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, 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: 12/31/05 Date of reporting period: 07/01/05 - 09/30/05 Item 1 - Schedule of Investments The Massachusetts Health & Education Tax-Exempt Trust Schedule of Investments as of September 30, 2005 (in Thousands) Face Amount Municipal Bonds Value ----------------------------------------------------------------------------------------------------------------------------------- Massachusetts - 160.7% $ 825 Massachusetts State College Building Authority, Project Revenue Refunding Bonds, Series B, 5.50% due 5/01/2039 (i) $ 969 ----------------------------------------------------------------------------------------------------------- 1,000 Massachusetts State, Consolidated Loan, GO, Series C, 5% due 9/01/2022 1,059 ----------------------------------------------------------------------------------------------------------- Massachusetts State Development Finance Agency, Education Revenue Bonds: 1,100 (Belmont Hill School), 5% due 9/01/2031 1,135 400 (Middlesex School Project), 5% due 9/01/2033 412 250 (Xaverian Brothers High School), 5.65% due 7/01/2029 258 ----------------------------------------------------------------------------------------------------------- Massachusetts State Development Finance Agency, First Mortgage Revenue Bonds, Series A: 855 (Edgecombe Project), 6.75% due 7/01/2021 911 850 (Overlook Communities Inc.), 6.125% due 7/01/2024 869 ----------------------------------------------------------------------------------------------------------- 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) 1,265 ----------------------------------------------------------------------------------------------------------- 500 Massachusetts State Development Finance Agency, Human Service Provider Revenue Bonds (Seven Hills Foundation & Affiliates), 5% due 9/01/2035 (l) 513 ----------------------------------------------------------------------------------------------------------- 825 Massachusetts State Development Finance Agency, Resource Recovery Revenue Bonds (Ogden Haverhill Associates), AMT, Series A, 6.70% due 12/01/2014 891 ----------------------------------------------------------------------------------------------------------- Massachusetts State Development Finance Agency Revenue Bonds: 500 (College of Pharmacy and Allied Health Services), Series D, 5% due 7/01/2027 517 500 (Curry College), Series A, 5% due 3/01/2035 (j) 502 400 (Franklin W. Olin College), Series B, 5.25% due 7/01/2033 (i) 424 1,000 (Massachusetts College of Pharmacy and Health Sciences), 5.75% due 7/01/2033 1,053 425 (Massachusetts Council of Human Service Providers, Inc.), Series C, 6.60% due 8/15/2029 431 500 (Smith College), 5% due 7/01/2035 522 500 (Volunteers of America - Ayer Limited Partnership), AMT, Series A, 6.20% due 2/20/2046 (k) 556 700 (WGBH Educational Foundation), Series A, 5.375% due 1/01/2042 (a) 748 1,100 (WGBH Educational Foundation), Series A, 5.75% due 1/01/2042 (a) 1,342 600 (Western New England College), 5.875% due 12/01/2012 (g) 636 540 (The Wheeler School), 6.50% due 12/01/2029 573 500 (Williston Northampton School Project), 5% due 10/01/2025 (i) 523 ----------------------------------------------------------------------------------------------------------- 1,500 Massachusetts State Development Finance Agency, Revenue Refunding Bonds (Boston University), Series P, 5.45% due 5/15/2059 1,635 ----------------------------------------------------------------------------------------------------------- Massachusetts State Health and Educational Facilities Authority Revenue Bonds: 800 (Baystate Medical Center), Series E, 6% due 7/01/2026 (e) 831 1,000 (Baystate Medical Center), Series F, 5.75% due 7/01/2033 1,057 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 at right. AMT Alternative Minimum Tax (subject to) GO General Obligation Bonds PCR Pollution Control Revenue Bonds VRDN Variable Rate Demand Notes The Massachusetts Health & Education Tax-Exempt Trust Schedule of Investments as of September 30, 2005 (in Thousands) Face Amount Municipal Bonds Value ----------------------------------------------------------------------------------------------------------------------------------- $ 350 (Berkshire Health System), Series E, 6.25% due 10/01/2031 $ 371 2,000 (Capital Asset Program), VRDN, Series E, 2.82% due 1/01/2035 (h) 2,000 1,500 (Daughters of Charity-Carney), Series D, 6.10% due 7/01/2006 (g) 1,522 1,350 (Harvard University), Series FF, 5.125% due 7/15/2037 1,413 750 (Milford-Whitinsville Hospital), Series D, 6.35% due 7/15/2032 796 3,000 (Partners Healthcare System), VRDN, Series D-5, 2.79% due 7/01/2017 (h) 3,000 2,000 (Partners Healthcare System), VRDN, Series D-6, 2.82% due 7/01/2017 (h) 2,000 1,000 (Simmons College), Series F, 5% due 10/01/2033 (c) 1,041 230 (University of Massachusetts), Series C, 5.125% due 10/01/2034 (c) 240 1,000 (University of Massachusetts Memorial Healthcare), Series D, 5% due 7/01/2033 995 1,355 (Wheaton College), Series D, 6% due 1/01/2018 1,429 ----------------------------------------------------------------------------------------------------------- Massachusetts State Health and Educational Facilities Authority, Revenue Refunding Bonds: 885 (Bay Cove Human Services Issue), Series A, 5.90% due 4/01/2028 892 1,000 (Boston College), Series N, 5.125% due 6/01/2037 1,044 3,000 (Capital Asset Program), VRDN, Series C, 2.81% due 7/01/2010 (f)(h) 3,000 500 (Christopher House), Series A, 6.875% due 1/01/2029 502 800 (Covenant Health System), 6% due 7/01/2022 863 400 (Covenant Health System), 6% due 7/01/2031 427 495 (Learning Center For Deaf Children), Series C, 6.125% due 7/01/2029 501 500 (Massachusetts Institute of Technology), Series L, 5% due 7/01/2023 554 500 (Milton Hospital), Series, 5.50% due 7/01/2016 505 100 (Partners Healthcare System), Series A, 5.375% due 7/01/2024 (f) 104 500 (Partners Healthcare System), Series C, 5.75% due 7/01/2032 550 395 (Valley Regional Health System), Series C, 5.75% due 7/01/2018 (b) 400 1,500 (Wellesley College), 5% due 7/01/2033 1,559 1,000 (Youville House - FHA Insured Project), Series A, 6.25% due 2/15/2007 (d)(g) 1,062 ----------------------------------------------------------------------------------------------------------- 750 Massachusetts State Industrial Finance Agency, Health Care Facility Revenue Bonds (Age Institute of Massachusetts Project), 8.05% due 11/01/2025 764 ----------------------------------------------------------------------------------------------------------- 1,500 Massachusetts State Industrial Finance Agency, PCR (General Motors Corporation), 5.55% due 4/01/2009 1,488 ----------------------------------------------------------------------------------------------------------- 400 Massachusetts State Industrial Finance Agency Revenue Bonds (Wentworth Institute of Technology), 5.75% due 10/01/2028 415 ----------------------------------------------------------------------------------------------------------- 340 Massachusetts State Industrial Finance Agency, Senor Living Facility Revenue Bonds (Forge Hill Project), AMT, 6.75% due 4/01/2030 343 ----------------------------------------------------------------------------------------------------------- 1,000 Massachusetts State Water Pollution Abatement Trust, Pool Program Revenue Bonds, Series 10, 5% due 8/01/2029 1,049 ----------------------------------------------------------------------------------------------------------- 1,000 Rail Connections, Inc., Massachusetts, Capital Appreciation Revenue Bonds (Route 128 Parking Garage), Series B, 6.53%* due 7/01/2009 (g)(j) 443 ----------------------------------------------------------------------------------------------------------- 750 University of Massachusetts Building Authority, Project Revenue Refunding Bonds, Senior Series 04-1, 5.125% due 11/01/2034 (a) 791 ----------------------------------------------------------------------------------------------------------------------------------- The Massachusetts Health & Education Tax-Exempt Trust Schedule of Investments as of September 30, 2005 (in Thousands) Face Amount Municipal Bonds Value ----------------------------------------------------------------------------------------------------------------------------------- Puerto Rico - 3.2% $ 1,000 Puerto Rico Commonwealth Highway and Transportation Authority, Transportation Revenue Refunding Bonds, Series K, 5% due 7/01/2040 $ 1,026 ----------------------------------------------------------------------------------------------------------------------------------- Total Investments (Cost - $50,727**) - 163.9% 52,721 Liabilities in Excess of Other Assets - (1.7%) (553) Preferred Shares, at Redemption Value - (62.2%) (20,000) -------- Net Assets Applicable to Common Shares - 100.0% $ 32,168 ======== * Represents a zero coupon bond; the interest rate shown reflects the effective yield at the time of purchase. ** The cost and unrealized appreciation (depreciation) of investments as of September 30, 2005, as computed for federal income tax purposes, were as follows: Aggregate cost $ 50,730 ======== Gross unrealized appreciation $ 2,027 Gross unrealized depreciation (36) -------- Net unrealized appreciation $ 1,991 ======== (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. Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: -------------------------------------------------------------------------- Net Dividend Affiliate Activity Income -------------------------------------------------------------------------- CMA Massachusetts Municipal Money Fund --+ --+ -------------------------------------------------------------------------- + Amount is less than $1,000. 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 Chief Executive Officer The Massachusetts Health & Education Tax-Exempt Trust Date: November 17, 2005 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 Chief Executive Officer The Massachusetts Health & Education Tax-Exempt Trust Date: November 17, 2005 By: /s/ Donald C. Burke ----------------------- Donald C. Burke Chief Financial Officer The Massachusetts Health & Education Tax-Exempt Trust Date: November 17, 2005