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: 07/01/06 - 09/30/06
Item 1 - Schedule of Investments
The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of September 30, 2006 (in Thousands)
Face
Amount Municipal Bonds Value
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Massachusetts - 154.9% $ 1,000 Massachusetts Bay Transportation Authority, Special Assessment Revenue Refunding Bonds,
Series A, 5% due 7/01/2015 (j) $1,092
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1,000 Massachusetts State College Building Authority, Project Revenue Bonds, Series A, 5% due
5/01/2031 (b) 1,060
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825 Massachusetts State College Building Authority, Project Revenue Refunding Bonds,
Series B, 5.50% due 5/01/2039 (m) 996
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1,100 Massachusetts State Development Finance Agency, Education Revenue Bonds (Belmont Hill
School), 5% due 9/01/2031 1,138
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400 Massachusetts State Development Finance Agency, Education Revenue Bonds (Middlesex
School Project), 5% due 9/01/2033 413
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250 Massachusetts State Development Finance Agency, Education Revenue Bonds (Xaverian
Brothers High School), 5.65% due 7/01/2029 258
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1,000 Massachusetts State Development Finance Agency, Educational Facility Revenue Bonds
(Academy of the Pacific Rim), Series A, 5.125% due 6/01/2031 (a) 1,039
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855 Massachusetts State Development Finance Agency, First Mortgage Revenue Bonds (Edgecombe
Project), Series A, 6.75% due 7/01/2021 928
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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 881
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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 (k) 1,290
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500 Massachusetts State Development Finance Agency, Human Service Provider Revenue Bonds
(Seven Hills Foundation & Affiliates), 5% due 9/01/2035 (k) 517
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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 889
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1,000 Massachusetts State Development Finance Agency Revenue Bonds (Boston University),
Series T-1, 5% due 10/01/2039 (b) 1,048
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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 (c) 521
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500 Massachusetts State Development Finance Agency Revenue Bonds (Curry College), Series A,
5% due 3/01/2035 (a) 510
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400 Massachusetts State Development Finance Agency Revenue Bonds (Franklin W. Olin
College), Series B, 5.25% due 7/01/2033 (m) 423
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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 1,067
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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 427
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2,000 Massachusetts State Development Finance Agency Revenue Bonds (Smith College), 5% due
7/01/2035 2,095
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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)
HFA Housing Finance Agency
PCR Pollution Control Revenue Bonds
VRDN Variable Rate Demand Notes
The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of September 30, 2006 (in Thousands)
Face
Amount Municipal Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$ 500 Massachusetts State Development Finance Agency Revenue Bonds (Volunteers of America -
Ayer Limited Partnership), AMT, Series A, 6.20% due 2/20/2046 (i) $ 563
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1,000 Massachusetts State Development Finance Agency Revenue Bonds (WGBH Educational
Foundation), Series A, 5.375% due 1/01/2012 (b)(j) 1,093
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1,100 Massachusetts State Development Finance Agency Revenue Bonds (WGBH Educational
Foundation), Series A, 5.75% due 1/01/2042 (b) 1,376
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600 Massachusetts State Development Finance Agency Revenue Bonds (Western New England
College), 5.875% due 12/01/2012 (j) 666
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540 Massachusetts State Development Finance Agency Revenue Bonds (The Wheeler School),
6.50% due 12/01/2029 571
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500 Massachusetts State Development Finance Agency Revenue Bonds (Williston Northampton
School Project), 5% due 10/01/2025 (m) 530
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1,500 Massachusetts State Development Finance Agency, Revenue Refunding Bonds (Boston
University), Series P, 5.45% due 5/15/2059 1,664
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500 Massachusetts State Development Finance Agency, Revenue Refunding Bonds (Clark
University), 5.125% due 10/01/2035 (m) 532
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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 (c) 1,574
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1,000 Massachusetts State HFA, Housing Revenue Bonds, AMT, Series A, 5.25% due 12/01/2048 1,030
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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 1,061
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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 376
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1,000 Massachusetts State Health and Educational Facilities Authority Revenue Bonds
(Berkshire Health System), Series F, 5% due 10/01/2019 (c) 1,069
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500 Massachusetts State Health and Educational Facilities Authority Revenue Bonds
(Capital Asset Program), VRDN, Series E, 3.80% due 1/01/2035 (l) 500
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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 1,425
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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 803
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170 Massachusetts State Health and Educational Facilities Authority Revenue Bonds
