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
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: John Loffredo, Chief Executive Officer,
The Massachusetts Health & Education Tax-Exempt Trust, 800 Scudders Mill
Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ
08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/2006
Date of reporting period: 01/01/06 - 03/31/06
Item 1 - Schedule of Investments
The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of March 31, 2006 (in Thousands)
Face
Amount Municipal Bonds Value
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Massachusetts - 156.5% $ 1,000 Massachusetts Bay Transportation Authority, Special Assessment Revenue
Refunding Bonds, Series A, 5% due 7/01/2031 $ 1,041
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825 Massachusetts State College Building Authority, Project Revenue Refunding
Bonds, Series B, 5.50% due 5/01/2039 (i) 959
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1,100 Massachusetts State Development Finance Agency, Education Revenue Bonds
(Belmont Hill School), 5% due 9/01/2031 1,123
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400 Massachusetts State Development Finance Agency, Education Revenue Bonds
(Middlesex School Project), 5% due 9/01/2033 407
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250 Massachusetts State Development Finance Agency, Education Revenue Bonds
(Xaverian Brothers High School), 5.65% due 7/01/2029 257
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855 Massachusetts State Development Finance Agency, First Mortgage Revenue Bonds
(Edgecombe Project), Series A, 6.75% due 7/01/2021 911
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850 Massachusetts State Development Finance Agency, First Mortgage Revenue Bonds
(Overlook Communities Inc.), Series A, 6.125% due 7/01/2024 871
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1,250 Massachusetts State Development Finance Agency, First Mortgage Revenue
Refunding Bonds (Symmes Life Care, Inc. - Brookhaven at Lexington),
Series A, 5% due 3/01/2035 (l) 1,274
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500 Massachusetts State Development Finance Agency, Human Service Provider
Revenue Bonds (Seven Hills Foundation & Affiliates), 5% due 9/01/2035 (l) 508
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825 Massachusetts State Development Finance Agency, Resource Recovery Revenue
Bonds (Ogden Haverhill Associates), AMT, Series A, 6.70% due 12/01/2014 894
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1,000 Massachusetts State Development Finance Agency Revenue Bonds (Boston
University), Series T-1, 5% due 10/01/2039 (a) 1,032
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500 Massachusetts State Development Finance Agency Revenue Bonds (College of
Pharmacy and Allied Health Services), Series D, 5% due 7/01/2027 (m) 515
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500 Massachusetts State Development Finance Agency Revenue Bonds (Curry
College), Series A, 5% due 3/01/2035 (j) 502
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400 Massachusetts State Development Finance Agency Revenue Bonds (Franklin W.
Olin College), Series B, 5.25% due 7/01/2033 (i) 420
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1,000 Massachusetts State Development Finance Agency Revenue Bonds (Massachusetts
College of Pharmacy and Health Sciences), 5.75% due 7/01/2033 1,052
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425 Massachusetts State Development Finance Agency Revenue Bonds (Massachusetts
Council of Human Service Providers, Inc.), Series C, 6.60% due 8/15/2029 424
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2,000 Massachusetts State Development Finance Agency Revenue Bonds (Smith
College), 5% due 7/01/2035 2,066
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500 Massachusetts State Development Finance Agency Revenue Bonds (Volunteers of
America - Ayer Limited Partnership), AMT, Series A, 6.20% due 2/20/2046 (k) 553
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Portfolio
Abbreviations
To simplify the listings of The Massachusetts Health & Education Tax-Exempt
Trust's portfolio holdings in the Schedule of Investments, we have abbreviated
the names of many of the securities according to the list below.
AMT Alternative Minimum Tax (subject to)
IFA Industrial Finance Agency
PCR Pollution Control Revenue Bonds
VRDN Variable Rate Demand Notes
The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of March 31, 2006 (in Thousands)
Face
Amount Municipal Bonds Value
----------------------------------------------------------------------------------------------------------------------------------
$ 1,000 Massachusetts State Development Finance Agency Revenue Bonds (WGBH
Educational Foundation), Series A, 5.375% due 1/01/2012 (a)(g) $ 1,067
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1,100 Massachusetts State Development Finance Agency Revenue Bonds (WGBH
Educational Foundation), Series A, 5.75% due 1/01/2042 (a) 1,325
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600 Massachusetts State Development Finance Agency Revenue Bonds (Western New
England College), 5.875% due 12/01/2012 (g) 661
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540 Massachusetts State Development Finance Agency Revenue Bonds (The Wheeler
School), 6.50% due 12/01/2029 570
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500 Massachusetts State Development Finance Agency Revenue Bonds (Williston
Northampton School Project), 5% due 10/01/2025 (i) 520
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1,500 Massachusetts State Development Finance Agency, Revenue Refunding Bonds
(Boston University), Series P, 5.45% due 5/15/2059 1,579
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500 Massachusetts State Development Finance Agency, Revenue Refunding Bonds
(Clark University), 5.125% due 10/01/2035 (i) 524
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1,500 Massachusetts State Development Finance Agency, Revenue Refunding Bonds
(Western New England College), Series A, 5% due 9/01/2033 (m) 1,543
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800 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Baystate Medical Center), Series E, 6% due 7/01/2006 (e)(g) 821
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1,000 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Baystate Medical Center), Series F, 5.75% due 7/01/2033 1,049
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350 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Berkshire Health System), Series E, 6.25% due 10/01/2031 368
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690 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Capital Asset Program), VRDN, Series E, 3.11% due 1/01/2035 (h) 690
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1,500 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Daughters of Charity-Carney), Series D, 6.10% due 7/01/2006 (g) 1,510
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1,350 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Harvard University), Series FF, 5.125% due 7/15/2037 1,410
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750 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Milford-Whitinsville Hospital), Series D, 6.35% due 7/15/2032 790
