-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Wnos8aDXPUv2sYEcz/s1oZXMXibudWiuhCGHUCQwX562+VK0k0drTqDKB2PPOK/a NDD5eC/NwAsyAAogKFkMQg== 0000891804-07-000411.txt : 20070208 0000891804-07-000411.hdr.sgml : 20070208 20070208102426 ACCESSION NUMBER: 0000891804-07-000411 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20061130 FILED AS OF DATE: 20070208 DATE AS OF CHANGE: 20070208 EFFECTIVENESS DATE: 20070208 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND CENTRAL INDEX KEY: 0001090120 IRS NUMBER: 367333824 STATE OF INCORPORATION: MA FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-09451 FILM NUMBER: 07590607 BUSINESS ADDRESS: STREET 1: JOHN NUVEEN & CO INC STREET 2: 333 WEST WACKER DRIVE CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3129177794 MAIL ADDRESS: STREET 1: JOHN NUVEEN & CO INC STREET 2: 333 WEST WACKER DRIVE CITY: CHICAGO STATE: IL ZIP: 60606 N-CSRS 1 file001.txt NUVEEN MASSACHUSETTS DIV ADVANTAGE MUNICIPAL FUND UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-09451 --------------------- Nuveen Massachusetts Dividend Advantage Municipal Fund ------------------------------------------------------------------------------ (Exact name of registrant as specified in charter) Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------ (Address of principal executive offices) (Zip code) Jessica R. Droeger Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 - ------------------------------------------------------------------------------ (Name and address of agent for service) Registrant's telephone number, including area code: (312) 917-7700 ------------------- Date of fiscal year end: May 31 ------------------ Date of reporting period: November 30, 2006 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. SEMIANNUAL REPORT November 30, 2006 Nuveen Investments Municipal Closed-End Funds NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND NTC NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND NFC NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 NGK NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 NGO NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND NMT NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND NMB NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND NGX NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND NOM Photo of: Woman and man at the beach. Photo of: A child. DEPENDABLE, TAX-FREE INCOME BECAUSE IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R) Logo: NUVEEN Investments Photo of: Woman Photo of: Woman Photo of: Man and child NOW YOU CAN RECEIVE YOUR NUVEEN FUND REPORTS FASTER. NO MORE WAITING. SIGN UP TODAY TO RECEIVE NUVEEN FUND INFORMATION BY E-MAIL. It only takes a minute to sign up for E-Reports. Once enrolled, you'll receive an e-mail as soon as your Nuveen Investments Fund information is ready -- no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report, and save it on your computer if you wish. ------------------------------ DELIVERY DIRECT TO YOUR E-MAIL INBOX ------------------------------ IT'S FAST, EASY & FREE: WWW.INVESTORDELIVERY.COM if you get your Nuveen Fund dividends and statements from your financial advisor or brokerage account. OR WWW.NUVEEN.COM/ACCOUNTACCESS if you get your Nuveen Fund dividends and statements directly from Nuveen. (Be sure to have the address sheet that accompanied this report handy. You'll need it to complete the enrollment process.) Logo: NUVEEN Investments Photo: Timothy R. Schwertfeger Timothy R. Schwertfeger Chairman of the Board Chairman's LETTER TO SHAREHOLDERS Once again, I am pleased to report that over the six-month period covered by this report your Fund continued to provide you with attractive monthly tax-free income. For more details about the management strategy and performance of your Fund, please read the Portfolio Managers' Comments, the Dividend and Share Price Information, and the Performance Overview sections of this report. For some time, I've used these letters to remind you that municipal bonds can be an important building block in a well balanced investment portfolio. In addition to providing attractive tax-free monthly income, a municipal bond investment like your Fund may help you achieve and benefit from greater portfolio diversification. Portfolio diversification is a recognized way to try to reduce some of the risk that comes with investing. For more information about this important investment strategy, I encourage you to contact your personal financial advisor. "IN ADDITION TO PROVIDING ATTRACTIVE TAX-FREE MONTHLY INCOME, A MUNICIPAL BOND INVESTMENT LIKE YOUR FUND MAY HELP YOU ACHIEVE AND BENEFIT FROM GREATER PORTFOLIO DIVERSIFICATION." We also are pleased to be able to offer you a choice concerning how you receive your shareholder reports and other Fund information. As an alternative to mailed copies, you can sign up to receive future Fund reports and other Fund information by e-mail and the Internet. The inside front cover of this report contains information on how you can sign up. We are grateful that you have chosen us as a partner as you pursue your financial goals, and we look forward to continuing to earn your trust in the months and years ahead. At Nuveen Investments, our mission continues to be to assist you and your financial advisor by offering investment services and products that can help you to secure your financial objectives. Sincerely, /s/ Timothy R. Schwertfeger Timothy R. Schwertfeger Chairman of the Board January 15, 2007 Nuveen Investments Municipal Closed-End Funds NTC, NFC, NGK, NGO, NMT, NMB, NGX, NOM Portfolio Managers' COMMENTS Portfolio managers Cathryn Steeves and Scott Romans discuss key investment strategies and the six-month performance of these eight Funds. Cathryn, who joined Nuveen in 1996, assumed portfolio management responsibility for the Connecticut and Massachusetts Funds in July 2006. Scott, who joined Nuveen in 2000, has managed NOM since 2003. WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THIS REPORTING PERIOD? As the yield curve flattened during this six-month period, we continued to emphasize careful management of the Funds' underlying portfolios in line with our established targets. This included a disciplined approach to duration1 management and yield curve positioning. In selecting new additions for our portfolios, our purchase activity focused mainly on attractively priced bonds in the longer range of the yield curve. We believed that bonds in this part of the curve generally offered better value and reward opportunities more commensurate with their risk levels. In the Connecticut Funds, we also bought Puerto Rico zero coupon bonds to lengthen duration. In addition, to help us maintain the Funds' durations within our preferred strategic range, we also were selectively selling holdings with shorter durations in all the funds. Over the six month period, our duration management strategies also included the use of U.S. Treasury futures, a type of derivative financial instrument, in NTC, NFC, NGK and NGO. As discussed in previous shareholder reports, we began using derivatives (including Treasury futures and interest rate swaps) in late 2004 in an effort to reduce the interest rate risk in these Funds. These hedges were not an attempt to profit from correctly predicting the timing and direction of interest rate movements. Instead, our sole objective was to manage the durations (and resulting pricing sensitivity) of these Funds in relation to our internal benchmarks without having a negative impact on their income streams or common share dividends over the short term. In all the Funds, we also purchased single family housing bonds. These bonds generally had good supply and attractive prices over this period. At the same time, we continued to maintain the Funds' weightings of lower-quality bonds. Since these types of bonds performed well over this period, we generally found fewer attractive opportunities in the market place. The Missouri market was an exception to this, where we added three non-rated holdings, including tax-increment finance (TIF) bonds for Kansas City and for Fulton County and a Cottleville COP (Certificate of Participation) bond. 1 Duration is a measure of a bond's price sensitivity as interest rates change, with longer duration bonds displaying more sensitivity to these changes than bonds with shorter durations. 4 HOW DID THE FUNDS PERFORM? Individual results for these Nuveen Connecticut, Massachusetts and Missouri Funds, as well as relevant benchmark and peer group information, are presented in the accompanying table. TOTAL RETURNS ON NET ASSET VALUE* For periods ended 11/30/06 6-MONTH 1-YEAR 5-YEAR 10-YEAR - -------------------------------------------------------------------------------- CONNECTICUT FUNDS - -------------------------------------------------------------------------------- NTC 5.59% 6.86% 6.62% 6.77% - -------------------------------------------------------------------------------- NFC 5.64% 7.19% 7.29% NA - -------------------------------------------------------------------------------- NGK 5.74% 7.02% NA NA - -------------------------------------------------------------------------------- NGO 6.02% 7.20% NA NA - -------------------------------------------------------------------------------- MASSACHUSETTS FUNDS - -------------------------------------------------------------------------------- NMT 6.20% 8.04% 6.55% 6.48% - -------------------------------------------------------------------------------- NMB 5.88% 7.63% 7.87% NA - -------------------------------------------------------------------------------- NGX 6.09% 7.71% NA NA - -------------------------------------------------------------------------------- MISSOURI FUND - -------------------------------------------------------------------------------- NOM 5.13% 6.85% 6.63% 6.46% - -------------------------------------------------------------------------------- Lehman Brothers Municipal Bond Index2 4.53% 6.12% 5.40% 5.75% - -------------------------------------------------------------------------------- Lehman Brothers Insured Municipal Bond Index2 4.90% 6.53% 5.68% 5.95% - -------------------------------------------------------------------------------- Lipper Other States Municipal Debt Funds Average3 5.93% 7.95% 7.29% 6.59% - -------------------------------------------------------------------------------- *Six-month returns are cumulative; returns for one, five and ten-years are annualized. Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. For additional information, see the individual Performance Overview for your Fund in this report. For the six months ended November 30, 2006, the total return on NAV for all the Funds exceeded the average return for their respective Lehman Brothers Municipal Bond Index and Lehman Brothers Insured Municipal Bond Index. NGO, NMT and NGX outperformed the Lipper Other States peer group, while the rest of the Funds trailed this group average. Shareholders should note that the performance of the Lipper Other States category represents the overall average of returns for funds from 10 different states with a wide variety of municipal market conditions, making direct comparisons less meaningful. 2 The Lehman Brothers Municipal Bond Index is an unleveraged, unmanaged national index comprising a broad range of investment- grade municipal bonds while the Lehman Brothers Insured Municipal Bond Index is an unleveraged, unmanaged national index containing a broad range of insured municipal bonds. Results for the Lehman indexes do not reflect any expenses. 3 The Lipper Other States Municipal Debt Funds category average is calculated using the returns of all closed-end funds in this category for each period as follows: 1 year, 46; 5 years, 27; and 10 years, 18. Fund and Lipper returns assume reinvestment of dividends. 5 As the yield curve continued to flatten over the course of this period, bonds with shorter maturities generally underperformed longer maturity bonds. In general, the Funds benefited from their yield curve positioning, since they had limited exposure to the shortest maturities, which was a positive, and generally had an emphasis on intermediate duration bonds, which was also favorable. On the other hand, the Funds had limited exposure to the very longest part of the yield curve, which had a slight countervailing negative impact. One exception was NOM, which had comparatively greater exposure to the short end of the curve, this had a negative impact on the Fund's relative performance. Health care sector bonds, in particular hospital bonds, were also among some of the best performing credits in the Funds' portfolios. On the other hand, despite our view of their relative value and long term potential, single family housing bonds underperformed during this six-month period. Another factor in the six-month performance of these Funds, especially relative to that of the unleveraged Lehman Brothers Municipal Bond Index, was the use of financial leverage. While leveraging can add volatility to a Fund's NAV and share price, this can also provide opportunities for additional income and total return for common shareholders. The Funds' leveraging strategy positively impacted their results over this period, although not to the same extent as in the past. HOW WERE THE FUNDS POSITIONED IN TERMS OF CREDIT QUALITY AND BOND CALLS AS OF NOVEMBER 30, 2006? We continued to believe that maintaining overall strong credit quality was an important technique. As of November 30, 2006, all eight of these Funds continued to offer excellent overall credit quality, with allocations of bonds rated AAA/U.S. guaranteed AA ranging from 79% in NOM, 80% in NMT, 84% in NFC and NMB, 85% in NGO, 91% in NTC and NGK to 96% in NGX. 87% of NGX's portfolio is invested in Insured or U.S. Guaranteed Securities. As of November 30, 2006, potential call exposure for the period November 2006 through the end of 2007 ranged from 2% in NGK, NMB and NGX, 3% in NFC and NGO, 4% in NOM, 8% in NMT and 10% in NTC. The number of actual bond calls in all of these Funds depends largely on future market interest rates. 6 Dividend and Share Price INFORMATION As previously noted, all of the Funds in this report use leverage to potentially enhance opportunities for additional income for common shareholders. While leverage continued to produce incremental income during this period, rising short-term interest rates reduced the extent of the benefit. The Funds' income streams were also impacted as the proceeds from older, higher-yielding bonds that matured or were called were reinvested into bonds generally offering lower yields, especially in the older Funds. These factors resulted in one monthly dividend reduction in NFC, NGK, NMT, NMB and NOM over the six-month period ended November 30, 2006. NGX had one monthly dividend increase, while the monthly dividend for NTC and NGO was not affected. All of the Funds in this report seek to pay stable dividends at rates that reflect each Fund's past results and projected future performance. During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund's NAV. Each Fund will, over time, pay all of its net investment income as dividends to shareholders. As of November 30, 2006, NMB and NOM had positive UNII balances for financial statement purposes and positive UNII balances, based on our best estimates, for tax purposes. NTC, NFC, NGK, NGO, NMT and NGX had negative UNII balances for financial statement purposes and positive UNII balances, based on our best estimates, for tax purposes. At the end of the reporting period, the Funds' share prices were trading at premiums or discounts to their NAVs as shown in the accompanying chart: 11/30/06 12-MONTH AVERAGE PREMIUM/DISCOUNT PREMIUM/DISCOUNT - -------------------------------------------------------------------------------- NTC -3.36% -0.43% - -------------------------------------------------------------------------------- NFC 2.89% 9.02% - -------------------------------------------------------------------------------- NGK 1.83% 7.08% - -------------------------------------------------------------------------------- NGO -4.42% -1.35% - -------------------------------------------------------------------------------- NMT -2.60% 2.37% - -------------------------------------------------------------------------------- NMB 2.81% 5.15% - -------------------------------------------------------------------------------- NGX -7.83% -4.56% - -------------------------------------------------------------------------------- NOM 14.43% 13.78% - -------------------------------------------------------------------------------- 7 Nuveen Connecticut Premium Income Municipal Fund NTC Performance OVERVIEW As of November 30, 2006 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 78% AA 13% BBB 8% N/R 1% Bar Chart: 2005-2006 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Dec 0.0605 Jan 0.0605 Feb 0.0605 Mar 0.0575 Apr 0.0575 May 0.0575 Jun 0.0545 Jul 0.0545 Aug 0.0545 Sep 0.0545 Oct 0.0545 Nov 0.0545 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/01/05 14.58 14.61 14.47 14.68 14.69 14.72 14.62 14.57 14.26 14.27 14.41 14.47 14.17 14.22 14.08 14.06 14.5 14.39 14.5 14.63 14.9 14.9 14.76 14.8 14.75 15.09 15.09 15.2 15 15.43 15.34 15.3 15.16 15.04 15.05 14.99 15 15.1 15.18 15.32 15.4 15.21 14.84 14.7 15.1499 14.95 15.1 15.2 15.2 15.15 14.88 14.75 14.95 15 15 15.1 14.95 14.95 15.1 15.17 15.3 15.32 15.36 15.15 14.85 14.85 14.88 14.94 15.2 15.2 15.33 15.35 15.43 15.1 15.1 15.27 15.39 15.25 15.3 15.3 15.03 15.15 15.15 15.08 15.2 15.15 15.05 15.01 14.86 14.861 15.2 15 15.25 15.15 15.15 15.35 15.4 15.45 15.2 14.88 14.85 14.8 14.76 14.76 14.46 14.49 14.32 14.51 14.22 14.2 14.185 14.39 14.13 14.09 13.99 14.04 13.97 14.01 14.01 14.01 14.1 14.017 13.99 14.02 13.95 13.95 14.1 14.21 14.01 13.9 13.71 13.73 13.7 14.2 14.34 13.85 13.7801 13.89 13.72 13.68 13.72 13.58 13.58 13.5 13.59 13.73 13.55 13.81 13.85 13.64 13.67 13.91 13.79 13.68 13.63 13.66 13.8 13.79 13.8 13.88 13.72 13.8 13.85 13.9 13.72 13.8212 13.76 14.01 13.96 14.05 13.88 14.2401 14.16 14.26 14.26 14.3 14.26 14.26 14.15 14.3 14.33 14.22 14.22 14.22 14.3 14.38 14.21 14.29 14.27 14.38 14.42 14.53 14.55 14.32 14.32 14.24 14.5 14.6 14.72 14.75 14.55 14.64 14.69 14.47 14.47 14.52 14.74 14.85 14.63 14.88 14.57 14.57 14.53 14.68 14.59 14.6 14.54 14.53 14.6489 14.54 14.68 14.54 14.41 14.51 14.45 14.4 14.49 14.4 14.4 14.34 14.6 14.39 14.39 14.39 14.38 14.6 14.47 14.47 14.39 14.54 14.52 14.46 14.37 14.48 14.42 14.37 14.37 14.31 14.37 14.37 14.37 14.35 14.36 14.37 11/30/06 14.39 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.39 - ------------------------------------ Common Share Net Asset Value $14.89 - ------------------------------------ Premium/(Discount) to NAV -3.36% - ------------------------------------ Market Yield 4.54% - ------------------------------------ Taxable-Equivalent Yield1 6.63% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $79,815 - ------------------------------------ Average Effective Maturity on Securities (Years) 16.26 - ------------------------------------ Leverage-Adjusted Duration 7.58 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month (Cumulative) 5.54% 5.59% - ------------------------------------ 1-Year 5.20% 6.86% - ------------------------------------ 5-Year 3.49% 6.62% - ------------------------------------ 10-Year 6.04% 6.77% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Education and Civic Organizations 22.1% - ------------------------------------ Tax Obligation/General 20.5% - ------------------------------------ Tax Obligation/Limited 11.1% - ------------------------------------ Water and Sewer 11.0% - ------------------------------------ U.S. Guaranteed 9.1% - ------------------------------------ Health Care 8.6% - ------------------------------------ Long-Term Care 4.8% - ------------------------------------ Other 12.8% - ------------------------------------ 1 Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 2 The Fund paid shareholders capital gains and net ordinary income distributions in December 2005 of $0.2241 per share. 