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: Donald C. Burke, 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: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2008
Date of reporting period: 01/01/2008 - 03/31/2008
Item 1 - Schedule of Investments
The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of March 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Municipal Bonds (000) Value
---------------------------------------------------------------------------------------------------------------------------------
Massachusetts - 166.2% Massachusetts State College Building Authority, Project Revenue
Bonds, Series A, 5%, 5/01/31 (a) $ 1,000 $ 997,240
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Massachusetts State College Building Authority, Project Revenue Refunding
Bonds, Series B, 5.50%, 5/01/39 (b) 825 873,073
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Massachusetts State Development Finance Agency, Education Revenue Bonds
(Belmont Hill School), 5%, 9/01/11 (c) 1,100 1,193,830
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Massachusetts State Development Finance Agency, Education Revenue Bonds
(Middlesex School Project), 5%, 9/01/33 400 388,220
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, Education Revenue Bonds
(Xaverian Brothers High School), 5.65%, 7/01/29 250 243,345
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, Educational Facility
Revenue Bonds (Academy of the Pacific Rim), 1,000 808,890
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, First Mortgage Revenue
Bonds (Edgecombe Project), Series A, 6.75%, 7/01/21 855 913,585
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, First Mortgage Revenue
Bonds (Overlook Communities Inc.), Series A, 6.125%, 7/01/24 850 799,145
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, First Mortgage Revenue
Refunding Bonds (Symmes Life Care, Inc. - Brookhaven at Lexington),
Series A, 5%, 3/01/35 (e) 1,250 1,171,000
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, Human Service Provider
Revenue Bonds (Seven Hills Foundation & Affiliates), 5%, 9/01/35 (e) 500 453,005
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, Resource Recovery Revenue
Bonds (Ogden Haverhill Associates), AMT, Series A, 6.70%, 12/01/14 695 716,941
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency Revenue Bonds (Boston
University), Series T-1, 5%, 10/01/39 (a) 1,000 979,030
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency Revenue Bonds (College of
Pharmacy and Allied Health Services), Series D,
5%, 7/01/27 (f) 500 501,470
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency Revenue Bonds (Franklin W.
Olin College), Series B, 5.25%, 7/01/33 (b) 400 389,060
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency Revenue Bonds (Linden Ponds,
Inc. Facility), Series A, 5.75%, 11/15/35 1,000 862,660
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 March 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Municipal Bonds (000) Value
---------------------------------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency Revenue Bonds
(Massachusetts College of Pharmacy and Health Sciences), 5.75%,
7/01/13 (c) $ 1,000 $1,143,260
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Massachusetts State Development Finance Agency Revenue Bonds
(Massachusetts Council of Human Service Providers, Inc.),
Series C, 6.60%, 8/15/29 425 387,460
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency Revenue Bonds
(Smith College), 5%, 7/01/35 2,000 1,991,000
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Massachusetts State Development Finance Agency Revenue Bonds
(Volunteers of America - Ayer Limited Partnership), AMT,
Series A, 6.20%, 2/20/46 (g) 495 505,821
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency Revenue Bonds
(WGBH Educational Foundation), Series A, 5.75%, 1/01/42 (a) 1,100 1,227,908
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency Revenue Bonds
(Western New England College), 5.875%, 12/01/12 (c) 600 657,066
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency Revenue Bonds
(The Wheeler School), 6.50%, 12/01/29 540 546,901
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Massachusetts State Development Finance Agency Revenue Bonds
(Williston Northampton School Project), 5%, 10/01/25 (b) 500 480,275
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency Revenue Bonds
(Worcester Polytechnic Institute), 5%, 9/01/27 (h) 1,985 1,996,771
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, Revenue Refunding
Bonds (Boston University), Series P, 5.45%, 5/15/59 1,500 1,405,005
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, Revenue Refunding
Bonds (Clark University), 5.125%, 10/01/35 (b) 500 491,675
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, Revenue Refunding
Bonds (Western New England College), Series A, 5%, 9/01/33 (f) 1,500 1,470,330
---------------------------------------------------------------------------------------------------------
Massachusetts State Development Finance Agency, Revenue Refunding Bonds
(Wheelock College), Series C, 5.25%, 10/01/37 1,000 881,860
