-----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, FP8ZwlSL2PGJbYFh/Hb5wE80uDVCnS3Apu+41L920Jdfq4FjpnZM0q1fwRB3jQ4s SyA7HYNmYUleqdG1q9b4LQ== 0000891804-03-001726.txt : 20030807 0000891804-03-001726.hdr.sgml : 20030807 20030807160724 ACCESSION NUMBER: 0000891804-03-001726 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030531 FILED AS OF DATE: 20030807 EFFECTIVENESS DATE: 20030807 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND CENTRAL INDEX KEY: 0000897419 IRS NUMBER: 367032570 STATE OF INCORPORATION: MA FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07484 FILM NUMBER: 03828745 BUSINESS ADDRESS: STREET 1: 333 WEST WACKER DR CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3129178200 MAIL ADDRESS: STREET 1: 333 WEST WACKER DRIVE STREET 2: 333 WEST WACKER DRIVE CITY: CHICAGO STATE: IL ZIP: 60606 N-CSR 1 file001.txt NUVEEN MASSACHUSETTS PREMIUM INCOME 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 811-7484 --------------------- Nuveen Massachusetts Premium Income 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 31st ------------------ Date of reporting period: May 31st ----------------- 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. Nuveen Municipal Closed-End Exchange-Traded Funds ANNUAL REPORT May 31, 2003 CONNECTICUT NTC NFC NGK NGO MASSACHUSETTS NMT NMB NGX MISSOURI NOM Photo of: 2 woman with graduation cap. Photo of: man and child working on computer. DEPENDABLE, TAX-FREE INCOME BECAUSE IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R) Logo: NUVEEN Investments FASTER INFORMATION RECEIVE YOUR NUVEEN FUND REPORT ELECTRONICALLY By registering for electronic delivery, you will receive an e-mail as soon as your Nuveen Fund information is available. Click on the link and you will be taken directly to the report. Your Fund report can be viewed and saved on your computer. Your report will arrive faster via e-mail than by traditional mail. Registering is easy and only takes a few minutes (see instructions at right). - -------------------------------------------------------------------------------- SOME COMMON CONCERNS: WILL MY E-MAIL ADDRESS BE DISTRIBUTED TO OTHER COMPANIES? No, your e-mail address is strictly confidential and will not be used for anything other than notification of shareholder information. WHAT IF I CHANGE MY MIND AND WANT TO RECEIVE INVESTOR MATERIALS THROUGH REGULAR MAIL DELIVERY AGAIN? If you decide you do not like receiving your reports electronically, it's a simple process to go back to regular mail delivery. - -------------------------------------------------------------------------------- IF YOUR NUVEEN FUND DIVIDENDS AND STATEMENTS COME FROM YOUR FINANCIAL ADVISOR OR BROKERAGE ACCOUNT, FOLLOW THE STEPS OUTLINED BELOW: 1 Go to WWW.INVESTORDELIVERY.COM 2 Refer to the address sheet that accompanied this report. Enter the personal 13-CHARACTER ENROLLMENT NUMBER imprinted near your name. 3 You'll be taken to a page with several options. Select the NEW ENROLLMENT-CREATE screen. Once there, enter your e-mail address (e.g. yourID@providerID.com), and a personal, 4-digit PIN number of your choice. (Pick a number that's easy to remember.) 4 Click Submit. Confirm the information you just entered is correct, then click Submit again. 5 You should get a confirmation e-mail within 24 hours. If you do not, go back through these steps to make sure all the information is correct. 6 Use this same process if you need to change your registration information or cancel internet viewing. IF YOUR NUVEEN FUND DIVIDENDS AND STATEMENTS COME DIRECTLY TO YOU FROM NUVEEN, FOLLOW THE STEPS OUTLINED BELOW: 1 Go to WWW.NUVEEN.COM 2 Select ACCESS YOUR ACCOUNT. Select the E-REPORT ENROLLMENT section. Click on Enrollment Today. 3 You'll be taken to a screen that asks for your Social Security number and e-mail address. Fill in this information, then click Enroll. 4 You should get a confirmation e-mail within 24 hours. If you do not, go back through these steps to make sure all the information is correct. 5 Use this same process if you need to change your registration information or cancel internet viewing. Logo: NUVEEN Investments Photo of: Timothy R. Schwertfeger Timothy R. Schwertfeger Chairman of the Board Sidebar text: "NO ONE KNOWS WHAT THE FUTURE WILL BRING, WHICH IS WHY WE THINK A WELL-BALANCED PORTFOLIO..... IS AN IMPORTANT COMPONENT IN ACHIEVING YOUR LONG-TERM FINANCIAL GOALS." Dear SHAREHOLDER Once again, I am pleased to report that over the most recent reporting period your Fund continued to provide you with monthly tax-free income and an attractive total return. For more specific information about the performance of your Fund, please see the Portfolio Managers' Comments and Performance Overview sections of this report. With interest rates at historically low levels, many have begun to wonder whether interest rates will rise, and whether that possibility should cause them to adjust their holdings of fixed-income investments. No one knows what the future will bring, which is why we think a well-balanced portfolio that is structured and carefully monitored with the help of an investment professional is an important component in achieving your long-term financial goals. A well-diversified portfolio may actually help to reduce your overall investment risk, and we believe that municipal bond investments like your Nuveen Fund can be important building blocks in a portfolio crafted to perform well through a variety of market conditions. I'd also like to direct your attention to the inside front cover of this report, which explains the quick and easy process to begin receiving Fund reports like this via e-mail and the internet. Thousands of Nuveen Fund shareholders already have signed-up, and they are getting their Fund information faster and more conveniently than ever. I urge you to consider joining them. Since 1898, Nuveen Investments has offered financial products and solutions that incorporate careful research, diversification, and the application of conservative risk-management principles. We are grateful that you have chosen us as a partner as you pursue your financial goals. We look forward to continuing to earn your trust in the months and years ahead. Sincerely, /s/Timothy R. Schwertfeger Timothy R. Schwertfeger Chairman of the Board July 15, 2003 1 Nuveen Municipal Closed-End Exchange-Traded Funds (NTC, NFC, NGK, NGO, NMT, NMB, NGX, NOM) Portfolio Managers' COMMENTS Portfolio managers Paul Brennan, Tom O'Shaughnessy and Rick Huber review economic and market conditions, key investment strategies and the recent performance of the Funds. With 12 years of investment experience, Paul has managed NTC since 1999, NFC since its inception in 2001, NGK and NGO since their inceptions in 2002, and NMT and NMB since January 2003. Tom, a 20-year veteran of Nuveen, assumed portfolio management responsibility for NGX at its inception in November 2002. Rick, who has 18 years of investment experience, took over management responsibilities for NOM in January 2003. WHAT FACTORS AFFECTED THE U.S. ECONOMY AND MUNICIPAL MARKET DURING THE TWELVE-MONTH PERIOD ENDED MAY 31, 2003? The underlying economic and market conditions remained similar to those we discussed in our last shareholder report dated November 30, 2002. We believe the most influential factors affecting the performance of the U.S. economy and the municipal market continued to be the sluggish pace of economic growth and interest rates that remained at 40-year lows. At the same time, continued geopolitical concerns, centering on the threat of terrorism and the Iraqi situation, also had an impact during this reporting period. In the municipal market, the slow economic recovery and the continued lack of inflationary pressures during the reporting period created conditions that helped many bonds, and especially higher-rated bonds, perform well. Following a record $357 billion of new supply in calendar year 2002, municipal issuance nationwide remained strong during the first five months of 2003, with $145.6 billion in new municipal securities, up 14% over the same period in 2002. Much of this increase in supply reflects issuance intended to address fiscal problems facing states and localities as the result of slow economic growth, rising costs (especially for healthcare and pensions) and sharp declines in tax collections. Given the relatively low interest rate environment, many states and local governments have turned to borrowing in order to close budget gaps, fund needed capital projects and free up cash for operating purposes. The heavy supply of municipal bonds was met with evidence of continued strong demand over most of this reporting period, as the record issuance was absorbed without a significant decline in prices. Both individual and institutional investors were active buyers. HOW WERE ECONOMIC AND MARKET CONDITIONS IN CONNECTICUT AND MASSACHUSETTS? Despite weak employment trends and a heavy debt load, Connecticut remained a high-wealth state with a diverse economy. Although we saw some growth in the biopharmaceutical industry, the main drivers of the state's economy--financial services, insurance and manufacturing--remained weak, with continued layoffs and job losses. Even with a contraction in the labor force, unemployment continued to climb, reaching 4.9% in May 2003, up from 4.2% in May 2002 but still well below the current national average of 6.1%. Connecticut continued to experience budgetary pressures due mainly to a steep drop in tax collections. In February 2003, the state exhausted its reserves and used a number of one-time resources to close an $817 million gap in the fiscal 2002 budget. That left Connecticut with few means to resolve the state's $1 billion deficit for fiscal 2003, with a larger shortfall ($2 billion) forecast for fiscal 2004. Currently, plans call for the state to cut its aid to local municipalities and transfer a portion of the 2 deficit to local governments that rely on state revenues to balance their own budgets. During the first five months of 2003, Connecticut borrowers issued $2.3 billion in new municipal bonds, up 16% over the same period in 2002. As a result of these fiscal problems, state-issued GOs were rated Aa2/AA, with a negative outlook, by both Moody's and Standard & Poor's as of the end of the reporting period. Like Connecticut, Massachusetts grappled with budgetary stress resulting from decreased tax revenues, aggravated by the cut in personal income taxes approved by voters in 2000. The commonwealth addressed the $2.3 billion shortfall in the fiscal 2003 budget by cutting expenditures, drawing down on its rainy day fund, freezing a scheduled tax cut and reinstating taxes on capital gains. The commonwealth's primary growth drivers remained healthcare, education, financial services and technology. Although the manufacturing sector continued to shed jobs, area