000 | 985,200 |
Berkshire Health System, | ||
Series E, 6.25%, 10/01/31 | 350 | 345,212 |
Berkshire Health System, Series F | ||
(AGC), 5.00%, 10/01/19 | 1,000 | 1,052,460 |
Children's Hospital, Series M, | ||
5.25%, 12/01/39 | 600 | 603,678 |
Children's Hospital, Series M, | ||
5.50%, 12/01/39 | 500 | 511,580 |
Lahey Clinic Medical Center, | ||
Series D, 5.25%, 8/15/37 | 1,000 | 974,910 |
Milford-Whitinsville Hospital, | ||
Series D, 6.35%, 7/15/32 (a) | 750 | 807,105 |
Southcoast Health Obligation, | ||
Series D, 5.00%, 7/01/39 | 500 | 453,185 |
Winchester Hospital, 5.25%, | ||
7/01/38 | 1,000 | 850,610 |
Massachusetts Health & Educational | ||
Facilities Authority, Refunding RB: | ||
Caregroup, Series E-1, 5.00%, | ||
7/01/28 | 500 | 468,825 |
Christopher House, Series A, | ||
6.88%, 1/01/29 | 455 | 420,766 |
Healthcare System, Covenant, | ||
6.00%, 1/01/12 (a) | 170 | 177,432 |
Healthcare System, Covenant, | ||
6.00%, 7/01/22 | 630 | 639,923 |
Healthcare System, Covenant, | ||
6.00%, 7/01/31 | 315 | 316,698 |
Healthcare System, Covenant, | ||
6.00%, 7/01/31 (a) | 85 | 88,716 |
Partners Healthcare System, | ||
Series B, 5.25%, 7/01/29 | 1,000 | 1,000,290 |
Massachusetts Industrial Finance | ||
Agency, RB, Age Institute of | ||
Massachusetts Project, 8.05%, | ||
11/01/25 | 655 | 655,288 |
12,824,948 | ||
Housing — 9.3% | ||
Massachusetts HFA, HRB, Series B, | ||
AMT, 5.50%, 6/01/41 | 495 | 466,642 |
Massachusetts HFA, Refunding HRB, | ||
Series F, AMT, 5.70%, 6/01/40 | 960 | 941,318 |
Massachusetts HFA, Refunding RB, | ||
AMT: | ||
Series 132, 5.38%, 12/01/27 | 400 | 403,568 |
Series C, 5.35%, 12/01/42 | 1,000 | 925,730 |
2,737,258 |
Par | |||
Municipal Bonds | (000) | Value | |
Massachusetts (concluded) | |||
State — 6.0% | |||
Massachusetts Bay Transportation | |||
Authority, Refunding RB, Senior Series | |||
A, 5.25%, 7/01/29 | $ 730 | $ 840,500 | |
Massachusetts Development Finance | |||
Agency, ERB, Middlesex School | |||
Project, 5.00%, 9/01/33 | 400 | 401,152 | |
Massachusetts State College Building | |||
Authority, RB, Series A, 5.50%, | |||
5/01/39 | 500 | 526,505 | |
1,768,157 | |||
Total Municipal Bonds in Massachusetts | 42,879,550 | ||
Puerto Rico — 12.0% | |||
County/City/Special District/School District — 3.4% | |||
Puerto Rico Sales Tax Financing Corp., | |||
Refunding RB, First Sub-Series C: | |||
6.00%, 8/01/39 | 510 | 523,688 | |
(AGM), 5.13%, 8/01/42 | 500 | 491,935 | |
1,015,623 | |||
State — 3.4% | |||
Puerto Rico Sales Tax Financing Corp., | |||
RB, First Sub-Series A, 5.75%, | |||
8/01/37 | 1,000 | 1,008,460 | |
Utilities — 5.2% | |||
Puerto Rico Electric Power Authority, RB, | |||
Series WW, 5.50%, 7/01/38 | 1,000 | 986,090 | |
Puerto Rico Electric Power Authority, | |||
Refunding RB, Series VV (BHAC), | |||
5.25%, 7/01/25 | 500 | 532,060 | |
1,518,150 | |||
Total Municipal Bonds in Puerto Rico | 3,542,233 | ||
Total Municipal Bonds – 157.4% | 46,421,783 | ||
Municipal Bonds Transferred to Tender | |||
Option Bond Trusts (b) | |||
Massachusetts — 7.0% | |||
State — 7.0% | |||
Massachusetts School Building | |||
Authority, RB, Drivers, Series A (AGM), | |||
5.00%, 8/15/30 | 2,010 | 2,078,698 | |
Total Municipal Bonds Transferred to | |||
Tender Option Bond Trusts – 7.0% | 2,078,698 | ||
Total Long-Term Investments | |||
(Cost – $48,503,877) – 164.4% | 48,500,481 |
2 THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST | MAY 31, 2011 |
The Massachusetts Health & Education Tax-Exempt Trust (MHE)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)
Short-Term Securities | Shares | Value |
BIF Massachusetts Municipal Money | ||
Fund, 0.00% (c)(d) | 198,355 | $ 198,355 |
Total Short-Term Securities | ||
(Cost – $198,355) – 0.7% | 198,355 | |
Total Investments | ||
(Cost – $48,702,232*) – 165.1% | 48,698,836 | |
Other Assets Less Liabilities – 2.2% | 634,724 | |
Liability for Trust Certificates, Including Interest | ||
Expense and Fees Payable – (4.6)% | (1,340,626) | |
Preferred Shares, at Redemption Value – (62.7)% | (18,501,032) | |
Net Assets Applicable to Common Shares – 100.0% | $ 29,491,902 |
* The cost and unrealized appreciation (depreciation) of investments as of
May 31, 2011, as computed for federal income tax purposes, were as
follows:
Aggregate cost | $ 47,350,801 |
Gross unrealized appreciation | $ 913,390 |
Gross unrealized depreciation | (904,950) |
Net unrealized appreciation | $ 8,440 |
(a) US government securities, held in escrow, are used to pay interest on this
security as well as to retire the bond in full at the date indicated, typically
at a premium to par.