---------------------------------------------------------------------------------------------------------
Massachusetts State, HFA, Housing Revenue Bonds, AMT, Series A,
5.25%, 12/01/48 1,000 902,920
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Massachusetts State Health and Educational Facilities Authority,
Healthcare System Revenue Refunding Bonds (Covenant Health System),
6%, 1/01/12 (c) 170 190,116
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority,
Healthcare System Revenue Refunding Bonds (Covenant Health System),
6%, 1/01/12 (c)(i) 85 95,058
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority,
Healthcare System Revenue Refunding Bonds (Covenant Health System),
6%, 7/01/22 630 660,662
---------------------------------------------------------------------------------------------------------
The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of March 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Municipal Bonds (000) Value
---------------------------------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority,
Healthcare System Revenue Refunding Bonds (Covenant Health System),
6%, 7/01/31 $ 315 $ 321,709
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Baystate Medical Center), Series F, 5.75%, 7/01/33 1,000 1,008,890
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Berkshire Health System), Series E, 6.25%, 10/01/31 350 358,904
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Berkshire Health System), Series F, 5%, 10/01/19 (f) 1,000 1,042,190
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Harvard University), Series FF, 5.125%, 7/15/37 1,350 1,353,240
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Lahey Clinic Medical Center), Series D, 5.25%, 8/15/37 1,000 979,410
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Milford-Whitinsville Hospital), Series D, 6.35%, 7/15/12 (c) 750 856,283
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Partners Healthcare System), VRDN, Series D-5,
1.15%, 7/01/17 (j) 100 100,000
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Partners Healthcare System), VRDN, Series P-1,
1.90%, 7/01/27 (j)(k) 1,300 1,300,000
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Simmons College), Series F, 5%, 10/01/13 (c)(l) 1,000 1,102,580
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (University of Massachusetts), Series C, 5.125%, 10/01/34 (l) 230 227,534
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Wheaton College), Series D, 6%, 1/01/18 1,130 1,142,385
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Bay Cove Human Services Issue), Series A,
5.90%, 4/01/28 775 732,460
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Berklee College of Music), Series A, 5%, 10/01/37 1,000 961,260
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Boston College), Series N, 5.125%, 6/01/37 1,000 1,001,050
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Christopher House), Series A, 6.875%, 1/01/29 490 479,607
---------------------------------------------------------------------------------------------------------
The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of March 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Municipal Bonds (000) Value
---------------------------------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority,
Revenue Refunding Bonds (Learning Center For Deaf Children),
Series C, 6.125%, 7/01/29 $ 495 $ 473,992
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority,
Revenue Refunding Bonds (Massachusetts Institute of Technology),
Series L, 5%, 7/01/23 500 532,465
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority,
Revenue Refunding Bonds (Partners Healthcare System), Series C,
5.75%, 7/01/11 (c) 480 530,587
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority,
Revenue Refunding Bonds (Partners Healthcare System), Series C,
5.75%, 7/01/32 20 20,487
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority,
Revenue Refunding Bonds (Valley Regional Health System), Series C,
5.75%, 7/01/18 (m) 395 395,565
---------------------------------------------------------------------------------------------------------
Massachusetts State Health and Educational Facilities Authority,
Revenue Refunding Bonds (Wellesley College),
5%, 7/01/33 1,500 1,489,245
---------------------------------------------------------------------------------------------------------
Massachusetts State Industrial Finance Agency, Health Care Facility
Revenue Bonds (Age Institute of Massachusetts Project), 8.05%,
11/01/25 715 720,341
---------------------------------------------------------------------------------------------------------
Massachusetts State Industrial Finance Agency, PCR (General Motors
Corporation), 5.55%, 4/01/09 1,500 1,481,745
---------------------------------------------------------------------------------------------------------
Massachusetts State Industrial Finance Agency Revenue Bonds (Wentworth
Institute of Technology), 5.75%, 10/01/08 (c) 400 415,780
---------------------------------------------------------------------------------------------------------
Massachusetts State Industrial Finance Agency, Senor Living Facility