defense contractors were benefiting from increased federal spending. Massachusetts' debt burden is among the highest in the nation, largely as the result of borrowing in connection with the $14.6 billion Central Artery/ Ted Williams Tunnel (Big Dig), which partially opened in early 2003 and is now scheduled for completion in May 2005. During the first five months of 2003, Massachusetts borrowers issued $5.2 billion in municipal bonds, a 16.1% increase over the same period during 2002. As of May 31, 2003, Moody's rated the commonwealth Aa2 with a negative outlook, while S&P's rating was AA- with a stable outlook. WHAT ABOUT MISSOURI? The Missouri economy remained weak, with job losses across its diverse industry base, including construction, wholesale trade, transportation, communications, utilities and the particularly hard-hit manufacturing sector. Job growth is expected to remain weak, largely as the result of the state's high exposure to old-line manufacturing such as automobiles. While Kansas City has become an attractive center for transportation, communications and technology, the St. Louis economy continued to perform poorly. In our opinion, Missouri's financial operations were well managed, and the state continued to maintain adequate financial flexibility, along with good reserve positions and relatively low debt levels. Although tax revenues remained soft, the state has been able to build reserve levels following a series of deep budget cuts. Municipal issuance in the state for the first five months of 2003 topped $2.2 billion, up 51% over the same period last year, and at the end of this reporting period both Moody's and Standard & Poor's retained their Missouri credit ratings of Aaa/AAA, respectively. HOW DID THE FUNDS PERFORM OVER THE TWELVE MONTHS ENDED MAY 31, 2003? Individual results for these Funds, as well as for selected benchmarks, are presented in the accompanying table. TOTAL RETURN LEHMAN LIPPER MARKET YIELD ON NAV TOTAL RETURN1 AVERAGE2 - ------------------------------------------------------------------------------ 1 YEAR 1 YEAR 1 YEAR TAXABLE- ENDED ENDED ENDED 5/31/03 EQUIVALENT3 5/31/03 5/31/03 5/31/03 - ------------------------------------------------------------------------------ NTC 5.15% 7.52% 14.08% 10.36% 15.88% - ------------------------------------------------------------------------------ NFC 5.14% 7.50% 15.38% 10.36% 15.88% - ------------------------------------------------------------------------------ NGK 5.24% 7.65% 18.77% 10.36% 15.88% - ------------------------------------------------------------------------------ NGO 5.17% 7.55% NA -- -- - ------------------------------------------------------------------------------ NMT 5.25% 7.72% 12.02% 10.36% 15.88% - ------------------------------------------------------------------------------ NMB 5.33% 7.84% 19.74% 10.36% 15.88% - ------------------------------------------------------------------------------ NGX 5.48% 8.06% NA -- -- - ------------------------------------------------------------------------------ NOM 5.16% 7.64% 13.75% 10.36% 15.88% - ------------------------------------------------------------------------------ Past performance is not predictive of future results. For additional information, see the individual Performance Overview for your Fund in this report. 1 The total annual returns on common share net asset value (NAV) for these Nuveen Funds are compared with the total annual return of the Lehman Brothers Municipal Bond Index, an unleveraged, unmanaged national index comprising a broad range of investment-grade municipal bonds. Results for the Lehman index do not reflect any expenses. 2 The total returns of these Funds are compared with the average annualized return of the 36 funds in the Lipper Other States Municipal Debt Funds category. Fund and Lipper returns assume reinvestment of dividends. It should be noted that the performance of the Lipper Other States category represents the overall average of annual returns for funds from 10 different states with a wide variety of economic and municipal market conditions and investment guidelines, making direct comparisons less applicable. 3 The taxable-equivalent yield represents the yield that must be earned on a taxable investment in order to equal the yield of the Nuveen Fund on an after-tax basis. The taxable-equivalent yield is based on the Fund's market yield on the indicated date and a federal income tax rate of 28% plus the applicable state income tax rate. The combined federal and state tax rates used in this report are as follows: Connecticut 31.5%, Massachusetts 32%, and Missouri 32.5%. 3 For the twelve months ended May 31, 2003, all of the Funds in this report with at least one year of performance history outperformed the national, unleveraged Lehman Brothers Municipal Bond Index. Their performances were mixed when with compared with the Lipper Other States Municipal Debt Funds category. While these Lipper comparisons carry some value, we believe they have limited usefulness because the Lipper average includes the results of funds from ten difference states, each with its own unique conditions and circumstances. The performance of these Funds benefited when compared with the results of the Lehman Index from their use of leverage, a strategy that can provide the opportunity for additional income for common shareholders. Most of the Funds also were helped by their relatively long durations.4 During periods of declining interest rates, such as we experienced over most of the twelve-month reporting period, longer duration investments generally would be expected to outperform shorter duration investments, assuming all other factors were equal. As of May 31, 2003, the durations of these Funds, with the exception of NTC, ranged from 8.00 to 12.29, compared with 7.80 for the Lehman index. (Please see the individual Performance Overview pages for individual Fund durations.) In addition to leverage and duration, the relative performances of these Nuveen Funds were influenced by factors including call exposure, portfolio trading activity and the price movement of specific sectors and holdings. For example, as of May 31, 2003, NMT held 11% of its portfolio in multifamily housing bonds, down from 20% at the end of November 2002 but still the largest allocation to this sector among these eight Funds. NGX and NOM each held smaller positions in this sector (8% and 7%, respectively). For the twelve months ended May 31, 2003, the housing sector was one of the poorer performing municipal market sectors, as measured by Lehman. This was largely due to the fact that the decline in interest rates led to dramatic growth in mortgage refinancings and increased the rate of prepayments, which adversely affected both the prices and yields of housing bonds. HOW DID THE MARKET ENVIRONMENT AFFECT THE FUNDS' DIVIDENDS AND SHARE PRICES? As noted earlier, with short-term interest rates at historically low levels, the dividend-payment capabilities of these Funds benefited from their use of leverage. The amount of this benefit is tied in part to the short-term rates the Funds pay their MuniPreferred(R) shareholders. Low short-term rates can enable the Funds to reduce the amount of income paid to MuniPreferred shareholders, which potentially can leave more earnings to support common share dividends. During the twelve months ended May 31, 2003, the continued low level of short-term interest rates enabled us to implement two dividend increases in NTC and NMT and one increase in NOM. As of May 2003, NFC and NMB had paid dependable, attractive dividends for 27 consecutive months, while NGK had offered shareholders steady dividends for 13 consecutive months. NGO and NGX, which were introduced in September and November 2002, respectively, declared their first monthly distributions in November 2002 and January 2003. Over the course of this reporting period, strong demand and favorable market conditions helped to boost the share prices and net asset values of 4 Duration is a measure of a fund's NAV volatility in reaction to interest rate movements. Fund duration, also known as leverage-adjusted duration, takes into account the leveraging process for a fund and therefore is generally longer than the duration of the actual portfolio of individual bonds that make up the fund. References to duration in this commentary are intended to indicate fund duration unless otherwise noted. 4 these Funds. As of May 31, 2003, NTC, NFC, NMT, NMB, NGX and NOM were trading at premiums to their common share NAVs, while NGO was trading at virtually the same level as its NAV. Over the period, the NAV of NGK appreciated more rapidly than its share price, and this Fund moved from trading at a premium to a discount (see charts on individual Performance Overview pages). WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THE YEAR ENDED MAY 31, 2003? Over this twelve-month reporting period, we continued to place strong emphasis on diversifying the portfolios, enhancing call protection and improving dividend-paying capabilities. Strategically, our main focus centered on systematically shortening the Funds' durations, which we believed would enhance our ability to control the Funds' interest rate risk and produce more consistent returns over time. Interest rate risk is the risk that the value of a Fund's portfolio will decline when market interest rates rise (since bond prices move in the opposite direction of interest rates). The longer the duration of a Fund's portfolio, the greater its interest rate risk. In line with our duration strategy as well as the recent steepness of the municipal yield curve, we concentrated on finding value in the intermediate part of the yield curve (i.e., bonds that mature in 15 to 20 years), particularly in the newer Funds with longer durations. In many cases, bonds in this part of the curve were offering yields similar to those of longer-term bonds but, in our opinion, had less inherent interest rate risk. In the older Funds--NTC, NMT, and NOM--larger holdings of bonds priced to near-term call dates, rather than to their maturities, also served to shorten the Funds' durations. In general, the relatively heavy municipal bond issuance in these states created increased purchase opportunities. We looked for individual issues that we believed would perform well regardless of the future direction of interest rates. In Connecticut, which is in the midst of a major capital improvement program for its state university system, many of the new bonds were either state-issued debt or education bonds, and we took advantage of attractively priced offerings in both sectors. Over this reporting period, the Massachusetts municipal market saw unusually heavy issuance of general obligation debt, including nearly $1 billion in February 2003. As in Connecticut, this increased issuance presented some value