8 Nuveen Connecticut Dividend Advantage Municipal Fund NFC Performance OVERVIEW As of November 30, 2006 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 67% AA 17% A 4% BBB 11% N/R 1% Bar Chart: 2005-2006 MONTHLY TAX-FREE DIVIDENDS PER SHARE Dec 0.0715 Jan 0.0715 Feb 0.0715 Mar 0.068 Apr 0.068 May 0.068 Jun 0.0635 Jul 0.0635 Aug 0.0635 Sep 0.0605 Oct 0.0605 Nov 0.0605 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/01/05 15.94 16.02 16.02 15.98 16.01 15.87 15.86 15.75 15.67 15.45 15.54 15.49 16.16 15.86 15.95 16.01 16.1 16.23 16.23 16.2538 16.01 16.01 16.1 16.34 16.7 16.49 16.72 16.48 16.43 16.43 16.43 16.31 16.31 16.56 16.7 16.74 16.65 16.7 16.7 16.79 16.85 16.7533 16.81 16.99 17.18 17.29 17.17 17.3 17.42 17.31 17.31 17.16 17.16 17.71 17.71 17.56 17.5 17.5 17.3 17.3 17.49 17.26 17.279 17.1 16.9601 16.67 16.85 17.29 17.06 17.08 17.14 17.39 17.39 17.39 17.07 16.8 16.96 16.95 16.81 16.81 16.65 16.81 16.95 17.03 17.2 17.12 16.76 16.75 16.6 16.55 16.56 16.36 16.7 16.7 16.7 16.58 16.58 16.58 16.58 16.71 16.73 16.9 17.05 17.05 16.91 16.9 16.26 16.14 16.35 16 15.69 15.77 15.6 15.62 15.94 16.33 16.08 16.3 16.1 15.9 15.85 15.75 16.15 16.3 16.3 16.26 16.6 16.56 15.75 15.75 15.9 15.99 16.03 15.88 15.88 15.8 15.8 15.5 15.41 15.21 15.39 15.15 15.15 15.47 15.2 15.23 15.23 15.37 15.68 15.79 15.8 16.15 16.07 16.07 16 16 16.09 16.09 16.0899 16.43 16.15 16.04 16.25 16.18 16.01 16.22 15.71 15.95 15.88 15.8 15.72 15.77 15.75 15.8 15.8 15.7 15.8 15.8 15.97 15.9 15.95 16.05 16.32 16.54 16.62 16.4 16.14 16.05 16.22 16.22 16.39 16.48 16.4422 16.11 16.11 16.09 16.08 16.22 16.22 16.1 16.21 16.1951 16.26 16.29 16.15 15.94 15.92 16.21 16.4 16.26 16.43 16.43 16.2 16.26 15.9 16.09 15.87 15.9 16.13 15.61 15.17 15.27 15.62 15.72 15.72 15.73 15.73 15.6 15.81 15.94 15.94 15.72 15.72 15.73 15.9 15.63 15.6 15.6 15.85 16.24 15.97 15.92 15.51 15.84 15.81 15.81 15.38 15.4 15.75 15.26 15.508 15.4 15.5 15.5 11/30/06 15.64 FUND SNAPSHOT - ------------------------------------ Common Share Price $15.64 - ------------------------------------ Common Share Net Asset Value $15.20 - ------------------------------------ Premium/(Discount) to NAV 2.89% - ------------------------------------ Market Yield 4.64% - ------------------------------------ Taxable-Equivalent Yield1 6.77% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $39,110 - ------------------------------------ Average Effective Maturity on Securities (Years) 16.35 - ------------------------------------ Leverage-Adjusted Duration 7.18 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/01) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month (Cumulative) -1.55% 5.64% - ------------------------------------ 1-Year 3.54% 7.19% - ------------------------------------ 5-Year 5.02% 7.29% - ------------------------------------ Since Inception 6.17% 6.85% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 21.1% - ------------------------------------ Education and Civic Organizations 17.7% - ------------------------------------ Tax Obligation/Limited 12.5% - ------------------------------------ Tax Obligation/General 10.7% - ------------------------------------ Water and Sewer 9.5% - ------------------------------------ Utilities 6.3% - ------------------------------------ Health Care 5.7% - ------------------------------------ Transportation 4.5% - ------------------------------------ Other 12.0% - ------------------------------------ 1 Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 9 Nuveen Connecticut Dividend Advantage Municipal Fund 2 NGK Performance OVERVIEW As of November 30, 2006 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 73% AA 18% A 1% BBB 8% Bar Chart: 2005-2006 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Dec 0.067 Jan 0.067 Feb 0.067 Mar 0.067 Apr 0.067 May 0.067 Jun 0.0635 Jul 0.0635 Aug 0.0635 Sep 0.0605 Oct 0.0605 Nov 0.0605 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/01/05 15.78 15.75 15.7 15.75 16.06 16.01 16.02 16.14 16.14 15.77 15.78 16.19 15.7 15.8 15.8 15.81 16.2 16.2 16.33 16.38 16.48 16.48 16.2 16.04 16.16 16.16 16.16 16.16 16.06 15.97 16.2 15.92 15.92 16.28 16.65 16.65 16.5 16.18 16.1 15.93 15.85 15.98 16.03 15.62 15.85 16.15 16.15 16.3 16.02 16.02 15.95 15.95 16.22 16.22 16.22 16.55 16.3 16.3 16.5 16.5 16.62 16.75 16.29 16.29 16.46 16.46 16.46 16.9 16.85 16.6 16.64 16.76 16.76 16.68 16.3 16.26 16.26 16.51 16.51 16.42 16.42 16.42 16.53 16.72 16.75 16.75 16.45 16.52 16.29 16.26 16.62 16.37 16.28 16.26 16.26 16.26 16.61 16.45 16.45 16.26 16.3 16.3 16.55 16.55 16.65 16.58 16.44 16.58 16.5 16.5 16.55 16.55 16.35 15.95 16.18 16.23 16.2 16.02 16.24 16.17 16.35 16.29 16.45 16.5 16.5 16.6 16.68 16.78 16.4 16.51 16.35 16.16 16.49 16.04 16.04 16 15.99 16.1 16.2 16.1 16.27 16.1 15.9 16 15.76 15.76 15.55 15.75 15.99 15.87 15.87 16 16.01 16.19 15.95 15.95 15.95 15.95 15.95 15.95 15.95 15.6 15.75 15.85 16.11 16.2178 16.2 16 16.0266 16.06 15.95 16.09 16.09 15.85 15.85 15.85 15.68 15.68 16.15 15.99 15.82 16.23 16.1 15.95 15.86 15.88 15.88 15.85 15.8282 15.82 15.95 15.93 15.77 15.54 15.7 15.77 15.78 15.95 15.89 15.96 15.82 15.81 15.81 15.85 15.85 15.85 15.81 15.81 16.03 15.85 15.85 15.85 15.96 16.2 16.2 16.37 16.2 16.0001 16.0001 16.0001 15.65 15.64 15.64 15.5201 15.5201 15.5201 15.7 15.86 15.86 15.75 15.9 15.77 15.85 16 15.78 16.09 15.67 15.71 15.71 15.85 15.7 15.71 15.65 15.6 15.75 15.55 15.46 15.5 15.58 15.58 15.58 15.53 15.53 15.52 11/30/06 15.61 FUND SNAPSHOT - ------------------------------------ Common Share Price $15.61 - ------------------------------------ Common Share Net Asset Value $15.33 - ------------------------------------ Premium/(Discount) to NAV 1.83% - ------------------------------------ Market Yield 4.65% - ------------------------------------ Taxable-Equivalent Yield1 6.79% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $35,460 - ------------------------------------ Average Effective Maturity on Securities (Years) 15.50 - ------------------------------------ Leverage-Adjusted Duration 7.59 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/25/02) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month (Cumulative) -3.74% 5.74% - ------------------------------------ 1-Year 4.86% 7.02% - ------------------------------------ Since Inception 6.67% 7.48% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 20.7% - ------------------------------------ Tax Obligation/General 20.6% - ------------------------------------ Education and Civic Organizations 18.3% - ------------------------------------ Water and Sewer 8.0% - ------------------------------------ Health Care 6.9% - ------------------------------------ Tax Obligation/Limited 6.2% - ------------------------------------ Utilities 4.5% - ------------------------------------ Other 14.8% - ------------------------------------ 1 Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 2 The Fund paid shareholders a capital gains distribution in December 2005 of $0.0827 per share. 10 Nuveen Connecticut Dividend Advantage Municipal Fund 3 NGO Performance OVERVIEW As of November 30, 2006 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 73% AA 12% A 2% BBB 13% Bar Chart: 2005-2006 MONTHLY TAX-FREE DIVIDENDS PER SHARE Dec 0.0585 Jan 0.0585 Feb 0.0585 Mar 0.0585 Apr 0.0585 May 0.0585 Jun 0.054 Jul 0.054 Aug 0.054 Sep 0.054 Oct 0.054 Nov 0.054 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/01/05 14.87 14.8 14.68 14.89 14.72 14.95 14.95 14.65 14.26 14.18 14.18 14.35 14.35 14.48 14.4 14.5 14.65 14.5 14.35 14.12 14.12 14.12 13.86 14.08 14.23 14.33 14.32 14.32 14.21 14.19 14.06 14.08 14.26 14.51 14.6 14.3 14.27 14.28 14.2 14.23 14.4 14.25 14.28 14.15 14.24 14.32 14.2 14.19 14.25 14.45 14.55 14.4 14.52 14.57 14.64 14.62 14.93 14.75 14.75 14.8 14.78 14.7901 14.52 14.85 14.5 14.35 14.52 14.85 14.76 14.99 14.52 14.8 14.7 14.55 14.55 14.65 14.65 14.51 14.51 14.47 14.3 14.3 14.25 14.17 14.1 14.21 14.25 14.27 14.13 14.06 14.35 14.16 13.95 14.12 13.77 13.61 13.7 13.7 13.65 13.71 13.72 13.61 13.87 13.87 13.85 14.03 14.09 13.75 13.9 13.98 13.9 14.05 14.0499 14.09 14.1 14.14 14.13 14.2 14.09 14.1 14.2 14 14.02 14.03 14.03 14.09 14.37 14.16 14.18 14.15 13.84 14.14 14.14 13.9 14 14.03 13.79 13.81 13.87 13.81 13.81 13.57 13.34 13.4 13.36 13.35 13.35 13.28 13.36 13.46 13.45 13.33 13.33 13.33 13.35 13.29 13.29 13.24 13.275 13.44 13.52 13.75 13.68 13.68 13.85 14.01 13.91 13.96 14.14 14.02 14.1 13.97 14.25 14.25 14.15 14.2 14.11 14.11 14.02 14.25 14.25 14.37 14.2 14.2 14.2 14.11 14.05 14.09 14.2212 14.3 14.37 14.4 14.34 13.97 14.1924 14.26 14.32 14.32 14.19 14.15 14.2 14.3 14.24 14.3 14.35 14.55 14.44 14.55 14.49 14.5 14.58 14.58 14.58 14.5 14.5 14.36 14.34 14.27 14.3 14.35 14.35 14.16 14.2 14.21 13.92 14.09 14.1 14.06 14 14.1 13.96 14.02 14.03 14 14.1 14 14 14.13 14 14.09 14.06 14.17 13.97 13.95 14 14.08 14 13.99 14.04 13.97 14.02 14.09 14.05 14.05 11/30/06 14.05 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.05 - ------------------------------------ Common Share Net Asset Value $14.70 - ------------------------------------ Premium/(Discount) to NAV -4.42% - ------------------------------------ Market Yield 4.61% - ------------------------------------ Taxable-Equivalent Yield1 6.73% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $64,086 - ------------------------------------ Average Effective Maturity on Securities (Years) 15.38 - ------------------------------------ Leverage-Adjusted Duration 7.68 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 9/26/02) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month (Cumulative) 2.03% 6.02% - ------------------------------------ 1-Year -0.58% 7.20% - ------------------------------------ Since Inception 3.61% 5.82% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Tax Obligation/General 19.5% - ------------------------------------ U.S. Guaranteed 16.7% - ------------------------------------ Education and Civic Organizations 14.7% - ------------------------------------ Tax Obligation/Limited 12.5% - ------------------------------------ Water and Sewer 9.4% - ------------------------------------ Long-Term Care 8.2% - ------------------------------------ Utilities 5.5% - ------------------------------------ Other 13.5% - ------------------------------------ 1 Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 11 Nuveen Massachusetts Premium Income Municipal Fund NMT Performance OVERVIEW As of November 30, 2006 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 63% AA 17% A 9% BBB 8% BB or Lower 1% N/R 2% Bar Chart: 2005-2006 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Dec 0.067 Jan 0.067 Feb 0.067 Mar 0.0635 Apr 0.0635 May 0.0635 Jun 0.059 Jul 0.059 Aug 0.059 Sep 0.056 Oct 0.056 Nov 0.056 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/01/05 16.24 16.2 16.01 16.07 16 15.9 15.85 15.81 15.87 15.58 15.53 15.4 15.45 15.33 15.5 15.45 15.65 15.67 15.69 15.7 15.7 15.7 15.61 15.65 15.71 15.81 15.94 15.85 15.96 16.15 16.15 16 16.01 16.03 16.03 16 15.74 15.54 15.45 15.43 15.86 15.9 15.88 15.85 15.85 15.81 15.651 15.85 16.15 15.9 15.63 15.52 15.8 15.85 15.68 16.05 16.05 15.95 16.2 16.25 16.56 16.7 16.73 16.53 16.6 16.4 16.45 16.35 16.47 16.5 16.26 16.15 16.25 16.05 16 16.05 16 15.67 15.11 14.95 14.96 15.05 15.11 15.14 15.15 15.3 15.3 15.4 15.16 15.1 14.93 14.42 14.3 14.45 14.52 14.35 14.29 14.25 14.31 14.34 14.34 14.4 14.65 14.65 14.62 14.37 14.39 14.35 14.48 14.43 14.37 14.3 14.3 14.2 14.19 14.21 14.29 14.37 14.23 14.25 14.34 14.33 14.22 14.2801 14.31 14.3501 14.53 14.5 14.5 14.58 14.31 14.5 14.3 14.13 14.07 14.17 14.09 13.95 14.1 14.22 13.9 13.9 13.9096 13.9 14.05 14.17 14.16 14.16 14.03 14.18 14.11 14.17 14.09 14.09 14.2 14.1 14.05 14.11 14.11 14.38 14.05 14.4 14.17 14.17 14.18 14.4 14.27 14.36 14.41 14.36 14.22 14.35 14.47 14.32 14.38 14.7 14.45 14.29 14.74 14.65 14.65 14.46 14.52 14.47 14.65 14.88 14.9 14.84 14.7 14.64 14.88 14.67 14.7 14.58 14.69 14.77 14.82 14.7 14.89 14.72 14.83 14.87 14.77 14.62 14.98 14.65 14.692 14.87 14.87 14.67 14.7 14.7 14.78 14.74 14.78 14.69 14.79 14.79 14.62 14.74 14.73 14.7 14.71 14.71 14.61 14.68 14.68 14.55 14.5 14.5535 14.49 14.59 14.69 14.74 14.71 14.8 14.81 14.7 14.7 14.44 14.45 14.77 14.6 14.64 14.56 14.59 14.51 14.63 14.85 14.62 14.72 14.87 14.66 14.63 11/30/06 14.6 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.60 - ------------------------------------ Common Share Net Asset Value $14.99 - ------------------------------------ Premium/(Discount) to NAV -2.60% - ------------------------------------ Market Yield 4.60% - ------------------------------------ Taxable-Equivalent Yield1 6.76% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $71,381 - ------------------------------------ Average Effective Maturity on Securities (Years) 17.15 - ------------------------------------ Leverage-Adjusted Duration 8.03 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/18/93) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month (Cumulative) 4.17% 6.20% - ------------------------------------ 1-Year -5.04% 8.04% - ------------------------------------ 5-Year 3.67% 6.55% - ------------------------------------ 10-Year 5.97% 6.48% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Education and Civic Organizations 22.0% - ------------------------------------ Tax Obligation/General 13.1% - ------------------------------------ Health Care 11.4% - ------------------------------------ Tax Obligation/Limited 11.2% - ------------------------------------ Water and Sewer 10.2% - ------------------------------------ Transportation 7.7% - ------------------------------------ U.S. Guaranteed 6.6% - ------------------------------------ Long-Term Care 6.4% - ------------------------------------ Other 11.4% - ------------------------------------ 1 Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 2 The Fund paid shareholders capital gains and net ordinary income distributions in December 2005 of $0.0516 per share. 12 Nuveen Massachusetts Dividend Advantage Municipal Fund NMB Performance OVERVIEW As of November 30, 2006 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 60% AA 24% A 4% BBB 9% BB or Lower 3% Bar Chart: 2005-2006 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Dec 0.071 Jan 0.071 Feb 0.071 Mar 0.0675 Apr 0.0675 May 0.0675 Jun 0.065 Jul 0.065 Aug 0.065 Sep 0.062 Oct 0.062 Nov 0.062 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/01/05 16.41 16.01 16 16.1 16.1 15.95 16.01 16.37 15.9 15.78 15.98 16.11 16.5 16.47 16.15 16.15 16.15 16.18 16.18 16.33 16.4 16.4 16.65 16.4 16.69 16.54 16.54 16.5 16.5 16.5 16.5 16.5 16.6 16.57 16.32 16.32 16.4899 16.32 16.33 16.32 16.32 16.4 16.5 16.5 16.5 16.36 16.36 16.45 16.65 16.65 16.64 16.51 16.6 16.6 16.65 16.55 16.6 16.71 16.7 16.65 16.4 16.45 16.69 16.69 16.55 16.55 16.52 16.44 16.4 16.2 16.25 16.29 16.29 16.4 16.3 16 15.85 15.85 16.24 16.15 16.14 16 15.96 16 16.06 16.16 16.1 16.1 16 16.04 15.95 15.83 15.83 15.8 16.29 15.9 15.65 15.65 15.65 15.65 15.6 15.55 15.7 15.7 15.67 15.74 15.74 15.74 15.74 15.78 15.7 15.65 15.62 15.58 15.58 15.58 15.58 15.63 15.68 15.63 15.59 15.59 15.55 15.55 15.53 15.53 15.51 15.56 15.59 15.6 15.56 15.48 15.51 15.48 15.33 15.29 15.28 15.15 15.12 15.12 15.09 15.2 14.75 14.75 14.75 14.85 14.89 15.1 15.1 15.16 15.02 15.06 15 15.1 15.11 15.15 15.2 15.1 15 15.19 15.24 15.15 15.13 15.13 15.1 15.19 15.15 15.14 15.24 15.3 15.35 15.24 15.27 15.3 15.3 15.4 15.29 15.34 15.4 15.45 15.45 15.4 15.35 15.32 15.32 15.4 15.58 15.58 15.47 15.49 15.43 15.52 15.55 15.5 15.5 15.46 15.35 15.3 15.3 15.28 15.34 15.35 15.39 15.32 15.4 15.26 15.4 15.35 15.4 15.4 15.4 15.4 15.4 15.45 15.6 15.51 15.51 15.51 15.56 15.56 15.53 15.45 15.55 15.55 15.55 15.52 15.52 15.32 15.35 15.35 15.44 15.44 15.35 15.4 15.41 15.42 15.44 15.44 15.44 15.57 15.54 15.54 15.59 15.6 15.55 15.55 15.64 15.64 15.55 15.6 15.55 15.5514 15.55 15.5 11/30/06 15.74 FUND SNAPSHOT - ------------------------------------ Common Share Price $15.74 - ------------------------------------ Common Share Net Asset Value $15.31 - ------------------------------------ Premium/(Discount) to NAV 2.81% - ------------------------------------ Market Yield 4.73% - ------------------------------------ Taxable-Equivalent Yield1 6.96% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $29,958 - ------------------------------------ Average Effective Maturity on Securities (Years) 18.09 - ------------------------------------ Leverage-Adjusted Duration 7.94 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/30/01) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month (Cumulative) 3.89% 5.88% - ------------------------------------ 1-Year 3.01% 7.63% - ------------------------------------ 5-Year 6.42% 7.87% - ------------------------------------ Since Inception 6.85% 7.59% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Tax Obligation/General 19.7% - ------------------------------------ Education and Civic Organizations 16.6% - ------------------------------------ Health Care 13.3% - ------------------------------------ Tax Obligation/Limited 10.7% - ------------------------------------ Water and Sewer 9.3% - ------------------------------------ Housing/Multifamily 6.7% - ------------------------------------ U.S. Guaranteed 5.2% - ------------------------------------ Housing/Single Family 4.3% - ------------------------------------ Other 14.2% - ------------------------------------ 1 Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 2 The Fund paid shareholders a capital gains distribution in December 2005 of $0.1945 per share. 13 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund NGX Performance OVERVIEW As of November 30, 2006 Pie Chart: CREDIT QUALITY (as a % of total investments) Insured 64% U.S. Guaranteed 20% GNMA/FNMA/FHA Guaranteed 3% AAA (Uninsured) 1% AA (Uninsured) 8% A (Uninsured) 2% BBB (Uninsured) 2% Bar Chart: 2005-2006 MONTHLY TAX-FREE DIVIDENDS PER SHARE Dec 0.0585 Jan 0.0585 Feb 0.0585 Mar 0.0555 Apr 0.0555 May 0.0555 Jun 0.051 Jul 0.051 Aug 0.051 Sep 0.051 Oct 0.051 Nov 0.0525 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/01/05 15.3 15.16 15 15.05 15.05 14.83 14.66 14.6 14.78 14.62 14.411 14.38 14.4 14.37 14.32 14.44 14.53 14.6199 14.63 14.78 14.9999 14.9999 14.85 14.74 14.74 14.65 14.62 14.84 14.64 14.8 14.82 14.83 14.72 14.72 14.77 14.6 14.6 14.58 14.49 14.4801 14.34 14.48 14.5 14.44 14.3301 14.37 14.37 14.28 14.34 14.38 14.3 14.35 14.25 14.15 14.24 14.14 14.14 14.08 14.29 14.25 14.26 14.15 14.25 14.09 13.97 13.93 13.83 13.88 13.86 13.86 13.7 13.78 13.89 13.96 13.82 13.92 13.86 13.97 13.88 13.85 13.98 13.9 13.81 13.93 13.71 13.81 13.84 13.83 13.74 13.7 13.65 13.52 13.4801 13.5 13.6 13.83 13.82 13.8 13.7 13.62 13.67 13.67 13.69 13.69 13.67 13.58 13.7201 13.7 13.59 13.61 13.6301 13.73 13.61 13.63 13.73 13.82 13.92 13.64 13.63 13.68 13.62 13.68 13.79 13.55 13.34 13.43 13.71 13.7401 13.61 13.71 13.7 13.82 13.78 13.6501 13.78 13.78 13.65 13.49 13.49 13.49 13.45 13.35 13.17 13.08 13.05 13.13 13.09 13.1301 13.27 13.2899 13.23 13.28 13.29 13.29 13.24 13.32 13.32 13.32 13.38 13.28 13.28 13.28 13.25 13.4 13.31 13.37 13.44 13.45 13.38 13.25 13.31 13.35 13.57 13.42 13.44 13.46 13.36 13.46 13.46 13.53 13.64 13.66 13.75 13.72 13.76 13.76 13.83 13.84 13.8 13.75 13.8 13.8 13.62 13.52 13.5 13.7 13.62 13.77 13.83 13.73 13.77 13.73 13.8 13.85 13.84 13.84 13.85 13.92 13.9612 14.1 14.13 14.13 13.95 14 14.15 14.11 14.02 13.99 13.94 13.91 13.83 13.73 13.74 13.74 13.74 13.58 13.57 13.54 13.68 13.65 13.65 13.71 13.81 13.81 13.81 13.93 13.85 13.8 13.8 13.73 13.76 13.88 13.88 13.9 13.9 13.96 13.9218 13.91 13.92 13.91 13.9 13.75 13.75 13.75 11/30/06 13.78 FUND SNAPSHOT - ------------------------------------ Common Share Price $13.78 - ------------------------------------ Common Share Net Asset Value $14.95 - ------------------------------------ Premium/(Discount) to NAV -7.83% - ------------------------------------ Market Yield 4.57% - ------------------------------------ Taxable-Equivalent Yield1 6.72% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $40,689 - ------------------------------------ Average Effective Maturity on Securities (Years) 18.00 - ------------------------------------ Leverage-Adjusted Duration 8.39 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 11/21/02) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month (Cumulative) 4.92% 6.09% - ------------------------------------ 1-Year -6.26% 7.71% - ------------------------------------ Since Inception 2.98% 6.53% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Tax Obligation/General 24.0% - ------------------------------------ U.S. Guaranteed 20.1% - ------------------------------------ Tax Obligation/Limited 16.8% - ------------------------------------ Education and Civic Organizations 10.1% - ------------------------------------ Water and Sewer 9.0% - ------------------------------------ Health Care 6.0% - ------------------------------------ Housing/Multifamily 5.5% - ------------------------------------ Other 8.5% - ------------------------------------ 1 Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 14 Nuveen Missouri Premium Income Municipal Fund NOM Performance OVERVIEW As of November 30, 2006 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 66% AA 13% A 2% BBB 9% N/R 10% Bar Chart: 2005-2006 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Dec 0.07 Jan 0.07 Feb 0.07 Mar 0.0665 Apr 0.0665 May 0.0665 Jun 0.063 Jul 0.063 Aug 0.063 Sep 0.06 Oct 0.06 Nov 0.06 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/01/05 17.3201 17.5 17.55 17.87 17.87 17.85 18.14 18.14 18.05 18.11 17.95 17.7999 17.7999 17.5 17.45 17.4 17.3001 17.55 17.55 17.55 17.5 17.5 17.59 17.61 17.9 18.1 18.1 18.2 17.95 17.95 17.85 17.35 17.36 17.2 17.3 17.35 17.35 17.23 17.15 17.15 17.02 17.05 17.1 17.19 17.19 17.4 17.4 17.54 17.54 17.54 17.54 17.54 17.21 17.12 17.2501 17.107 17.07 17.17 17.1 17.02 17.05 17.05 17.23 17.15 17.05 17.05 17.15 17.15 17.14 17 17.05 17.1 17.1 17.3 17.21 17.15 17.15 17.15 17.15 17.09 17.05 17.05 17.15 17.15 17.2 17.05 17.08 16.7 16.85 16.75 16.82 16.75 16.75 16.75 16.8 16.7 16.6 16.75 16.771 16.92 16.76 16.76 16.8756 16.8756 16.8756 17.15 17.15 17.15 17.2 17 16.95 16.95 16.9 16.9 16.9 16.85 16.514 16.5 16.31 16.31 16.3599 16.29 16.21 16.2 16.25 16.35 16.25 16.15 16.3 16.15 16.15 16.2 16.24 16.24 16.05 15.88 15.9 15.83 15.65 15.45 15.01 15 15.24 15.23 15.2 15.44 15.44 15.44 15.25 15.44 15.7 15.7 15.6 15.6 15.35 15.35 15.35 14.93 14.7 14.66 14.66 14.7 14.9 14.85 14.56 14.66 14.61 14.95 14.65 14.83 14.89 15.04 15.04 15.13 15.07 15.08 15.02 14.99 15.05 15.1401 16.15 16.15 16.1 16.02 15.81 15.86 15.9767 16 15.81 15.89 16 16 16.1 16.1 16.17 16.17 16.15 16.15 15.95 16.2 16.24 16.24 16.2 16.2 16.25 16.29 16.21 16.25 16.05 16.05 16.04 16.04 15.99 16 15.95 16.22 16.25 16.2 16.2 16.15 16.15 16.14 16.14 16.14 16.14 16.38 16.4015 16.4015 16.4015 16.15 16.33 16.6 16.55 16.52 16.5 16.55 16.55 16.75 16.75 16.75 16.75 16.75 16.79 16.7 16.7 16.7 16.65 16.65 16.6 16.55 16.55 16.55 16.74 16.78 11/30/06 16.89 FUND SNAPSHOT - ------------------------------------ Common Share Price $16.89 - ------------------------------------ Common Share Net Asset Value $14.76 - ------------------------------------ Premium/(Discount) to NAV 14.43% - ------------------------------------ Market Yield 4.26% - ------------------------------------ Taxable-Equivalent Yield1 6.31% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $33,904 - ------------------------------------ Average Effective Maturity on Securities (Years) 13.87 - ------------------------------------ Leverage-Adjusted Duration 7.39 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month (Cumulative) 5.73% 5.13% - ------------------------------------ 1-Year 2.23% 6.85% - ------------------------------------ 5-Year 7.47% 6.63% - ------------------------------------ 10-Year 8.58% 6.46% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Tax Obligation/General 22.7% - ------------------------------------ U.S. Guaranteed 22.2% - ------------------------------------ Tax Obligation/Limited 19.2% - ------------------------------------ Health Care 10.4% - ------------------------------------ Housing/Multifamily 4.6% - ------------------------------------ Water and Sewer 4.4% - ------------------------------------ Long-Term Care 3.9% - ------------------------------------ Other 12.6% - ------------------------------------ 1 Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32.5%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 2 The Fund paid shareholders capital gains and net ordinary income distributions in December 2005 of $0.1002 per share. 15 Shareholder MEETING REPORT The shareholder meeting was held in the offices of Nuveen Investments on November 14, 2006.