Revenue Bonds (Forge Hill Project), AMT, 6.75%, 4/01/08 (c) 340 346,800
---------------------------------------------------------------------------------------------------------
Massachusetts State School Building Authority, Dedicated Sales Tax
Revenue Bonds, Series A, 5%, 8/15/30 (k) 2,000 2,013,360
---------------------------------------------------------------------------------------------------------
Rail Connections, Inc., Massachusetts, Capital Appreciation Revenue
Bonds (Route 128 Parking Garage), Series B, 6.53%, 7/01/09 (c)(d)(n) 1,000 488,350
---------------------------------------------------------------------------------------------------------
University of Massachusetts Building Authority, Project Revenue
Refunding Bonds, Senior Series 04-1, 5.125%, 11/01/14 (a)(d) 500 556,810
---------------------------------------------------------------------------------------------------------
Total Municipal Bonds (Cost - $48,888,561*) - 166.2% 48,757,611
Other Assets Less Liabilities - 2.1% 627,645
Preferred Shares, at Redemption Value - (68.3%) (20,038,611)
-----------
Net Assets Applicable to Common Shares - 100.0% $29,346,645
===========
The Massachusetts Health & Education Tax-Exempt Trust
Schedule of Investments as of March 31, 2008 (Unaudited)
* The cost and unrealized appreciation (depreciation) of investments as of
March 31, 2008, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 48,891,202
============
Gross unrealized appreciation $ 1,168,007
Gross unrealized depreciation (1,301,598)
------------
Net unrealized depreciation $ (133,591)
============
(a) AMBAC Insured.
(b) XL Capital Insured.
(c) U.S. government securities, held in escrow, are used to pay interest on
this security, as well as retire the bond in full at the date indicated,
typically at a premium to par.
(d) ACA Insured.
(e) Radian Insured.
(f) Assured Guaranty Insured.
(g) GNMA Collateralized.
(h) MBIA Insured.
(i) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(j) Variable rate security. Rate shown is interest rate as of report date.
(k) FSA Insured.
(l) FGIC Insured.
(m) Connie Lee Insured.
(n) Represents a zero coupon bond; the interest rate shown reflects the
effective yield at the time of purchase.
o Forward interest rate swap outstanding as of March 31, 2008 was as
follows:
--------------------------------------------------------------------------
Notional
Amount Unrealized
(000) Appreciation
--------------------------------------------------------------------------
Pay a fixed rate of 3.509% and receive a
floating rate based on 1-week (SIMFA)
Municipal Swap Index Rate
Broker, JPMorgan Chase
Expires June 2023 $2,500 $1,248
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The Massachusetts Health & Education Tax-Exempt Trust
o Effective January 1, 2008, The Massachusetts Health & Education Tax-Exempt
Trust (the "Trust") adopted FASB Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"). FAS 157
clarifies the definition of fair value, establishes a framework for
measuring fair values and requires additional disclosures about the use of
fair value measurements. Various inputs are used in determining the fair
value of investments, which are as follows:
o Level 1 - price quotations in active markets/exchanges for
identical securities
o Level 2 - other observable inputs (including, but not limited
to: quoted prices for 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)
o Level 3 - unobservable inputs based on the best information
available in the circumstance, to the extent observable inputs
are not available (including the Trust's own assumptions used
in determining the fair value of investments)
The inputs or methodology 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 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 March 31, 2008 in
determining the fair valuation of the Trust's investments:
--------------------------------------------------------------------------
Valuation Investments in Other Financial
Inputs Securities Instruments*
--------------------------------------------------------------------------
Level 1 0 0
Level 2 $48,757,611 $ 1,248
Level 3 0 0
--------------------------------------------------------------------------
Total $48,757,611 $ 1,248
==========================================================================
*Other financial instruments are derivative instruments not reflected in
the Schedule of Investments, such as swaps, which are valued at the
unrealized appreciation/depreciation on the investment.
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/ Donald C. Burke
-----------------------
Donald C. Burke
Chief Executive Officer of
The Massachusetts Health & Education Tax-Exempt Trust
Date: May 22, 2008
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/ Donald C. Burke
-----------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
The Massachusetts Health & Education Tax-Exempt Trust
Date: May 22, 2008
By: /s/ Neal J. Andrews
-----------------------
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
The Massachusetts Health & Education Tax-Exempt Trust
Date: May 22, 2008