investing opportunities. Each of the Connecticut and Massachusetts Funds remained heavily weighted in education bonds, while the Massachusetts Funds and NOM also had large exposures to healthcare. Education and healthcare were among the top performing Lehman revenue sectors over this reporting period. Each of the Connecticut Funds also has invested a small portion (less than 5%) of its portfolio in bonds backed by the 1998 master tobacco settlement agreement. In recent months, the prices of these bonds weakened as the result of lawsuits involving the major tobacco companies as well as the increased issuance of such bonds by states planning to use the proceeds to help close budget gaps. Although the sector as a whole produced negative returns over this reporting period, tobacco-backed bonds have rebounded somewhat following the April payment by the Altria Group of $2.6 billion to the 46 states covered by the 5 agreement, as well as by a number of recent legal developments favorable to the tobacco companies. As of the end of the reporting period, our strategy was to maintain our tobacco holdings while we continued to regularly evaluate the situation. In November 2002, we introduced the Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX), which was fully invested by the end of the reporting period. As mentioned earlier, the Fund began declaring regular monthly dividends in January 2003. Although 92% of NGX's portfolio is currently invested in insured or AAA rated bonds, this Fund can invest up to 20% in uninsured investment-grade (rated BBB or higher or unrated but judged to be of equivalent quality) securities, with the goal of enhancing the Fund's dividend-paying capabilities. In addition, NGX cannot hold any bond whose income is subject to the federal alternative minimum tax (AMT). Over the past few months, we have been replacing the Puerto Rico bonds that were purchased during the initial investment phase last fall with Massachusetts-issued bonds. As of May 31, 2003, approximately 9% of NGX's portfolio was invested in Puerto Rico securities, a level that is fairly typical for a new Nuveen state municipal bond fund. We expect to continue to reduce this percentage through additional purchases of Massachusetts bonds as attractive opportunities arise. Given the current geopolitical and economic climate, we believed that maintaining strong credit quality remained a vital requirement. As of May 31, 2003, each of the non-insured Funds offered excellent credit quality, with allocations of bonds rated AAA/U.S. guaranteed and AA ranging from 76% to 88%. As mentioned in the previous paragraph, the insured NGX holds 92% of its portfolio in AAA rated bonds and another 5% in bonds rated AA. In general, our weightings in insured and AAA bonds benefited the performance of these Funds during the past year. WHAT IS YOUR OUTLOOK FOR THE MUNICIPAL MARKET IN GENERAL AND THESE FUNDS IN PARTICULAR? We continue to believe the U.S. economy is slowly headed for a recovery, but one that may take longer and be less robust than some originally anticipated. As a result, we think that inflation and interest rates should remain relatively low over the near term. However, the threat of an eventual rise in interest rates remains, and we intend to keep a careful watch on the Funds' durations and holdings to modulate interest rate risk if and when rates do reverse course. Given the budget situations in these three states, as well as their continued need for spending on infrastructure, education, and healthcare, we expect to see continued good levels of issuance. Recently, anticipation of changes to the national tax code led some to wonder about the new law's potential impact on tax-exempt investments. The final version of the 2003 tax relief law reduced, but did not eliminate, taxes on corporate dividends, and, as a result, we do not expect to see any significant impact on the demand or pricing for tax-exempt municipal bonds. Looking at bond call exposure, the five newer Funds currently offer good levels of call protection, with call exposure ranging from zero to 3% during the remainder of 2003 and through 2004. The older Funds--NTC, NMT and, to a lesser degree, NOM -- all mark their ten-year anniversaries in 2003 and have entered that part of their life cycles 6 typically associated with an increase in bond calls. Over the recently completed reporting period, we worked to mitigate this call risk and improve the positions of these three Funds. As of May 31, 2003, the percentage of bonds eligible for calls during 2003 and 2004 was 15% in NTC and 19% in NMT, down from 18% and 26%, respectively, six months ago. In NOM, the Fund's current level of call protection--2% during 2003 and 2004--allowed us to focus on moving some calls scheduled for 2005 out to 2009-2011. The number of actual calls over the coming months will depend largely on market interest rates. In coming months, we plan to continue to closely monitor the budgetary situations in all three states for any potential impact on credit ratings or local governments as well as any spillover effect of Medicaid/Medicare issues into the hospital sector. In NGX specifically, we plan to work on reducing the Fund's high weighting in general obligation bonds and enhancing this Fund's diversification. In NOM, because Missouri remains a very high quality issuer, we plan to continue searching for opportunities to add bonds with lower investment-grade quality ratings, which are in short supply in this state. We believe that these Nuveen Funds can continue to serve as attractive sources of tax-free income, as well as offer considerable portfolio diversification potential. We remain convinced that these Funds are quality investments that can continue to benefit shareholders as part of a well-balanced core investment portfolio. 7 Nuveen Connecticut Premium Income Municipal Fund Performance OVERVIEW As of May 31, 2003 NTC Pie Chart: CREDIT QUALITY AAA/U.S. Guaranteed 71% AA 16% A 4% BBB 8% NR 1% PORTFOLIO STATISTICS - -------------------------------------------------- Share Price $17.14 - -------------------------------------------------- Common Share Net Asset Value $15.56 - -------------------------------------------------- Market Yield 5.15% - -------------------------------------------------- Taxable-Equivalent Yield (Federal Income Tax Rate)1 7.15% - -------------------------------------------------- Taxable-Equivalent Yield (Federal and State Income Tax Rate)1 7.52% - -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $82,492 - -------------------------------------------------- Average Effective Maturity (Years) 18.99 - -------------------------------------------------- Leverage-Adjusted Duration 7.60 - -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) - -------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------- 1-Year 12.63% 14.08% - -------------------------------------------------- 5-Year 7.55% 7.50% - -------------------------------------------------- 10-Year 6.85% 6.95% - -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) - -------------------------------------------------- Education and Civic Organizations 22% - -------------------------------------------------- Tax Obligation/General 17% - -------------------------------------------------- Tax Obligation/Limited 11% - -------------------------------------------------- Healthcare 11% - -------------------------------------------------- Water and Sewer 7% - -------------------------------------------------- Bar Chart: 2002-2003 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Jun 0.071 Jul 0.071 Aug 0.071 Sep 0.072 Oct 0.072 Nov 0.072 Dec 0.072 Jan 0.072 Feb 0.072 Mar 0.0735 Apr 0.0735 May 0.0735 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/02 16.45 16.52 16.78 16.7 17.56 16.7 17.1 16.7 16.6 17.05 16.95 16.46 16.25 16.31 16.65 16.4 16.56 16.75 16.47 16.15 15.85 15.73 16.12 16.19 16 16.1 16.1 16.14 16.25 16.2 16.7 16.56 16.52 16.48 16.6 16.85 16.56 16.63 16.4 16.27 16.55 16.65 16.51 16.45 16.7 16.36 16.37 16.7 16.85 5/31/03 17.14 1 Taxable-equivalent yield represents the yield on a taxable investment necessary to equal the yield of the Nuveen Fund on an after-tax basis. It is calculated using the current market yield and a federal income tax rate of 28%. The rate shown for federal and state highlights the added value of owning shares that are also exempt from state income taxes. It is based on a combined federal and state income tax rate of 31.5%. 2 The Fund also paid shareholders a net ordinary income distribution in December 2002 of $0.0127 per share. 8 Nuveen Connecticut Dividend Advantage Municipal Fund Performance OVERVIEW As of May 31, 2003 NFC Pie Chart: CREDIT QUALITY AAA/U.S. Guaranteed 55% AA 21% A 9% BBB 14% NR 1% PORTFOLIO STATISTICS - -------------------------------------------------- Share Price $16.35 - -------------------------------------------------- Common Share Net Asset Value $15.53 - -------------------------------------------------- Market Yield 5.14% - -------------------------------------------------- Taxable-Equivalent Yield (Federal Income Tax Rate)1 7.14% - -------------------------------------------------- Taxable-Equivalent Yield (Federal and State Income Tax Rate)1 7.50% - -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $39,625 - -------------------------------------------------- Average Effective Maturity (Years) 20.63 - -------------------------------------------------- Leverage-Adjusted Duration 9.36 - -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/01) - -------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------- 1-Year 9.19% 15.38% - -------------------------------------------------- Since Inception 9.28% 9.45% - -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) - -------------------------------------------------- Tax Obligation/General 23% - -------------------------------------------------- Education and Civic Organizations 20% - -------------------------------------------------- Utilities 12% - -------------------------------------------------- Tax Obligation/Limited 11% - -------------------------------------------------- Water and Sewer 7% - -------------------------------------------------- Bar Chart: 2002-2003 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.07 Jul 0.07 Aug 0.07 Sep 0.07 Oct 0.07 Nov 0.07 Dec 0.07 Jan 0.07 Feb 0.07 Mar 0.07 Apr 0.07 May 0.07 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/02 15.77 16 16.08 16.05 16 16.41 16.25 15.58 15.82 15.83 16 16.05 15.54 15.6 15.74 15.6 15.7 16 16.1 15.6 15.5 15.51 15.8 15.85 14.93 14.99 15.05 15 15.45 15.7 15.6 15.95 15.76 15.65 15.94 16.1 15.8 15.7 15.69 15.65 15.8 15.7 15.67 15.95 15.88 15.7 15.82 15.96 16 5/31/03 16.35 1 Taxable-equivalent yield represents the yield on a taxable investment necessary to equal the yield of the Nuveen Fund on an after-tax basis. It is calculated using the current market yield and a federal income tax rate of 28%. The rate shown for federal and state highlights the added value of owning shares that are also exempt from state income taxes. It is based on a combined federal and state income tax rate of 31.5%. 