(b) Securities represent bonds transferred to a tender option bond trust in
exchange for which the Trust acquired residual interest certificates.
These securities serve as collateral in a financing transaction.
(c) Investments in companies considered to be an affiliate of the Trust
during the period, for purposes of Section 2(a)(3) of the Investment
Company Act of 1940, as amended, were as follows:
Shares | Shares | |||
Held at | Held at | |||
August 31, | Net | May 31, | ||
Affiliate | 2010 | Activity | 2011 | Income |
BIF Massachusetts | ||||
Municipal Money | ||||
Fund | 1,455,666 | (1,257,311) | 198,355 | — |
(d) Represents the current yield as of report date.
THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST | MAY 31, 2011 | 3 |
The Massachusetts Health & Education Tax-Exempt Trust (MHE)
Schedule of Investments(concluded)
• | Financial futures contracts sold as of May 31, 2011 were as follows: | |||||
Notional | Unrealized | |||||
Contracts | Issue | Exchange | Expiration | Value | Depreciation | |
12 | 10-Year U.S. Treasury Note | Chicago Board of Trade | June 2011 | $ 1,422,165 | $ (66,210) | |
8 | 10-Year U.S. Treasury Note | Chicago Board of Trade | September 2011 | $ 979,547 | $ (1,328) | |
Total | $ (67,538) |
•Fair Value Measurements - Various inputs are used in determining the fair
value of investments and derivative financial instruments. These inputs are
summarized in three broad levels for financial reporting purposes as follows:
•Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
•Level 2 — other observable inputs (including, but not limited to: quoted
prices for similar assets or liabilities in markets that are active, quoted
prices for identical or similar assets or liabilities in markets that are not
active, inputs other than quoted prices that are observable for the assets or
liabilities (such as interest rates, yield curves, volatilities, prepayment
speeds, loss severities, credit risks and default rates) or other market-
corroborated inputs)
•Level 3 — unobservable inputs based on the best information available in
the circumstances, to the extent observable inputs are not available
(including the Trust’s own assumptions used in determining the fair value
of investments and derivative financial instruments)
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For
information about the Trust’s policy regarding valuation of investments and
derivative financial instruments and other significant accounting policies,
please refer to the Trust’s most recent financial statements as contained in its
semi-annual report.
The following tables summarize the inputs used as of May 31, 2011 in
determining the fair valuation of the Trust's investments and derivative financial
instruments:
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Assets: | ||||
Investments in Securities: | ||||
Long-Term | ||||
Investments¹ | — | $ 48,500,481 | — | $ 48,500,481 |
Short-Term | ||||
Securities | $ 198,355 | — | — | 198,355 |
Total | $ 198,355 | $ 48,500,481 | — | $ 48,698,836 |
¹ See above Schedule of Investments for values in each sector. |
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Derivative Financial Instruments² | ||||
Liabilities: | ||||
Interest rate | ||||
contracts | $ (67,538) | — | — | $ (67,538) |
² Derivative financial instruments are financial futures contracts, which are | ||||
valued at the unrealized appreciation/depreciation on the instrument. |
4 THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST | MAY 31, 2011 |
Item 2 Controls and Procedures
2(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
31940 Act3)) areeffective as of a date within 90 days of the filing of this report based on the
evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act
and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(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) 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
Certifications Attached hereto
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.
The Massachusetts Health & Education Tax-Exempt Trust
By: /S/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
The Massachusetts Health & Education Tax-Exempt Trust
Date: July 26, 2011
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: /S/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
The Massachusetts Health & Education Tax-Exempt Trust
Date: July 26, 2011
By: /S/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
The Massachusetts Health & Education Tax-Exempt Trust
Date: July 26, 2011