UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

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

 

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 11/30/2011

 

Item 1 – Schedule of Investments

 

 

 

 

 

 

 

Schedule of Investments November 30, 2011 (Unaudited)

The Massachusetts Health & Education Tax-Exempt Trust (MHE)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Massachusetts — 144.0%

 

 

 

 

 

 

 

Corporate — 5.2%

 

 

 

 

 

 

 

Massachusetts Development Finance
Agency, RB:

 

 

 

 

 

 

 

Mount Holyoke College, Series
B, 5.00%, 7/01/41

 

$

500

 

$

516,910

 

Ogden Haverhill Project, Series
A, AMT, 6.70%, 12/01/14

 

 

95

 

 

95,079

 

Massachusetts Health & Educational
Facilities Authority, RB, Cape Cod
Healthcare Obligor (AGC), 5.00%,
11/15/31

 

 

1,000

 

 

1,010,440

 

 

 

 

 

 

 

1,622,429

 

Education — 78.4%

 

 

 

 

 

 

 

Massachusetts Development Finance
Agency, RB:

 

 

 

 

 

 

 

Boston University, Series T-1
(AMBAC), 5.00%, 10/01/39

 

 

1,000

 

 

1,002,350

 

College Issue, Series B (Syncora),
5.25%, 7/01/33

 

 

860

 

 

864,498

 

College of Pharmacy & Allied
Health, Series D (AGC), 5.00%,
7/01/27

 

 

500

 

 

520,260

 

Foxborough Regional Charter
School, Series A, 7.00%,
7/01/42

 

 

250

 

 

266,050

 

Smith College, 5.00%,
7/01/35

 

 

2,000

 

 

2,056,020

 

WGBH Educational Foundation,
Series A (AMBAC), 5.75%, 1/01/42

 

 

650

 

 

710,352

 

Massachusetts Development Finance
Agency, Refunding RB:

 

 

 

 

 

 

 

Boston University, Series P,
5.45%, 5/15/59

 

 

1,500

 

 

1,561,890

 

Clark University (Syncora), 5.13%,
10/01/35

 

 

500

 

 

504,725

 

Harvard University, Series B-1,
5.00%, 10/15/40

 

 

350

 

 

384,139

 

Trustees of Deerfield
Academy, 5.00%, 10/01/40

 

 

1,675

 

 

1,827,207

 

Wheelock College, Series C,
5.25%, 10/01/37

 

 

1,000

 

 

955,050

 

Williston Northampton School
Project (Syncora), 5.00%, 10/01/25

 

 

500

 

 

507,455

 

Worcester Polytechnic Institute
(NPFGC), 5.00%, 9/01/27

 

 

1,985

 

 

2,087,029

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Massachusetts (continued)

 

 

 

 

 

 

 

Education (concluded)

 

 

 

 

 

 

 

Massachusetts Health & Educational
Facilities Authority, RB:

 

 

 

 

 

 

 

Harvard University, 5.13%,
7/15/37 (a)

 

$

155

 

$

159,712

 

Harvard University, 5.13%,
7/15/37

 

 

695

 

 

709,942

 

Harvard University, Series B,
5.00%, 10/01/38

 

 

400

 

 

431,612

 

Northeastern University, Series
R, 5.00%, 10/01/33

 

 

225

 

 

231,410

 

Springfield College, 5.63%,
10/15/40

 

 

500

 

 

485,725

 

Tufts University, 5.38%,
8/15/38

 

 

1,000

 

 

1,089,150

 

University of Massachusetts, Series
C (NPFGC), 5.13%, 10/01/34 (a)

 

 

230

 

 

239,320

 

Massachusetts Health & Educational
Facilities Authority, Refunding RB:

 

 

 

 

 

 

 

Berklee College of Music,
Series A, 5.00%, 10/01/37

 

 

1,000

 

 

1,005,460

 

Boston College, Series N,
5.13%, 6/01/37

 

 

1,000

 

 

1,012,960

 

Harvard University, Series A,
5.50%, 11/15/36

 

 

100

 

 

112,314

 

Tufts University, Series M,
5.50%, 2/15/27

 

 

1,000

 

 

1,219,650

 

Wellesley College, 5.00%,
7/01/33

 

 

1,500

 

 

1,537,950

 

Massachusetts Health & Educational
Facilities Authority, Wheaton College,
Series D, 6.00%, 1/01/18

 

 

855

 

 

855,351

 

Massachusetts State College Building
Authority, RB, Series A (AMBAC),
5.00%, 5/01/31

 

 

1,000

 

 