9 Nuveen Connecticut Dividend Advantage Municipal Fund 2 Performance OVERVIEW As of May 31, 2003 NGK Pie Chart: CREDIT QUALITY AAA/U.S. Guaranteed 67% AA 21% A 7% BBB 5% PORTFOLIO STATISTICS - -------------------------------------------------- Share Price $15.80 - -------------------------------------------------- Common Share Net Asset Value $16.23 - -------------------------------------------------- Market Yield 5.24% - -------------------------------------------------- Taxable-Equivalent Yield (Federal Income Tax Rate)1 7.28% - -------------------------------------------------- Taxable-Equivalent Yield (Federal and State Income Tax Rate)1 7.65% - -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $37,441 - -------------------------------------------------- Average Effective Maturity (Years) 20.21 - -------------------------------------------------- Leverage-Adjusted Duration 10.20 - -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 3/26/02) - -------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------- 1-Year 11.16% 18.77% - -------------------------------------------------- Since Inception 10.11% 17.19% - -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) - -------------------------------------------------- Tax Obligation/General 33% - -------------------------------------------------- Education and Civic Organizations 25% - -------------------------------------------------- U.S. Guaranteed 12% - -------------------------------------------------- Utilities 8% - -------------------------------------------------- Housing/Single Family 6% - -------------------------------------------------- Bar Chart: 2002-2003 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Jun 0.069 Jul 0.069 Aug 0.069 Sep 0.069 Oct 0.069 Nov 0.069 Dec 0.069 Jan 0.069 Feb 0.069 Mar 0.069 Apr 0.069 May 0.069 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/02 15.37 15.35 15.8 15.65 15.6 15.75 15.45 15.65 16.15 15.7 15.93 15.9 15.6 15.5 15.38 15.39 15.46 15.58 15.49 14.71 15 15.15 15.3 15.2 15.05 15.1 15.15 15.3 15.3 15.35 15.35 15.55 15.55 15.51 15.55 15.84 15.85 15.6 15.45 15.5 15.68 15.43 15.63 15.96 15.58 15.7 15.6 15.7 15.9 5/31/03 15.8 1 Taxable-equivalent yield represents the yield on a taxable investment necessary to equal the yield of the Nuveen Fund on an after-tax basis. It is calculated using the current market yield and a federal income tax rate of 28%. The rate shown for federal and state highlights the added value of owning shares that are also exempt from state income taxes. It is based on a combined federal and state income tax rate of 31.5%. 2 The Fund also paid shareholders a capital gains distribution in December 2002 of $0.0623 per share. 10 Nuveen Connecticut Dividend Advantage Municipal Fund 3 Performance OVERVIEW As of May 31, 2003 NGO Pie Chart: CREDIT QUALITY AAA/U.S. Guaranteed 72% AA 13% A 8% BBB 7% PORTFOLIO STATISTICS - -------------------------------------------------- Share Price $15.09 - -------------------------------------------------- Common Share Net Asset Value $15.06 - -------------------------------------------------- Market Yield 5.17% - -------------------------------------------------- Taxable-Equivalent Yield (Federal Income Tax Rate)1 7.18% - -------------------------------------------------- Taxable-Equivalent Yield (Federal and State Income Tax Rate)1 7.55% - -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $65,324 - -------------------------------------------------- Average Effective Maturity (Years) 20.84 - -------------------------------------------------- Leverage-Adjusted Duration 10.70 - -------------------------------------------------- CUMULATIVE TOTAL RETURN (Inception 9/26/02) - -------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------- Since Inception 3.71% 8.46% - -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) - -------------------------------------------------- Tax Obligation/General 30% - -------------------------------------------------- Tax Obligation/Limited 19% - -------------------------------------------------- Education and Civic Organizations 13% - -------------------------------------------------- U.S. Guaranteed 9% - -------------------------------------------------- Utilities 9% - -------------------------------------------------- Bar Chart: 2002-2003 MONTHLY TAX-FREE DIVIDENDS PER SHARE Nov 0.065 Dec 0.065 Jan 0.065 Feb 0.065 Mar 0.065 Apr 0.065 May 0.065 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 9/27/02 15 15.06 15.25 15.06 15 15 15.05 14.9 14.65 14.56 14.75 14.6 14.71 14.75 14.85 15.09 15 15 15 14.99 14.8 14.92 14.75 14.96 14.71 14.65 14.88 14.85 14.6 14.7 14.65 15.14 15.05 5/31/03 15.09 1 Taxable-equivalent yield represents the yield on a taxable investment necessary to equal the yield of the Nuveen Fund on an after-tax basis. It is calculated using the current market yield and a federal income tax rate of 28%. The rate shown for federal and state highlights the added value of owning shares that are also exempt from state income taxes. It is based on a combined federal and state income tax rate of 31.5%. 11 Nuveen Massachusetts Premium Income Municipal Fund Performance OVERVIEW As of May 31, 2003 NMT Pie Chart: CREDIT QUALITY AAA/U.S. Guaranteed 67% AA 12% A 11% BBB 8% NR 2% PORTFOLIO STATISTICS - -------------------------------------------------- Share Price $16.80 - -------------------------------------------------- Common Share Net Asset Value $15.30 - -------------------------------------------------- Market Yield 5.25% - -------------------------------------------------- Taxable-Equivalent Yield (Federal Income Tax Rate)1 7.29% - -------------------------------------------------- Taxable-Equivalent Yield (Federal and State Income Tax Rate)1 7.72% - -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $72,003 - -------------------------------------------------- Average Effective Maturity (Years) 17.30 - -------------------------------------------------- Leverage-Adjusted Duration 8.44 - -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 3/18/93) - -------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------- 1-Year 12.98% 12.02% - -------------------------------------------------- 5-Year 5.97% 6.56% - -------------------------------------------------- 10-Year 6.78% 6.88% - -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) - -------------------------------------------------- Education and Civic Organizations 20% - -------------------------------------------------- U.S. Guaranteed 20% - -------------------------------------------------- Tax Obligation/General 15% - -------------------------------------------------- Healthcare 14% - -------------------------------------------------- Housing/Multifamily 11% - -------------------------------------------------- Bar Chart: 2002-2003 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.071 Jul 0.071 Aug 0.071 Sep 0.0725 Oct 0.0725 Nov 0.0725 Dec 0.0735 Jan 0.0735 Feb 0.0735 Mar 0.0735 Apr 0.0735 May 0.0735 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/02 15.93 16.02 15.75 15.9 16.25 16.43 16.27 16.23 16.4 16.06 15.91 16.12 16.12 16.45 16.63 16.41 16.51 16.76 16.09 15.9 15.38 15.85 15.98 15.94 15.26 15.32 15.54 15.75 15.69 15.52 15.81 15.9 15.85 15.8 16.18 15.94 15.76 15.74 15.92 16.26 16.06 16.06 16.07 15.95 16.12 16.24 16.2 16.23 16.36 5/31/03 16.8 1 Taxable-equivalent yield represents the yield on a taxable investment necessary to equal the yield of the Nuveen Fund on an after-tax basis. It is calculated using the current market yield and a federal income tax rate of 28%. The rate shown for federal and state highlights the added value of owning shares that are also exempt from state income taxes. It is based on a combined federal and state income tax rate of 32%. 12 Nuveen Massachusetts Dividend Advantage Municipal Fund Performance OVERVIEW As of May 31, 2003 NMB Pie Chart: CREDIT QUALITY AAA/U.S. Guaranteed 65% AA 16% A 6% BBB 13% PORTFOLIO STATISTICS - -------------------------------------------------- Share Price $16.45 - -------------------------------------------------- Common Share Net Asset Value $16.00 - -------------------------------------------------- Market Yield 5.33% - -------------------------------------------------- Taxable-Equivalent Yield (Federal Income Tax Rate)1 7.40% - -------------------------------------------------- Taxable-Equivalent Yield (Federal and State Income Tax Rate)1 7.84% - -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $31,134 - -------------------------------------------------- Average Effective Maturity (Years) 23.42 - -------------------------------------------------- Leverage-Adjusted Duration 9.54 - -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 1/31/01) - -------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------- 1-Year 8.76% 19.74% - -------------------------------------------------- Since Inception 9.80% 11.11% - -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) - -------------------------------------------------- Education and Civic Organizations 19% - -------------------------------------------------- Tax Obligation/General 18% - -------------------------------------------------- Healthcare 11% - -------------------------------------------------- Water and Sewer 10% - -------------------------------------------------- U.S.Guaranteed 9% - -------------------------------------------------- Bar Chart: 2002-2003 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.073 Jul 0.073 Aug 0.073 Sep 0.073 Oct 0.073 Nov 0.073 Dec 0.073 Jan 0.073 Feb 0.073 Mar 0.073 Apr 0.073 May 0.073 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/02 16.25 16.29 16.68 16.69 17.05 16.75 16.7 16.4 16.95 16.8 16.43 16.39 16.62 16.78 16.73 16.65 16.83 17.22 16.64 16.95 16.61 16.5 16.5 16.45 16.35 16.63 16.55 16.4 16.2 16.35 16.65 16.03 16.1 16.29 16.21 16.27 15.95 16 16.15 16.2 16.19 16.12 16.09 16.29 16.19 16.11 16.27 16.71 16.2 5/31/03 16.45 1 Taxable-equivalent yield represents the yield on a taxable investment necessary to equal the yield of the Nuveen Fund on an after-tax basis. It is calculated using the current market yield and a federal income tax rate of 28%. The rate shown for federal and state highlights the added value of owning shares that are also exempt from state income taxes. It is based on a combined federal and state income tax rate of 32%. 