<![CDATA[The Massachusetts Health & Education Tax-Exempt Trust]]>
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
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| Name of Fund: |
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The Massachusetts Health & Education Tax-Exempt Trust (MHE) |
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| Fund Address: |
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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: 08/31/2013
Date of reporting period: 11/30/2012
Item 1 – Schedule of Investments
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|
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| Schedule of Investments November 30,
2012 (Unaudited) |
|
The Massachusetts Health &
Education Tax-Exempt Trust (MHE) (Percentages shown are based on Net Assets) |
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| |
|
Par (000) |
|
|
Value |
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| Municipal Bonds |
|
|
|
|
|
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| Massachusetts — 136.0% |
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|
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|
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|
|
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| Education — 90.2% |
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|
|
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| Massachusetts Development Finance Agency, ERB, Middlesex School Project, 5.00%, 9/01/33 |
|
$ |
400 |
|
|
$ |
405,984 |
|
| Massachusetts Development Finance Agency, RB: |
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|
|
|
|
|
|
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| Boston University, Series T-1 (AMBAC), 5.00%, 10/01/39 |
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|
1,000 |
|
|
|
1,086,040 |
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| College Issue, Series B (Syncora), 5.25%, 7/01/33 |
|
|
860 |
|
|
|
879,763 |
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| College of Pharmacy & Allied Health, Series D (AGC), 5.00%, 7/01/27 |
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|
500 |
|
|
|
543,425 |
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| Foxborough Regional Charter School, Series A, 7.00%, 7/01/42 |
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|
250 |
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|
|
298,465 |
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| Mount Holyoke College, Series B, 5.00%, 7/01/41 |
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|
500 |
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|
|
576,005 |
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| Smith College, 5.00%, 7/01/35 |
|
|
2,000 |
|
|
|
2,184,360 |
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| Wellesley College, Series J, 5.00%, 7/01/42 |
|
|
2,400 |
|
|
|
2,890,416 |
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| WGBH Educational Foundation, Series A (AMBAC), 5.75%, 1/01/42 |
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|
650 |
|
|
|
915,525 |
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| Massachusetts Development Finance Agency, Refunding RB: |
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|
|
|
|
|
|
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| Boston University, Series P, 5.45%, 5/15/59 |
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|
1,500 |
|
|
|
1,865,460 |
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| Clark University (Syncora), 5.13%, 10/01/35 |
|
|
500 |
|
|
|
538,310 |
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| Emerson College, Series A, 5.00%, 1/01/40 |
|
|
200 |
|
|
|
216,330 |
|
| Harvard University, Series
B-1, 5.00%, 10/15/40 |
|
|
350 |
|
|
|
421,621 |
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| Northeastern University, 5.00%, 10/01/31 |
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|
500 |
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598,265 |
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| Trustees of Deerfield Academy, 5.00%, 10/01/40 |
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|
1,675 |
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1,990,938 |
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| Wheelock College, Series C, 5.25%, 10/01/37 |
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|
1,000 |
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|
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1,053,520 |
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| Williston Northampton School Project (Syncora), 5.00%, 10/01/25 |
|
|
500 |
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|
|
525,130 |
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| Worcester Polytechnic Institute (NPFGC), 5.00%, 9/01/27 |
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|
1,985 |
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|
|
2,267,207 |
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| Massachusetts Health & Educational Facilities Authority, Wheaton College, Series D, 6.00%, 1/01/18 |
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|
755 |
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|
755,815 |
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| Massachusetts Health & Educational Facilities Authority, RB: |
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| Northeastern University, Series R, 5.00%, 10/01/33 |
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|
225 |
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254,536 |
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| |
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Par
(000) |
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|
Value |
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| Municipal Bonds |
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| Massachusetts (continued) |
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| Education (concluded) |
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| Massachusetts Health & Educational Facilities Authority, RB (concluded): |
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| Tufts University, 5.38%, 8/15/38 |
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$ |
1,000 |
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|
$ |
1,224,090 |
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| Massachusetts Health & Educational Facilities Authority, Refunding RB: |