1,040,520

 

Massachusetts State College Building
Authority, Refunding RB, Series B
(Syncora), 5.50%, 5/01/39

 

 

825

 

 

971,512

 

 

 

 

 

 

 

24,349,613

 

Health — 45.3%

 

 

 

 

 

 

 

Massachusetts Development Finance
Agency, RB:

 

 

 

 

 

 

 

First Mortgage, Edgecombe
Project, Series A, 6.75%,
7/01/21

 

 

855

 

 

872,938

 

First Mortgage, Overlook
Communities, Series A, 6.13%,
7/01/24 (a)

 

 

850

 

 

895,262

 

Seven Hills Foundation & Affiliates
(Radian), 5.00%, 9/01/35

 

 

240

 

 

201,283

 

 

 

 

Portfolio Abbreviations

 

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

ERB

Education Revenue Bonds

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

RB

Revenue Bonds

Syncora

Syncora Guarantee

 

 

 

 

 

 

 

 

 

 

THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST

NOVEMBER 30, 2011

1

 

 

 

 

 

 

Schedule of Investments (continued)

The Massachusetts Health & Education Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Massachusetts (continued)

 

 

 

 

 

 

 

Health (concluded)

 

 

 

 

 

 

 

Massachusetts Development Finance
Agency, Refunding RB, Carleton-
Willard Village, 5.63%, 12/01/30

 

$

500

 

$

508,205

 

Massachusetts Health & Educational
Facilities Authority, RB:

 

 

 

 

 

 

 

Baystate Medical Center,
Series F, 5.75%, 7/01/33

 

 

1,000

 

 

1,003,140

 

Berkshire Health System,
Series E, 6.25%, 10/01/31

 

 

350

 

 

351,705

 

Berkshire Health System, Series F
(AGC), 5.00%, 10/01/19

 

 

1,000

 

 

1,060,560

 

Children’s Hospital, Series M,
5.25%, 12/01/39

 

 

600

 

 

623,016

 

Children’s Hospital, Series M,
5.50%, 12/01/39

 

 

500

 

 

527,445

 

Lahey Clinic Medical Center,
Series D, 5.25%, 8/15/37

 

 

1,000

 

 

1,009,240

 

Milford-Whitinsville Hospital,
Series D, 6.35%, 7/15/32 (a)

 

 

750

 

 

785,978

 

Partners Healthcare System,
0.07%, 7/01/17

 

 

1,000

 

 

1,000,000

 

Southcoast Health Obligation,
Series D, 5.00%, 7/01/39

 

 

500

 

 

491,165

 

Winchester Hospital, 5.25%,
7/01/38

 

 

1,000

 

 

936,120

 

Massachusetts Health & Educational
Facilities Authority, Refunding RB:

 

 

 

 

 

 

 

Caregroup, Series E-1, 5.00%,
7/01/28

 

 

500

 

 

506,130

 

Christopher House, Series A,
6.88%, 1/01/29

 

 

455

 

 

436,249

 

Healthcare System, Covenant,
6.00%, 7/01/22 (a)

 

 

170

 

 

172,547

 

Healthcare System, Covenant,
6.00%, 7/01/22

 

 

630

 

 

637,031

 

Healthcare System, Covenant,
6.00%, 7/01/31 (a)

 

 

85

 

 

86,273

 

Healthcare System, Covenant,
6.00%, 7/01/31

 

 

315

 

 

318,273

 

Partners Healthcare System,
Series B, 5.25%, 7/01/29

 

 

1,000

 

 

1,000,660

 

Massachusetts Industrial Finance
Agency, RB, Age Institute of
Massachusetts Project, 8.05%,
11/01/25

 

 

630

 

 

630,529

 

 

 

 

 

 

 

14,053,749

 

Housing — 9.3%

 

 

 

 

 

 

 

Massachusetts HFA, HRB, Series B,
AMT, 5.50%, 6/01/41

 

 

495

 

 

503,059

 

Massachusetts HFA, Refunding HRB,
Series F, AMT, 5.70%, 6/01/40

 

 

950

 

 

975,336

 

Massachusetts HFA, Refunding RB,
AMT:

 

 

 

 

 

 

 

Series 132, 5.38%, 12/01/27

 

 

400

 

 

409,648

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Massachusetts (concluded)

 

 

 

 

 

 

 

Housing (concluded)

 

 

 

 

 

 

 

Massachusetts HFA, Refunding RB, AMT
(concluded):

 

 

 

 

 

 

 

Series C, 5.35%, 12/01/42

 

$

1,000

 