13 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund Performance OVERVIEW As of May 31, 2003 NGX Pie Chart: CREDIT QUALITY Insured 89% AAA (uninsured) 3% AA (uninsured) 5% A (uninsured) 2% BBB (uninsured) 1% PORTFOLIO STATISTICS - -------------------------------------------------- Share Price $15.78 - -------------------------------------------------- Common Share Net Asset Value $15.25 - -------------------------------------------------- Market Yield 5.48% - -------------------------------------------------- Taxable-Equivalent Yield (Federal Income Tax Rate)1 7.61% - -------------------------------------------------- Taxable-Equivalent Yield (Federal and State Income Tax Rate)1 8.06% - -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $41,297 - -------------------------------------------------- Average Effective Maturity (Years) 23.22 - -------------------------------------------------- Leverage-Adjusted Duration 12.29 - -------------------------------------------------- CUMULATIVE TOTAL RETURN (Inception 11/22/02) - -------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------- Since Inception 7.69% 9.07% - -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) - -------------------------------------------------- Tax Obligation/General 41% - -------------------------------------------------- Tax Obligation/Limited 15% - -------------------------------------------------- Education and Civic Organizations 13% - -------------------------------------------------- Housing/Multifamily 8% - -------------------------------------------------- Healthcare 8% - -------------------------------------------------- Bar Chart: 2003 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jan 0.072 Feb 0.072 Mar 0.072 Apr 0.072 May 0.072 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 11/22/02 15.2 15.05 15.15 15.15 15.01 14.92 15 14.4 15 15 15 15.4 15.45 15 15 15.15 15.2 14.82 15.12 15.13 15.4 15.9 15.72 15.6 5/31/03 15.78 1 Taxable-equivalent yield represents the yield on a taxable investment necessary to equal the yield of the Nuveen Fund on an after-tax basis. It is calculated using the current market yield and a federal income tax rate of 28%. The rate shown for federal and state highlights the added value of owning shares that are also exempt from state income taxes. It is based on a combined federal and state income tax rate of 32%. 14 Nuveen Missouri Premium Income Municipal Fund Performance OVERVIEW As of May 31, 2003 NOM Pie Chart: CREDIT QUALITY AAA/U.S. Guaranteed 79% AA 8% A 3% BBB 4% NR 6% PORTFOLIO STATISTICS - -------------------------------------------------- Share Price $16.87 - -------------------------------------------------- Common Share Net Asset Value $15.40 - -------------------------------------------------- Market Yield 5.16% - -------------------------------------------------- Taxable-Equivalent Yield (Federal Income Tax Rate)1 7.17% - -------------------------------------------------- Taxable-Equivalent Yield (Federal and State Income Tax Rate)1 7.64% - -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $34,228 - -------------------------------------------------- Average Effective Maturity (Years) 14.87 - -------------------------------------------------- Leverage-Adjusted Duration 8.00 - -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) - -------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------- 1-Year 15.39% 13.75% - -------------------------------------------------- 5-Year 9.25% 7.12% - -------------------------------------------------- 10-Year 6.65% 6.62% - -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) - -------------------------------------------------- Tax Obligation/General 19% - -------------------------------------------------- U.S. Guaranteed 17% - -------------------------------------------------- Tax Obligation/Limited 17% - -------------------------------------------------- Healthcare 16% - -------------------------------------------------- Housing/Multifamily 7% - -------------------------------------------------- Bar Chart: 2002-2003 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.0715 Jul 0.0715 Aug 0.0715 Sep 0.0725 Oct 0.0725 Nov 0.0725 Dec 0.0725 Jan 0.0725 Feb 0.0725 Mar 0.0725 Apr 0.0725 May 0.0725 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/02 15.41 16.4 16.55 16.63 17.05 15.67 15.8 16.45 16.6 16.85 16.65 16.52 5/31/03 16.87 1 Taxable-equivalent yield represents the yield on a taxable investment necessary to equal the yield of the Nuveen Fund on an after-tax basis. It is calculated using the current market yield and a federal income tax rate of 28%. The rate shown for federal and state highlights the added value of owning shares that are also exempt from state income taxes. It is based on a combined federal and state income tax rate of 32.5%. 15 Report of INDEPENDENT AUDITORS THE BOARD OF TRUSTEES AND SHAREHOLDERS NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund and Nuveen Missouri Premium Income Municipal Fund as of May 31, 2003, and the related statements of operations, changes in net assets and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights. Our procedures included confirmation of securities owned as of May 31, 2003, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund and Nuveen Missouri Premium Income Municipal Fund at May 31, 2003, and the results of their operations, changes in their net assets and their financial highlights for the periods indicated therein in conformity with accounting principles generally accepted in the United States. Ernst & Young LLP Chicago, Illinois July 11, 2003 16 Nuveen Connecticut Premium Income Municipal Fund (NTC) Portfolio of INVESTMENTS May 31, 2003
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 1.8% $ 1,670 Puerto Rico, The Children's Trust Fund, 5/12 at 100.00 A- $ 1,466,026 Tobacco Settlement Asset-Backed Bonds, Series 2002 Refunding, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 32.1% Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education Loan Program, 1996 Series A: 1,025 5.800%, 11/15/14 (Alternative Minimum Tax) - AMBAC Insured 11/06 at 102.00 AAA 1,072,181 655 5.875%, 11/15/17 (Alternative Minimum Tax) - AMBAC Insured 11/06 at 102.00 AAA 685,726 705 Connecticut Higher Education Supplemental Loan 11/09 at 102.00 AAA 759,250 Authority, Revenue Bonds, Family Education Loan Program, 1999 Series A, 6.000%, 11/15/18 (Alternative Minimum Tax) - AMBAC Insured 940 Connecticut Higher Education Supplemental Loan 11/11 at 100.00 Aaa 1,011,374 Authority, Revenue Bonds, Family Education Loan Program, 2001 Series A, 5.250%, 11/15/18 (Alternative Minimum Tax) - MBIA Insured 1,540 Connecticut Health and Educational 7/03 at 102.00 Baa1 1,566,719 Facilities Authority, Revenue Bonds, Quinnipiac College Issue, Series 1993D, 6.000%, 7/01/23 2,000 Connecticut Health and Educational Facilities 7/06 at 102.00 AAA 2,252,280 Authority, Revenue Bonds, Trinity College Issue, Series 1996E, 5.875%, 7/01/26 - MBIA Insured 1,500 Connecticut Health and Educational Facilities 7/06 at 102.00 AAA 1,665,660 Authority, Revenue Bonds, Loomis Chaffee School Issue, Series 1996C, 5.500%, 7/01/16 - MBIA Insured 1,900 Connecticut Health and Educational Facilities 7/08 at 102.00 AAA 2,005,963 Authority, Revenue Bonds, Fairfield University Issue, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 2,920 Connecticut Health and Educational 7/07 at 102.00 AAA 3,293,994 Facilities Authority, Revenue Bonds, Connecticut College Issue, Series 1997C-1, 5.500%, 7/01/20 - MBIA Insured 1,250 Connecticut Health and Educational 7/09 at 101.00 AAA 1,347,025 Facilities Authority, Revenue Bonds, Fairfield University, Series 1999I, 5.250%, 7/01/25 - MBIA Insured 750 Connecticut Health and Educational Facilities 7/09 at 101.00 Aaa 831,585 Authority, Revenue Bonds, Horace Bushnell Memorial Hall Issue, Series 1999A, 5.625%, 7/01/29 - MBIA Insured 500 Connecticut Health and Educational Facilities 7/11 at 101.00 AAA 529,505 Authority, Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 - AMBAC Insured 650 Connecticut Health and Educational Facilities 7/11 at 101.00 A2 720,779 Authority, Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 450 Connecticut Health and Educational Facilities 3/11 at 101.00 AAA 474,930 Authority, Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 2,000 Connecticut Health and Educational 7/12 at 101.00 AA 2,145,020 Facilities Authority, Revenue Bonds, University of Hartford Issue, 2002 Series E, 5.250%, 7/01/32 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University Issue, 7/09 at 100.00 AAA 1,577,730 2002 Series W, 5.125%, 7/01/27 1,500 Connecticut Health and Educational 7/13 at 100.00 AAA 1,584,255 Facilities Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 660 Connecticut Health and Educational Facilities 7/13 at 100.00 AAA 698,293 Authority, Revenue Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 - MBIA Insured 1,000 University of Connecticut, Student Fee 11/12 at 101.00 AAA 1,133,660 Revenue Refunding Bonds, Series 2002A, 5.250%, 11/15/19 - FGIC Insured 1,100 University of Connecticut, General 2/13 at 100.00 AAA 1,209,659 Obligation Bonds, Series 2003A, 5.125%, 2/15/21 - MBIA Insured 17 Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued) Portfolio of INVESTMENTS May 31, 2003 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 15.7% $ 2,000 Connecticut Health and Educational 7/09 at 101.00 Aaa $ 2,083,640 Facilities Authority Revenue Bonds, Stamford Hospital Issue, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,000 Connecticut Health and Educational 7/07 at 102.00 AAA 1,123,230 Facilities Authority, Revenue Bonds, William W. Backus Hospital Issue, Series 1997D, 5.750%, 7/01/27 - AMBAC Insured 3,000 Connecticut Health and Educational Facilities 7/07 at 101.00 Aaa 3,104,970 Authority, Revenue Bonds, Middlesex Health Services Issue, Series 1997H Refunding, 5.125%, 7/01/27 - MBIA Insured 2,000 Connecticut Health and Educational Facilities 7/10 at 101.00 AA 2,242,240 Authority Revenue Bonds, Eastern Connecticut Health Network Issue, Series 2000A, 6.000%, 7/01/25 - RAAI Insured 500 Connecticut Health and Educational 7/12 at 101.00 AA 556,295 Facilities Authority, Revenue Bonds, Bristol Hospital Issue, 2002 Series B, 5.500%, 7/01/21 - RAAI Insured 2,000 Connecticut Development Authority, Solid 7/05 at 102.00 AAA 2,227,160 Waste Disposal Facilities Revenue Bonds, Pfizer Inc. Project, 1994 Series, 7.000%, 7/01/25 (Alternative Minimum Tax) 1,500 Puerto Rico Industrial, Tourist, Educational, Medical, 8/05 at 101.50 AAA 1,654,935 and Environmental Control Facilities Financing Authority, Hospital Revenue Refunding Bonds, FHA-Insured Mortgage, Dr. Pila Hospital Project, 1995 Series A, 6.125%, 8/01/25 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 6.1% 1,000 Connecticut Housing Finance Authority, 12/09 at 100.00 AAA 1,072,100 Housing Mortgage Finance Program Bonds, 1999 Series D2, 6.200%, 11/15/41 (Alternative Minimum Tax) 1,000 Waterbury, Connecticut, Housing Authority, 7/03 at 100.00 AAA 1,000,750 Mortgage Refunding Revenue Bonds, Series 1998C, FHA-Insured Mortgage