NTC NFC NGK - ------------------------------------------------------------------------------------------------------------------------------------ APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS: Common and Common and Common and MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred shares voting shares voting shares voting shares voting shares voting shares voting together together together together together together as a class as a class as a class as a class as a class as a class ==================================================================================================================================== Robert P. Bremner For 4,937,292 -- 2,407,582 -- 2,106,093 -- Withhold 48,750 -- 22,398 -- 110,906 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,986,042 -- 2,429,980 -- 2,216,999 -- ==================================================================================================================================== Lawrence H. Brown For 4,881,325 -- 2,392,080 -- 2,106,093 -- Withhold 104,717 -- 37,900 -- 110,906 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,986,042 -- 2,429,980 -- 2,216,999 -- ==================================================================================================================================== Jack B. Evans For 4,936,550 -- 2,407,782 -- 2,106,593 -- Withhold 49,492 -- 22,198 -- 110,406 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,986,042 -- 2,429,980 -- 2,216,999 -- ==================================================================================================================================== William C. Hunter For 4,935,550 -- 2,407,582 -- 2,106,093 -- Withhold 50,492 -- 22,398 -- 110,906 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,986,042 -- 2,429,980 -- 2,216,999 -- ==================================================================================================================================== David J. Kundert For 4,936,892 -- 2,406,382 -- 2,106,593 -- Withhold 49,150 -- 23,598 -- 110,406 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,986,042 -- 2,429,980 -- 2,216,999 -- ==================================================================================================================================== William J. Schneider For -- 1,511 -- 774 -- 642 Withhold -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total -- 1,511 -- 774 -- 642 ==================================================================================================================================== Timothy R. Schwertfeger For -- 1,511 -- 774 -- 642 Withhold -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total -- 1,511 -- 774 -- 642 ==================================================================================================================================== Judith M. Stockdale For 4,929,400 -- 2,406,382 -- 2,106,593 -- Withhold 56,642 -- 23,598 -- 110,406 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,986,042 -- 2,429,980 -- 2,216,999 -- ==================================================================================================================================== Eugene S. Sunshine For 4,937,292 -- 2,407,582 -- 2,106,093 -- Withhold 48,750 -- 22,398 -- 110,906 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,986,042 -- 2,429,980 -- 2,216,999 -- ====================================================================================================================================
16
NGO NMT NMB - ------------------------------------------------------------------------------------------------------------------------------------ APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS: Common and Common and Common and MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred shares voting shares voting shares voting shares voting shares voting shares voting together together together together together together as a class as a class as a class as a class as a class as a class ==================================================================================================================================== Robert P. Bremner For 4,174,584 -- 4,426,520 -- 1,903,813 -- Withhold 33,598 -- 54,497 -- 7,097 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,208,182 -- 4,481,017 -- 1,910,910 -- ==================================================================================================================================== Lawrence H. Brown For 4,125,584 -- 4,418,343 -- 1,903,813 -- Withhold 82,598 -- 62,674 -- 7,097 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,208,182 -- 4,481,017 -- 1,910,910 -- ==================================================================================================================================== Jack B. Evans For 4,168,336 -- 4,422,064 -- 1,903,402 -- Withhold 39,846 -- 58,953 -- 7,508 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,208,182 -- 4,481,017 -- 1,910,910 -- ==================================================================================================================================== William C. Hunter For 4,174,584 -- 4,422,064 -- 1,903,813 -- Withhold 33,598 -- 58,953 -- 7,097 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,208,182 -- 4,481,017 -- 1,910,910 -- ==================================================================================================================================== David J. Kundert For 4,174,584 -- 4,426,520 -- 1,903,813 -- Withhold 33,598 -- 54,497 -- 7,097 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,208,182 -- 4,481,017 -- 1,910,910 -- ==================================================================================================================================== William J. Schneider For -- 1,255 -- 1,291 -- 576 Withhold -- -- -- -- -- 13 - ------------------------------------------------------------------------------------------------------------------------------------ Total -- 1,255 -- 1,291 -- 589 ==================================================================================================================================== Timothy R. Schwertfeger For -- 1,255 -- 1,291 -- 576 Withhold -- -- -- -- -- 13 - ------------------------------------------------------------------------------------------------------------------------------------ Total -- 1,255 -- 1,291 -- 589 ==================================================================================================================================== Judith M. Stockdale For 4,172,884 -- 4,424,389 -- 1,903,813 -- Withhold 35,298 -- 56,628 -- 7,097 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,208,182 -- 4,481,017 -- 1,910,910 -- ==================================================================================================================================== Eugene S. Sunshine For 4,174,584 -- 4,422,389 -- 1,903,813 -- Withhold 33,598 -- 58,628 -- 7,097 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 4,208,182 -- 4,481,017 -- 1,910,910 -- ====================================================================================================================================
17 Shareholder MEETING REPORT (continued)
NGX NOM APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS: Common and Common and MuniPreferred MuniPreferred MuniPreferred MuniPreferred shares voting shares voting shares voting shares voting together together together together as a class as a class as a class as a class ==================================================================================================================================== Robert P. Bremner For 2,603,280 -- 2,119,721 -- Withhold 77,485 -- 45,539 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 2,680,765 -- 2,165,260 -- ==================================================================================================================================== Lawrence H. Brown For 2,599,518 -- 2,113,442 -- Withhold 81,247 -- 51,818 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 2,680,765 -- 2,165,260 -- ==================================================================================================================================== Jack B. Evans For 2,603,180 -- 2,120,652 -- Withhold 77,585 -- 44,608 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 2,680,765 -- 2,165,260 -- ==================================================================================================================================== William C. Hunter For 2,603,180 -- 2,114,641 -- Withhold 77,585 -- 50,619 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 2,680,765 -- 2,165,260 -- ==================================================================================================================================== David J. Kundert For 2,603,280 -- 2,117,966 -- Withhold 77,485 -- 47,294 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 2,680,765 -- 2,165,260 -- ==================================================================================================================================== William J. Schneider For -- 792 -- 579 Withhold -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total -- 792 -- 579 ==================================================================================================================================== Timothy R. Schwertfeger For -- 792 -- 579 Withhold -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total -- 792 -- 579 ==================================================================================================================================== Judith M. Stockdale For 2,603,280 -- 2,114,788 -- Withhold 77,485 -- 50,472 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 2,680,765 -- 2,165,260 -- ==================================================================================================================================== Eugene S. Sunshine For 2,603,280 -- 2,114,641 -- Withhold 77,485 -- 50,619 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total 2,680,765 -- 2,165,260 -- ====================================================================================================================================
18 Nuveen Connecticut Premium Income Municipal Fund (NTC) Portfolio of INVESTMENTS November 30, 2006 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 2.8% (1.9% OF TOTAL INVESTMENTS) $ 600 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 $ 622,266 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 1,535 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 1,617,614 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ 2,135 Total Consumer Staples 2,239,880 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 32.4% (22.1% OF TOTAL INVESTMENTS) 1,100 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 AA 1,200,771 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 925 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 982,739 Revenue Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 - MBIA Insured 200 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AA 211,784 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/07 at 102.00 AAA 1,030,500 Revenue Bonds, Connecticut College, Series 1997C-1, 5.500%, 7/01/20 - MBIA Insured 500 Connecticut Health and Educational Facilities Authority, No Opt. Call AAA 546,300 Revenue Bonds, Connecticut State University System, Series 2003F, 5.000%, 11/01/13 - FSA Insured 2,115 Connecticut Health and Educational Facilities Authority, 11/15 at 100.00 AAA 2,325,231 Revenue Bonds, Connecticut State University System, Series 2005H, 5.000%, 11/01/17 - FSA Insured 725 Connecticut Health and Educational Facilities Authority, 7/08 at 102.00 AAA 751,789 Revenue Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 450 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 473,414 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 750 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 793,425 Revenue Bonds, Horace Bushnell Memorial Hall, Series 1999A, 5.625%, 7/01/29 - MBIA Insured 640 Connecticut Health and Educational Facilities Authority, 1/07 at 101.00 AAA 647,290 Revenue Bonds, Loomis Chaffee School, Series 1996C, 5.500%, 7/01/16 - MBIA Insured 800 Connecticut Health and Educational Facilities Authority, No Opt. Call Aaa 912,152 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 527,710 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 - AMBAC Insured 1,375 Connecticut Health and Educational Facilities Authority, 7/14 at 100.00 AAA 1,486,114 Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/21 - MBIA Insured 2,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 2,135,340 Revenue Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,550,340 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 1,500 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 1,591,395 Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 315 Connecticut Higher Education Supplemental Loan Authority, 11/09 at 102.00 AAA 315,765 Revenue Bonds, Family Education Loan Program, Series 1999A, 6.000%, 11/15/18 - AMBAC Insured (Alternative Minimum Tax) 755 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 794,622 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax) 1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,182,390 Series 2003A, 5.125%, 2/15/21 - MBIA Insured 19 Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS (continued) University of Connecticut, General Obligation Bonds, Series 2004A: $ 1,000 5.000%, 1/15/18 - MBIA Insured 1/14 at 100.00 AAA $ 1,082,360 2,000 5.000%, 1/15/19 - MBIA Insured 1/14 at 100.00 AAA 2,159,500 1,220 University of Connecticut, General Obligation Bonds, 2/15 at 100.00 AAA 1,335,217 Series 2005A, 5.000%, 2/15/17 - FSA Insured 685 University of Connecticut, General Obligation Bonds, 2/16 at 100.00 AAA 746,383 Series 2006A, 5.000%, 2/15/23 - FGIC Insured 1,000 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 1,093,310 Bonds, Series 2002A, 5.250%, 11/15/19 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 24,155 Total Education and Civic Organizations 25,875,841 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 12.6% (8.6% OF TOTAL INVESTMENTS) 500 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 544,215 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/21 - RAAI Insured 695 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 AA 750,760 Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 800 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 857,328 500 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 532,835 1,100 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aaa 1,183,655 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 (WI/DD, Settling 12/07/06) - FSA Insured 2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 2,068,660 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,084,330 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured 3,000 Connecticut Health and Educational Facilities Authority, 7/07 at 101.00 Aaa 3,051,029 Revenue Refunding Bonds, Middlesex Health Services, Series 1997H, 5.125%, 7/01/27 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,595 Total Health Care 10,072,812 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 2.6% (1.8% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 12/09 at 100.00 AAA 1,038,770 Finance Program Bonds, Series 1999D-2, 6.200%, 11/15/41 (Alternative Minimum Tax) 1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 1,024,340 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,000 Total Housing/Multifamily 2,063,110 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 4.5% (3.1% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,029,240 Finance Program Bonds, Series 2001C, 5.300%, 11/15/33 (Alternative Minimum Tax) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 205 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 208,370 220 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 224,215 2,100 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 2,166,633 Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 3,525 Total Housing/Single Family 3,628,458 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.3% (1.6% OF TOTAL INVESTMENTS) 1,750 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,819,703 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 7.0% (4.8% OF TOTAL INVESTMENTS) 750 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 767,632 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 20 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE (continued) $ 615 Connecticut Development Authority, First Mortgage Gross 9/09 at 102.00 AA $ 652,718 Revenue Refunding Healthcare Bonds, Connecticut Baptist Homes Inc., Series 1999, 5.500%, 9/01/15 - RAAI Insured 700 Connecticut Development Authority, Health Facilities Revenue 2/07 at 100.00 N/R 701,855 Refunding Bonds, Alzheimer's Resource Center of Connecticut Inc., Series 1994A, 7.000%, 8/15/09 Connecticut Development Authority, Revenue Refunding Bonds, Duncaster Inc., Series 1999A: 1,000 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 AA 1,053,970 1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 1,059,520 1,300 Connecticut Health and Educational Facilities Authority, 8/08 at 102.00 AAA 1,349,491 FHA-Insured Mortgage Revenue Bonds, Hebrew Home and Hospital, Series 1999B, 5.200%, 8/01/38 - ------------------------------------------------------------------------------------------------------------------------------------ 5,365 Total Long-Term Care 5,585,186 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 29.7% (20.2% OF TOTAL INVESTMENTS) 500 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 554,115 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 750 Bridgeport, Connecticut, General Obligation Refunding Bonds, 8/12 at 100.00 Aaa 816,285 Series 2002A, 5.375%, 8/15/19 - FGIC Insured 1,520 Capitol Region Education Council, Connecticut, Revenue 4/07 at 101.00 BBB 1,537,906 Bonds, Series 1995, 6.700%, 10/15/10 1,110 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 1,191,951 5.000%, 4/01/23 - FGIC Insured 2,000 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 2,125,560 4.750%, 12/15/24 1,300 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 1,419,665 5.000%, 6/01/23 - FSA Insured 1,385 Danbury, Connecticut, General Obligation Bonds, Series 2004, No Opt. Call AAA 1,520,010 5.000%, 8/01/14 - FGIC Insured Hartford, Connecticut, General Obligation Bonds, Series 2005A: 775 5.000%, 8/01/20 - FSA Insured 8/15 at 100.00 AAA 842,805 525 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 533,311 500 North Haven, Connecticut, General Obligation Bonds, No Opt. Call Aa2 572,025 Series 2006, 5.000%, 7/15/24 400 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 A 423,428 Series 2000A, 6.000%, 6/01/20 - ACA Insured 1,500 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 1,769,490 Series 2001A, 5.500%, 7/01/20 - MBIA Insured Regional School District 16, Beacon Falls and Prospect, Connecticut, General Obligation Bonds, Series 2000: 350 5.500%, 3/15/18 - FSA Insured 3/10 at 101.00 Aaa 373,506 350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 374,850 350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aaa 375,659 1,420 Regional School District 16, Connecticut, General Obligation 3/13 at 101.00 Aaa 1,544,903 Bonds, Series 2003, 5.000%, 3/15/16 - AMBAC Insured 2,105 Stratford, Connecticut, General Obligation Bonds, Series 2002, 2/12 at 100.00 AAA 2,152,910 4.000%, 2/15/15 - FSA Insured Suffield, Connecticut, General Obligation Bonds, Series 2005: 465 5.000%, 6/15/17 No Opt. Call AA 518,912 460 5.000%, 6/15/19 No Opt. Call AA 517,840 1,000 5.000%, 6/15/21 No Opt. Call AA 1,134,900 1,500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 1,656,105 Series 2005B, 5.000%, 10/01/18 1,630 Westport, Connecticut, General Obligation Bonds, 2/12 at 100.00 Aaa 1,710,098 Series 2003, 4.750%, 2/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ 21,895 Total Tax Obligation/General 23,666,234 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 16.2% (11.1% OF TOTAL INVESTMENTS) 2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 102.00 AAA 2,134,020 Revenue Bonds, Child Care Facilities Program, Series 1999C, 5.625%, 7/01/29 - AMBAC Insured Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: 2,000 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,142,700 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,064,970 500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 535,190 Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 21 Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: $ 960 0.000%, 7/01/32 - FGIC Insured No Opt. Call AAA $ 325,430 2,615 0.000%, 7/01/33 - FGIC Insured No Opt. Call AAA 848,672 2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 8/12 at 100.00 AAA 2,162,440 5.250%, 8/01/21 - FSA Insured 2,400 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 2,645,016 5.000%, 8/01/16 - FSA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts 10/14 at 100.00 AAA 1,106,700 Taxes Loan Note, Series 2003, 5.250%, 10/01/19 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 14,475 Total Tax Obligation/Limited 12,965,138 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 0.9% (0.6% OF TOTAL INVESTMENTS) 750 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AAA 785,700 International Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 13.4% (9.1% OF TOTAL INVESTMENTS) (4) 1,305 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 AA (4) 1,422,998 Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 650 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 (4) 710,021 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 1,000 Connecticut, Clean Water Fund Revenue Bonds, 10/11 at 100.00 AAA 1,088,920 Series 2001, 5.500%, 10/01/20 (Pre-refunded 10/01/11) 40 Connecticut, General Obligation Bonds, Series 1993E, No Opt. Call AA (4) 44,759 6.000%, 3/15/12 (ETM) 2,000 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (4) 2,198,300 5.500%, 6/15/21 (Pre-refunded 6/15/12) 1,000 Hartford, Connecticut, Parking System Revenue Bonds, 7/10 at 100.00 Baa2 (4) 1,092,990 Series 2000A, 6.400%, 7/01/20 (Pre-refunded 7/01/10) 1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,080,100 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 800 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 835,568 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded 7/01/10) 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ (4) 1,111,510 Loan Note, Series 1999A, 6.500%, 10/01/24 (Pre-refunded 10/01/10) 1,000 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 1,089,730 Series 2002A, 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,795 Total U.S. Guaranteed 10,674,896 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.6% (3.8% OF TOTAL INVESTMENTS) 1,575 Bristol Resource Recovery Facility Operating Committee, No Opt. Call AAA 1,688,510 Connecticut, Solid Waste Revenue Bonds, Covanta Bristol Inc., Series 2005, 5.000%, 7/01/12 - AMBAC Insured 1,000 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 1,054,720 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 395 5.500%, 1/01/14 (Alternative Minimum Tax) 1/07 at 100.00 BBB 397,587 1,290 5.500%, 1/01/20 (Alternative Minimum Tax) 1/07 at 100.00 BBB 1,290,955 - ------------------------------------------------------------------------------------------------------------------------------------ 4,260 Total Utilities 4,431,772 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 16.1% (11.0% OF TOTAL INVESTMENTS) 2,550 Connecticut Development Authority, Water Facilities Revenue 3/07 at 102.00 AAA 2,605,743 Bonds, Bridgeport Hydraulic Company, Series 1996, 6.000%, 9/01/36 - AMBAC Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,285,429 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 900 5.000%, 11/15/16 - MBIA Insured 11/15 at 100.00 AAA 990,522 1,520 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 1,642,390 2,260 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 2,433,116 22 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: $ 1,000 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA $ 1,077,690 1,525 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,621,212 1,100 Stamford, Connecticut, Water Pollution Control System 11/13 at 100.00 AA+ 1,171,720 and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 - ------------------------------------------------------------------------------------------------------------------------------------ 12,040 Total Water and Sewer 12,827,822 - ------------------------------------------------------------------------------------------------------------------------------------ $ 111,740 Total Long-Term Investments (cost $111,796,385) - 146.1% 116,636,552 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 0.4% (0.3% OF TOTAL INVESTMENTS) 300 Puerto Rico Government Development Bank, Adjustable A-1+ 300,000 Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 3.290%, 12/01/15 - MBIA Insured (5) - ------------------------------------------------------------------------------------------------------------------------------------ $ 300 Total Short-Term Investments (cost $300,000) 300,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $112,096,385) - 146.5% 116,936,552 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.5% 1,178,557 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (48.0)% (38,300,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 79,815,109 ====================================================================================================================
