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 M. Loffredo, President, 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: 12/31/04 Date of reporting period: 07/01/04 - 09/30/04 Item 1 - Schedule of Investments The Massachusetts Health & Education Tax-Exempt Trust Schedule of Investments as of September 30, 2004 (unaudited) (in Thousands) S&P Moody's Face Ratings Ratings Amount Municipal Bonds Value ----------------------------------------------------------------------------------------------------------------------------------- Massachusetts - 128.9% ----------------------------------------------------------------------------------------------------------------------------------- Massachusetts State College Building Authority, Project Revenue Refunding Bonds, Series B:(i) AAA Aaa $ 1,300 4.61%** due 5/01/2021 $ 598 AAA Aaa 825 5.50% due 5/01/2039 931 ----------------------------------------------------------------------------------------------------------------------------------- Massachusetts State Development Finance Agency, Revenue Bonds: AAA Aaa 400 (Franklin W. Olin College), Series B, 5.25% due 7/01/2033(i) 415 BBB NR* 1,000 (Massachusetts College of Pharmacy and Health Sciences), 5.75% due 7/01/2033 1,034 NR* NR* 425 (Massachusetts Council of Human Service Providers, Inc.), Series C, 6.60% due 8/15/2029 382 BBB Baa2 400 (Suffolk University), 5.75% due 7/01/2019 419 AAA Aaa 700 (WGBH Educational Foundation), Series A, 5.375% due 1/01/2042(a) 741 AAA Aaa 1,100 (WGBH Educational Foundation), Series A, 5.75% due 1/01/2042(a) 1,287 BBB NR* 600 (Western New England College), 5.875% due 12/01/2022 631 BBB- NR* 540 (The Wheeler School), 6.50% due 12/01/2029 566 ----------------------------------------------------------------------------------------------------------------------------------- Massachusetts State Development Finance Agency, Education Revenue Bonds: NR* NR* 1,100 (Belmont Hill School), 5% due 9/01/2031 1,114 NR* A1 400 (Middlesex School Project), 5% due 9/01/2033 404 NR* Baa2 250 (Xaverian Brothers High School), 5.65% due 7/01/2029 256 ----------------------------------------------------------------------------------------------------------------------------------- BBB- NR* 855 Massachusetts State Development Finance Agency, First Mortgage Revenue Bonds 894 (Edgecombe Project), Series A, 6.75% due 7/01/2021 ----------------------------------------------------------------------------------------------------------------------------------- BBB NR* 825 Massachusetts State Development Finance Agency, Resource Recovery Revenue Bonds 892 (Ogden Haverhill Associates), AMT, Series A, 6.70% due 12/01/2014 ----------------------------------------------------------------------------------------------------------------------------------- Massachusetts State Development Finance Agency, Revenue Refunding Bonds: BBB+ A3 1,500 (Boston University), Series P, 5.45% due 5/15/2059 1,558 NR* NR* 240 (Odd Fellows Home of Massachusetts), 6.25% due 1/01/2015 223 ----------------------------------------------------------------------------------------------------------------------------------- Massachusetts State Health and Educational Facilities Authority, Revenue Bonds: AAA Aaa 800 (Bay State Medical Center), Series E, 6% due 7/01/2026(e) 860 A+ A1 1,000 (Bay State Medical Center), Series F, 5.75% due 7/01/2033 1,042 BBB+ NR* 350 (Berkshire Health System), Series E, 6.25% due 10/01/2031 362 NR* VMIG-1 1,000 (Capital Asset Program), VRDN, Series E, 1.64% due 1/01/2035(h) 1,000 AA+ Aaa 1,500 (Daughters of Charity-Carney), Series D, 6.10% due 7/01/2006(g)*** 1,556 AAA Aaa 1,850 (Harvard University), Series FF, 5.125% due 7/15/2037 1,892 BBB- Baa2 1,000 (Milford-Whitinsville Hospital), Series D, 6.35% due 7/15/2032 1,033 AAA Aaa 500 (New England Medical Center Hospitals), Series H, 5% due 5/15/2022(c) 519 ----------------------------------------------------------------------------------------------------------------------------------- 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) FHA Federal Housing Administration PCR Pollution Control Revenue Bonds VRDN Variable Rate Demand Notes The Massachusetts Health & Education Tax-Exempt Trust Schedule of Investments as of September 30, 2004 (unaudited) (continued) (in Thousands) S&P Moody's Face Ratings Ratings Amount Municipal Bonds Value ----------------------------------------------------------------------------------------------------------------------------------- Massachusetts (concluded) ----------------------------------------------------------------------------------------------------------------------------------- AAA Aaa $ 1,000 (Simmons College), Series F, 5% due 10/01/2033(c) $ 1,020 AAA Aaa 230 (University of Massachusetts), Series C, 5.125% due 10/01/2034(c) 237 NR* NR* 1,420 (Wheaton College), Series D, 6% due 1/01/2018*** 1,521 NR* Aa2 1,000 (Youville House - FHA Insured Project), Series A, 6.25% due 2/15/2007(d)(g) 1,116 ----------------------------------------------------------------------------------------------------------------------------------- Massachusetts State Health and Educational Facilities Authority, Revenue Refunding Bonds: AAA Aaa 1,225 (Addison Gilbert Hospital), Series C, 5.75% due 7/01/2023(f) 1,241 