Loan, Waterbury NSA - II Section 8 Assisted Project, 5.450%, 7/01/23 - AMBAC Insured 835 Waterbury Nonprofit Housing Corporation, 7/03 at 100.00 AAA 836,420 Connecticut, Mortgage Revenue Bonds, FHA-Insured Mortgage Loan - Fairmont Heights Section 8 Assisted Project, Series 1993A, 6.500%, 7/01/07 - MBIA Insured 1,905 Willimantic, Connecticut, Housing Authority, 10/05 at 105.00 AAA 2,086,032 Multifamily Housing Revenue Bonds, Series 1995A, GNMA Collateralized Mortgage Loan - Village Heights Apartments Project, 8.000%, 10/20/30 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 7.7% 3,175 Connecticut Housing Finance Authority, 11/03 at 102.00 AAA 3,244,882 Housing Mortgage Finance Program Bonds, 1993 Series B, 6.200%, 5/15/12 120 Connecticut Housing Finance Authority, 5/10 at 100.00 AAA 130,298 Housing Mortgage Finance Program Bonds, 2000 Series A, Subseries A-1, 6.000%, 11/15/28 500 Connecticut Housing Finance Authority, Housing 5/10 at 100.00 AAA 521,120 Mortgage Finance Program Bonds, 2001 Series A-1, 5.250%, 11/15/28 350 Connecticut Housing Finance Authority, Housing 5/10 at 100.00 AAA 366,009 Mortgage Finance Program Bonds, 2001 Series A, Subseries A-2, 5.450%, 5/15/32 (Alternative ) Minimum Tax 1,000 Connecticut Housing Finance Authority, 11/10 at 100.00 AAA 1,040,680 Housing Mortgage Finance Program Bonds, 2001 Series C, 5.300%, 11/15/33 (Alternative Minimum Tax) 995 Connecticut Housing Finance Authority, Housing 5/12 at 100.00 AAA 1,041,377 Mortgage Finance Program Bonds, 2001 Series D, Subseries D-2, 5.350%, 11/15/32 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 6.9% 1,300 Connecticut Health and Educational Facilities 8/08 at 102.00 AAA 1,357,824 Authority, Revenue Bonds, Hebrew Home and Hospital Issue, Series 1999B, FHA-Insured Mortgage, 5.200%, 8/01/38 615 Connecticut Development Authority, First 9/09 at 102.00 AA 688,050 Mortgage Gross Revenue Health Care Project Refunding Bonds, Connecticut Baptist Homes, Inc. Project ,1999 Series, 5.500%, 9/01/15 - RAAI Insured Connecticut Development Authority, Revenue Refunding Bonds, Duncaster Inc. Project, Series 1999A: 1,000 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 AA 1,080,170 1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 1,075,120 Connecticut Development Authority, Health Facility Refunding Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc. Project, Series 1994A: 475 6.875%, 8/15/04 No Opt. Call N/R 476,154 1,000 7.000%, 8/15/09 8/04 at 102.00 N/R 1,006,960 18 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 24.9% $ 750 Bridgeport, Connecticut, General Obligation Bonds, Series 2002A 8/12 at 100.00 Aaa $ 843,188 Refunding, 5.375%, 8/15/19 - FGIC Insured Cheshire, Connecticut, General Obligation Bonds, Issue of 1999: 660 5.625%, 10/15/16 10/09 at 101.00 Aa3 768,207 660 5.625%, 10/15/17 10/09 at 101.00 Aa3 768,207 1,000 Connecticut, General Obligation Bonds, 11/09 at 101.00 AA 1,146,470 1999 Series B, 5.500%, 11/01/18 2,000 Connecticut, General Obligation Bonds, 6/12 at 100.00 AA 2,263,800 Series 2002B, 5.500%, 6/15/21 1,500 Connecticut, General Obligation Bonds, 4/12 at 100.00 AA 1,691,565 Series 2002A, 5.375%, 4/15/19 1,650 Connecticut, General Fund Obligation Bonds, 10/04 at 102.00 AA 1,793,022 Issued By Connecticut Development Authority, 1994 Series A, 6.375%, 10/15/14 1,000 Hartford, Connecticut, General Obligation 6/10 at 102.00 AAA 1,128,380 Bonds, 5.500%, 6/15/20 - FGIC Insured 400 Northern Mariana Islands, General Obligation 6/10 at 100.00 A 435,072 Bonds, Series 2000A, 6.000%, 6/01/20 - ACA Insured 500 Puerto Rico Public Improvement, Refunding General 7/11 at 100.00 AAA 532,050 Obligation Bonds, Series 2001, 5.125%, 7/01/30 - FSA Insured 1,500 Puerto Rico Public Improvement, Refunding No Opt. Call AAA 1,808,775 General Obligation Bonds, 2002 Series A, 5.500%, 7/01/20 - MBIA Insured Regional School District 16, Towns of Beacon Falls and Prospect, Connecticut, General Obligation Bonds, Issue of 2000: 350 5.500%, 3/15/18 - FSA Insured 3/10 at 101.00 Aaa 399,774 350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 402,325 350 Connecticut Regional School District 16, 3/10 at 101.00 Aaa 402,689 General Obligation Bonds, 5.700%, 3/15/20 - FSA Insured 2,105 Stratford, Connecticut, General Obligation 2/12 at 100.00 AAA 2,192,168 Bonds, Series 2002, 4.000%, 2/15/15 - FSA Insured 1,000 Waterbury, Connecticut, General Obligation 4/12 at 100.00 AAA 1,138,550 Bonds, Series 2002A, 5.375%, 4/01/17 - FSA Insured 965 Waterbury, Connecticut, General Obligation Tax 2/09 at 101.00 AA 1,095,960 Revenue Intercept Bonds, 2000 Issue, 6.000%, 2/01/19 - RAAI Insured 1,630 Westport, Connecticut, General Obligation 2/12 at 100.00 Aaa 1,739,047 Bonds, Series 2003, 4.750%, 2/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 15.8% 1,900 Capitol Region Education Council, 10/05 at 102.00 BBB 2,054,204 Connecticut, Bonds, Series 1995, 6.700%, 10/15/10 2,000 Connecticut Health and Educational 7/09 at 102.00 AAA 2,249,480 Facilities Authority, Revenue Bonds, Child Care Facilities Program, Series 1999C, 5.625%, 7/01/29 - AMBAC Insured Connecticut, Special Tax Obligation Bonds, Transportation Infrastructure Purpose, Series 2002B: 2,000 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,182,420 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,082,930 1,700 Connecticut, Special Tax Obligation Bonds, No Opt. Call AA- 2,117,639 Transportation Infrastructure Purposes, Series 1991B, 6.500%, 10/01/10 2,000 Puerto Rico Municipal Finance Agency, 2002 8/12 at 100.00 AAA 2,220,200 Series A, 5.250%, 8/01/21 - FSA Insured 1,000 Virgin Islands Public Finance Authority 10/10 at 101.00 BBB- 1,152,940 Revenue Bonds, Gross Receipts Taxes Loan Note, Series 1999A, 6.500%, 10/01/24 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 5.0% 750 Connecticut, General Airport Revenue Bonds, 4/11 at 101.00 AAA 776,348 Bradley International Airport, Series 2001A, 5.125%, 10/01/26 (Alternative Minimum Tax) - FGIC Insured 2,075 Connecticut, Airport Revenue Refunding 10/04 at 100.00 AAA 2,243,407 Bonds, Bradley International Airport, Series 1992, 7.650%, 10/01/12 - FGIC Insured 1,000 Hartford, Connecticut, Parking System 7/10 at 100.00 BBB 1,091,710 Revenue Bonds, 2000 Series A, 6.400%, 7/01/20 19 Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued) Portfolio of INVESTMENTS May 31, 2003 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 8.2% $ 1,500 Bridgeport, Connecticut, General 7/10 at 101.00 AAA $ 1,840,530 Obligation Bonds, 2000 Series A, 6.000%, 7/15/19 - FGIC Insured (Pre-refunded to 7/15/10) 1,180 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 1,325,624 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded to 7/01/10) 40 Connecticut, General Obligation Bonds, 1993 Series E, No Opt. Call AA*** 49,333 6.000%, 3/15/12 1,000 Connecticut, Special Tax Obligation Bonds, 12/09 at 101.00 AAA 1,204,950 Transportation Infrastructure Purposes, Series 1999A, 5.625%, 12/01/19 (Pre-refunded to 12/01/09) - FGIC Insured 1,000 Connecticut, Second Injury Fund Special 1/11 at 101.00 AAA 1,172,600 Assessment Revenue Bonds, Series 2000A, 5.250%, 1/01/14 (Pre-refunded to 1/01/11) - FSA Insured 1,000 Puerto Rico Infrastructure Financing 10/10 at 101.00 AAA 1,133,760 Authority, Special Obligation Bonds, 2000 Series A, 5.500%,10/01/40 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 9.7% 1,500 Connecticut Development Authority, Pollution 10/08 at 102.00 A3 1,598,745 Control Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 2,450 Connecticut Resources Recovery Authority, 11/03 at 101.00 AAA 2,545,526 Resource Recovery Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut Project, 1989 Series A, 7.700%, 11/15/11 - MBIA Insured 1,750 Connecticut Resources Recovery Authority, 12/11 at 102.00 Baa2 1,833,213 Corporate Credit Resource Recovery Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut, I Series 1998A, 5.500%, 11/15/15 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 395 5.500%, 1/01/14 (Alternative Minimum Tax) 7/03 at 102.00 BBB 398,018 1,590 5.500%, 1/01/20 (Alternative Minimum Tax) 7/03 at 102.00 BBB 1,589,396 - ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 9.8% 1,400 Connecticut Development Authority, Water 6/03 at 102.00 AAA 1,432,228 Facilities Refunding Revenue Bonds, Bridgeport Hydraulic Company Project, 1993B Series, 5.500%, 6/01/28 - MBIA Insured 2,500 Connecticut Development Authority, Water 9/06 at 102.00 AAA 2,827,850 Facilities Revenue Bonds, Bridgeport Hydraulic Company Project, 1996 Series, 6.000%, 9/01/36 (Alternative Minimum Tax) - AMBAC Insured 1,000 Connecticut, Clean Water Fund Revenue Bonds, 10/11 at 100.00 AAA 1,149,790 Series 2001, 5.500%, 10/01/20 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 1,093,760 1,525 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,617,899 - ------------------------------------------------------------------------------------------------------------------------------------ $ 109,110 Total Long-Term Investments (cost $109,704,467) - 143.7% 118,581,779 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.7% 2,210,275 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (46.4)% (38,300,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $82,492,054 ==================================================================================================================== (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares. * Optional Call Provisions (not covered by the report of independent auditors): 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. ** Ratings (not covered by the report of independent auditors): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. Such securities are normally considered to be equivalent to AAA rated securities. N/R Investment is not rated. See accompanying notes to financial statements. 20
Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) Portfolio of INVESTMENTS May 31, 2003