FUTURES CONTRACTS OUTSTANDING AT NOVEMBER 30, 2006: UNREALIZED CONTRACT NUMBER OF CONTRACT VALUE AT APPRECIATION TYPE POSITION CONTRACTS EXPIRATION NOVEMBER 30, 2006 (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds Long 21 3/07 $2,401,875 $15,312 ====================================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Investment has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 23 Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) Portfolio of INVESTMENTS November 30, 2006 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 4.9% (3.3% OF TOTAL INVESTMENTS) Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001A: $ 65 5.000%, 5/15/22 5/11 at 100.00 Baa3 $ 65,855 500 5.400%, 5/15/31 5/11 at 100.00 Baa3 516,660 1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 1,317,130 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 - ------------------------------------------------------------------------------------------------------------------------------------ 1,835 Total Consumer Staples 1,899,645 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 26.1% (17.7% OF TOTAL INVESTMENTS) 500 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 AA 545,805 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 100 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AA 105,892 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 500 Connecticut Health and Educational Facilities Authority, No Opt. Call AAA 546,300 Revenue Bonds, Connecticut State University System, Series 2003F, 5.000%, 11/01/13 - FSA Insured 625 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 657,519 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 440 Connecticut Health and Educational Facilities Authority, No Opt. Call Aaa 499,110 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/18 - AMBAC Insured 50 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AA 51,132 Revenue Bonds, Sacred Heart University, Series 1998E, 5.000%, 7/01/28 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 1,583,130 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 - AMBAC Insured 350 Connecticut Health and Educational Facilities Authority, 4/14 at 100.00 AAA 381,175 Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,067,670 Revenue Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,033,560 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 585 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 615,701 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax) Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999: 125 5.375%, 2/01/19 2/09 at 101.00 BBB- 128,295 270 5.375%, 2/01/29 2/09 at 101.00 BBB- 277,179 University of Connecticut, General Obligation Bonds, Series 2001A: 1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,043,240 1,000 4.750%, 4/01/21 4/11 at 101.00 AA 1,040,790 585 University of Connecticut, General Obligation Bonds, 2/16 at 100.00 AAA 637,422 Series 2006A, 5.000%, 2/15/23 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,630 Total Education and Civic Organizations 10,213,920 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 8.5% (5.7% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,086,590 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 - RAAI Insured 24 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (continued) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: $ 500 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 $ 535,830 250 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 266,417 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital for Special Care, Series 1997B: 135 5.375%, 7/01/17 7/07 at 102.00 Baa3 138,195 75 5.500%, 7/01/27 7/07 at 102.00 Baa3 76,744 125 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 129,291 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,084,330 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 3,085 Total Health Care 3,317,397 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 3.3% (2.2% OF TOTAL INVESTMENTS) 500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 512,170 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 750 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call A- 760,650 Housing Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,250 Total Housing/Multifamily 1,272,820 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 4.5% (3.0% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,029,240 Finance Program Bonds, Series 2001C, 5.300%, 11/15/33 (Alternative Minimum Tax) 700 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 722,211 Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 1,700 Total Housing/Single Family 1,751,451 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.6% (1.8% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,039,830 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.3% (1.7% OF TOTAL INVESTMENTS) 300 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 323,046 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 110 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 112,462 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.800%, 4/01/21 500 Connecticut Development Authority, Health Facilities Revenue 2/07 at 100.00 N/R 501,310 Refunding Bonds, Alzheimer's Resource Center of Connecticut Inc., Series 1994A, 7.250%, 8/15/21 - ------------------------------------------------------------------------------------------------------------------------------------ 910 Total Long-Term Care 936,818 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 15.8% (10.7% OF TOTAL INVESTMENTS) 500 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 554,115 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 560 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 601,345 5.000%, 4/01/23 - FGIC Insured 700 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 743,946 4.750%, 12/15/24 400 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 436,820 5.000%, 6/01/23 - FSA Insured Hartford, Connecticut, General Obligation Bonds, Series 2005A: 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 390,391 240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 243,799 780 New Haven, Connecticut, General Obligation Bonds, 11/10 at 101.00 AAA 824,437 Series 2001A, 5.000%, 11/01/20 - FGIC Insured 400 North Haven, Connecticut, General Obligation Bonds, No Opt. Call Aa2 457,620 Series 2006, 5.000%, 7/15/24 250 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 A 264,643 Series 2000A, 6.000%, 6/01/20 - ACA Insured 25 Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) Suffield, Connecticut, General Obligation Bonds, Series 2005: $ 335 5.000%, 6/15/17 No Opt. Call AA $ 373,840 335 5.000%, 6/15/19 No Opt. Call AA 377,123 810 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 894,297 Series 2005B, 5.000%, 10/01/18 - ------------------------------------------------------------------------------------------------------------------------------------ 5,670 Total Tax Obligation/General 6,162,376 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 18.5% (12.5% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Educational Facilities Authority, 7/08 at 105.00 A 1,084,920 Revenue Bonds, New Opportunities for Waterbury Inc., Series 1998A, 6.750%, 7/01/28 Connecticut, Certificates of Participation, Juvenile Training School, Series 2001: 600 5.000%, 12/15/20 12/11 at 101.00 AA- 635,298 1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 1,052,910 1,475 Connecticut, Special Tax Obligation Transportation No Opt. Call AAA 1,632,692 Infrastructure Purpose Bonds, Series 1998B, 5.500%, 11/01/12 - FSA Insured 470 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 159,325 Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured 1,200 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 1,322,508 5.000%, 8/01/16 - FSA Insured 750 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 825,203 Loan Note, Series 1999A, 6.375%, 10/01/19 500 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 AA 517,995 Refunding Bonds, Matching Fund Loan Note, Series 1998A, 5.500%, 10/01/18 - RAAI Insured - ------------------------------------------------------------------------------------------------------------------------------------ 6,995 Total Tax Obligation/Limited 7,230,851 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.7% (4.5% OF TOTAL INVESTMENTS) 2,500 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AAA 2,618,999 International Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 31.1% (21.1% OF TOTAL INVESTMENTS) (4) 1,000 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 (4) 1,092,340 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 2,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 2,177,840 5.500%, 10/01/20 (Pre-refunded 10/01/11) 750 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (4) 824,363 5.500%, 6/15/21 (Pre-refunded 6/15/12) 500 East Lyme, Connecticut, General Obligation Bonds, 7/11 at 102.00 Aaa 542,800 Series 2001, 5.125%, 7/15/20 (Pre-refunded 7/15/11) - FGIC Insured 700 Farmington, Connecticut, General Obligation Bonds, 3/11 at 101.00 Aa1 (4) 743,897 Series 2001, 4.875%, 3/15/20 (Pre-refunded 3/15/11) Hamden, Connecticut, General Obligation Bonds, Series 2001: 640 5.250%, 8/15/18 (Pre-refunded 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 699,507 635 5.000%, 8/15/19 (Pre-refunded 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 687,203 300 5.000%, 8/15/20 (Pre-refunded 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 324,663 220 New Haven, Connecticut, General Obligation Bonds, 11/11 at 100.00 AAA 233,528 Series 2001A, 5.000%, 11/01/20 (Pre-refunded 11/01/11) - FGIC Insured 1,425 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,541,280 Obligation Bonds, Series 2000A, 5.500%, 10/01/32 1,300 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,404,130 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 390 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 407,339 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded 7/01/10) 1,000 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 1,089,730 Series 2002A, 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured 26 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (4) (continued) $ 370 Windsor, Connecticut, General Obligation Bonds, 7/09 at 100.00 Aa2 (4) $ 383,461 Series 2001, 5.000%, 7/15/20 (Pre-refunded 7/15/09) - ------------------------------------------------------------------------------------------------------------------------------------ 11,230 Total U.S. Guaranteed 12,152,081 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 9.3% (6.3% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control 10/08 at 102.00 Baa1 527,360 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 1,000 Eastern Connecticut Resource Recovery Authority, 1/07 at 100.00 BBB 1,006,550 Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax) 1,975 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 2,095,554 Series 2000HH, 5.250%, 7/01/29 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 3,475 Total Utilities 3,629,464 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 14.0% (9.5% OF TOTAL INVESTMENTS) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,285,429 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 450 5.000%, 11/15/17 - MBIA Insured 11/15 at 100.00 AAA 493,821 720 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 777,974 1,110 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 1,195,026 140 Guam Government Waterworks Authority, Water and 7/15 at 100.00 Ba2 154,760 Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 808,268 720 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 765,425 - ------------------------------------------------------------------------------------------------------------------------------------ 5,075 Total Water and Sewer 5,480,703 - ------------------------------------------------------------------------------------------------------------------------------------ $ 54,355 Total Investments (cost $54,937,556) - 147.6% 57,706,355 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.3% 903,238 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.9)% (19,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 39,109,593 ====================================================================================================================
FUTURES CONTRACTS OUTSTANDING AT NOVEMBER 30, 2006:
UNREALIZED CONTRACT NUMBER OF CONTRACT VALUE AT APPRECIATION TYPE POSITION CONTRACTS EXPIRATION NOVEMBER 30, 2006 (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds Long 15 3/07 $1,715,625 $9,564 - ------------------------------------------------------------------------------------------------------------------------------------
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. N/R Not rated. See accompanying notes to financial statements. 27 Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) Portfolio of INVESTMENTS November 30, 2006 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.0% (2.0% OF TOTAL INVESTMENTS) $ 250 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 $ 259,278 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 770 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 811,441 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ 1,020 Total Consumer Staples 1,070,719 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 27.1% (18.3% OF TOTAL INVESTMENTS) 500 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 AA 545,805 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 100 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AA 105,892 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 2,250 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA 2,385,065 Revenue Bonds, Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21 - FSA Insured 95 Connecticut Health and Educational Facilities Authority, 7/08 at 102.00 AAA 98,510 Revenue Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 1,052,030 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 500 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AAA 514,900 Revenue Bonds, Hopkins School, Series 1998A, 5.000%, 7/01/20 - AMBAC Insured 215 Connecticut Health and Educational Facilities Authority, 1/15 at 100.00 Aaa 235,395 Revenue Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 - MBIA Insured 310 Connecticut Health and Educational Facilities Authority, No Opt. Call Aaa 353,459 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E: 590 5.500%, 7/01/22 - RAAI Insured 7/12 at 101.00 AA 645,596 1,000 5.250%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 1,067,670 1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,033,560 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 University of Connecticut, General Obligation Bonds, Series 2006A: 450 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AAA 493,583 490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AAA 533,909 500 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 545,390 Bonds, Series 2002A, 5.250%, 11/15/22 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,000 Total Education and Civic Organizations 9,610,764 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 10.2% (6.9% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A: 50 6.125%, 7/01/20 - RAAI Insured 7/10 at 101.00 AA 54,219 70 6.000%, 7/01/25 - RAAI Insured 7/10 at 101.00 AA 75,616 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 300 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 321,498 300 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 319,701 28 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (continued) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital for Special Care, Series 1997B: $ 105 5.375%, 7/01/17 7/07 at 102.00 Baa3 $ 107,485 45 5.500%, 7/01/27 7/07 at 102.00 Baa3 46,047 500 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aaa 538,025 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 (WI/DD, Settling 12/07/06) - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,053,520 Revenue Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 - RAAI Insured 25 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 25,980 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,084,330 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 3,395 Total Health Care 3,626,421 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 3.0% (2.0% OF TOTAL INVESTMENTS) 500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 512,170 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 500 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call A- 507,100 Housing Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,000 Total Housing/Multifamily 1,019,270 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 3.6% (2.4% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 305 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 310,014 330 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 336,323 600 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 619,038 Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 1,235 Total Housing/Single Family 1,265,375 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.9% (2.0% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,037,000 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 3.3% (2.2% OF TOTAL INVESTMENTS) 320 Connecticut Development Authority, First Mortgage 12/11 at 102.00 BBB+ 344,582 Gross Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 325 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 332,641 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 450 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AAA 482,814 Revenue Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/19 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 1,095 Total Long-Term Care 1,160,037 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 30.5% (20.6% OF TOTAL INVESTMENTS) 875 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 969,701 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 600 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 637,668 4.750%, 12/15/24 400 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 436,820 5.000%, 6/01/23 - FSA Insured Farmington, Connecticut, General Obligation Bonds, Series 2002: 1,000 5.000%, 9/15/20 9/12 at 101.00 Aa1 1,081,500 1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,552,834 1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ 1,391,913 Obligation Bonds, Series 2002, 5.000%, 4/01/22 Hartford, Connecticut, General Obligation Bonds, Series 2005A: 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 390,391 240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 243,799 29 Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) Regional School District 8, Andover, Hebron and Marlborough, Connecticut, General Obligation Bonds, Series 2002: $ 1,390 5.000%, 5/01/20 - FSA Insured 5/11 at 101.00 Aaa $ 1,480,976 1,535 5.000%, 5/01/22 - FSA Insured 5/11 at 101.00 Aaa 1,624,168 400 Suffield, Connecticut, General Obligation Bonds, No Opt. Call AA 453,960 Series 2005, 5.000%, 6/15/21 500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 553,355 Series 2005B, 5.000%, 10/01/17 - ------------------------------------------------------------------------------------------------------------------------------------ 10,055 Total Tax Obligation/General 10,817,085 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 9.2% (6.2% OF TOTAL INVESTMENTS) 500 Connecticut, Special Tax Obligation Transportation 10/11 at 100.00 AAA 539,735 Infrastructure Purpose Bonds, Series 2001B, 5.375%, 10/01/13 - FSA Insured 1,625 Connecticut, Special Tax Obligation Transportation 7/12 at 100.00 AAA 1,765,871 Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured 430 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 145,766 Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured 750 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 826,568 5.000%, 8/01/16 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 3,305 Total Tax Obligation/Limited 3,277,940 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.2% (4.2% OF TOTAL INVESTMENTS) 1,950 New Haven, Connecticut, Revenue Refunding Bonds, No Opt. Call AAA 2,208,863 Air Rights Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 30.7% (20.7% OF TOTAL INVESTMENTS) (4) 1,000 Bridgeport, Connecticut, General Obligation Bonds, 8/11 at 100.00 AAA 1,080,460 Series 2001C, 5.375%, 8/15/18 (Pre-refunded 8/15/11) - FGIC Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A: 100 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 109,441 130 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 141,755 1,000 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 (4) 1,081,830 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.250%, 7/01/31 (Pre-refunded 7/01/11) 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA (4) 1,090,340 5.375%, 4/15/19 (Pre-refunded 4/15/12) 2,105 Fairfield, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 2,255,781 Series 2002A, 5.000%, 4/01/16 (Pre-refunded 4/01/12) 1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,081,600 Obligation Bonds, Series 2000A, 5.500%, 10/01/32 2,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 2,160,200 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 1,230 University of Connecticut, General Obligation Bonds, 4/12 at 100.00 AA (4) 1,340,368 Series 2002A, 5.375%, 4/01/19 (Pre-refunded 4/01/12) 500 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 544,865 Series 2002A, 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 10,065 Total U.S. Guaranteed 10,886,640 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 6.6% (4.5% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control 10/08 at 102.00 Baa1 527,360 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 250 5.500%, 1/01/15 (Alternative Minimum Tax) 1/15 at 100.00 BBB 252,813 510 5.500%, 1/01/20 (Alternative Minimum Tax) 1/07 at 100.00 BBB 510,377 30 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES (continued) $ 1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA $ 1,061,040 Series 2000HH, 5.250%, 7/01/29 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 2,260 Total Utilities 2,351,590 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 11.9% (8.0% OF TOTAL INVESTMENTS) 70 Connecticut Development Authority, Water Facilities 3/07 at 102.00 AAA 71,530 Revenue Bonds, Bridgeport Hydraulic Company, Series 1996, 6.000%, 9/01/36 - AMBAC Insured (Alternative Minimum Tax) 785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 851,529 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 500 5.000%, 11/15/16 - MBIA Insured 11/15 at 100.00 AAA 550,290 690 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 745,559 320 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 344,512 130 Guam Government Waterworks Authority, Water and 7/15 at 100.00 Ba2 143,706 Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 808,268 660 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 701,639 - ------------------------------------------------------------------------------------------------------------------------------------ 3,905 Total Water and Sewer 4,217,033 - ------------------------------------------------------------------------------------------------------------------------------------ $ 49,285 Total Investments (cost $49,788,724) - 148.2% 52,548,737 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.2% 411,738 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.4)% (17,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 35,460,475 ====================================================================================================================
FUTURES CONTRACTS OUTSTANDING AT NOVEMBER 30, 2006:
UNREALIZED CONTRACT NUMBER OF CONTRACT VALUE AT APPRECIATION TYPE POSITION CONTRACTS EXPIRATION NOVEMBER 30, 2006 (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds Long 8 3/07 $915,000 $5,398 - ------------------------------------------------------------------------------------------------------------------------------------
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. WI/DD Purchased on a when-issued or delayed delivery basis. See accompanying notes to financial statements. 31 Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) Portfolio of INVESTMENTS November 30, 2006 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 4.0% (2.7% OF TOTAL INVESTMENTS) $ 2,460 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 2,592,397 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 21.9% (14.7% OF TOTAL INVESTMENTS) 650 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 AA 709,547 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 150 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AA 158,838 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 1,595 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA 1,690,748 Revenue Bonds, Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21 - FSA Insured 1,700 Connecticut Health and Educational Facilities Authority, 11/15 at 100.00 AAA 1,868,980 Revenue Bonds, Connecticut State University System, Series 2005H, 5.000%, 11/01/17 - FSA Insured 285 Connecticut Health and Educational Facilities Authority, 1/15 at 100.00 Aaa 312,035 Revenue Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 - MBIA Insured 400 Connecticut Health and Educational Facilities Authority, No Opt. Call Aaa 456,076 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 3,100 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 3,285,224 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21 - AMBAC Insured 750 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 820,673 Revenue Bonds, University of Hartford, Series 2002E, 5.500%, 7/01/22 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,550,340 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,182,390 Series 2003A, 5.125%, 2/15/21 - MBIA Insured University of Connecticut, General Obligation Bonds, Series 2006A: 850 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AAA 932,323 490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AAA 533,909 500 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 545,390 Bonds, Series 2002A, 5.250%, 11/15/22 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 13,070 Total Education and Civic Organizations 14,046,473 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 6.2% (4.2% OF TOTAL INVESTMENTS) 500 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 544,215 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/21 - RAAI Insured 800 Connecticut Health and Educational Facilities Authority, 7/15 at 100.00 Aa3 857,328 Revenue Bonds, Griffin Hospital, Series 2005B, 5.000%, 7/01/20 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital for Special Care, Series 1997B: 235 5.375%, 7/01/17 7/07 at 102.00 Baa3 240,562 95 5.500%, 7/01/27 7/07 at 102.00 Baa3 97,210 900 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aaa 968,445 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 (WI/DD, Settling 12/07/06) - FSA Insured 200 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 207,842 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,084,330 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 3,730 Total Health Care 3,999,932 - ------------------------------------------------------------------------------------------------------------------------------------ 32 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 2.8% (1.9% OF TOTAL INVESTMENTS) $ 1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA $ 1,024,340 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 750 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call A- 760,650 Housing Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,750 Total Housing/Multifamily 1,784,990 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 3.2% (2.1% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 435 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 442,151 465 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 473,909 1,100 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 1,134,903 Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 2,000 Total Housing/Single Family 2,050,963 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 3.2% (2.2% OF TOTAL INVESTMENTS) 2,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 2,079,660 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 12.3% (8.2% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 538,410 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 600 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 614,106 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 Connecticut Development Authority, Revenue Bonds, Duncaster Inc., Series 2002: 650 5.125%, 8/01/22 - RAAI Insured 8/12 at 101.00 AA 690,053 1,025 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 AA 1,058,395 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc., Series 2002A: 430 5.000%, 7/01/18 - AMBAC Insured 7/12 at 101.00 AAA 461,356 475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 AAA 509,637 260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 AAA 276,736 1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 AAA 1,063,180 Connecticut Housing Finance Authority, Special Needs Housing Mortgage Finance Program Special Obligation Bonds, Series 2002SNH-1: 1,000 5.000%, 6/15/22 - AMBAC Insured 6/12 at 101.00 AAA 1,069,830 1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 AAA 1,597,305 - ------------------------------------------------------------------------------------------------------------------------------------ 7,440 Total Long-Term Care 7,879,008 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 29.2% (19.5% OF TOTAL INVESTMENTS) Bethel, Connecticut, General Obligation Bonds, Series 2002: 525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aaa 561,976 525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aaa 561,976 525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aaa 561,976 525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aaa 561,976 525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aaa 557,529 1,000 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 1,108,230 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 1,200 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 1,275,336 4.750%, 12/15/24 700 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 764,435 5.000%, 6/01/23 - FSA Insured 450 Farmington, Connecticut, General Obligation Bonds, 9/12 at 101.00 Aa1 486,675 Series 2002, 5.000%, 9/15/20 Hartford, Connecticut, General Obligation Bonds, Series 2005A: 600 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 650,652 400 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 406,332 33 Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) New Canaan, Connecticut, General Obligation Bonds, Series 2002A: $ 950 4.500%, 5/01/19 5/11 at 100.00 Aaa $ 976,486 900 4.600%, 5/01/20 5/11 at 100.00 Aaa 928,233 500 4.700%, 5/01/21 5/11 at 100.00 Aaa 517,085 1,405 New Haven, Connecticut, General Obligation Bonds, 11/11 at 101.00 AAA 1,519,423 Series 2002A, 5.250%, 11/01/17 - AMBAC Insured Southbury, Connecticut, General Obligation Bonds, Series 2002: 500 4.250%, 12/15/14 12/11 at 101.00 Aa3 519,040 500 4.375%, 12/15/15 12/11 at 101.00 Aa3 521,305 500 4.375%, 12/15/16 12/11 at 101.00 Aa3 519,380 500 4.500%, 12/15/17 12/11 at 101.00 Aa3 520,810 500 4.625%, 12/15/18 12/11 at 101.00 Aa3 523,035 500 4.625%, 12/15/19 12/11 at 101.00 Aa3 520,840 500 4.875%, 12/15/20 12/11 at 101.00 Aa3 528,225 500 4.875%, 12/15/21 12/11 at 101.00 Aa3 526,970 500 5.000%, 12/15/22 12/11 at 101.00 Aa3 532,130 Stratford, Connecticut, General Obligation Bonds, Series 2002: 1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,386,138 630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 637,629 500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 552,035 Series 2005B, 5.000%, 10/01/18 - ------------------------------------------------------------------------------------------------------------------------------------ 17,735 Total Tax Obligation/General 18,725,857 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 18.7% (12.5% OF TOTAL INVESTMENTS) 60 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AA 66,202 Purpose Bonds, Series 1992B, 6.125%, 9/01/12 Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: 2,810 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 3,010,493 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,064,970 1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AAA 1,062,770 500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 535,190 Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: 780 0.000%, 7/01/32 - FGIC Insured No Opt. Call AAA 264,412 2,120 0.000%, 7/01/33 - FGIC Insured No Opt. Call AAA 688,025 Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G: 890 5.250%, 7/01/17 7/12 at 100.00 BBB 948,144 1,000 5.250%, 7/01/20 7/12 at 100.00 BBB 1,067,920 1,045 5.250%, 7/01/21 7/12 at 100.00 BBB 1,114,890 1,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,152,723 Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 - AMBAC Insured 