$

1,008,830

 

 

 

 

 

 

 

2,896,873

 

State — 5.8%

 

 

 

 

 

 

 

Massachusetts Bay Transportation
Authority, Refunding RB, Senior Series
A, 5.25%, 7/01/29

 

 

730

 

 

872,146

 

Massachusetts Development Finance
Agency, ERB, Middlesex School
Project, 5.00%, 9/01/33

 

 

400

 

 

403,104

 

Massachusetts State College Building
Authority, RB, Series A, 5.50%,
5/01/39

 

 

500

 

 

537,095

 

 

 

 

 

 

 

1,812,345

 

Total Municipal Bonds in Massachusetts

 

 

 

 

 

44,735,009

 

Puerto Rico — 8.5%

 

 

 

 

 

 

 

State — 5.2%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp.,
RB, First Sub-Series A, 5.75%,
8/01/37

 

 

1,000

 

 

1,058,960

 

Puerto Rico Sales Tax Financing Corp.,
Refunding RB, 6.00%, 8/01/39

 

 

510

 

 

554,834

 

 

 

 

 

 

 

1,613,794

 

Utilities — 3.3%

 

 

 

 

 

 

 

Puerto Rico Electric Power Authority, RB,
Series WW, 5.50%, 7/01/38

 

 

1,000

 

 

1,016,500

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

2,630,294

 

Total Municipal Bonds – 152.5%

 

 

 

 

 

47,365,303

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to Tender
Option Bond (TOB) Trusts (b)

 

 

 

 

 

 

 

Massachusetts — 10.4%

 

 

 

 

 

 

 

State — 10.4%

 

 

 

 

 

 

 

Barclays Capital Municipal Trust
Receipts, RB, RI-TRS, Series 30BX,
9.37%, 10/15/41 (c)(d)

 

 

1,000

 

 

1,059,100

 

Massachusetts School Building
Authority, RB, Drivers, Series A (AGM),
13.75%, 2/15/14 (d)

 

 

2,010

 

 

2,159,460

 

 

 

 

 

 

 

3,218,560

 

Total Municipal Bonds Transferred to Tender Option
Bond (TOB) Trusts – 10.4%

 

 

 

 

 

3,218,560

 

Total Long-Term Investments
(Cost – $48,990,638) – 162.9%

 

 

 

 

 

50,583,863

 

 

 

 

 

 

 

 

 

 

 

THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST

NOVEMBER 30, 2011

2

 

 

 

 

 

 

Schedule of Investments (concluded)

The Massachusetts Health & Education Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BIF Massachusetts Municipal Money
Fund, 0.00% (e)(f)

 

 

7,635

 

$

7,635

 

Total Short-Term Securities
(Cost – $7,635) – 0.0%

 

 

 

 

 

7,635

 

Total Investments
(Cost - $48,998,273*) – 162.9%

 

 

 

 

 

50,591,498

 

Other Assets Less Liabilities – 2.6%

 

 

 

 

 

801,453

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (5.9)%

 

 

 

 

 

(1,840,204

)

AMPS, at Redemption Value – (59.6)%

 

 

 

 

 

(18,500,401

)

Net Assets Applicable to Common Shares – 100.0%

 

 

 

 

$

31,052,346

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of November 30, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

47,142,684

 

Gross unrealized appreciation

 

$

1,810,825

 

Gross unrealized depreciation

 

 

(202,215

)

Net unrealized appreciation

 

$

1,608,610

 

 

 

(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 TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction.

 

 

(c)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(d)

Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

 

 

(e)

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:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
August 31,
2011

 

Net
Activity

 


Shares
Held at
November 30,
2011

 

Income

 

 

 

BIF Massachusetts
Municipal Money
Fund

 

 

818,003

 

 

(810,368

)

 

7,635

 

$

—

 

 

 

(f)

Represents the current yield as of report date.

 

 

 

•

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine sector sub-classifications for reporting ease.

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

 

 

•

Level 1 — unadjusted 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)

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its annual report.

The following table summarizes the inputs used as of November 30, 2011 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

—

 

$

50,583,863

 

 

—

 

$

50,583,863

 

Short-Term
Securities

 

$

7,635

 

 

—

 

 

—

 

 

7,635

 

Total

 

$

7,635

 

$

50,583,863

 

 

—

 

$

50,591,498

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST

NOVEMBER 30, 2011

3

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 “1940 Act”)) are effective 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: January 23, 2012
   
  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: January 23, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    The Massachusetts Health & Education Tax-Exempt Trust
     
  Date: January 23, 2012