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 4.3% Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001A: $ 160 5.000%, 5/15/22 5/11 at 100.00 Baa2 $ 157,589 500 5.400%, 5/15/31 5/11 at 100.00 Baa2 442,060 1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa2 1,086,333 Asset-Backed Bonds, 2001 Series B, 5.500%, 5/15/41 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 28.4% 740 Connecticut Higher Educational Supplemental 11/11 at 100.00 Aaa 796,188 Loan Authority, Revenue Bonds, Family Education Loan Program, 2001 Series A, 5.250%, 11/15/18 (Alternative Minimum Tax) - MBIA Insured 50 Connecticut Health and Educational Facilities 7/08 at 101.00 AA 51,748 Authority Revenue Bonds, Sacred Heart University Issue, Series E, 5.000%, 7/01/28 - RAAI Insured 500 Connecticut Health and Educational 7/06 at 102.00 BBB- 522,695 Facilities Authority, Revenue Bonds, University of New Haven Issue, Series D, 6.700%, 7/01/26 1,500 Connecticut Health and Educational 7/11 at 101.00 AAA 1,588,515 Facilities Authority, Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 - AMBAC Insured 1,000 Connecticut Health and Educational 7/11 at 101.00 A2 1,108,890 Facilities Authority, Revenue Bonds, The Loomis Chaffee School, Series D, 5.500%, 7/01/23 625 Connecticut Health and Educational Facilities 3/11 at 101.00 AAA 659,625 Authority, Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 1,000 Connecticut Health and Educational 7/12 at 101.00 AA 1,072,510 Facilities Authority, Revenue Bonds, University of Hartford Issue, 2002 Series E, 5.250%, 7/01/32 - RAAI Insured 1,000 Connecticut Health and Educational 7/09 at 100.00 AAA 1,051,820 Facilities Authority, Revenue Bonds, Yale University Issue, 2002 Series W, 5.125%, 7/01/27 750 Connecticut Health and Educational Facilities 7/13 at 100.00 AAA 792,128 Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 Puerto Rico Industrial, Tourist, Educational, Medical, and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System Project, Series 1999: 125 5.375%, 2/01/19 2/09 at 101.00 BBB 131,929 270 5.375%, 2/01/29 2/09 at 101.00 BBB 278,532 University of Connecticut, General Obligation Bonds, 2001 Series A: 1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,054,930 1,000 5.250%, 4/01/20 4/11 at 101.00 AA 1,107,380 1,000 4.750%, 4/01/21 4/11 at 101.00 AA 1,047,350 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 3.1% 125 Connecticut Health and Educational Facilities 7/09 at 101.00 Aaa 130,228 Authority Revenue Bonds, Stamford Hospital Issue, Series G, 5.000%, 7/01/24 - MBIA Insured 1,000 Connecticut Health and Educational Facilities 7/12 at 101.00 AA 1,089,520 Authority, Revenue Bonds, Bristol Hospital Issue, 2002 Series B, 5.500%, 7/01/32 - RAAI Insured - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 5.1% 2,000 Housing Authority of Stamford, Connecticut, No Opt. Call BBB+ 2,005,760 Multifamily Housing Revenue Refunding Bonds, Fairfield Apartments Project, Series 1998, 4.750%, 12/01/28 (Alternative Minimum Tax) (Mandatory put 12/01/08) 21 Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) (continued) Portfolio of INVESTMENTS May 31, 2003 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 7.8% $ 1,265 Connecticut Housing Finance Authority, Housing Mortgage 5/10 at 100.00 AAA $ 1,318,434 Finance Program Bonds, 2001 Series A-1, 5.250%, 11/15/28 700 Connecticut Housing Finance Authority, Housing Mortgage 5/10 at 100.00 AAA 732,018 Finance Program Bonds, 2001 Series A, Subseries A-2, 5.450%, 5/15/32 (Alternative Minimum Tax) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,040,680 Finance Program Bonds, 2001 Series C, 5.300%, 11/15/33 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 1.9% 250 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 261,123 Revenue Bonds, Health Care, Elim Park Baptist Inc Project, Series 2003, 5.750%, 12/01/23 500 Connecticut Development Authority, Health Facility Revenue 8/04 at 102.00 N/R 477,610 Refunding Bonds, Alzheimer's Resource Center of Connecticut, Inc. Project, Series 1994A, 7.250%, 8/15/21 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 32.8% 750 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA 848,925 5.500%, 6/15/21 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,127,710 5.375%, 4/15/19 500 East Lyme, Connecticut, General Obligation Bonds, 7/11 at 102.00 Aaa 554,285 5.125%, 7/15/20 - FGIC Insured 700 Farmington, Connecticut, General Obligation 3/11 at 101.00 Aa1 751,695 Bonds, Series 2001, 4.875%, 3/15/20 Hamden, Connecticut, General Obligation Bonds: 640 5.250%, 8/15/18 - MBIA Insured 8/11 at 102.00 AAA 727,174 635 5.000%, 8/15/19 - MBIA Insured 8/11 at 102.00 AAA 703,059 300 5.000%, 8/15/20 - MBIA Insured 8/11 at 102.00 AAA 329,682 1,000 Hartford, Connecticut, General Obligation 1/08 at 102.00 AAA 1,071,430 Bonds, Series 1998, 4.700%, 1/15/15 - FGIC Insured 375 New Haven, Connecticut, General Obligation 2/08 at 101.00 AAA 396,754 Bonds, Series 1999, 4.700%, 2/01/15 - FGIC Insured 1,000 New Haven, Connecticut, General Obligation 11/10 at 101.00 AAA 1,084,820 Bonds, Series 2001A, 5.000%, 11/01/20 - FGIC Insured 250 Northern Mariana Islands, General Obligation 6/10 at 100.00 A 271,920 Bonds, Series 2000A, 6.000%, 6/01/20 - ACA Insured Norwich, Connecticut, General Obligation Bonds, Series 2001A: 585 5.000%, 4/01/15 - FGIC Insured 4/09 at 100.00 Aaa 653,229 575 5.000%, 4/01/17 - FGIC Insured 4/09 at 100.00 Aaa 637,554 475 5.000%, 4/01/18 - FGIC Insured 4/09 at 100.00 Aaa 524,343 575 5.000%, 4/01/19 - FGIC Insured 4/09 at 100.00 Aaa 630,511 275 5.000%, 4/01/20 - FGIC Insured 4/09 at 100.00 Aaa 299,560 1,000 Waterbury, Connecticut, General Obligation 4/12 at 100.00 AAA 1,138,550 Bonds, Series 2002A, 5.375%, 4/01/17 - FSA Insured Windsor, Connecticut, General Obligation Bonds: 390 5.000%, 7/15/18 7/09 at 100.00 Aa2 431,106 390 5.000%, 7/15/19 7/09 at 100.00 Aa2 428,162 370 5.000%, 7/15/20 7/09 at 100.00 Aa2 403,455 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 15.2% 1,000 Connecticut Health and Educational Facilities 7/08 at 105.00 A 1,111,510 Authority, Revenue Bonds, New Opportunities for Waterbury, Inc. Issue, Series 1998A, 6.750%, 7/01/28 1,475 Connecticut, Special Tax Obligation Bonds, No Opt. Call AAA 1,782,051 Transportation Infrastructure Purposes, 1998 Series B, 5.500%, 11/01/12 - FSA Insured Connecticut, Certificates of Participation, Juvenile Training School, Series 2001: 600 5.000%, 12/15/20 12/11 at 101.00 AA- 649,356 1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 1,053,230 500 Virgin Islands Public Finance Authority Revenue 10/08 at 101.00 AA 537,865 and Refunding Bonds, Virgin Islands Matching Fund Loan Notes, Series 1998A, Senior Lien/Refunding, 5.500%, 10/01/18 - RAAI Insured 750 Virgin Islands Public Finance Authority 10/10 at 101.00 BBB- 871,740 Revenue Bonds, Virgin Islands Gross Receipts Taxes Loan Note, Series 1999A, 6.375%, 10/01/19 22 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.5% $ 2,500 Connecticut, General Airport Revenue Bonds, 4/11 at 101.00 AAA $ 2,587,825 Series 2001A, Bradley International Airport, 5.125%, 10/01/26 (Alternative Minimum Tax) - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 9.4% 570 Puerto Rico, The Children's Trust Fund, 7/10 at 100.00 AAA 640,344 Tobacco Settlement Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded to 7/01/10) Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, 2000 Series A: 1,425 5.500%, 10/01/32 10/10 at 101.00 AAA 1,614,710 1,300 5.500%, 10/01/40 10/10 at 101.00 AAA 1,473,888 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 16.7% 1,500 Connecticut Development Authority, Pollution 10/08 at 102.00 A3 1,598,745 Control Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 1,000 Connecticut Resources Recovery Authority, 12/11 at 102.00 Baa2 1,047,550 Corporate Credit Resource Recovery Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut, I Series A, 5.500%, 11/15/15 (Alternative Minimum Tax) 1,000 Eastern Connecticut Resource Recovery 7/03 at 102.00 BBB 1,007,640 Authority, 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 7/10 at 101.00 AAA 2,155,436 Revenue Bonds, Series 2000HH, 5.250%, 7/01/29 - FSA Insured 790 Puerto Rico Electric Power Authority, Power 7/05 at 100.00 A- 827,083 Revenue Refunding Bonds, Series 1995Z, 5.250%, 7/01/21 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 9.8% 2,000 Connecticut, Clean Water Fund Revenue Bonds, 10/11 at 100.00 AAA 2,299,580 Series 2001, 5.500%, 10/01/20 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 820,320 720 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 763,859 - ------------------------------------------------------------------------------------------------------------------------------------ $ 51,970 Total Long-Term Investments (cost $52,266,608) - 141.0% 55,862,251 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 8.2% 3,262,391 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.2)% (19,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $39,624,642 ==================================================================================================================== (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares. * Optional Call Provisions (not covered by the report of independent auditors): 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. ** Ratings (not covered by the report of independent auditors): Using the higher of Standard & Poor's or Moody's rating. N/R Investment is not rated. See accompanying notes to financial statements. 23
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) Portfolio of INVESTMENTS May 31, 2003
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 2.0% $ 835 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 A- $ 733,013 Asset-Backed Bonds, Series 2002 Refunding, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 36.4% 500 Connecticut Health and Educational Facilities 7/06 at 102.00 BBB- 522,695 Authority, Revenue Bonds, University of New Haven Issue, Series 1996D, 6.700%, 7/01/26 500 Connecticut Health and Educational Facilities 7/08 at 101.00 AAA 534,980 Authority, Revenue Bonds, Hopkins School Issue, Series 1998A, 5.000%, 7/01/20 - AMBAC Insured 2,000 Connecticut Health and Educational Facilities 7/11 at 101.00 A2 2,140,800 Authority, Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.250%, 7/01/31 1,000 Connecticut Health and Educational Facilities 3/11 at 101.00 AAA 1,055,400 Authority, Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 1,000 Connecticut Health and Educational Facilities 7/12 at 101.00 AA 1,072,510 Authority, Revenue Bonds, University of Hartford Issue, 2002 Series E, 5.250%, 7/01/32 - RAAI Insured 2,250 Connecticut Health and Educational Facilities 11/11 at 100.00 AAA 2,396,003 Authority, Revenue Bonds, Connecticut State University System, 2002 Series D-2, 5.000%, 11/01/21 - FSA Insured 1,000 Connecticut Health and Educational Facilities 7/09 at 100.00 AAA 1,051,820 Authority, Revenue Bonds, Yale University Issue, 2002 Series W, 5.125%, 7/01/27 750 Connecticut Health and Educational Facilities 7/13 at 100.00 AAA 792,128 Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A: 500 5.250%, 11/15/22 - FGIC Insured 11/12 at 101.00 AAA 555,795 2,000 5.000%, 11/15/29 - FGIC Insured 11/12 at 101.00 AAA 2,128,160 1,230 University of Connecticut, General 4/12 at 100.00 AA 1,390,454 Obligation Bonds, Series 2002A, 5.375%, 4/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 2.8% 1,000 Connecticut Health and Educational 7/12 at 101.00 AA 1,060,540 Facilities Authority, Revenue Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 - RAAI Insured - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 8.5% 1,000 Connecticut Housing Finance Authority, 11/11 at 100.00 AAA 1,060,350 Housing Mortgage Finance Program Bonds, 2002 Series A, Subseries A-1, 5.450%, 11/15/28 - AMBAC Insured 