195 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 BBB- 208,057 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 750 Virgin Islands Public Finance Authority, Senior Lien 10/08 at 101.00 BBB 775,102 Revenue Refunding Bonds, Matching Fund Loan Note, Series 1998A, 5.500%, 10/01/22 - ------------------------------------------------------------------------------------------------------------------------------------ 13,160 Total Tax Obligation/Limited 11,958,898 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 0.8% (0.4% OF TOTAL INVESTMENTS) 415 New Haven, Connecticut, Revenue Refunding Bonds, No Opt. Call AAA 470,091 Air Rights Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 25.0% (16.7% OF TOTAL INVESTMENTS) (4) 3,510 Bridgeport, Connecticut, General Obligation Bonds, 8/11 at 100.00 AAA 3,792,414 Series 2001C, 5.375%, 8/15/18 (Pre-refunded 8/15/11) - FGIC Insured 34 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (4) (continued) $ 500 Bridgeport, Connecticut, General Obligation Bonds, 9/13 at 100.00 AAA $ 551,665 Series 2003A, 5.250%, 9/15/23 (Pre-refunded 9/15/13) - FSA Insured 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA (4) 1,072,120 5.000%, 4/15/21 (Pre-refunded 4/15/12) 2,500 Connecticut, General Obligation Bonds, Series 2002D, 11/12 at 100.00 AA (4) 2,747,975 5.375%, 11/15/21 (Pre-refunded 11/15/12) 400 Connecticut, Special Tax Obligation Transportation 10/11 at 100.00 AAA 422,840 Infrastructure Purpose Bonds, Series 2001A, 4.800%, 10/01/18 (Pre-refunded 10/01/11) - FSA Insured 40 New Haven, Connecticut, General Obligation Bonds, 11/11 at 101.00 AAA 43,560 Series 2002A, 5.250%, 11/01/17 - AMBAC Insured (ETM) 3,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 3,240,299 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 2,000 Puerto Rico Infrastructure Financing Authority, Special 1/08 at 101.00 AAA 2,052,300 Tax Revenue Bonds, Series 1997A, 5.000%, 7/01/28 (Pre-refunded 1/01/08) - AMBAC Insured 570 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 Aaa 622,748 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 (Pre-refunded 2/01/12) 1,410 Puerto Rico, General Obligation and Public Improvement 7/08 at 101.00 AAA 1,457,094 Refunding Bonds, Series 1998B, 5.000%, 7/01/24 (Pre-refunded 7/01/08) - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 14,930 Total U.S. Guaranteed 16,003,015 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 8.3% (5.5% OF TOTAL INVESTMENTS) 720 Connecticut Development Authority, Pollution Control 10/08 at 102.00 Baa1 759,398 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 1,000 5.500%, 1/01/14 (Alternative Minimum Tax) 1/07 at 100.00 BBB 1,006,550 305 5.500%, 1/01/20 (Alternative Minimum Tax) 1/07 at 100.00 BBB 305,226 3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,236,171 Series 2000HH, 5.250%, 7/01/29 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 5,075 Total Utilities 5,307,345 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 14.0% (9.4% OF TOTAL INVESTMENTS) 765 Connecticut Development Authority, Water Facilities 3/07 at 102.00 A 781,516 Revenue Bonds, Bridgeport Hydraulic Company, Series 1996, 6.000%, 9/01/36 (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,285,429 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 770 5.000%, 11/15/16 - MBIA Insured 11/15 at 100.00 AAA 847,447 1,230 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 1,329,040 640 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 689,024 230 Guam Government Waterworks Authority, Water and 7/15 at 100.00 Ba2 254,249 Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25 35 Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: $ 2,050 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA $ 2,209,265 1,140 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,211,923 350 Stamford, Connecticut, Water Pollution Control System 11/13 at 100.00 AA+ 372,820 and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 - ------------------------------------------------------------------------------------------------------------------------------------ 8,360 Total Water and Sewer 8,980,713 - ------------------------------------------------------------------------------------------------------------------------------------ $ 92,125 Total Investments (cost $92,444,055) - 149.6% 95,879,342 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 0.3% 206,311 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.9)% (32,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 64,085,653 ====================================================================================================================
FUTURES CONTRACTS OUTSTANDING AT NOVEMBER 30, 2006:
UNREALIZED CONTRACT NUMBER OF CONTRACT VALUE AT APPRECIATION TYPE POSITION CONTRACTS EXPIRATION NOVEMBER 30, 2006 (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds Long 12 3/07 $1,372,500 $7,745 - ------------------------------------------------------------------------------------------------------------------------------------
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 36 Nuveen Massachusetts Premium Income Municipal Fund (NMT) Portfolio of INVESTMENTS November 30, 2006 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 2.2% (1.5% OF TOTAL INVESTMENTS) $ 1,485 Boston Industrial Development Financing Authority, 9/12 at 102.00 Ba3 $ 1,547,682 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 0.7% (0.6% OF TOTAL INVESTMENTS) 550 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 570,411 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 32.4% (22.0% OF TOTAL INVESTMENTS) 750 Massachusetts Development Finance Agency, Revenue 9/15 at 100.00 AAA 800,033 Bonds, Western New England College, Series 2005A, 5.000%, 9/01/33 - AGC Insured 500 Massachusetts Development Finance Authority, Revenue 9/11 at 101.00 A 534,610 Bonds, Belmont Hills School, Series 2001, 5.375%, 9/01/23 890 Massachusetts Development Finance Authority, Revenue 3/09 at 101.00 A 934,580 Bonds, Curry College, Series 2000A, 6.000%, 3/01/20 - ACA Insured 1,000 Massachusetts Development Finance Authority, Revenue 7/13 at 101.00 BBB+ 1,082,740 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 1,745 Massachusetts Development Finance Authority, Revenue 7/15 at 100.00 AAA 1,850,503 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured 750 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 AA- 817,755 Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 1,090 Massachusetts Development Finance Authority, Revenue No Opt. Call A3 1,341,659 Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/29 85 Massachusetts Education Loan Authority, Student Loan 1/07 at 100.00 AAA 85,113 Revenue Bonds, Issue E, Series 1995, 6.150%, 7/01/10 - AMBAC Insured (Alternative Minimum Tax) 1,550 Massachusetts Educational Finance Authority, Educational 1/12 at 100.00 AAA 1,610,884 Loan Revenue Bonds, Series 2002E, 5.000%, 1/01/13 - AMBAC Insured (Alternative Minimum Tax) 2,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,179,520 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 1,500 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 AAA 1,597,905 Revenue Bonds, University of Massachusetts - Worcester Campus, Series 2001B, 5.250%, 10/01/31 - FGIC Insured 500 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 531,060 Revenue Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26 555 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 596,980 Revenue Bonds, Williams College, Series 2003H, 5.000%, 7/01/21 500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 AAA 529,080 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured 2,300 Massachusetts Industrial Finance Agency, Revenue Bonds, 9/08 at 101.00 A 2,362,215 Belmont Hill School, Series 1998, 5.250%, 9/01/28 1,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 1/07 at 100.00 Aa1 1,646,711 Whitehead Institute for Biomedical Research, Series 1993, 5.125%, 7/01/26 4,000 New England Education Loan Marketing Corporation, No Opt. Call A3 4,220,958 Massachusetts, Student Loan Revenue Bonds, Subordinate Series 1992H, 6.900%, 11/01/09 (Alternative Minimum Tax) 375 Puerto Rico Industrial, Tourist, Educational, Medical and 2/09 at 101.00 BBB- 384,885 Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999, 5.375%, 2/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ 21,735 Total Education and Civic Organizations 23,107,191 - ------------------------------------------------------------------------------------------------------------------------------------ 37 Nuveen Massachusetts Premium Income Municipal Fund (NMT) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 16.8% (11.4% OF TOTAL INVESTMENTS) $ 1,250 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ $ 1,360,075 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 AA 1,057,670 Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 - RAAI Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 1,093,080 Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 935 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AA 980,329 Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 - RAAI Insured 1,000 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AAA 1,081,660 Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 1,047,080 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 1,500 Massachusetts Health and Educational Facilities Authority, 1/07 at 100.00 AAA 1,501,755 Revenue Bonds, New England Medical Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured 600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 647,250 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.375%, 5/15/19 - FGIC Insured 2,000 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA 2,179,040 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 375 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 414,450 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 615 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 634,686 Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 - ------------------------------------------------------------------------------------------------------------------------------------ 11,275 Total Health Care 11,997,075 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 6.0% (4.1% OF TOTAL INVESTMENTS) 1,890 Massachusetts Development Financing Authority, Assisted 12/09 at 102.00 N/R 1,958,286 Living Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31 335 Massachusetts Housing Finance Agency, Housing Bonds, 6/15 at 100.00 AA- 348,233 Series 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax) 500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 511,255 Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 390 Massachusetts Housing Finance Agency, Rental Housing 7/10 at 101.00 AAA 408,599 Mortgage Revenue Bonds, Series 1999D, 5.500%, 7/01/13 - AMBAC Insured (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,071,620 Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 - ------------------------------------------------------------------------------------------------------------------------------------ 4,115 Total Housing/Multifamily 4,297,993 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 3.5% (2.4% OF TOTAL INVESTMENTS) 1,000 Massachusetts Housing Finance Authority, Single Family 6/15 at 100.00 AA 1,018,110 Housing Revenue Bonds, Series 2006-122, 4.875%, 12/01/37 (Alternative Minimum Tax) 1,500 Massachusetts Housing Finance Authority, Single Family 6/16 at 100.00 AA 1,513,215 Housing Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,500 Total Housing/Single Family 2,531,325 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 1.2% (0.8% OF TOTAL INVESTMENTS) 415 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 422,902 Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 400 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 429,576 Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 - ------------------------------------------------------------------------------------------------------------------------------------ 815 Total Industrials 852,478 - ------------------------------------------------------------------------------------------------------------------------------------ 38 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 9.4% (6.4% OF TOTAL INVESTMENTS) $ 1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue 10/08 at 105.00 AAA $ 1,377,125 Bonds, Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31 1,500 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,681,860 Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 2,500 Massachusetts Development Finance Authority, GNMA 10/11 at 105.00 AAA 2,825,450 Collateralized Revenue Bonds, VOA Concord Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 415 Massachusetts Industrial Finance Agency, FHA-Insured 2/07 at 101.00 AAA 423,528 Project Revenue Bonds, Heights Crossing LP, Series 1995, 6.000%, 2/01/15 (Alternative Minimum Tax) 400 Massachusetts Industrial Finance Agency, First Mortgage 1/11 at 101.00 BBB- 404,668 Revenue Bonds, Berkshire Retirement Community, Series 1994B, 4.750%, 7/01/17 - ------------------------------------------------------------------------------------------------------------------------------------ 6,085 Total Long-Term Care 6,712,631 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 19.3% (13.1% OF TOTAL INVESTMENTS) 500 Ashland, Massachusetts, General Obligation Bonds, 5/15 at 100.00 Aaa 554,115 Series 2004, 5.250%, 5/15/23 - AMBAC Insured 1,250 Boston, Massachusetts, General Obligation Bonds, 1/15 at 100.00 Aa1 1,366,750 Series 2005A, 5.000%, 1/01/17 1,000 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 1,077,040 Series 2003, 5.000%, 2/01/21 - FSA Insured 2,500 Massachusetts Bay Transportation Authority, General No Opt. Call AAA 3,155,125 Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 1,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 1,462,425 Series 2001D, 6.000%, 11/01/13 - MBIA Insured 980 Monson, Massachusetts, General Obligation Bonds, 5/12 at 101.00 Aaa 1,061,957 Series 2002, 5.250%, 5/15/22 - AMBAC Insured 1,260 Norwell, Massachusetts, General Obligation Bonds, No Opt. Call AAA 1,426,257 Series 2003, 5.000%, 11/15/20 - FGIC Insured Springfield, Massachusetts, General Obligation Bonds, Series 2003: 530 5.250%, 1/15/15 - MBIA Insured 1/13 at 100.00 AAA 578,882 1,615 5.250%, 1/15/23 - MBIA Insured 1/13 at 100.00 AAA 1,752,840 1,220 Worcester, Massachusetts, General Obligation Bonds, 7/15 at 100.00 AAA 1,325,432 Series 2005A, 5.000%, 7/01/19 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 12,130 Total Tax Obligation/General 13,760,823 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 16.4% (11.2% OF TOTAL INVESTMENTS) 210 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA 225,101 Series 2004, 5.000%, 5/01/26 - AMBAC Insured 940 Massachusetts Bay Transportation Authority, Assessment 7/15 at 100.00 AAA 1,024,826 Bonds, Series 2005A, 5.000%, 7/01/18 385 Massachusetts Bay Transportation Authority, Senior Lien No Opt. Call AAA 444,948 Sales Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21 1,000 Massachusetts Bay Transportation Authority, Senior Sales 7/18 at 100.00 AAA 1,099,270 Tax Revenue Bonds, Series 2006, 5.000%, 7/01/26 550 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 592,009 Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured 325 Massachusetts College Building Authority, Project Revenue 5/16 at 100.00 AAA 350,951 Bonds, Series 2006A, 5.000%, 5/01/31 - AMBAC Insured 1,000 Massachusetts College Building Authority, Project Revenue No Opt. Call AAA 1,170,260 Refunding Bonds, Series 2003B, 5.375%, 5/01/23 - XLCA Insured 1,300 Massachusetts School Building Authority, Dedicated Sales 8/15 at 100.00 AAA 1,412,151 Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 540 Massachusetts, Special Obligation Dedicated Tax Revenue No Opt. Call AAA 606,609 Bonds, Series 2005, 5.000%, 1/01/20 - FGIC Insured 3,000 Massachusetts, Special Obligation Refunding Notes, No Opt. Call Aaa 3,252,540 Federal Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 39 Nuveen Massachusetts Premium Income Municipal Fund (NMT) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 1,300 Puerto Rico, Highway Revenue Bonds, Highway and No Opt. Call AAA $ 1,522,976 Transportation Authority, Series 2003AA, 5.500%, 7/01/19 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 10,550 Total Tax Obligation/Limited 11,701,641 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 11.3% (7.7% OF TOTAL INVESTMENTS) 2,000 Massachusetts Port Authority, Revenue Bonds, 7/13 at 100.00 AAA 2,126,640 Series 2003A, 5.000%, 7/01/33 - MBIA Insured 1,700 Massachusetts Port Authority, Revenue Bonds, 7/15 at 100.00 AAA 1,833,348 Series 2005A, 5.000%, 7/01/23 - AMBAC Insured 4,000 Massachusetts Port Authority, Special Facilities Revenue 3/07 at 102.00 AAA 4,086,760 Bonds, US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 - MBIA Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 7,700 Total Transportation 8,046,748 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 9.8% (6.6% OF TOTAL INVESTMENTS) (4) 410 Massachusetts Health and Educational Facilities Authority, 7/21 at 100.00 AAA 461,988 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) - MBIA Insured 780 Massachusetts Port Authority, Revenue Bonds, Series 1982, 1/07 at 100.00 AAA 1,040,107 13.000%, 7/01/13 (ETM) 1,250 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 AA (4) 1,366,488 Series 2004B, 5.000%, 8/01/24 (Pre-refunded 8/01/14) 1,500 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 1,656,000 Bonds, Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) - FGIC Insured 1,200 University of Massachusetts Building Authority, Senior Lien 11/13 at 100.00 AAA 1,325,316 Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 (Pre-refunded 11/01/13) - AMBAC Insured 1,000 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 1,116,070 Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 (Pre-refunded 11/01/14) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 6,140 Total U.S. Guaranteed 6,965,969 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 3.0% (2.0% OF TOTAL INVESTMENTS) 1,000 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA 1,096,280 Recovery Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/16 - MBIA Insured 1,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 1,040,960 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,000 Total Utilities 2,137,240 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 15.0% (10.2% OF TOTAL INVESTMENTS) 2,000 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 2,147,880 General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 1,500 Massachusetts Water Pollution Abatement Trust, 8/14 at 100.00 AAA 1,604,790 Pooled Loan Program Bonds, Series 10, 5.000%, 8/01/26 750 Massachusetts Water Pollution Abatement Trust, 8/15 at 100.00 AAA 763,170 Pooled Loan Program Bonds, Series 11, 4.500%, 8/01/29 1,000 Massachusetts Water Pollution Abatement Trust, 8/16 at 100.00 AAA 1,005,280 Pooled Loan Program Bonds, Series 12, 4.375%, 8/01/31 (WI/DD, Settling 12/14/06) 40 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) $ 1,500 Massachusetts Water Pollution Abatement Trust, 8/13 at 100.00 AAA $ 1,599,630 Pooled Loan Program Bonds, Series 9, 5.000%, 8/01/22 1,250 Massachusetts Water Pollution Abatement Trust, Revenue 8/12 at 100.00 AAA 1,350,525 Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 1,500 Massachusetts Water Resources Authority, General Revenue 8/17 at 100.00 AAA 1,635,285 Bonds, Series 2005A, 5.000%, 8/01/28 - MBIA Insured 625 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 583,131 Bonds, Series 2006A, 4.000%, 8/01/46 - ------------------------------------------------------------------------------------------------------------------------------------ 10,125 Total Water and Sewer 10,689,691 - ------------------------------------------------------------------------------------------------------------------------------------ $ 97,205 Total Investments (cost $99,669,256) - 147.0% 104,918,898 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 0.6% 461,740 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (47.6)% (34,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 71,380,638 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 41 Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) Portfolio of INVESTMENTS November 30, 2006 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 1.8% (1.2% OF TOTAL INVESTMENTS) $ 495 Boston Industrial Development Financing Authority, 9/12 at 102.00 Ba3 $ 515,894 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 24.8% (16.6% OF TOTAL INVESTMENTS) 450 Massachusetts Development Finance Agency, Revenue 9/15 at 100.00 AAA 480,020 Bonds, Western New England College, Series 2005A, 5.000%, 9/01/33 - AGC Insured 495 Massachusetts Development Finance Authority, Revenue 7/15 at 100.00 AAA 524,928 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured 500 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 AA- 545,170 Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 1,000 Massachusetts Development Finance Authority, Revenue 5/29 at 105.00 A3 1,251,810 Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/59 1,085 Massachusetts Educational Finance Authority, Educational 7/10 at 100.00 AAA 1,118,841 Loan Revenue Bonds, Series 2001E, 5.300%, 1/01/16 - AMBAC Insured (Alternative Minimum Tax) 1,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,089,760 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 2,000 Massachusetts Health and Educational Facilities Authority, 2/11 at 100.00 AA- 2,137,377 Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36 250 University of Massachusetts Building Authority, No Opt. Call AAA 274,990 Senior Lien Project Revenue Bonds, Series 2005-1, 5.000%, 5/01/15 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 6,780 Total Education and Civic Organizations 7,422,896 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 19.8% (13.3% OF TOTAL INVESTMENTS) 500 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 544,030 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 250 Massachusetts Health and Educational Facilities Authority, 1/09 at 101.00 BBB 260,270 Revenue Bonds, Caritas Christi Obligated Group, Series 1999A, 5.625%, 7/01/20 375 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A 410,719 Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 315 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AA 330,271 Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 - RAAI Insured 600 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AAA 648,996 Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured 500 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 523,540 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 500 Massachusetts Health and Educational Facilities Authority, 7/14 at 100.00 BB- 533,895 Revenue Bonds, Northern Berkshire Community Services Inc., Series 2004B, 6.375%, 7/01/34 1,000 Massachusetts Health and Educational Facilities Authority, 7/09 at 101.00 AA 1,038,370 Revenue Bonds, Partners HealthCare System Inc., Series 1999B, 5.125%, 7/01/19 1,000 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA 1,089,520 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 500 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 552,600 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 - ------------------------------------------------------------------------------------------------------------------------------------ 5,540 Total Health Care 5,932,211 - ------------------------------------------------------------------------------------------------------------------------------------ 42 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 10.0% (6.7% OF TOTAL INVESTMENTS) $ 135 Massachusetts Housing Finance Agency, Housing Bonds, 6/15 at 100.00 AA- $ 140,333 Series 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax) 500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 511,255 Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 1,215 Massachusetts Housing Finance Agency, Rental Housing 1/11 at 100.00 AAA 1,267,573 Mortgage Revenue Bonds, Series 2001A, 5.850%, 7/01/35 - AMBAC Insured (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,071,620 Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 - ------------------------------------------------------------------------------------------------------------------------------------ 2,850 Total Housing/Multifamily 2,990,781 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 6.4% (4.3% OF TOTAL INVESTMENTS) 840 Massachusetts Housing Finance Agency, Single Family 6/10 at 100.00 AAA 864,671 Housing Revenue Bonds, Series 82, 5.375%, 12/01/20 - FSA Insured (Alternative Minimum Tax) 400 Massachusetts Housing Finance Authority, Single Family 6/15 at 100.00 AA 407,244 Housing Revenue Bonds, Series 2006-122, 4.875%, 12/01/37 (Alternative Minimum Tax) 650 Massachusetts Housing Finance Authority, Single Family 6/16 at 100.00 AA 655,727 Housing Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,890 Total Housing/Single Family 1,927,642 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 1.5% (0.9% OF TOTAL INVESTMENTS) 195 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 198,713 Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 200 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 214,788 Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 - ------------------------------------------------------------------------------------------------------------------------------------ 395 Total Industrials 413,501 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 6.1% (4.1% OF TOTAL INVESTMENTS) 655 Massachusetts Development Finance Authority, 7/11 at 102.00 BBB- 713,701 First Mortgage Revenue Bonds, Berkshire Retirement Community - Edgecombe Project, Series 2001A, 6.750%, 7/01/21 1,000 Massachusetts Development Finance Authority, 3/12 at 105.00 AAA 1,121,240 GNMA Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,655 Total Long-Term Care 1,834,941 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 29.4% (19.7% OF TOTAL INVESTMENTS) 310 Ashland, Massachusetts, General Obligation Bonds, 5/15 at 100.00 Aaa 343,551 Series 2004, 5.250%, 5/15/23 - AMBAC Insured 1,000 Boston, Massachusetts, General Obligation Bonds, 2/11 at 100.00 Aa1 1,053,110 Series 2001A, 5.000%, 2/01/20 2,000 Brookline, Massachusetts, General Obligation Bonds, 4/10 at 101.00 Aaa 2,129,940 Series 2000, 5.375%, 4/01/17 500 East Longmeadow, Massachusetts, General Obligation Bonds, 8/11 at 101.00 Aaa 535,920 Series 2001, 5.000%, 8/01/14 - AMBAC Insured 440 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 473,898 Series 2003, 5.000%, 2/01/21 - FSA Insured 1,675 Lawrence, Massachusetts, General Obligation Bonds, 2/11 at 100.00 Aaa 1,753,725 Series 2001, 5.000%, 2/01/21 - AMBAC Insured 750 Massachusetts, General Obligation Bonds, Consolidated No Opt. Call AA 872,700 Loan, Series 2002D, 5.500%, 8/01/19 500 Norwell, Massachusetts, General Obligation Bonds, No Opt. Call AAA 565,975 Series 2003, 5.000%, 11/15/20 - FGIC Insured Springfield, Massachusetts, General Obligation Bonds, Series 2003: 500 5.250%, 1/15/15 - MBIA Insured 1/13 at 100.00 AAA 546,115 500 5.250%, 1/15/23 - MBIA Insured 1/13 at 100.00 AAA 542,675 - ------------------------------------------------------------------------------------------------------------------------------------ 8,175 Total Tax Obligation/General 8,817,609 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 16.0% (10.7% OF TOTAL INVESTMENTS) 395 Martha's Vineyard Land Bank, Massachusetts, Revenue 5/14 at 100.00 AAA 423,404 Bonds, Series 2004, 5.000%, 5/01/26 - AMBAC Insured 210 Massachusetts Bay Transportation Authority, Assessment 7/10 at 100.00 AAA 220,758 Bonds, Series 2000A, 5.250%, 7/01/30 43 Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 450 Massachusetts Bay Transportation Authority, Assessment 7/15 at 100.00 AAA $ 490,608 Bonds, Series 2005A, 5.000%, 7/01/18 385 Massachusetts Bay Transportation Authority, Senior Lien No Opt. Call AAA 444,948 Sales Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21 230 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 247,567 Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured 250 Massachusetts College Building Authority, Project Revenue 5/16 at 100.00 AAA 269,963 Bonds, Series 2006A, 5.000%, 5/01/31 - AMBAC Insured 500 Massachusetts School Building Authority, Dedicated Sales 8/15 at 100.00 AAA 543,135 Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 230 Massachusetts, Special Obligation Dedicated Tax Revenue No Opt. Call AAA 258,370 Bonds, Series 2005, 5.000%, 1/01/20 - FGIC Insured 1,250 Massachusetts, Special Obligation Refunding Notes, No Opt. Call Aaa 1,355,225 Federal Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 500 Virgin Islands Public Finance Authority, Gross Receipts 10/10 at 101.00 BBB+ 550,135 Taxes Loan Note, Series 1999A, 6.375%, 10/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ 4,400 Total Tax Obligation/Limited 4,804,113 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.3% (4.2% OF TOTAL INVESTMENTS) 800 Massachusetts Port Authority, Revenue Bonds, 7/15 at 100.00 AAA 862,752 Series 2005A, 5.000%, 7/01/23 - AMBAC Insured 1,000 Massachusetts Port Authority, Special Facilities Revenue 7/07 at 102.00 AAA 1,029,080 Bonds, BOSFUEL Corporation, Series 1997, 5.500%, 7/01/18 - MBIA Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,800 Total Transportation 1,891,832 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 7.7% (5.2% OF TOTAL INVESTMENTS) (4) 500 Massachusetts, General Obligation Bonds, Consolidated 8/14 at 100.00 AA (4) 546,595 Loan, Series 2004B, 5.000%, 8/01/24 (Pre-refunded 8/01/14) 750 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 828,000 Bonds, Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) - FGIC Insured 600 University of Massachusetts Building Authority, Senior Lien 11/13 at 100.00 AAA 662,658 Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 (Pre-refunded 11/01/13) - AMBAC Insured 250 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 279,018 Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 (Pre-refunded 11/01/14) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 2,100 Total U.S. Guaranteed 2,316,271 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.6% (3.8% OF TOTAL INVESTMENTS) 1,070 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA 1,171,982 Recovery Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/14 - MBIA Insured 500 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 520,480 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,570 Total Utilities 1,692,462 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 13.9% (9.3% OF TOTAL INVESTMENTS) 530 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 569,188 General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 125 Guam Government Waterworks Authority, Water and 7/15 at 100.00 Ba2 138,179 Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25 500 Massachusetts Water Pollution Abatement Trust, 8/15 at 100.00 AAA 508,780 Pooled Loan Program Bonds, Series 11, 4.500%, 8/01/29 400 Massachusetts Water Pollution Abatement Trust, 8/16 at 100.00 AAA 402,112 Pooled Loan Program Bonds, Series 12, 4.375%, 8/01/31 (WI/DD, Settling 12/14/06) 500 Massachusetts Water Pollution Abatement Trust, Revenue 8/12 at 100.00 AAA 540,210 Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 44 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) $ 1,405 Massachusetts Water Pollution Abatement Trust, Revenue 8/09 at 101.00 AAA $ 1,491,703 Bonds, MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29 250 Massachusetts Water Resources Authority, General Revenue 8/17 at 100.00 AAA 272,548 Bonds, Series 2005A, 5.000%, 8/01/28 - MBIA Insured 250 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 233,253 Bonds, Series 2006A, 4.000%, 8/01/46 - ------------------------------------------------------------------------------------------------------------------------------------ 3,960 Total Water and Sewer 4,155,973 - ------------------------------------------------------------------------------------------------------------------------------------ $ 41,610 Total Investments (cost $42,481,294) - 149.3% 44,716,126 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 0.8% 242,222 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (50.1)% (15,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 29,958,348 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. See accompanying notes to financial statements. 