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1,000 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Partners Healthcare System), VRDN, Series D-6, 3.14% due 7/01/2017
(h) 1,000
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1,000 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Simmons College), Series F, 5% due 10/01/2033 (c) 1,032
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1,000 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (University of Massachusetts Memorial Healthcare), Series D, 5%
due 7/01/2033 990
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230 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (University of Massachusetts), Series C, 5.125% due 10/01/2034 (c) 238
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1,285 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Wheaton College), Series D, 6% due 1/01/2018 1,342
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885 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Bay Cove Human Services Issue), Series A, 5.90%
due 4/01/2028 893
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The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of March 31, 2006 (in Thousands)
Face
Amount Municipal Bonds Value
----------------------------------------------------------------------------------------------------------------------------------
$ 1,000 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Boston College), Series N, 5.125% due 6/01/2037 $ 1,034
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500 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Christopher House), Series A, 6.875% due 1/01/2029 502
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800 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Covenant Health System), 6% due 7/01/2022 857
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400 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Covenant Health System), 6% due 7/01/2031 424
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495 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Learning Center for Deaf Children), Series C, 6.125%
due 7/01/2029 499
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500 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Massachusetts Institute of Technology), Series L, 5%
due 7/01/2023 545
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100 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Partners Healthcare System), Series A, 5.375%
due 7/01/2024 (f) 103
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500 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Partners Healthcare System), Series C, 5.75% due 7/01/2032 539
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395 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Valley Regional Health System), Series C, 5.75%
due 7/01/2018 (b) 397
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1,500 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Wellesley College), 5% due 7/01/2033 1,548
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1,000 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Youville House - FHA Insured Project), Series A, 6.25%
due 2/15/2007 (d)(g) 1,041
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750 Massachusetts State, IFA, Health Care Facility Revenue Bonds (Age Institute
of Massachusetts Project), 8.05% due 11/01/2025 762
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1,500 Massachusetts State, IFA, PCR (General Motors Corporation), 5.55%
due 4/01/2009 1,376
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400 Massachusetts State, IFA Revenue Bonds (Wentworth Institute of Technology),
5.75% due 10/01/2008 (g) 426
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340 Massachusetts State, IFA, Senior Living Facility Revenue Bonds (Forge Hill
Project), AMT, 6.75% due 4/01/2030 343
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2,000 Massachusetts State School Building Authority, Dedicated Sales Tax Revenue
Bonds, Series A, 5% due 8/15/2030 (e) 2,091
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1,000 Massachusetts State Water Pollution Abatement Trust, Pool Program Revenue
Bonds, Series 10, 5% due 8/01/2029 1,040
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1,000 Rail Connections, Inc., Massachusetts, Capital Appreciation Revenue Bonds
(Route 128 Parking Garage), Series B, 6.53%** due 7/01/2009 (g)(j) 447
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750 University of Massachusetts Building Authority, Project Revenue Refunding
Bonds, Senior Series 04-1, 5.125% due 11/01/2014 (a)(g) 783
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Puerto Rico - 4.5% 1,285 Puerto Rico Public Buildings Authority, Government Facilities Revenue
Refunding Bonds, Series F, 5.25% due 7/01/2025 (e)(n)(o) 1,426
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Total Investments (Cost - $49,273*) - 161.0% 50,914
Other Assets Less Liabilities - 2.3% 720
Preferred Shares, at Redemption Value - (63.3%) (20,008)
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Net Assets Applicable to Common Shares - 100.0% $ 31,626
==========
The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of March 31, 2006 (in Thousands)
* The cost and unrealized appreciation (depreciation) of investments as of
March 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 49,275
=========
Gross unrealized appreciation $ 1,699
Gross unrealized depreciation (60)
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Net unrealized appreciation $ 1,639
=========
** Represents a zero coupon bond; the interest rate shown reflects the
effective yield at the time of purchase.
(a) AMBAC Insured.
(b) Connie Lee Insured.
(c) FGIC Insured.
(d) FHA Insured.
(e) FSA Insured.
(f) MBIA Insured.
(g) Prerefunded.
(h) Security may have a maturity of more than one year at time of issuance,
but has variable rate and demand features that qualify it as a short-term
security. The rate disclosed is that currently in effect. This rate
changes periodically based upon prevailing market rates.
(i) XL Capital Insured.
(j) ACA Insured.
(k) GNMA Collateralized.
(l) Radian Insured.
(m) Assured Guaranty Insured.
(n) CIFG Insured.
(o) Tradable Custodial Receipts (TRACERS).
o Swaps outstanding as of March 31, 2006 were as follows:
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Notional Unrealized
Amount Appreciation
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Pay a fixed rate of 4.069% and receive a floating rate based on
a 1-week Bond Market Association rate
Broker, JPMorgan Chase Bank
Expires June 2021 $ 5,000 $ 44
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Item 2 - Controls and Procedures
2(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to the
filing date of this report.
2(b) - There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the last fiscal quarter of the period
covered by this report that has materially affected, or is 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 Loffredo
-----------------------------
John Loffredo
Chief Executive Officer
The Massachusetts Health & Education Tax-Exempt Trust
Date: May 22, 2006
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 Loffredo
-----------------------------
John Loffredo
Chief Executive Officer
The Massachusetts Health & Education Tax-Exempt Trust
Date: May 22, 2006
By: /s/ Donald C. Burke
-----------------------------
Donald C. Burke
Chief Financial Officer
The Massachusetts Health & Education Tax-Exempt Trust
Date: May 22, 2006