(Partners Healthcare System), VRDN, Series D-6, 3.80% due 7/01/2017 (l) 170
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1,000 Massachusetts State Health and Educational Facilities Authority Revenue Bonds
(Simmons College), Series F, 5% due 10/01/2033 (f) 1,044
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500 Massachusetts State Health and Educational Facilities Authority Revenue Bonds
(University of Massachusetts Memorial Healthcare), Series D, 5% due 7/01/2033 507
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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 (f) 243
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1,285 Massachusetts State Health and Educational Facilities Authority Revenue Bonds
(Wheaton College), Series D, 6% due 1/01/2018 1,339
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The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of September 30, 2006 (in Thousands)
Face
Amount Municipal Bonds Value
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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 $ 898
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1,000 Massachusetts State Health and Educational Facilities Authority, Revenue Refunding
Bonds (Boston College), Series N, 5.125% due 6/01/2037 1,046
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200 Massachusetts State Health and Educational Facilities Authority, Revenue Refunding
Bonds (Capital Asset Program), VRDN, Series D, 3.73% due 1/01/2035 (l)(o) 200
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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 517
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800 Massachusetts State Health and Educational Facilities Authority, Revenue Refunding
Bonds (Covenant Health System), 6% due 7/01/2022 869
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400 Massachusetts State Health and Educational Facilities Authority, Revenue Refunding
Bonds (Covenant Health System), 6% due 7/01/2031 434
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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 506
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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 560
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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 542
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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 (e) 396
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1,500 Massachusetts State Health and Educational Facilities Authority, Revenue Refunding
Bonds (Wellesley College), 5% due 7/01/2033 1,566
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1,000 Massachusetts State Health and Educational Facilities Authority, Revenue Refunding
Bonds (Youville House), Series A, 6.25% due 2/15/2007 (g)(j) 1,030
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750 Massachusetts State Industrial Finance Agency, Health Care Facility Revenue Bonds
(Age Institute of Massachusetts Project), 8.05% due 11/01/2025 763
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1,500 Massachusetts State Industrial Finance Agency, PCR (General Motors Corporation), 5.55%
due 4/01/2009 1,487
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400 Massachusetts State Industrial Finance Agency Revenue Bonds (Wentworth Institute of
Technology), 5.75% due 10/01/2008 (j) 423
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340 Massachusetts State Industrial Finance Agency, Senior Living Facility Revenue Bonds
(Forge Hill Project), AMT, 6.75% due 4/01/2030 350
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2,000 Massachusetts State School Building Authority, Dedicated Sales Tax Revenue Bonds,
Series A, 5% due 8/15/2030 (h) 2,116
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1,000 Massachusetts State Water Pollution Abatement Trust, Pool Program Revenue Bonds,
Series 10, 5% due 8/01/2029 1,053
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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 (a)(j)(n) 455
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500 University of Massachusetts Building Authority, Project Revenue Refunding Bonds, Senior
Series 04-1, 5.125% due 11/01/2014 (b)(j) 549
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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 (d)(h) 1,472
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The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of September 30, 2006 (in Thousands)
Value
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Total Investments (Cost - $49,389*) - 159.4% $ 51,960
Other Assets Less Liabilities - 2.0% 637
Preferred Shares, at Redemption Value - (61.4%) (20,011)
--------
Net Assets Applicable to Common Shares - 100.0% $ 32,586
========
* The cost and unrealized appreciation (depreciation) of investments as of
September 30, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost $49,392
=======
Gross unrealized appreciation $ 2,568
Gross unrealized depreciation --
-------
Net unrealized appreciation $ 2,568
=======
(a) ACA Insured.
(b) AMBAC Insured.
(c) Assured Guaranty Insured.
(d) CIFG Insured.
(e) Connie Lee Insured.
(f) FGIC Insured.
(g) FHA Insured.
(h) FSA Insured.
(i) GNMA Collateralized.
(j) Prerefunded.
(k) Radian Insured.
(l) 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.
(m) XL Capital Insured.
(n) Represents a zero coupon bond; the interest rate shown reflects the
effective yield at the time of purchase.
(o) MBIA Insured.
o Swaps outstanding as of September 30, 2006 were as follows:
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Notional Amount Unrealized Depreciation
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Pay a fixed rate of 3.856% and receive a floating rate
based on 1-week Bond Market Association rate
Broker, JPMorgan Chase
Expires December 2016 $ 3,000 $ (31)
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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: November 17, 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: November 17, 2006
By: /s/ Donald C. Burke
-----------------------
Donald C. Burke
Chief Financial Officer
The Massachusetts Health & Education Tax-Exempt Trust
Date: November 17, 2006