45 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) Portfolio of INVESTMENTS November 30, 2006 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 15.0% (10.1% OF TOTAL INVESTMENTS) $ 500 Massachusetts Development Finance Authority, Revenue 7/13 at 101.00 BBB+ $ 567,950 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 1,250 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 A1 1,310,812 Bonds, Middlesex School, Series 2003, 5.000%, 9/01/33 2,500 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,653,475 Revenue Bonds, Boston College, Series 2003N, 5.125%, 6/01/37 1,500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 AAA 1,587,240 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 5,750 Total Education and Civic Organizations 6,119,477 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 8.9% (6.0% OF TOTAL INVESTMENTS) 500 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 518,210 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 - MBIA Insured 200 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 209,416 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 2,500 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 2,636,500 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 - FGIC Insured 250 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 258,002 Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 - ------------------------------------------------------------------------------------------------------------------------------------ 3,450 Total Health Care 3,622,128 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 8.3% (5.5% OF TOTAL INVESTMENTS) 2,000 Massachusetts Housing Finance Agency, Housing Bonds, 12/12 at 100.00 AA- 2,054,520 Series 2003H, 5.125%, 6/01/43 1,265 Massachusetts Housing Finance Agency, Rental Housing 7/12 at 100.00 AAA 1,306,176 Mortgage Revenue Bonds, Series 2002H, 5.200%, 7/01/42 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 3,265 Total Housing/Multifamily 3,360,696 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 4.9% (3.3% OF TOTAL INVESTMENTS) 1,750 Massachusetts Development Finance Authority, 12/12 at 105.00 AAA 1,980,790 GNMA Collateralized Revenue Bonds, Neville Communities, Series 2002A, 6.000%, 6/20/44 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 34.8% (23.3% OF TOTAL INVESTMENTS) 1,280 Littleton, Massachusetts, General Obligation Bonds, 1/13 at 101.00 AAA 1,378,074 Series 2003, 5.000%, 1/15/21 - FGIC Insured 1,000 Malden, Massachusetts, General Obligation Bonds, No Opt. Call AAA 1,111,090 Series 2005, 5.000%, 8/01/16 - FGIC Insured 3,000 Massachusetts, General Obligation Bonds, Consolidated No Opt. Call AAA 3,469,051 Loan, Series 2004B, 5.250%, 8/01/21 - FSA Insured 1,025 Maynard, Massachusetts, General Obligation Bonds, 2/13 at 101.00 Aaa 1,137,350 Series 2003, 5.500%, 2/01/19 - MBIA Insured 1,705 North Attleborough, Massachusetts, General Obligation 7/14 at 101.00 Aaa 1,877,529 Bonds, Series 2004, 5.000%, 7/15/15 - FGIC Insured 1,500 Pittsfield, Massachusetts, General Obligation Bonds, 4/12 at 101.00 AAA 1,607,655 Series 2002, 5.000%, 4/15/18 - MBIA Insured 3,000 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 3,256,050 Series 2003, 5.250%, 1/15/22 - MBIA Insured 300 Woburn, Massachusetts, General Obligation Bonds, 11/15 at 100.00 Aaa 328,209 Series 2005, 5.000%, 11/15/19 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 12,810 Total Tax Obligation/General 14,165,008 - ------------------------------------------------------------------------------------------------------------------------------------ 46 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 25.1% (16.8% OF TOTAL INVESTMENTS) $ 3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/13 at 100.00 AAA $ 3,185,730 Series 2002, 5.000%, 5/01/32 - AMBAC Insured 2,790 Massachusetts College Building Authority, Project Revenue 5/13 at 100.00 AAA 3,002,821 Refunding Bonds, Series 2003A, 5.250%, 5/01/22 - XLCA Insured Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street Redevelopment, M/SRBC Project, Series 2002A: 1,475 5.125%, 8/01/28 - MBIA Insured 2/12 at 100.00 AAA 1,558,780 1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AAA 1,585,200 500 Massachusetts School Building Authority, Dedicated Sales 8/15 at 100.00 AAA 543,135 Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 300 Massachusetts, Special Obligation Dedicated Tax Revenue No Opt. Call AAA 337,005 Bonds, Series 2005, 5.000%, 1/01/20 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,565 Total Tax Obligation/Limited 10,212,671 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 2.6% (1.7% OF TOTAL INVESTMENTS) 1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 1,063,320 5.000%, 7/01/33 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 30.1% (20.1% OF TOTAL INVESTMENTS) (4) 3,000 Massachusetts Bay Transportation Authority, Senior Sales 7/12 at 100.00 AAA 3,222,510 Tax Revenue Refunding Bonds, Series 2002A, 5.000%, 7/01/27 (Pre-refunded 7/01/12) - FGIC Insured 780 Massachusetts Port Authority, Revenue Bonds, Series 1982, 1/07 at 100.00 AAA 1,040,107 13.000%, 7/01/13 (ETM) 2,000 Massachusetts, General Obligation Bonds, Consolidated Loan, 11/11 at 100.00 AAA 2,128,400 Series 2001D, 5.000%, 11/01/20 (Pre-refunded 11/01/11) - MBIA Insured 2,145 Massachusetts, General Obligation Bonds, Consolidated Loan, 1/13 at 100.00 AAA 2,339,895 Series 2003A, 5.250%, 1/01/18 (Pre-refunded 1/01/13) - AMBAC Insured 1,000 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 1,104,000 Bonds, Series 2004, 5.250%, 1/01/21 (Pre-refunded 1/01/14) - FGIC Insured 2,140 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 2,406,708 Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21 (Pre-refunded 11/01/14) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 11,065 Total U.S. Guaranteed 12,241,620 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.2% (3.5% OF TOTAL INVESTMENTS) 1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,591,560 Series 2000HH, 5.250%, 7/01/29 - FSA Insured 500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/12 at 101.00 AAA 536,315 Series 2002II, 5.125%, 7/01/26 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 2,000 Total Utilities 2,127,875 - ------------------------------------------------------------------------------------------------------------------------------------ 47 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 13.5% (9.0% OF TOTAL INVESTMENTS) $ 1,900 Lynn Water and Sewer Commission, Massachusetts, General 12/13 at 100.00 AAA $ 2,026,996 Revenue Bonds, Series 2003A, 5.000%, 12/01/32 - MBIA Insured 600 Massachusetts Water Pollution Abatement Trust, Pooled 8/16 at 100.00 AAA 603,168 Loan Program Bonds, Series 12, 4.375%, 8/01/31 (WI/DD, Settling 12/14/06) 1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA 1,147,400 Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured 1,000 Massachusetts Water Resources Authority, General Revenue 8/13 at 100.00 AAA 1,066,420 Bonds, Series 2004D, 5.000%, 8/01/24 - MBIA Insured 125 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 116,626 Bonds, Series 2006A, 4.000%, 8/01/46 495 Springfield Water and Sewerage Commission, 7/14 at 100.00 AAA 538,065 Massachusetts, General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 5,120 Total Water and Sewer 5,498,675 - ------------------------------------------------------------------------------------------------------------------------------------ $ 55,775 Total Long-Term Investments (cost $57,309,038) - 148.4% 60,392,260 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 1.0% (0.7% OF TOTAL INVESTMENTS) 400 Puerto Rico Government Development Bank, Adjustable A-1+ 400,000 Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 3.290%, 12/01/15 - MBIA Insured (5) - ------------------------------------------------------------------------------------------------------------------------------------ $ 400 Total Short-Term Investments (cost $400,000) 400,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $57,709,038) - 149.4% 60,792,260 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.0% 396,796 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (50.4)% (20,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 40,689,056 ====================================================================================================================
At least 80% of the Fund's net assets (including net assets attributable to Preferred shares) are invested in municipal securities that are either covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance which ensures the timely payment of principal and interest. Up to 20% of the Fund's net assets (including net assets attributable to Preferred shares) may be invested in municipal securities that are (i) either backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities (also ensuring the timely payment of principal and interest), or (ii) rated, at the time of investment, within the four highest grades (Baa or BBB or better by Moody's, S&P or Fitch) or unrated but judged to be of comparable quality by the Adviser. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. (5) Investment has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 48 Nuveen Missouri Premium Income Municipal Fund (NOM) Portfolio of INVESTMENTS November 30, 2006 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.3% (2.3% OF TOTAL INVESTMENTS) $ 1,000 Missouri Development Finance Board, Solid Waste Disposal No Opt. Call AA- $ 1,147,710 Revenue Bonds, Procter and Gamble Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 4.7% (3.2% OF TOTAL INVESTMENTS) 625 Missouri Health and Educational Facilities Authority, 6/10 at 100.00 Baa2 671,288 Revenue Bonds, Maryville University of St. Louis, Series 2000, 6.750%, 6/15/30 500 Missouri Health and Educational Facilities Authority, 2/08 at 101.00 A3 514,545 Revenue Bonds, St. Louis Priory School, Series 2000, 5.650%, 2/01/25 365 Missouri Health and Educational Facilities Authority, 4/11 at 100.00 Aaa 392,061 Revenue Bonds, Webster University, Series 2001, 5.500%, 4/01/18 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 1,490 Total Education and Civic Organizations 1,577,894 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 15.2% (10.4% OF TOTAL INVESTMENTS) 750 Joplin Industrial Development Authority, Missouri, 2/15 at 102.00 BBB+ 816,495 Health Facilities Revenue Bonds, Freeman Health System, Series 2004, 5.500%, 2/15/29 Missouri Health and Educational Facilities Authority, Revenue Bonds, BJC Health System, Series 2003: 1,500 5.125%, 5/15/25 5/13 at 100.00 AA 1,585,125 1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,232,235 425 Missouri Health and Educational Facilities Authority, 2/07 at 101.00 BBB+ 434,244 Revenue Bonds, Lake Regional Health System, Series 1996, 6.500%, 2/15/21 500 Missouri Health and Educational Facilities Authority, 2/14 at 100.00 BBB+ 541,025 Revenue Bonds, Lake Regional Health System, Series 2003, 5.700%, 2/15/34 500 Missouri Health and Educational Facilities Authority, 6/11 at 101.00 AAA 529,810 Revenue Bonds, St. Luke's Health System, Series 2001, 5.250%, 12/01/26 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,830 Total Health Care 5,138,934 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 6.7% (4.6% OF TOTAL INVESTMENTS) 550 Missouri Housing Development Commission, Multifamily 12/11 at 100.00 AA 577,511 Housing Revenue Bonds, Series 2001II, 5.250%, 12/01/16 500 St. Charles County Industrial Development Authority, 4/08 at 102.00 AAA 513,355 Missouri, FHA-Insured Multifamily Housing Revenue Bonds, Ashwood Apartments, Series 1998A, 5.600%, 4/01/30 - FSA Insured (Alternative Minimum Tax) 545 St. Louis County Industrial Development Authority, 4/07 at 102.00 AAA 559,590 Missouri, GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997A, 5.950%, 4/20/17 600 St. Louis County Industrial Development Authority, 4/07 at 102.00 AAA 615,936 Missouri, GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997B, 6.000%, 10/20/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,195 Total Housing/Multifamily 2,266,392 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 3.1% (2.2% OF TOTAL INVESTMENTS) 60 Missouri Housing Development Commission, 3/07 at 104.00 AAA 60,932 Single Family Mortgage Revenue Bonds, Homeownership Loan Program, Series 1995C, 7.250%, 9/01/26 (Alternative Minimum Tax) 65 Missouri Housing Development Commission, 3/07 at 105.00 AAA 66,118 Single Family Mortgage Revenue Bonds, Homeownership Loan Program, Series 1996B, 7.550%, 9/01/27 (Alternative Minimum Tax) 120 Missouri Housing Development Commission, 3/10 at 100.00 AAA 122,495 Single Family Mortgage Revenue Bonds, Homeownership Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax) 49 Nuveen Missouri Premium Income Municipal Fund (NOM) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY (continued) $ 750 Missouri Housing Development Commission, 3/16 at 104.50 AAA $ 818,723 Single Family Mortgage Revenue Bonds, Homeownership Loan Program, Series 2006E-1, 5.600%, 3/01/37 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 995 Total Housing/Single Family 1,068,268 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 5.7% (3.9% OF TOTAL INVESTMENTS) 1,750 Cole County Industrial Development Authority, Missouri, 2/14 at 100.00 N/R 1,870,365 Revenue Bonds, Lutheran Senior Services - Heisinger Project, Series 2004, 5.500%, 2/01/35 50 Lees Summit Industrial Development Authority, Missouri, 8/09 at 101.00 N/R 52,706 Health Facilities Revenue Bonds, John Knox Village, Series 1999, 6.000%, 8/15/17 - ------------------------------------------------------------------------------------------------------------------------------------ 1,800 Total Long-Term Care 1,923,071 - ------------------------------------------------------------------------------------------------------------------------------------ MATERIALS - 2.3% (1.7% OF TOTAL INVESTMENTS) 750 Sugar Creek, Missouri, Industrial Development 6/13 at 101.00 BBB 801,720 Revenue Bonds, Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 30.6% (21.0% OF TOTAL INVESTMENTS) 300 Branson Reorganized School District R-4, Taney County, 3/15 at 100.00 AAA 322,530 Missouri, General Obligation Bonds, Series 2005, 5.000%, 3/01/25 - FSA Insured 1,500 Camdenton Reorganized School District R3, Camden County, No Opt. Call AAA 1,652,190 Missouri, General Obligation Bonds, Series 2005, 5.250%, 3/01/24 - FSA Insured 500 Jackson County School District R-7, Lees Summit, Missouri, 3/12 at 100.00 AAA 537,525 General Obligation Refunding and Improvement Bonds, Series 2002, 5.250%, 3/01/18 - FSA Insured 1,630 North Kansas City School District, Missouri, General 3/13 at 100.00 AA+ 1,732,266 Obligation Bonds, Series 2003A, 5.000%, 3/01/23 1,000 Puerto Rico, General Obligation and Public Improvement No Opt. Call AAA 1,179,660 Bonds, Series 2001A, 5.500%, 7/01/20 - MBIA Insured 2,020 Ritenour Consolidated School District, St. Louis County, No Opt. Call AAA 2,327,545 Missouri, General Obligation Bonds, Series 1995, 7.375%, 2/01/12 - FGIC Insured 785 St. Charles County Francis Howell School District, Missouri, No Opt. Call AAA 808,589 General Obligation Refunding Bonds, Series 1994A, 7.800%, 3/01/08 - FGIC Insured 1,405 St. Louis Board of Education, Missouri, General Obligation 4/13 at 100.00 AAA 1,508,492 Refunding Bonds, Series 2003A, 5.000%, 4/01/19 - FSA Insured 270 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 295,493 General Obligation Bonds, Series 2004, 5.250%, 3/01/20 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,410 Total Tax Obligation/General 10,364,290 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 28.0% (19.2% OF TOTAL INVESTMENTS) 600 Chesterfield, Missouri, Certificates of Participation, 12/15 at 100.00 Aaa 645,222 Series 2005, 5.000%, 12/01/24 - FGIC Insured 80 Cottleville, Missouri, Certificates of Participation, 8/14 at 100.00 N/R 82,514 Series 2006, 5.250%, 8/01/31 530 Fenton, Missouri, Tax Increment Revenue Bonds, 4/14 at 100.00 N/R 540,123 Gravois Bluffs Redevelopment Project, Series 2006, 4.500%, 4/01/21 315 Fulton, Missouri, Tax Increment Revenue Bonds, Fulton 6/16 at 100.00 N/R 313,151 Commons Redevelopment Project, Series 2006, 5.000%, 6/01/28 475 Kansas City Tax Increment Financing District, Missouri, 6/14 at 102.00 N/R 490,865 Tax Increment Revenue Bonds, Briarcliff West Project, Series 2006A, 5.400%, 6/01/24 415 Missouri Development Finance Board, Independence, 3/16 at 100.00 A+ 438,091 Infrastructure Facilities Revenue Bonds, Crackerneck Creek Project, Series 2006C, 5.000%, 3/01/28 360 Missouri Development Finance Board, Infrastructure Facilities 6/15 at 100.00 BBB+ 373,759 Revenue Bonds, Branson Landing Project, Series 2005A, 5.000%, 6/01/35 450 Monarch-Chesterfield Levee District, St. Louis County, 3/10 at 101.00 AAA 483,210 Missouri, Levee District Improvement Bonds, Series 1999, 5.750%, 3/01/19 - MBIA Insured 50 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 1,135 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA $ 1,457,442 Appropriation Bonds, Series 2002E, 6.000%, 8/01/26 - AGC Insured 600 Riverside, Missouri, L-385 Levee Redevelopment Plan Tax 5/15 at 100.00 BBB 626,736 Increment Revenue Bonds, Series 2004, 5.250%, 5/01/20 1,380 Springfield Center City Development Corporation, Missouri, 11/11 at 100.00 Aaa 1,451,732 Lease Revenue Bonds, Jordan Valley Park Parking Garage, Series 2002D, 5.000%, 11/01/22 - AMBAC Insured 2,000 Springfield Public Building Corporation, Missouri, Lease 6/10 at 100.00 AAA 2,165,820 Revenue Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 - AMBAC Insured 400 St. Joseph Industrial Development Authority, Missouri, Tax 11/14 at 100.00 N/R 411,480 Increment Bonds, Shoppes at North Village Project, Series 2005A, 5.500%, 11/01/27 - ------------------------------------------------------------------------------------------------------------------------------------ 8,740 Total Tax Obligation/Limited 9,480,145 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 4.7% (3.2% OF TOTAL INVESTMENTS) 500 Kansas City, Missouri, Passenger Facility Charge Revenue 4/11 at 101.00 AAA 521,470 Bonds, Kansas City International Airport, Series 2001, 5.000%, 4/01/23 - AMBAC Insured (Alternative Minimum Tax) 1,000 St. Louis Land Clearance Redevelopment Authority, Missouri, 9/09 at 102.00 N/R 1,059,820 Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ 1,500 Total Transportation 1,581,290 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 32.3% (22.2% OF TOTAL INVESTMENTS) (4) 685 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R (4) 775,660 Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2002, 6.125%, 10/01/21 (Pre-refunded 10/01/12) 750 Howard Bend Levee District, St. Louis County, Missouri, 3/09 at 101.00 N/R (4) 793,830 Levee District Improvement Bonds, Series 1999, 5.850%, 3/01/19 (Pre-refunded 3/01/09) 1,800 Johnson County, Missouri, Hospital Revenue Bonds, Western 6/10 at 100.00 AA (4) 1,942,524 Missouri Medical Center, Series 2000, 6.000%, 6/01/20 (Pre-refunded 6/01/10) - RAAI Insured 2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 2,694,050 Bonds, SSM Healthcare System, Series 2001A, 5.250%, 6/01/28 (Pre-refunded 6/01/11) - AMBAC Insured 1,000 Missouri Health and Educational Facilities Authority, Revenue 12/10 at 101.00 A (4) 1,106,440 Bonds, St. Anthony's Medical Center, Series 2000, 6.250%, 12/01/30 (Pre-refunded 12/01/10) 750 St. Louis County Pattonville School District R3, Missouri, 3/10 at 101.00 AAA 807,750 General Obligation Bonds, Series 2000, 5.750%, 3/01/17 (Pre-refunded 3/01/10) - FGIC Insured 80 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 88,544 General Obligation Bonds, Series 2004, 5.250%, 3/01/20 (Pre-refunded 3/01/14) - FSA Insured 500 St. Louis County, Missouri, GNMA Collateralized Mortgage No Opt. Call AAA 566,405 Revenue Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) (ETM) 1,000 St. Louis Municipal Finance Corporation, Missouri, Leasehold 2/12 at 100.00 Aaa 1,101,970 Revenue Bonds, Carnahan Courthouse, Series 2002A, 5.750%, 2/15/16 (Pre-refunded 2/15/12) - FGIC Insured 950 Texas County, Missouri, Hospital Revenue Bonds, Texas 6/10 at 100.00 N/R (4) 1,060,466 County Memorial Hospital, Series 2000, 7.250%, 6/15/25 (Pre-refunded 6/15/10) - ------------------------------------------------------------------------------------------------------------------------------------ 10,015 Total U.S. Guaranteed 10,937,639 - ------------------------------------------------------------------------------------------------------------------------------------ 51 Nuveen Missouri Premium Income Municipal Fund (NOM) (continued) Portfolio of INVESTMENTS November 30, 2006 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 6.4% (4.4% OF TOTAL INVESTMENTS) $ 640 Metropolitan St. Louis Sewerage District, Missouri, Revenue 5/14 at 100.00 AAA $ 689,875 Bonds, Wastewater System, Series 2004A, 5.000%, 5/01/20 - MBIA Insured 1,000 Missouri Environmental Improvement and Energy Resources 1/13 at 100.00 Aaa 1,077,840 Authority, Water Pollution Control and Drinking Water Revenue Bonds, Series 2003B, 5.125%, 1/01/21 350 Missouri Environmental Improvement and Energy Resources No Opt. Call Aaa 401,072 Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program - Kansas City Project, Series 1997C, 6.750%, 1/01/12 - ------------------------------------------------------------------------------------------------------------------------------------ 1,990 Total Water and Sewer 2,168,787 - ------------------------------------------------------------------------------------------------------------------------------------ $ 44,715 Total Long-Term Investments (cost $45,538,249) - 143.0% 48,456,140 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 2.3% (1.7% OF TOTAL INVESTMENTS) 800 Puerto Rico Government Development Bank, Adjustable A-1+ 800,000 Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 3.290%, 12/01/15 - MBIA Insured (5) - ------------------------------------------------------------------------------------------------------------------------------------ $ 800 Total Short-Term Investments (cost $800,000) 800,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $46,338,249) - 145.3% 49,256,140 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.9% 647,428 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (47.2)% (16,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 33,903,568 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Investment has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. N/R Not rated. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 52 Statement of ASSETS AND LIABILITIES November 30, 2006 (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at value (cost $112,096,385, $54,937,556, $49,788,724 and $92,444,055, respectively) $116,936,552 $57,706,355 $52,548,737 $95,879,342 Cash 777,248 183,278 331,235 -- Receivables: Interest 1,656,718 746,360 633,216 1,288,122 Investments sold -- -- -- -- Variation margin on futures contracts 14,438 10,313 5,500 8,250 Other assets 9,605 3,160 4,832 843 - ------------------------------------------------------------------------------------------------------------------------------------ Total assets 119,394,561 58,649,466 53,523,520 97,176,557 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft -- -- -- 74,557 Payable for investments purchased 1,171,379 -- 532,445 958,401 Accrued expenses: Management fees 61,340 18,455 14,515 24,751 Other 22,940 18,212 14,743 23,379 Preferred share dividends payable 23,793 3,206 1,342 9,816 - ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 1,279,452 39,873 563,045 1,090,904 - ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 79,815,109 $39,109,593 $35,460,475 $64,085,653 ==================================================================================================================================== Common shares outstanding 5,358,793 2,573,528 2,313,264 4,359,370 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.89 $ 15.20 $ 15.33 $ 14.70 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 53,588 $ 25,735 $ 23,133 $ 43,594 Paid-in surplus 74,452,638 36,501,481 32,753,015 61,520,567 Undistributed (Over-distribution of) net investment income (4,604) (17,279) (12,242) (155,032) Accumulated net realized gain (loss) from investments and derivative transactions 458,008 (178,707) (68,842) (766,508) Net unrealized appreciation (depreciation) of investments and derivative transactions 4,855,479 2,778,363 2,765,411 3,443,032 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 79,815,109 $39,109,593 $35,460,475 $64,085,653 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 53 Statement of ASSETS AND LIABILITIES November 30, 2006 (Unaudited) (continued)