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| Berklee College of Music, Series A, 5.00%, 10/01/37 |
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1,000 |
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1,134,280 |
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| Boston College, Series N, 5.13%, 6/01/37 |
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|
1,000 |
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1,021,640 |
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| Harvard University, Series A, 5.50%, 11/15/36 |
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|
100 |
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124,199 |
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| Harvard University, Series B, 5.00%, 10/01/38 |
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|
400 |
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469,608 |
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| Northeastern University, Series T-1, 5.00%, 10/01/31 |
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|
950 |
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1,136,704 |
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| Northeastern University, Series T-2, 5.00%, 10/01/32 |
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|
500 |
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|
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593,515 |
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| Springfield College, 5.63%, 10/15/40 |
|
|
500 |
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|
|
559,865 |
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| Tufts University, Series M, 5.50%, 2/15/27 |
|
|
1,000 |
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|
|
1,380,800 |
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| Wellesley College, 5.00%, 7/01/33 |
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|
1,500 |
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1,535,685 |
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| Massachusetts State College Building Authority, RB, Series A (AMBAC), 5.00%, 5/01/16 (a) |
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|
1,000 |
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|
1,149,800 |
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| Massachusetts State College Building Authority, Refunding RB, Series B (Syncora), 5.50%, 5/01/39 |
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|
825 |
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1,182,415 |
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| |
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|
31,779,716 |
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| Health — 28.2% |
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| Massachusetts Development Finance Agency, RB: |
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| First Mortgage, Edgecombe Project, Series A, 6.75%, 7/01/21 |
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|
795 |
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|
804,810 |
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| Partners Healthcare, Series L, 5.00%, 7/01/36 |
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|
1,000 |
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|
1,164,360 |
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| Massachusetts Development Finance Agency, Refunding RB: |
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|
|
|
|
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| Berkshire Health System,
Series G, 5.00%, 10/01/29 |
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|
335 |
|
|
|
384,553 |
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| Carleton-Willard Village, 5.63%, 12/01/30 |
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|
500 |
|
|
|
563,170 |
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| Seven Hills Foundation & Affiliates (Radian), 5.00%, 9/01/35 |
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|
240 |
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|
|
241,330 |
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| Massachusetts Health & Educational Facilities Authority, RB: |
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| Berkshire Health System,
Series F (AGC), 5.00%, 10/01/19 |
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|
1,000 |
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|
|
1,091,630 |
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THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST |
|
NOVEMBER 30, 2012 |
|
1 |
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|
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| Schedule of Investments (continued) |
|
The Massachusetts Health &
Education Tax-Exempt Trust (MHE) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| |
|
Par
(000) |
|
|
Value |
|
| Municipal Bonds |
|
|
|
|
|
|
| Massachusetts (concluded) |
|
|
|
|
|
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|
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| Health (concluded) |
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| Massachusetts Health & Educational Facilities Authority, RB (concluded): |
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|
|
|
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|
|
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| Cape Cod Healthcare Obligated Group Issue, Series D (AGC), 5.00%, 11/15/31 |
|
$ |
1,000 |
|
|
$ |
1,112,790 |
|
| Children’s Hospital, Series M, 5.25%, 12/01/39 |
|
|
600 |
|
|
|
686,328 |
|
| Children’s Hospital, Series M, 5.50%, 12/01/39 |
|
|
500 |
|
|
|
581,165 |
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| Lahey Clinic Medical Center, Series D, 5.25%, 8/15/37 |
|
|
1,000 |
|
|
|
1,091,640 |
|
| Southcoast Health Obligation, Series D, 5.00%, 7/01/39 |
|
|
500 |
|
|
|
542,535 |
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| Massachusetts Health & Educational Facilities Authority, Refunding RB: |
|
|
|
|
|
|
|
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| Caregroup, Series E-1, 5.00%, 7/01/28 |
|
|
500 |
|
|
|
558,790 |
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| Winchester Hospital, 5.25%, 7/01/38 |
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|
1,000 |
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|
|
1,108,650 |
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|