NR* Ba2 885 (Bay Cove Human Services Issue), Series A, 5.90% due 4/01/2028 849 AAA Aaa 1,000 (Berkshire Health System), Series D, 6% due 10/01/2019(f) 1,057 AA- Aa3 1,500 (Boston College), Series N, 5.125% due 6/01/2037 1,538 A-1+ VMIG-1 200 (Capital Asset Program), VRDN, Series C, 1.14% due 7/01/2010(f)(h) 200 NR* VMIG-1 600 (Capital Asset Program), VRDN, Series C, 1.62% due 1/01/2035(f)(h) 600 NR* NR* 500 (Christopher House), Series A, 6.875% due 1/01/2029 483 A- NR* 800 (Covenant Health System), 6% due 7/01/2022 854 A- NR* 400 (Covenant Health System), 6% due 7/01/2031 419 BB Ba2 495 (Learning Center For Deaf Children), Series C, 6.125% due 7/01/2029 481 AAA Aaa 500 (Massachusetts Institute of Technology), Series L, 5% due 7/01/2023 549 BBB NR* 500 (Milton Hospital), Series C, 5.50% due 7/01/2016 502 AAA Aaa 100 (Partners Healthcare System), Series A, 5.375% due 7/01/2024(f) 105 AA- Aa3 1,000 (Partners Healthcare System), Series C, 5.75% due 7/01/2032 1,077 AAA NR* 395 (Valley Regional Health System), Series C, 5.75% due 7/01/2018(b) 404 AA+ Aa1 1,750 (Wellesley College), 5% due 7/01/2033 1,786 ----------------------------------------------------------------------------------------------------------------------------------- NR* NR* 750 Massachusetts State Industrial Finance Agency, Health Care Facility Revenue Bonds 749 (Age Institute of Massachusetts Project), 8.05% due 11/01/2025 ----------------------------------------------------------------------------------------------------------------------------------- BBB Baa1 1,500 Massachusetts State Industrial Finance Agency, 1,502 PCR (General Motors Corporation), 5.55% due 4/01/2009 ----------------------------------------------------------------------------------------------------------------------------------- NR* Baa1 400 Massachusetts State Industrial Finance Agency, Revenue Bonds 413 (Wentworth Institute of Technology), 5.75% due 10/01/2028 ----------------------------------------------------------------------------------------------------------------------------------- NR* NR* 340 Massachusetts State Industrial Finance Agency, Senior Living Facility Revenue Bonds 322 (Forge Hill Project), AMT, 6.75% due 4/01/2030 ----------------------------------------------------------------------------------------------------------------------------------- AAA Aaa 500 Massachusetts State Water Resource Authority, General Revenue Refunding Bonds, 556 Series A, 5.75% due 8/01/2039 (c) ----------------------------------------------------------------------------------------------------------------------------------- A Aaa 1,000 Rail Connections, Inc., Massachusetts, Capital Appreciation Revenue Bonds 435 (Route 128 Parking Garage), Series B, 6.53%** due 7/01/2009(g)(j) ----------------------------------------------------------------------------------------------------------------------------------- AAA Aaa 1,000 University of Massachusetts Building Authority, Project Revenue Refunding Bonds, 1,033 Senior Series 04-1, 5.125% due 11/01/2034(a) ----------------------------------------------------------------------------------------------------------------------------------- Total Municipal Bonds (Cost - $39,970) - 128.9% 41,658 ----------------------------------------------------------------------------------------------------------------------------------- Total Investments (Cost - $39,970****) - 128.9% 41,658 Other Assets Less Liabilities - 2.0% 665 Preferred Stocks, at Redemption Value, Including Dividends Payable - (30.9%) (10,003) -------- Net Assets Applicable to Common Stock - 100.0% $ 32,320 ======== The Massachusetts Health & Education Tax-Exempt Trust Schedule of Investments as of September 30, 2004 (unaudited)(concluded) (in Thousands) (a) AMBAC Insured. (b) Connie Lee Insured. (c) FGIC Insured. (d) FHA Insured. (e) FSA Insured. (f) MBIA Insured. (g) Prerefunded. (h) The interest rate is subject to change periodically based upon prevailing market rates. The interest rate shown is the rate in effect at September 30, 2004. (i) XLCA Insured. (j) ACA Insured. * Not Rated. ** Represents a zero coupon bond; the interest rate shown reflects the effective yield at the time of the purchase by the Trust. *** Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At September 30, 2004, the value of these securities amounted to $3,076,928 or 9.5% of total net assets. **** The cost and unrealized appreciation/depreciation of investments as of September 30, 2004, as computed for federal income tax purposes, were as follows: Aggregate cost $ 39,958 ======== Gross unrealized appreciation $ 1,800 Gross unrealized depreciation (100) -------- Net unrealized appreciation $ 1,700 ======== 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 M. Loffredo --------------------------------- John M. Loffredo, President The Massachusetts Health & Education Tax-Exempt Trust Date: November 19, 2004 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. Loffredo --------------------------------- John M. Loffredo President The Massachusetts Health & Education Tax-Exempt Trust Date: November 19, 2004 By: /s/ Donald C. Burke --------------------------------- Donald C. Burke Chief Financial Officer The Massachusetts Health & Education Tax-Exempt Trust Date: November 19, 2004