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at value (cost $99,669,256, $42,481,294, $57,709,038 and $46,338,249, respectively) $104,918,898 $44,716,126 $60,792,260 $49,256,140 Cash -- -- 120,881 -- Receivables: Interest 1,537,638 704,025 904,180 775,354 Investments sold 50,000 -- -- -- Variation margin on futures contracts -- -- -- -- Other assets 7,600 3,072 1,532 8,194 - ------------------------------------------------------------------------------------------------------------------------------------ Total assets 106,514,136 45,423,223 61,818,853 50,039,688 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft 47,052 36,837 -- 91,520 Payable for investments purchased 991,750 396,700 595,050 -- Accrued expenses: Management fees 54,699 14,147 15,749 25,935 Other 18,944 14,438 17,144 10,076 Preferred share dividends payable 21,053 2,753 1,854 8,589 - ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 1,133,498 464,875 629,797 136,120 - ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 71,380,638 $29,958,348 $40,689,056 $33,903,568 ==================================================================================================================================== Common shares outstanding 4,762,396 1,957,034 2,722,095 2,296,314 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.99 $ 15.31 $ 14.95 $ 14.76 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 47,624 $ 19,570 $ 27,221 $ 22,963 Paid-in surplus 66,129,816 27,708,755 38,358,609 30,774,764 Undistributed (Over-distribution of) net investment income (44,192) 9,690 (87,269) 24,504 Accumulated net realized gain (loss) from investments and derivative transactions (2,252) (14,499) (692,727) 163,446 Net unrealized appreciation (depreciation) of investments and derivative transactions 5,249,642 2,234,832 3,083,222 2,917,891 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 71,380,638 $29,958,348 $40,689,056 $33,903,568 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 54 Statement of OPERATIONS Six Months Ended November 30, 2006 (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $2,700,712 $1,356,065 $1,203,991 $2,098,716 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 371,347 184,339 166,574 301,728 Preferred shares -- auction fees 48,006 24,441 21,934 40,110 Preferred shares -- dividend disbursing agent fees 5,014 5,014 5,014 5,014 Shareholders' servicing agent fees and expenses 6,011 843 674 534 Custodian's fees and expenses 18,406 14,026 14,919 19,030 Trustees' fees and expenses 1,769 864 712 1,204 Professional fees 6,891 5,846 5,747 6,385 Shareholders' reports -- printing and mailing expenses 9,304 5,261 6,067 10,367 Stock exchange listing fees 4,957 110 99 186 Investor relations expense 8,032 3,782 3,475 6,213 Other expenses 6,888 7,602 6,770 6,960 - ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 486,625 252,128 231,985 397,731 Custodian fee credit (10,615) (4,832) (2,520) (6,307) Expense reimbursement -- (72,377) (78,483) (151,639) - ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 476,010 174,919 150,982 239,785 - ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 2,224,702 1,181,146 1,053,009 1,858,931 - ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from investments 45,333 71,866 50,831 (171,279) Net realized gain (loss) from forward swaps -- -- -- -- Net realized gain (loss) from futures 121,700 49,390 32,870 39,444 Change in net unrealized appreciation (depreciation) of investments 2,445,647 1,072,237 1,052,094 2,413,425 Change in net unrealized appreciation (depreciation) of forward swaps -- -- -- -- Change in net unrealized appreciation (depreciation) of futures 15,312 9,564 5,398 7,745 - ------------------------------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain (loss) 2,627,992 1,203,057 1,141,193 2,289,335 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (563,654) (274,488) (246,034) (476,167) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (563,654) (274,488) (246,034) (476,167) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations $4,289,040 $2,109,715 $1,948,168 $3,672,099 ====================================================================================================================================
See accompanying notes to financial statements. 55 Statement of OPERATIONS Six Months Ended November 30, 2006 (Unaudited) (continued)
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $2,521,497 $1,051,282 $1,380,968 $1,245,578 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 330,586 141,275 191,946 157,127 Preferred shares -- auction fees 42,617 18,801 25,695 20,055 Preferred shares -- dividend disbursing agent fees 5,014 5,014 5,014 5,014 Shareholders' servicing agent fees and expenses 3,470 209 163 2,157 Custodian's fees and expenses 15,929 10,715 10,736 10,518 Trustees' fees and expenses 1,357 614 812 561 Professional fees 6,722 5,641 5,851 5,615 Shareholders' reports -- printing and mailing expenses 8,931 5,193 7,053 6,011 Stock exchange listing fees 4,955 83 116 97 Investor relations expense 7,131 2,870 3,928 3,477 Other expenses 7,645 7,248 7,670 6,455 - ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 434,357 197,663 258,984 217,087 Custodian fee credit (1,384) (2,572) (4,087) (3,712) Expense reimbursement -- (55,469) (96,466) -- - ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 432,973 139,622 158,431 213,375 - ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 2,088,524 911,660 1,222,537 1,032,203 - ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from investments (30,956) (8,506) -- 158,394 Net realized gain (loss) from forward swaps -- -- 27,938 -- Net realized gain (loss) from futures -- -- -- -- Change in net unrealized appreciation (depreciation) of investments 2,708,593 1,003,572 1,543,547 723,687 Change in net unrealized appreciation (depreciation) of forward swaps -- -- (117,661) -- Change in net unrealized appreciation (depreciation) of futures -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain (loss) 2,677,637 995,066 1,453,824 882,081 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (553,060) (235,026) (329,066) (254,532) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (553,060) (235,026) (329,066) (254,532) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations $4,213,101 $1,671,700 $2,347,295 $1,659,752 ====================================================================================================================================
See accompanying notes to financial statements. 56 Statement of CHANGES IN NET ASSETS (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK) ---------------------------- ----------------------------- ---------------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/06 5/31/06 11/30/06 5/31/06 11/30/06 5/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 2,224,702 $ 4,510,683 $ 1,181,146 $ 2,376,879 $ 1,053,009 $ 2,100,792 Net realized gain (loss) from investments 45,333 1,038,893 71,866 162,050 50,831 168,414 Net realized gain (loss) from forward swaps -- -- -- (31,610) -- (54,360) Net realized gain (loss) from futures 121,700 -- 49,390 -- 32,870 -- Change in net unrealized appreciation (depreciation) of investments 2,445,647 (3,933,261) 1,072,237 (1,588,460) 1,052,094 (1,580,479) Change in net unrealized appreciation (depreciation) of forward swaps -- -- -- 33,381 -- 74,208 Change in net unrealized appreciation (depreciation) of futures 15,312 -- 9,564 -- 5,398 -- Distributions to Preferred Shareholders: From net investment income (563,654) (768,349) (274,488) (435,046) (246,034) (388,712) From accumulated net realized gains -- (136,473) -- -- -- (21,427) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 4,289,040 711,493 2,109,715 517,194 1,948,168 298,436 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,752,326) (3,998,729) (956,861) (2,175,963) (860,330) (1,906,258) From accumulated net realized gains -- (1,198,895) -- -- -- (191,089) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,752,326) (5,197,624) (956,861) (2,175,963) (860,330) (2,097,347) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions -- 235,372 51,756 99,657 20,820 45,455 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions -- 235,372 51,756 99,657 20,820 45,455 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 2,536,714 (4,250,759) 1,204,610 (1,559,112) 1,108,658 (1,753,456) Net assets applicable to Common shares at the beginning of period 77,278,395 81,529,154 37,904,983 39,464,095 34,351,817 36,105,273 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $79,815,109 $77,278,395 $39,109,593 $37,904,983 $35,460,475 $34,351,817 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ (4,604) $ 86,674 $ (17,279) $ 32,924 $ (12,242) $ 41,113 ====================================================================================================================================
See accompanying notes to financial statements. 57 Statement of CHANGES IN NET ASSETS (Unaudited) (continued)
CONNECTICUT MASSACHUSETTS PREMIUM MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) INCOME (NMT) DIVIDEND ADVANTAGE (NMB) ---------------------------- ----------------------------- ---------------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/06 5/31/06 11/30/06 5/31/06 11/30/06 5/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 1,858,931 $ 3,661,633 $ 2,088,524 $ 4,204,930 $ 911,660 $ 1,857,558 Net realized gain (loss) from investments (171,279) 142,433 (30,956) 555,694 (8,506) 339,371 Net realized gain (loss) from forward swaps -- (181,623) -- -- -- (71,318) Net realized gain (loss) from futures 39,444 -- -- -- -- -- Change in net unrealized appreciation (depreciation) of investments 2,413,425 (2,545,916) 2,708,593 (2,946,941) 1,003,572 (1,392,484) Change in net unrealized appreciation (depreciation) of forward swaps -- 233,665 -- -- -- 70,423 Change in net unrealized appreciation (depreciation) of futures 7,745 -- -- -- -- -- Distributions to Preferred Shareholders: From net investment income (476,167) (798,637) (553,060) (838,696) (235,026) (323,165) From accumulated net realized gains -- -- -- (21,978) -- (37,056) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 3,672,099 511,555 4,213,101 953,009 1,671,700 443,329 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,412,435) (3,135,629) (1,642,561) (3,856,188) (745,354) (1,664,118) From accumulated net realized gains -- -- -- (211,089) -- (379,860) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,412,435) (3,135,629) (1,642,561) (4,067,277) (745,354) (2,043,978) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions -- 125,585 33,603 243,110 27,767 65,523 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions -- 125,585 33,603 243,110 27,767 65,523 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 2,259,664 (2,498,489) 2,604,143 (2,871,158) 954,113 (1,535,126) Net assets applicable to Common shares at the beginning of period 61,825,989 64,324,478 68,776,495 71,647,653 29,004,235 30,539,361 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $64,085,653 $61,825,989 $71,380,638 $68,776,495 $29,958,348 $29,004,235 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ (155,032) $ (125,361) $ (44,192) $ 62,905 $ 9,690 $ 78,410 ====================================================================================================================================
See accompanying notes to financial statements. 58
INSURED MASSACHUSETTS MISSOURI PREMIUM TAX-FREE ADVANTAGE (NGX) INCOME (NOM) ----------------------------- ---------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED 11/30/06 5/31/06 11/30/06 5/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 1,222,537 $ 2,456,151 $ 1,032,203 $ 2,085,068 Net realized gain (loss) from investments -- 143,049 158,394 65,625 Net realized gain (loss) from forward swaps 27,938 (256,863) -- -- Net realized gain (loss) from futures -- -- -- -- Change in net unrealized appreciation (depreciation) of investments 1,543,547 (1,806,995) 723,687 (1,267,962) Change in net unrealized appreciation (depreciation) of forward swaps (117,661) 477,230 -- -- Change in net unrealized appreciation (depreciation) of futures -- -- -- -- Distributions to Preferred Shareholders: From net investment income (329,066) (544,231) (254,532) (388,654) From accumulated net realized gains -- -- -- (26,592) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 2,347,295 468,341 1,659,752 467,485 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (837,045) (1,943,091) (845,855) (1,919,195) From accumulated net realized gains -- -- -- (220,543) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (837,045) (1,943,091) (845,855) (2,139,738) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions -- 42,322 155,203 387,418 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions -- 42,322 155,203 387,418 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 1,510,250 (1,432,428) 969,100 (1,284,835) Net assets applicable to Common shares at the beginning of period 39,178,806 40,611,234 32,934,468 34,219,303 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $40,689,056 $39,178,806 $33,903,568 $32,934,468 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ (87,269) $ (143,695) $ 24,504 $ 92,688 ====================================================================================================================================
See accompanying notes to financial statements. 59 Notes to FINANCIAL STATEMENTS (Unaudited) 1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES The funds (the "Funds") covered in this report and their corresponding Common share stock exchange symbols are Nuveen Connecticut Premium Income Municipal Fund (NTC), Nuveen Connecticut Dividend Advantage Municipal Fund (NFC), Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK), Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO), Nuveen Massachusetts Premium Income Municipal Fund (NMT), Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB), Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) and Nuveen Missouri Premium Income Municipal Fund (NOM). Common shares of Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are traded on the New York Stock Exchange while Common shares of Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB), Insured Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM) are traded on the American Stock Exchange. The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies. Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX) the alternative minimum tax applicable to individuals, by investing primarily in a diversified portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles. Investment Valuation The prices of municipal bonds in each Fund's investment portfolio are provided by a pricing service approved by the Fund's Board of Trustees. When market price quotes are not readily available (which is usually the case for municipal securities), the pricing service may establish fair value based on yields or prices of municipal bonds of comparable quality, type of issue, coupon, maturity and rating, indications of value from securities dealers, evaluations of anticipated cash flows or collateral and general market conditions. Futures contracts are valued using the closing settlement price, or, in the absence of such a price, at the mean of the bid and asked prices. If the pricing service is unable to supply a price for a municipal bond or futures contract, each Fund may use a market price or fair market value quote provided by a major broker/dealer in such investments. If it is determined that the market price or fair market value for an investment is unavailable or inappropriate, the Board of Trustees of the Funds, or its designee, may establish a fair value for the investment. Exchange-listed securities are generally valued at the last sales price on the securities exchange on which such securities are primarily traded. Securities traded on a securities exchange for which there are no transactions on a given day or securities not listed on a securities exchange are valued at the mean of the closing bid and asked prices. Securities traded on Nasdaq are valued at the Nasdaq Official Closing Price. Temporary investments in securities that have variable rate and demand features qualifying them as short-term investments are valued at amortized cost, which approximates market value. Investment Transactions Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method. Investments purchased on a when-issued or delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At November 30, 2006, Connecticut Premium Income (NTC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Premium Income (NMT), Massachusetts Dividend Advantage (NMB) and Insured Massachusetts Tax-Free Advantage (NGX) had outstanding when-issued/delayed delivery purchase commitments of $1,171,379, $532,445, $958,401, $991,750, $396,700 and $595,050, respectively. There were no such outstanding purchase commitments in Connecticut Dividend Advantage (NFC) or Missouri Premium Income (NOM). Investment Income Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also includes paydown gains and losses, if any. 60 Income Taxes Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, each Fund intends to satisfy conditions which will enable interest from municipal securities, which is exempt from regular federal and designated state income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX) the alternative minimum tax applicable to individuals, to retain such tax-exempt status when distributed to shareholders of the Funds. Net realized capital gains and ordinary income distributions paid by the Funds are subject to federal taxation. Dividends and Distributions to Common Shareholders Dividends from tax-exempt net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders not less frequently than annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards. Distributions to Common shareholders of tax-exempt net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. Preferred Shares The Funds have issued and outstanding Preferred shares, $25,000 stated value per share, as a means of effecting financial leverage. Each Fund's Preferred shares are issued in one Series. The dividend rate paid by the Funds on each Series is determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and is payable at the end of each rate period. The number of Preferred shares outstanding for each Fund is as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------------------------------------- Number of shares: Series T -- 780 -- -- Series W -- -- 700 -- Series TH 1,532 -- -- -- Series F -- -- -- 1,280 ============================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------------------------------------- Number of shares: Series T -- 600 -- -- Series W -- -- 820 -- Series TH 1,360 -- -- 640 Series F -- -- -- -- ==============================================================================================================
Insurance Insured Massachusetts Tax-Free Advantage (NGX) invests at least 80% of its net assets (including net assets attributable to Preferred shares) in municipal securities that are covered by insurance. The Fund may also invest up to 20% of its net assets (including net assets attributable to Preferred shares) in municipal securities which are either (i) backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, or (ii) rated, at the time of investment, within the four highest grades (Baa or BBB or better by Moody's, S&P or Fitch) or unrated but judged to be of comparable quality by the Adviser. Each insured municipal security is covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance. Such insurance does not guarantee the market value of the municipal securities or the value of the Fund's Common shares. Original Issue Insurance and Secondary Market Insurance remain in effect as long as the municipal securities covered thereby remain outstanding and the insurer remains in business, regardless of whether the Fund ultimately disposes of such municipal securities. Consequently, the market value of the municipal securities covered by Original Issue Insurance or Secondary Market Insurance may reflect value attributable to the insurance. Portfolio Insurance, in contrast, is effective only while the municipal securities are held by the Fund. Accordingly, neither the prices used in determining the market value of the underlying municipal securities nor the Common share net asset value of the Fund includes value, if any, attributable to the Portfolio Insurance. Each policy of the Portfolio Insurance does, however, give the Fund the right to obtain permanent insurance with respect to the municipal security covered by the Portfolio Insurance policy at the time of its sale. Forward Swap Transactions The Funds are authorized to invest in certain derivative financial instruments. The Funds' use of forward interest rate swap transactions is intended to help the Fund manage its overall interest rate sensitivity, either shorter or longer, generally to more closely align the Fund's interest rate sensitivity with that of the broader municipal market. Forward interest rate swap transactions involve each Fund's agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the "effective date"). 61 Notes to FINANCIAL STATEMENTS (Unaudited) (continued) The amount of the payment obligation is based on the notional amount of the forward swap contract and the termination date of the swap (which is akin to a bond's maturity). The value of the Fund's swap commitment would increase or decrease based primarily on the extent to which long-term interest rates for bonds having a maturity of the swap's termination date increases or decreases. The Funds may terminate a swap contract prior to the effective date, at which point a realized gain or loss is recognized. When a forward swap is terminated, it ordinarily does not involve the delivery of securities or other underlying assets or principal, but rather is settled in cash on a net basis. Each Fund intends, but is not obligated, to terminate its forward swaps before the effective date. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the credit risk associated with a counterparty failing to honor its commitment to pay any realized gain to the Fund upon termination. To reduce such credit risk, all counterparties are required to pledge collateral daily (based on the daily valuation of each swap) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when any of the Funds have an unrealized loss on a swap contract, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate, either up or down, by at least the predetermined threshold amount. At November 30, 2006, the Funds did not have any forward swap contracts outstanding. Futures Contracts The Funds are authorized to invest in futures contracts. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect the changes in market value of the contract. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into. Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is noted in the Statement of Assets and Liabilities. Additionally, the Statement of Assets and Liabilities reflects a receivable or payable for the variation margin when applicable. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices. Custodian Fee Credit Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by credits earned on each Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Indemnifications Under the Funds' organizational documents, their Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates. 62 2. FUND SHARES Transactions in Common shares were as follows:
CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK) ------------------------ ----------------------- ------------------------ SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/06 5/31/06 11/30/06 5/31/06 11/30/06 5/31/06 - ---------------------------------------------------------------------------------------------------------------------------- Common shares issued to shareholders due to reinvestment of distributions -- 14,913 3,210 6,035 1,296 2,780 ============================================================================================================================ CONNECTICUT DIVIDEND MASSACHUSETTS MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) ADVANTAGE (NMB) ------------------------ ----------------------- ------------------------ SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/06 5/31/06 11/30/06 5/31/06 11/30/06 5/31/06 - ---------------------------------------------------------------------------------------------------------------------------- Common shares issued to shareholders due to reinvestment of distributions -- 8,575 2,282 15,179 1,808 3,933 ============================================================================================================================ INSURED MASSACHUSETTS TAX-FREE MISSOURI ADVANTAGE (NGX) PREMIUM INCOME (NOM) ----------------------- ------------------------ SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED 11/30/06 5/31/06 11/30/06 5/31/06 - ---------------------------------------------------------------------------------------------------------------------------- Common shares issued to shareholders due to reinvestment of distributions -- 2,688 9,857 22,403 ============================================================================================================================
3. INVESTMENT TRANSACTIONS Purchases and sales (including maturities but excluding short-term investments and derivative transactions) during the six months ended November 30, 2006, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------------------------------------- Purchases $10,166,891 $3,931,828 $4,812,206 $8,270,305 Sales and maturities 7,246,653 3,859,228 4,560,377 7,060,578 ============================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------------------------------------- Purchases $3,538,680 $1,046,700 $1,445,050 $2,765,164 Sales and maturities 2,481,163 569,035 850,000 3,373,008 ==============================================================================================================
4. INCOME TAX INFORMATION The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, timing differences in recognizing taxable market discount and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their Federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds. 63 Notes to FINANCIAL STATEMENTS (Unaudited) (continued) At November 30, 2006, the cost of investments was as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------------------------------------- Cost of investments $112,075,306 $54,965,488 $49,920,228 $92,556,058 ============================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------------------------------------- Cost of investments $99,601,602 $42,464,458 $57,861,115 $46,325,032 ==============================================================================================================
Gross unrealized appreciation and gross unrealized depreciation of investments at November 30, 2006, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $4,865,525 $2,806,140 $2,788,193 $3,473,923 Depreciation (4,279) (65,273) (159,684) (150,639) - -------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $4,861,246 $2,740,867 $2,628,509 $3,323,284 ============================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $5,328,075 $2,257,662 $3,132,018 $2,934,716 Depreciation (10,779) (5,994) (200,873) (3,608) - -------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $5,317,296 $2,251,668 $2,931,145 $2,931,108 ==============================================================================================================
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at May 31, 2006, the Funds' last tax year end, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------------------------------------- Undistributed net tax-exempt income* $392,378 $176,495 $185,335 $113,672 Undistributed net ordinary income ** -- -- 2,020 -- Undistributed net long-term capital gains 290,974 -- -- -- ==============================================================================================================
64
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------------------------------------- Undistributed net tax-exempt income* $302,954 $191,271 $20,692 $239,921 Undistributed net ordinary income ** 15,666 -- -- 7 Undistributed net long-term capital gains 28,705 -- -- 5,045 ==============================================================================================================
* Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on May 1, 2006, paid on June 1, 2006. ** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. The tax character of distributions paid during the Funds' last tax year ended May 31, 2006, was designated for purposes of the dividends paid deduction as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,827,926 $2,623,472 $2,298,314 $3,958,800 Distributions from net ordinary income ** 775 -- 27,100 -- Distributions from net long-term capital gains 1,335,368 -- 185,416 -- ============================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,681,999 $2,003,840 $2,512,850 $2,310,010 Distributions from net ordinary income ** 37,794 -- -- 8,293 Distributions from net long-term capital gains 233,067 409,848 -- 247,249 ==============================================================================================================
** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. At May 31, 2006, the Funds' last tax year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
INSURED CONNECTICUT CONNECTICUT MASSACHUSETTS DIVIDEND DIVIDEND TAX-FREE ADVANTAGE ADVANTAGE 3 ADVANTAGE (NFC) (NGO) (NGX) - ------------------------------------------------------------------------------------------------------------ Expiration year: 2011 $ -- $ 69,710 $ -- 2012 201,750 106,107 16,123 2013 -- 79,696 125,264 2014 -- 111,331 427,135 - ------------------------------------------------------------------------------------------------------------ Total $201,750 $366,844 $568,522 ============================================================================================================
The following Funds elected to defer net realized losses from investments incurred from November 1, 2005 through May 31, 2006 ("post-October losses") in accordance with Federal income tax regulations. Post-October losses are treated as having arisen on the first day of the current fiscal year.