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|
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| |
|
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|
|
|
|
9,931,751 |
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| Housing — 6.0% |
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|
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|
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| Massachusetts HFA, Refunding RB, AMT: |
|
|
|
|
|
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|
|
| Series C, 5.35%, 12/01/42 |
|
|
1,000 |
|
|
|
1,090,590 |
|
| Series F, 5.70%, 6/01/40 |
|
|
935 |
|
|
|
1,017,523 |
|
|
|
|
|
|
|
|
|
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| |
|
|
|
|
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|
2,108,113 |
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| State — 11.6% |
|
|
|
|
|
|
|
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| Massachusetts Bay Transportation Authority, Refunding RB, Senior Series A, 5.25%, 7/01/29 |
|
|
730 |
|
|
|
1,015,707 |
|
| Massachusetts State College Building Authority, RB, Series A, 5.50%, 5/01/39 |
|
|
2,500 |
|
|
|
3,056,800 |
|
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| |
|
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|
4,072,507 |
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| Total Municipal Bonds in Massachusetts |
|
|
|
47,892,087 |
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| Puerto Rico — 4.8% |
|
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| State — 4.8% |
|
|
|
|
|
|
|
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| Puerto Rico Sales Tax Financing Corp., RB, First Sub-Series A, 5.75%, 8/01/37 |
|
|
1,000 |
|
|
|
1,114,500 |
|
| Puerto Rico Sales Tax Financing Corp., Refunding RB, 6.00%, 8/01/39 |
|
|
510 |
|
|
|
587,306 |
|
| Total Municipal Bonds in Puerto Rico |
|
|
|
|
|
|
1,701,806 |
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| Total Municipal Bonds – 140.8% |
|
|
|
|
|
|
49,593,893 |
|
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|
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| |
|
Par
(000) |
|
|
Value |
|
Municipal Bonds Transferred to Tender Option
Bond (TOB) Trusts (b) |
|
|
|
|
| Massachusetts —
9.7% |
|
| State — 9.7% |
|
|
|
|
|
|
|
|
| Massachusetts School Building Authority, Sales Tax RB: |
|
|
|
|
|
|
|
|
| Senior, Series B, 5.00%, 10/15/41 |
|
$ |
1,000 |
|
|
$ |
1,196,090 |
|
| Series A (AGM), 5.00%, 8/15/30 (a) |
|
|
2,010 |
|
|
|
2,225,649 |
|
|
|
|
|
|
|
|
3,421,739 |
|
| Puerto Rico — 1.1% |
|
|
|
|
|
|
|
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| State — 1.1% |
|
|
|
|
|
|
|
|
| Puerto Rico Sales Tax Financing Corp., Sales Tax, Refunding RB, Series C, 5.25%, 8/01/40 |
|
|
340 |
|
|
|
382,531 |
|
| Total Municipal Bonds Transferred to Tender Option Bond (TOB) Trusts – 10.8% |
|
|
|
3,804,270 |
|
| Total Long-Term Investments
(Cost – $47,653,393) – 151.6% |
|
|
|
53,398,163 |
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|
|
|
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|
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|
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| Short-Term Securities |
|
|
|
|
|
|
|
|
| Massachusetts —
4.9% |
|
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|
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|
| Massachusetts Health & Educational Facilities Authority, RB, VRDN, Partners Healthcare System (e): |
|
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|
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| Series D, 0.17%, 12/06/12 |
|
|
1,420 |
|
|
|
1,420,000 |
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| Series P-2, 0.15%, 12/06/12 |
|
|
300 |
|
|
|
300,000 |
|
|
|
|
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|
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|
|
|
|
|
|
|
|
|
1,720,000 |
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| |
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|
Shares |
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|
|
|
|
| Money Market Fund —
0.0% |
|
| BIF Massachusetts Municipal Money Fund(c)(d) |
|
|
5 |
|
|
|
5 |
|
| Total Short-Term
Securities (Cost – $1,720,005) – 4.9% |
|
|
|
|
|
|
1,720,005 |
|
| Total Investments
(Cost - $49,373,398*) – 156.5% |
|
|
$ |
55,118,168 |
|
| Other Assets Less Liabilities – 1.7% |
|
|
|
603,651 |
|
| Liability for TOB Trust Certificates, Including Interest Expense and Fees
Payable – (5.7)% |
|
|
|
(2,010,584 |
) |
| VRDP Shares, at Liquidation Value – (52.5)% |
|
|
|
(18,500,000 |
) |
|
|
|
|
|
|
|
|
|
| Net Assets Applicable to Common
Shares – 100.0% |
|
|
$ |
35,211,235 |
|
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| |
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|
THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST |
|
NOVEMBER 30, 2012 |
|
2 |
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|
| Schedule of Investments (continued) |
|
The Massachusetts Health &
Education Tax-Exempt Trust (MHE) |
| * |
As of November 30, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:
|
|
|
|
|
|
|
|
|
|
Tax cost |
|
$ |
47,357,140 |
|
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
$ |
5,752,976 |
|
|
|
Gross unrealized depreciation |
|
|
(1,543) |
|
|
|
|
|
|
|
|
|
|
Net unrealized appreciation |
|
$ |
5,751,433 |
|
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|
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|
|
|
| (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) |
Investments in issuers considered to be an affiliate of the Trust during the period ended November 30, 2012, for purposes of Section 2(a)(3) of the Investment Company
Act of 1940, as amended, were as follows: |
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| |
|
Affiliate |
|
Shares
Held at
August 31,
2012 |
|
Net
Activity |
|
Shares
Held at
November 30,
2012 |
|
Income |
|
|
|
|
|
BIF Massachusetts Municipal Money Fund |
|
36,054 |
|
(36,049) |
|
5 |
|
$ — |
|
|
|
| (d) |
Represents the current yield as of report date. |
| (e) |
Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand. |
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 |
| NPFGC |
|
National Public Finance Guarantee Corp. |
| Radian |
|
Radian Financial Guaranty |
| RB |
|
Revenue Bonds |
| Syncora |
|
Syncora Guarantee |
| VRDN |
|
Variable Rate Demand Notes |
| |
• |
|
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 such sector sub-classifications for reporting ease.