CONNECTICUT CONNECTICUT DIVIDEND DIVIDEND ADVANTAGE ADVANTAGE 3 (NFC) (NGO) - ------------------------------------------------------------------------------------------------------------ $33,623 $131,436 ============================================================================================================
5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES Each Fund's management fee is separated into two components - a complex-level component, based on the aggregate amount of all fund assets managed by Nuveen Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen Investments, Inc., ("Nuveen") and a specific fund-level component, based only on the amount of assets within each individual fund. This pricing structure enables Nuveen fund shareholders to benefit from growth in the assets within each individual fund as well as from growth in the amount of complex-wide assets managed by the Adviser. 65 Notes to FINANCIAL STATEMENTS (Unaudited) (continued) The annual fund-level fee, payable monthly, for each Fund is based upon the average daily net assets (including net assets attributable to Preferred shares) of each Fund as follows: CONNECTICUT PREMIUM INCOME (NTC) AVERAGE DAILY NET ASSETS MASSACHUSETTS PREMIUM INCOME (NMT) (INCLUDING NET ASSETS MISSOURI PREMIUM INCOME (NOM) ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE - -------------------------------------------------------------------------------- For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For the next $3 billion .3875 For net assets over $5 billion .3750 ================================================================================ CONNECTICUT DIVIDEND ADVANTAGE (NFC) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) AVERAGE DAILY NET ASSETS MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) (INCLUDING NET ASSETS INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE - -------------------------------------------------------------------------------- For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For net assets over $2 billion .3750 ================================================================================ The annual complex-level fee, payable monthly, which is additive to the fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the aggregate amount of total fund assets managed as stated in the table below. As of November 30, 2006, the complex-level fee rate was .1845%. COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE - -------------------------------------------------------------------------------- For the first $55 billion .2000% For the next $1 billion .1800 For the next $1 billion .1600 For the next $3 billion .1425 For the next $3 billion .1325 For the next $3 billion .1250 For the next $5 billion .1200 For the next $5 billion .1175 For the next $15 billion .1150 For Managed Assets over $91 billion (2) .1400 ================================================================================ (1) The complex-level fee component of the management fee for the funds is calculated based upon the aggregate Managed Assets ("Managed Assets" means the average daily net assets of each fund including assets attributable to all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds in the U.S. (2) With respect to the complex-wide Managed Assets over $91 billion, the fee rate or rates that will apply to such assets will be determined at a later date. In the unlikely event that complex-wide Managed Assets reach $91 billion prior to a determination of the complex-level fee rate or rates to be applied to Managed Assets in excess of $91 billion, the complex-level fee rate for such complex-wide Managed Assets shall be .1400% until such time as a different rate or rates is determined. The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Funds pay no compensation directly to those of its Trustees who are affiliated with the Adviser or to its Officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised Funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised Funds. 66 For the first ten years of Connecticut Dividend Advantage's (NFC) and Massachusetts Dividend Advantage's (NMB) operations, the Adviser has agreed to reimburse the Funds, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING JANUARY 31, JANUARY 31, - -------------------------------------------------------------------------------- 2001* .30% 2007 .25% 2002 .30 2008 .20 2003 .30 2009 .15 2004 .30 2010 .10 2005 .30 2011 .05 2006 .30 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage (NFC) and Massachusetts Dividend Advantage (NMB) for any portion of its fees and expenses beyond January 31, 2011. For the first ten years of Connecticut Dividend Advantage 2's (NGK) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING MARCH 31, MARCH 31, - -------------------------------------------------------------------------------- 2002* .30% 2008 .25% 2003 .30 2009 .20 2004 .30 2010 .15 2005 .30 2011 .10 2006 .30 2012 .05 2007 .30 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage 2 (NGK) for any portion of its fees and expenses beyond March 31, 2012. For the first eight years of Connecticut Dividend Advantage 3's (NGO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING SEPTEMBER 30, SEPTEMBER 30, - -------------------------------------------------------------------------------- 2002* .32% 2007 .32% 2003 .32 2008 .24 2004 .32 2009 .16 2005 .32 2010 .08 2006 .32 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage 3 (NGO) for any portion of its fees and expenses beyond September 30, 2010. For the first eight years of Insured Massachusetts Tax-Free Advantage's (NGX) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING NOVEMBER 30, NOVEMBER 30, - -------------------------------------------------------------------------------- 2002* .32% 2007 .32% 2003 .32 2008 .24 2004 .32 2009 .16 2005 .32 2010 .08 2006 .32 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Insured Massachusetts Tax-Free Advantage (NGX) for any portion of its fees and expenses beyond November 30, 2010. 67 Notes to FINANCIAL STATEMENTS (Unaudited) (continued) 6. NEW ACCOUNTING PRONOUNCEMENTS Financial Accounting Standards Board Interpretation No. 48 On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 Accounting for Uncertainty in Income Taxes (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and does not expect the adoption of FIN 48 will have a significant impact on the net assets or results of operations of the Funds. Financial Accounting Standards Board Statement on Financial Accounting Standards No. 157 In September 2006, the Financial Accounting Standards Board (FASB) issued Statement on Financial Accounting Standards (SFAS) No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this standard relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of November 30, 2006, the Funds do not believe the adoption of SFAS No. 157 will impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements included within the Statement of Operations for the period. 7. SUBSEQUENT EVENTS Distributions to Common Shareholders The Funds declared Common share dividend distributions from their tax-exempt net investment income which were paid on December 29, 2006, to shareholders of record on December 15, 2006, as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------------------------------------- Dividend per share $.0545 $.0605 $.0605 $.0540 ============================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------------------------------------- Dividend per share $.0535 $.0620 $.0525 $.0600 ==============================================================================================================
At the same time, the following Funds declared capital gains and/or ordinary income distributions as follows:
CONNECTICUT CONNECTICUT MASSACHUSETTS MISSOURI PREMIUM DIVIDEND PREMIUM PREMIUM INCOME ADVANTAGE 2 INCOME INCOME (NTC) (NGK) (NMT) (NOM) - -------------------------------------------------------------------------------------------------------------- Capital gains distributions per share $.0652 $.0363 $.0049 $.0048 Ordinary income distributions per share* .0043 .0008 .0027 -- ==============================================================================================================
* Ordinary income consist of taxable market discount income and net short-term capital gains, if any. 68 Financial HIGHLIGHTS (Unaudited) 69 Financial HIGHLIGHTS (Unaudited) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions ---------------------------------------------------------------- --------------------------------- Distributions Distributions from Net from From Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total ================================================================================================================================= CONNECTICUT PREMIUM INCOME (NTC) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) $14.42 $ .42 $ .49 $(.11) $ -- $ .80 $(.33) $ -- $(.33) 2006 15.26 .84 (.54) (.14) (.03) .13 (.75) (.22) (.97) 2005 14.60 .88 .75 (.09) -- 1.54 (.87) (.01) (.88) 2004 15.56 .93 (.96) (.05) -- (.08) (.88) -- (.88) 2003 14.46 .98 1.07 (.07) -- 1.98 (.88) -- (.88) 2002 14.20 1.00 .20 (.10) -- 1.10 (.84) -- (.84) CONNECTICUT DIVIDEND ADVANTAGE (NFC) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) 14.75 .46 .47 (.11) -- .82 (.37) -- (.37) 2006 15.39 .93 (.55) (.17) -- .21 (.85) -- (.85) 2005 14.56 .95 .86 (.09) -- 1.72 (.89) -- (.89) 2004 15.53 .97 (1.00) (.05) -- (.08) (.89) -- (.89) 2003 14.24 1.00 1.19 (.07) -- 2.12 (.84) -- (.84) 2002 13.88 1.00 .31 (.11) -- 1.20 (.84) -- (.84) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) 14.86 .46 .49 (.11) -- .84 (.37) -- (.37) 2006 15.64 .91 (.60) (.17) (.01) .13 (.83) (.08) (.91) 2005 15.01 .92 .74 (.09) -- 1.57 (.87) (.07) (.94) 2004 16.23 .96 (1.13) (.04) (.01) (.22) (.87) (.12) (.99) 2003 14.48 .98 1.74 (.07) (.01) 2.64 (.83) (.06) (.89) 2002(a) 14.33 .08 .30 -- -- .38 (.07) -- (.07) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) 14.18 .43 .52 (.11) -- .84 (.32) -- (.32) 2006 14.78 .84 (.54) (.18) -- .12 (.72) -- (.72) 2005 13.97 .86 .83 (.10) -- 1.59 (.78) -- (.78) 2004 15.06 .88 (1.14) (.05) -- (.31) (.78) -- (.78) 2003(b) 14.33 .51 .93 (.04) -- 1.40 (.46) -- (.46) ================================================================================================================================= Total Returns --------------------- Based Offering on Costs and Ending Common Preferred Common Based Share Share Share Ending on Net Underwriting Net Asset Market Market Asset Discounts Value Value Value** Value** ============================================================================================ CONNECTICUT PREMIUM INCOME (NTC) - -------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) $ -- $14.89 $14.39 5.54% 5.59% 2006 -- 14.42 13.95 (6.00) .88 2005 -- 15.26 15.81 15.61 10.82 2004 -- 14.60 14.47 (10.80) (.51) 2003 -- 15.56 17.14 12.63 14.08 2002 -- 14.46 16.05 5.01 7.87 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - -------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) -- 15.20 15.64 (1.55) 5.64 2006 -- 14.75 16.26 8.79 1.38 2005 -- 15.39 15.73 17.89 12.06 2004 -- 14.56 14.12 (8.64) (.56) 2003 .01 15.53 16.35 9.19 15.38 2002 -- 14.24 15.79 8.61 8.81 CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - -------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) -- 15.33 15.61 (3.74) 5.74 2006 -- 14.86 16.60 9.78 .84 2005 -- 15.64 15.98 19.92 10.70 2004 (.01) 15.01 14.14 (4.65) (1.48) 2003 -- 16.23 15.80 11.16 18.77 2002(a) (.16) 14.48 15.05 .79 1.53 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - -------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) -- 14.70 14.05 2.03 6.02 2006 -- 14.18 14.09 1.84 .83 2005 -- 14.78 14.54 18.17 11.60 2004 -- 13.97 13.00 (8.92) (2.08) 2003(b) (.21) 15.06 15.09 3.71 8.46 ============================================================================================ Ratios/Supplemental Data ---------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement After Credit/Reimbursement*** ---------------------------- ----------------------------- Ending Net Assets Applicable Net Net Portfolio to Common Investment Investment Turnover Shares (000) Expenses++ Income++ Expenses++ Income++ Rate ==================================================================================================================== CONNECTICUT PREMIUM INCOME (NTC) - -------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) $79,815 1.24%* 5.66%* 1.22%* 5.68%* 6% 2006 77,278 1.25 5.66 1.23 5.68 16 2005 81,529 1.24 5.81 1.24 5.82 12 2004 77,725 1.23 6.16 1.23 6.16 15 2003 82,492 1.27 6.57 1.26 6.58 23 2002 76,327 1.34 6.90 1.34 6.91 12 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - -------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) 39,110 1.31* 5.76* .91* 6.16* 7 2006 37,905 1.29 5.70 .84 6.14 14 2005 39,464 1.29 5.81 .83 6.27 9 2004 37,238 1.26 5.97 .80 6.44 4 2003 39,625 1.27 6.29 .81 6.76 7 2002 36,233 1.38 6.56 .88 7.06 20 CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - -------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) 35,460 1.33* 5.59* .87* 6.05* 9 2006 34,352 1.29 5.51 .83 5.97 11 2005 36,105 1.28 5.52 .82 5.98 12 2004 34,646 1.25 5.73 .80 6.18 10 2003 37,441 1.31 5.94 .82 6.43 13 2002(a) 33,408 1.06* 2.90* .73* 3.23* -- CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - -------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(c) 64,086 1.27* 5.42* .76* 5.93* 8 2006 61,826 1.24 5.30 .74 5.80 9 2005 64,324 1.24 5.40 .76 5.89 9 2004 60,774 1.24 5.58 .74 6.08 14 2003(b) 65,324 1.19* 4.72* .71* 5.20* 18 ==================================================================================================================== Preferred Shares at End of Period ------------------------------------------- Aggregate Liquidation Amount and Market Asset Outstanding Value Coverage (000) Per Share Per Share ========================================================================== CONNECTICUT PREMIUM INCOME (NTC) - -------------------------------------------------------------------------- Year Ended 5/31: 2007(c) $38,300 $25,000 $77,099 2006 38,300 25,000 75,443 2005 38,300 25,000 78,217 2004 38,300 25,000 75,734 2003 38,300 25,000 78,846 2002 38,300 25,000 74,822 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - -------------------------------------------------------------------------- Year Ended 5/31: 2007(c) 19,500 25,000 75,141 2006 19,500 25,000 73,596 2005 19,500 25,000 75,595 2004 19,500 25,000 72,740 2003 19,500 25,000 75,801 2002 19,500 25,000 71,453 CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - -------------------------------------------------------------------------- Year Ended 5/31: 2007(c) 17,500 25,000 75,658 2006 17,500 25,000 74,074 2005 17,500 25,000 76,579 2004 17,500 25,000 74,495 2003 17,500 25,000 78,487 2002(a) 17,500 25,000 72,726 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - -------------------------------------------------------------------------- Year Ended 5/31: 2007(c) 32,000 25,000 75,067 2006 32,000 25,000 73,302 2005 32,000 25,000 75,253 2004 32,000 25,000 72,480 2003(b) 32,000 25,000 76,034 ==========================================================================
* Annualized. ** Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) For the period March 25, 2002 (commencement of operations) through May 31, 2002. (b) For the period September 26, 2002 (commencement of operations) through May 31, 2003. (c) For the six months ended November 30, 2006. See accompanying notes to financial statements. 70-71 spread FINANCIAL HIGHLIGHTS (Unaudited) (continued) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions ---------------------------------------------------------------- --------------------------------- Distributions Distributions from Net from From Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total ================================================================================================================================= MASSACHUSETTS PREMIUM INCOME (NMT) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) $14.45 $ .44 $ .57 $(.12) $ -- $ .89 $(.35) $ -- $ (.35) 2006 15.10 .88 (.50) (.18) -- .20 (.81) (.04) (.85) 2005 14.34 .91 .81 (.08) -- 1.64 (.88) -- (.88) 2004 15.30 .94 (.97) (.05) -- (.08) (.88) -- (.88) 2003 14.48 .98 .78 (.07) -- 1.69 (.87) -- (.87) 2002 14.26 1.03 .13 (.11) -- 1.05 (.83) -- (.83) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) 14.83 .47 .51 (.12) -- .86 (.38) -- (.38) 2006 15.65 .95 (.54) (.17) (.02) .22 (.85) (.19) (1.04) 2005 14.84 .97 .95 (.08) -- 1.84 (.92) (.11) (1.03) 2004 16.00 1.00 (1.11) (.04) (.01) (.16) (.92) (.08) (1.00) 2003 14.16 1.04 1.74 (.07) -- 2.71 (.88) -- (.88) 2002 13.88 1.03 .25 (.12) -- 1.16 (.88) -- (.88) INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) 14.39 .45 .54 (.12) -- .87 (.31) -- (.31) 2006 14.93 .90 (.53) (.20) -- .17 (.71) -- (.71) 2005 14.04 .92 .90 (.09) -- 1.73 (.84) -- (.84) 2004 15.25 .94 (1.22) (.06) -- (.34) (.86) (.01) (.87) 2003(a) 14.33 .35 1.21 (.03) -- 1.53 (.37) -- (.37) MISSOURI PREMIUM INCOME (NOM) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) 14.40 .45 .39 (.11) -- .73 (.37) -- (.37) 2006 15.11 .92 (.51) (.17) (.01) .23 (.84) (.10) (.94) 2005 14.37 .94 .77 (.09) -- 1.62 (.88) -- (.88) 2004 15.40 .96 (1.05) (.06) -- (.15) (.88) -- (.88) 2003 14.35 .97 1.02 (.07) -- 1.92 (.87) -- (.87) 2002 13.97 1.01 .31 (.13) -- 1.19 (.81) -- (.81) ================================================================================================================================= Total Returns --------------------- Based Offering on Costs and Ending Common Preferred Common Based Share Share Share Ending on Net Underwriting Net Asset Market Market Asset Discounts Value Value Value** Value** ============================================================================================= MASSACHUSETTS PREMIUM INCOME (NMT) - --------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) $ -- $14.99 $14.60 4.17% 6.20% 2006 -- 14.45 14.35 (6.14) 1.41 2005 -- 15.10 16.14 18.97 11.74 2004 -- 14.34 14.35 (9.51) (.51) 2003 -- 15.30 16.80 12.98 12.02 2002 -- 14.48 15.70 8.04 7.51 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - --------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) -- 15.31 15.74 3.89 5.88 2006 -- 14.83 15.53 (5.23) 1.49 2005 -- 15.65 17.45 24.96 12.76 2004 -- 14.84 14.88 (3.74) (1.03) 2003 .01 16.00 16.45 8.76 19.74 2002 -- 14.16 15.95 14.15 8.46 INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - --------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) -- 14.95 13.78 4.92 6.09 2006 -- 14.39 13.43 (11.62) 1.20 2005 -- 14.93 15.94 20.95 12.62 2004 -- 14.04 13.90 (6.83) (2.18) 2003(a) (.24) 15.25 15.78 7.69 9.07 MISSOURI PREMIUM INCOME (NOM) - --------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) -- 14.76 16.89 5.73 5.13 2006 -- 14.40 16.35 (3.53) 1.57 2005 -- 15.11 17.90 24.38 11.54 2004 -- 14.37 15.15 (5.35) (1.00) 2003 -- 15.40 16.87 15.39 13.75 2002 -- 14.35 15.41 14.11 8.65 ============================================================================================= Ratios/Supplemental Data ---------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement After Credit/Reimbursement*** ---------------------------- ----------------------------- Ending Net Assets Applicable Net Net Portfolio to Common Investment Investment Turnover Shares (000) Expenses++ Income++ Expenses++ Income++ Rate ===================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) - --------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) $71,381 1.24%* 5.98%* 1.24%* 5.99%* 2% 2006 68,776 1.25 5.98 1.24 6.00 13 2005 71,648 1.24 6.15 1.24 6.16 18 2004 67,806 1.24 6.37 1.23 6.38 22 2003 72,003 1.28 6.61 1.27 6.63 18 2002 67,856 1.31 7.11 1.30 7.12 13 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - --------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) 29,958 1.35* 5.82* .95* 6.21* 1 2006 29,004 1.29 5.79 .83 6.24 13 2005 30,539 1.31 5.83 .86 6.28 12 2004 28,904 1.27 6.05 .81 6.51 26 2003 31,134 1.29 6.49 .83 6.95 8 2002 27,519 1.47 6.70 .94 7.24 9 INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - --------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) 40,689 1.30* 5.64* .80* 6.15* 1 2006 39,179 1.29 5.66 .79 6.16 5 2005 40,611 1.27 5.83 .79 6.31 2 2004 38,121 1.28 5.94 .75 6.46 97 2003(a) 41,297 1.14* 4.17* .68* 4.64* 19 MISSOURI PREMIUM INCOME (NOM) - --------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2007(b) 33,904 1.30* 6.17* 1.28* 6.20* 6 2006 32,934 1.29 6.20 1.27 6.22 9 2005 34,219 1.29 6.29 1.28 6.30 17 2004 32,231 1.27 6.44 1.26 6.45 24 2003 34,228 1.34 6.56 1.32 6.58 15 2002 31,619 1.38 7.08 1.36 7.10 8 ===================================================================================================================== Preferred Shares at End of Period ------------------------------------------- Aggregate Liquidation Amount and Market Asset Outstanding Value Coverage (000) Per Share Per Share =========================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) - --------------------------------------------------------------------------- Year Ended 5/31: 2007(b) $34,000 $25,000 $77,486 2006 34,000 25,000 75,571 2005 34,000 25,000 77,682 2004 34,000 25,000 74,857 2003 34,000 25,000 77,943 2002 34,000 25,000 74,894 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - --------------------------------------------------------------------------- Year Ended 5/31: 2007(b) 15,000 25,000 74,931 2006 15,000 25,000 73,340 2005 15,000 25,000 75,899 2004 15,000 25,000 73,173 2003 15,000 25,000 76,891 2002 15,000 25,000 70,865 INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - --------------------------------------------------------------------------- Year Ended 5/31: 2007(b) 20,500 25,000 74,621 2006 20,500 25,000 72,779 2005 20,500 25,000 74,526 2004 20,500 25,000 71,489 2003(a) 20,500 25,000 75,362 MISSOURI PREMIUM INCOME (NOM) - --------------------------------------------------------------------------- Year Ended 5/31: 2007(b) 16,000 25,000 77,974 2006 16,000 25,000 76,460 2005 16,000 25,000 78,468 2004 16,000 25,000 75,360 2003 16,000 25,000 78,481 2002 16,000 25,000 74,405 ===========================================================================
* Annualized. ** Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) For the period November 21, 2002 (commencement of operations) through May 31, 2003. (b) For the six months ended November 30, 2006. See accompanying notes to financial statements. 72-73 spread Reinvest Automatically EASILY AND CONVENIENTLY Sidebar text: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET UP YOUR REINVESTMENT ACCOUNT. NUVEEN CLOSED-END FUNDS DIVIDEND REINVESTMENT PLAN Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or capital gains distributions in additional fund shares. By choosing to reinvest, you'll be able to invest money regularly and automatically, and watch your investment grow through the power of tax-free compounding. Just like dividends or distributions in cash, there may be times when income or capital gains taxes may be payable on dividends or distributions that are reinvested. It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market. EASY AND CONVENIENT To make recordkeeping easy and convenient, each month you'll receive a statement showing your total dividends and distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own. HOW SHARES ARE PURCHASED The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. Dividends and distributions received to purchase shares in the open market will normally be invested shortly after the dividend payment date. No interest will be paid on dividends and distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the dividend or distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions. FLEXIBLE You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. Should you withdraw, you can receive a certificate for all whole shares credited to your reinvestment account and cash payment for fractional shares, or cash payment for all reinvestment account shares, less brokerage commissions and a $2.50 service fee. You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan. The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time. CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787. 74 Automatic Dividend REINVESTMENT PLAN NOTICE OF AMENDMENT TO THE TERMS AND CONDITIONS These Funds are amending the terms and conditions of their Automatic Dividend Reinvestment Plan (the "Plan") as further described below effective with the close of business on March 1, 2007. THESE CHANGES ARE INTENDED TO ENABLE PLAN PARTICIPANTS UNDER CERTAIN CIRCUMSTANCES TO REINVEST FUND DISTRIBUTIONS AT A LOWER AGGREGATE COST THAN IS POSSIBLE UNDER THE EXISTING PLAN. Shareholders who do not wish to continue as participants under the amended Plan may withdraw from the Plan by notifying the Plan Agent prior to the effective date of the amendments. Participants should refer to their Plan document for notification instructions, or may simply call Nuveen at (800) 257-8787. Fund shareholders who elect to participate in the Plan are able to have Fund distributions consisting of income dividends, realized capital gains and returns of capital automatically reinvested in additional Fund shares. Under the Plan's existing terms, the Plan Agent purchases Fund shares in the open market if the Fund's shares are trading at a discount to their net asset value on the payable date for the distribution. If the Fund's shares are trading at or above their net asset value on the payable date for the distribution, the Plan Agent purchases newly-issued Fund shares directly from the Fund at a price equal to the greater of the shares' net asset value or 95% of the shares' market value. Under the Plan's amended terms, if the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund's shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares' net asset value or 95% of the shares' market value. This change will permit Plan participants under these circumstances to reinvest Fund distributions at a lower aggregate cost than is possible under the existing Plan. 75 Notes 76 Notes 77 Notes 78 Other Useful INFORMATION QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION Each Fund's (i) quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the 12-month period ended June 30, 2006, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities are available without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com. You may also obtain this and other Fund information directly from the Securities and Exchange Commission ("SEC"). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public References Section at 450 Fifth Street NW, Washington, D.C. 20549. CEO CERTIFICATION DISCLOSURE Each Fund's Chief Executive Officer has submitted to the New York Stock Exchange the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the Securities and Exchange Commission the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act. GLOSSARY OF TERMS USED IN THIS REPORT AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an investment's performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment's actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered. AVERAGE EFFECTIVE MATURITY: The average of all the maturities of the bonds in a Fund's portfolio, computed by weighting each maturity date (the date the security comes due) by the market value of the security. This figure does not account for the likelihood of prepayments or the exercise of call provisions. INVERSE FLOATERS: Inverse floating rate securities are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond's par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an "inverse floater") to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates' holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond's downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond's value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis. LEVERAGE-ADJUSTED DURATION: Duration is a measure of the expected period over which a bond's principal and interest will be paid, and consequently is a measure of the sensitivity of a bond's or bond Fund's value to changes when market interest rates change. Generally, the longer a bond's or Fund's duration, the more the price of the bond or Fund will change as interest rates change. Leverage-adjusted duration takes into account the leveraging process for a Fund and therefore is longer than the duration of the Fund's portfolio of bonds. MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An investment's current annualized dividend divided by its current market price. NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by subtracting the liabilities of the Fund (including any MuniPreferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of shares outstanding. Fund NAVs are calculated at the end of each business day. TAXABLE-EQUIVALENT YIELD: The yield necessary from a fully taxable investment to equal, on an after-tax basis, the yield of a municipal bond investment. BOARD OF TRUSTEES Robert P. Bremner Lawrence H. Brown Jack B. Evans William C. Hunter David J. Kundert William J. Schneider Timothy R. Schwertfeger Judith M. Stockdale Eugene S. Sunshine FUND MANAGER Nuveen Asset Management 333 West Wacker Drive Chicago, IL 60606 CUSTODIAN State Street Bank & Trust Company Boston, MA TRANSFER AGENT AND SHAREHOLDER SERVICES State Street Bank & Trust Company Nuveen Funds P.O. Box 43071 Providence, RI 02940-3071 (800) 257-8787 LEGAL COUNSEL Chapman and Cutler LLP Chicago, IL INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Chicago, IL Each Fund intends to repurchase shares of its own common or preferred stock in the future at such times and in such amounts as is deemed advisable. No shares were repurchased during the period covered by this report. Any future repurchases will be reported to shareholders in the next annual or semiannual report. 79 Nuveen Investments: SERVING Investors For GENERATIONS Photo of: 2 women looking at a photo album. Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions. For the past century, Nuveen Investments has adhered to the belief that the best approach to investing is to apply conservative risk-management principles to help minimize volatility. Building on this tradition, we today offer a range of high quality equity and fixed-income solutions that are integral to a well-diversified core portfolio. Our clients have come to appreciate this diversity, as well as our continued adherence to proven, long-term investing principles. WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT NEEDS. Managing more than $160 billion in assets, as of December 2006, Nuveen Investments offers access to a number of different asset classes and investing solutions through a variety of products. Nuveen Investments markets its capabilities under four distinct brands: Nuveen, a leader in fixed-income investments; NWQ, a leader in value-style equities; Rittenhouse, a leader in growth-style equities; and Symphony, a leading institutional manager of market-neutral alternative investment portfolios. FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS. To learn more about the products and services Nuveen Investments offers, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Be sure to obtain a prospectus, where applicable. Investors should consider the investment objective and policies, risk considerations, charges and expenses of the Fund carefully before investing. The prospectus contains this and other information relevant to an investment in the Fund. For a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money. o Share prices Learn more o Fund details about Nuveen Funds at o Daily financial news WWW.NUVEEN.COM/CEF o Investor education o Interactive planning tools Logo: NUVEEN Investments ESA-B-1106D ITEM 2. CODE OF ETHICS. Not applicable to this filing. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to this filing. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to this filing. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to this filing. ITEM 6. SCHEDULE OF INVESTMENTS. See Portfolio of Investments in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's Board implemented after the registrant last provided disclosure in response to this Item. ITEM 11. CONTROLS AND PROCEDURES. (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") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the "Exchange Act")(17 CFR 240.13a-15(b) or 240.15d-15(b)). (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 (17 CFR 270.30a-3(d)) that occurred during the second 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 12. EXHIBITS. File the exhibits listed below as part of this Form. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT attached hereto. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable. (b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto. SIGNATURES 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. (Registrant) Nuveen Massachusetts Dividend Advantage Municipal Fund ----------------------------------------------------------- By (Signature and Title)* /s/ Jessica R. Droeger ---------------------------------------------- Jessica R. Droeger Vice President and Secretary Date: February 8, 2007 ------------------------------------------------------------------- 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 (Signature and Title)* /s/ Gifford R. Zimmerman ---------------------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) Date: February 8, 2007 ------------------------------------------------------------------- By (Signature and Title)* /s/ Stephen D. Foy ---------------------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) Date: February 8, 2007 ------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 file002.txt CERTIFICATIONS CERTIFICATION I, Gifford R. Zimmerman, certify that: 1. I have reviewed this report on Form N-CSR of Nuveen Massachusetts Dividend Advantage Municipal Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second 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; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: February 8, 2007 /s/ Gifford R. Zimmerman ------------------------- -------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) CERTIFICATION I, Stephen D. Foy, certify that: 1. I have reviewed this report on Form N-CSR of Nuveen Massachusetts Dividend Advantage Municipal Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second 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; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: February 8, 2007 /s/ Stephen D. Foy ------------------------- -------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) EX-99.906CERT 3 file003.txt CERTIFICATIONS Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002; provided by the Chief Executive Officer and Chief Financial Officer, based on each such officer's knowledge and belief. The undersigned officers of Nuveen Massachusetts Dividend Advantage Municipal Fund (the "Fund"), certify that, to the best of each such officer's knowledge and belief: 1. The Form N-CSR of the Fund for the period ended November 30, 2006 (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. Date: February 8, 2007 ----------------------- /s/ Gifford R. Zimmerman --------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) /s/ Stephen D. Foy --------------------------------- Stephen D. Foy Vice President, Controller (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----