|
| |
• |
|
Fair Value Measurements - Various inputs are used in determining the fair value of investments. These inputs to valuation techniques 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 that the Trust has the ability to access
|
| |
• |
|
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) |
The hierarchy gives the highest priority to
unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is
greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair
value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s
policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency
of the investment and is not necessarily an indication of the risks 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 Trust’s
investments categorized in the disclosure hierarchy as of November 30, 2012:
|
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|
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|
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| |
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|
Level 1 |
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Level 2 |
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Level 3 |
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|
Total |
|
| Assets: |
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
| Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long-Term |
|
|
— |
|
|
|
|
|
|
|
— |
|
|
|
|
|
| Investments1 |
|
|
|
|
|
$ |
53,398,163 |
|
|
|
|
|
|
$ |
53,398,163 |
|
| Short-Term Securities |
|
$ |
5 |
|
|
|
1,720,000 |
|
|
|
— |
|
|
|
1,720,005 |
|
|
|
|
|
|
| Total |
|
$ |
5 |
|
|
$ |
55,118,163 |
|
|
|
— |
|
|
$ |
55,118,168 |
|
|
|
|
|
|
| 1 |
See above Schedule of Investments for values in each sector.
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| |
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|
THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST |
|
NOVEMBER 30, 2012 |
|
3 |
|
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| Schedule of Investments (concluded) |
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The Massachusetts Health &
Education Tax-Exempt Trust (MHE) |
Certain of the Trust’s liabilities are held at carrying amount, which approximates fair value for financial
reporting purposes. As of November 30, 2012, such liabilities are categorized within the disclosure hierarchy as follows:
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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| Liabilities: |
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| TOB trust certificates |
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— |
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$ |
(2,009,595 |
) |
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— |
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$ |
(2,009,595 |
) |
| VRDP Shares |
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— |
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(18,500,000 |
) |
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— |
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(18,500,000 |
) |
| Total |
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— |
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$ |
(20,509,595 |
) |
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— |
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|
$ |
(20,509,595 |
) |
There were no transfers between levels during the period ended November 30, 2012.
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THE MASSACHUSETTS HEALTH & EDUCATION TAX-EXEMPT TRUST |
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NOVEMBER 30, 2012 |
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4 |
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| Item 2 – Controls and Procedures |
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| 2(a) – |
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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. |
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| 2(b) – |
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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. |
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| Item 3 – Exhibits |
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| 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
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| By: |
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/s/ John M. Perlowski |
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John M. Perlowski |
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Chief Executive Officer (principal executive officer) of |
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The Massachusetts Health & Education Tax-Exempt Trust |
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| Date: |
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January 23, 2013 |
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.
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| By: |
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/s/ John M. Perlowski |
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John M. Perlowski |
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Chief Executive Officer (principal executive officer) of |
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The Massachusetts Health & Education Tax-Exempt Trust |
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| Date: |
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January 23, 2013 |
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| By: |
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/s/ Neal J. Andrews |
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Neal J. Andrews |
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Chief Financial Officer (principal financial officer) of |
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The Massachusetts Health & Education Tax-Exempt Trust |
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| Date: |
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January 23, 2013 |