1,000 Connecticut Housing Finance Authority, 11/11 at 100.00 AAA 1,065,210 Housing Mortgage Finance Program Bonds, 2002 Series A, Subseries A-2, 5.600%, 11/15/28 (Alternative Minimum Tax) - AMBAC Insured 995 Connecticut Housing Finance Authority, Housing 5/12 at 100.00 AAA 1,041,377 Mortgage Finance Program Bonds, 2001 Series D, Subseries D-2, 5.350%, 11/15/32 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.2% 450 Connecticut Health and Educational Facilities 7/12 at 101.00 AAA 492,710 Authority, Revenue Bonds, Village for Families and Children Inc. Issue, Series A, 5.000%, 7/01/19 - AMBAC Insured 320 Connecticut Development Authority, First 12/11 at 102.00 BBB+ 334,237 Mortgage Gross Revenue Bonds, Health Care, Elim Park Baptist Inc. Project, Series 2003, 5.750%, 12/01/23 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 47.2% 1,000 Bridgeport, Connecticut, General Obligation 8/11 at 100.00 AAA 1,131,340 Bonds, Series 2001C, 5.375%, 8/15/18 - FGIC Insured 2,000 Connecticut, General Obligation Bonds, Series 2001C, No Opt. Call AA 2,405,920 5.500%, 12/15/12 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,127,710 5.375%, 4/15/19 24 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) $ 2,105 Fairfield, Connecticut, General Obligation 4/12 at 100.00 AAA $ 2,360,968 Bonds, Series 2002A, 5.000%, 4/01/16 Farmington, Connecticut, General Obligation Bonds, Series 2002: 1,000 5.000%, 9/15/20 9/12 at 101.00 Aa1 1,100,610 1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,583,966 1,305 Hartford County Metropolitan District, 4/12 at 101.00 AA+ 1,414,007 Connecticut, General Obligation Bonds, Series 2002, 5.000%, 4/01/22 Regional School District No. 008, Towns of Andover, Hebron, and Marlborough, Tolland County, Connecticut, General Obligation Bonds, Series 2002: 1,390 5.000%, 5/01/20 - FSA Insured 5/11 at 101.00 Aaa 1,513,919 1,535 5.000%, 5/01/22 - FSA Insured 5/11 at 101.00 Aaa 1,653,272 2,105 Stamford, Connecticut, General Obligation Bonds, 8/12 at 100.00 AAA 2,370,146 Series 2002, 5.000%, 8/15/16 Waterbury, Connecticut, General Obligation Bonds, Series 2002A: 500 5.375%, 4/01/17 - FSA Insured 4/12 at 100.00 AAA 569,275 400 5.000%, 4/01/20 - FSA Insured 4/12 at 100.00 AAA 431,516 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 6.4% 1,625 Connecticut, Special Tax Obligation Bonds, Transportation 7/12 at 100.00 AAA 1,830,026 Infrastructure Purposes, 2002 Series A, 5.375%, 7/01/20 - FSA Insured 500 Connecticut, Special Tax Obligation Bonds, Transportation 10/11 at 100.00 AAA 582,975 Infrastructure Purposes, 2001 Series B, 5.375%, 10/01/13 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.3% 1,950 New Haven, Connecticut, Air Rights Parking Facility Revenue 12/12 at 101.00 AAA 2,349,555 Bonds, Series 2002 Refunding, 5.375%, 12/01/15 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 17.0% 500 Connecticut, Special Tax Obligation Bonds, Transportation 11/07 at 101.00 AAA 570,180 Infrastructure Purposes, 1997 Series A, 5.000%, 11/01/15 (Pre-refunded to 11/01/07) - FSA Insured East Hartford, Connecticut, General Obligation Bonds, Series 2002: 750 4.875%, 5/01/20 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 791,858 750 5.000%, 5/01/21 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 812,160 750 5.000%, 5/01/22 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 796,552 Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, 2000 Series A: 1,000 5.500%, 10/01/32 10/10 at 101.00 AAA 1,133,130 2,000 5.500%, 10/01/40 10/10 at 101.00 AAA 2,267,520 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 12.0% 750 Connecticut Development Authority, Pollution 10/08 at 102.00 A3 799,373 Control Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 1,000 Connecticut Resources Recovery Authority, Corporate Credit 12/11 at 102.00 Baa2 1,047,550 Resource Recovery Revenue Bonds, America Ref-Fuel Company of Southeastern Connecticut Project, II Series 1998A, 5.500%, 11/15/15 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 500 5.500%, 1/01/15 (Alternative Minimum Tax) 1/05 at 100.00 BBB 501,930 510 5.500%, 1/01/20 (Alternative Minimum Tax) 7/03 at 102.00 BBB 509,806 1,500 Puerto Rico Electric Power Authority, Power 7/10 at 101.00 AAA 1,637,040 Revenue Bonds, Series 2000HH, 5.250%, 7/01/29 - FSA Insured 25 Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) (continued) Portfolio of INVESTMENTS May 31, 2003 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 4.1% 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 $ 820,320 660 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 700,203 - ------------------------------------------------------------------------------------------------------------------------------------ $ 49,615 Total Long-Term Investments (cost $49,880,727) - 144.9% 54,241,009 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.8% 700,209 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (46.7)% (17,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $37,441,218 ==================================================================================================================== (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares. * Optional Call Provisions (not covered by the report of independent auditors): 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. ** Ratings (not covered by the report of independent auditors): Using the higher of Standard & Poor's or Moody's rating. See accompanying notes to financial statements. 26
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) Portfolio of INVESTMENTS May 31, 2003
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.6% $ 2,670 Puerto Rico, The Children's Trust Fund, 5/12 at 100.00 A- $ 2,343,886 Tobacco Settlement Asset-Backed Bonds, Series 2002 Refunding, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 19.0% 1,390 Connecticut, Health and Educational 11/12 at 100.00 AAA 1,365,884 Facilities Authority, Revenue Bonds, Connecticut State University System, Series 2003E, 4.250%, 11/01/27 - FGIC Insured 3,100 Connecticut Health and Educational 7/11 at 101.00 AAA 3,358,261 Facilities Authority, Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21 - AMBAC Insured 1,595 Connecticut Health and Educational 11/11 at 100.00 AAA 1,698,500 Facilities Authority, Revenue Bonds, Connecticut State University System, 2002 Series D-2, 5.000%, 11/01/21 - FSA Insured 1,500 Connecticut Health and Educational Facilities 7/09 at 100.00 AAA 1,577,730 Authority, Revenue Bonds, Yale University Issue, 2002 Series W, 5.125%, 7/01/27 2,250 Connecticut Health and Educational Facilities 7/13 at 100.00 AAA 2,376,383 Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 500 University of Connecticut, Student Fee Revenue 11/12 at 101.00 AAA 555,795 Refunding Bonds, Series 2002A, 5.250%, 11/15/22 - FGIC Insured 1,350 University of Connecticut, General Obligation 2/13 at 100.00 AAA 1,497,137 Bonds, Series 2003A, 5.125%, 2/15/20 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 0.9% 500 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 556,295 Revenue Bonds, Bristol Hospital Issue, 2002 Series B, 5.500%, 7/01/21 - RAAI Insured - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 6.2% 890 Connecticut Housing Finance Authority, Housing Mortgage 5/08 at 101.50 AAA 936,182 Finance Program Bonds, 1997 Series D, Subseries D-2, 5.450%, 11/15/24 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/12 at 100.00 AAA 1,041,590 Finance Program Bonds, 2002 Series F, Subseries F-3, 5.250%, 5/15/33 (Alternative Minimum Tax) 2,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 2,090,320 Finance Program Bonds, 2001 Series D, Subseries D-2, 5.150%, 11/15/22 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 12.0% Connecticut Housing Finance Authority, Special Needs Housing Mortgage Finance Program Special Obligation Bonds, Series SNH-1: 1,000 5.000%, 6/15/22 - AMBAC Insured 6/12 at 101.00 AAA 1,074,200 1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 AAA 1,580,025 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc. Issue, Series A: 430 5.000%, 7/01/18 - AMBAC Insured 7/12 at 101.00 AAA 474,294 475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 AAA 516,648 260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 AAA 278,164 1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 AAA 1,053,830 500 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 522,245 Revenue Bonds, Health Care, Elim Park Baptist Inc. Project, Series 2003, 5.750%, 12/01/23 Connecticut Development Authority, Revenue Bonds, Duncaster Inc. Project, Series 2002: 650 5.125%, 8/01/22 - RAAI Insured 8/12 at 101.00 AA 690,827 1,665 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 AA 1,674,224 27 Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) (continued) Portfolio of INVESTMENTS May 31, 2003 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 42.5% Bethel, Connecticut, General Obligation Bonds, Series 2002: $ 525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aaa $ 579,070 525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aaa 575,568 525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aaa 571,657 525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aaa 567,347 525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aaa 564,359 3,510 Bridgeport, Connecticut, General Obligation Bonds, 8/11 at 100.00 AAA 3,971,003 Series 2001C, 5.375%, 8/15/18 - FGIC Insured 2,500 Connecticut, General Obligation Bonds, Series 2002D, 11/12 at 100.00 AA 2,800,850 5.375%, 11/15/21 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,075,980 5.000%, 4/15/21 450 Farmington, Connecticut, General Obligation Bonds, 9/12 at 101.00 Aa1 495,275 Series 2002, 5.000%, 9/15/20 New Canaan, Connecticut, General Obligation Bonds, Series 2002, Lot A: 950 4.240%, 5/01/18 5/11 at 100.00 Aaa 979,963 950 4.500%, 5/01/19 5/11 at 100.00 Aaa 990,128 900 4.600%, 5/01/20 5/11 at 100.00 Aaa 938,493 500 4.700%, 5/01/21 5/11 at 100.00 Aaa 521,505 755 4.750%, 5/01/22 5/11 at 100.00 Aaa 786,582 1,445 New Haven, Connecticut, General Obligation Bonds, 11/11 at 101.00 AAA 1,645,017 Series 2002A, 5.250%, 11/01/17 - AMBAC Insured 2,250 Puerto Rico Public Improvement, Refunding Series of 2001, 7/11 at 100.00 AAA 2,394,225 General Obligation Bonds, 5.125%, 7/01/30 - FSA Insured Southbury, Connecticut, General Obligation Bonds, Series 2002: 500 4.250%, 12/15/14 12/11 at 101.00 Aa3 537,165 500 4.375%, 12/15/15 12/11 at 101.00 Aa3 535,850 500 4.500%, 12/15/16 12/11 at 101.00 Aa3 530,015 500 4.625%, 12/15/17 12/11 at 101.00 Aa3 530,870 500 4.625%, 12/15/18 12/11 at 101.00 Aa3 531,720 500 4.875%, 12/15/19 12/11 at 101.00 Aa3 527,625 500 4.875%, 12/15/20 12/11 at 101.00 Aa3 534,615 500 5.000%, 12/15/21 12/11 at 101.00 Aa3 530,540 500 5.000%, 12/15/22 12/11 at 101.00 Aa3 538,710 Stratford, Connecticut, General Obligation Bonds, Series 2002: 1,445 4.000%, 2/15/18 - FSA Insured 2/12 at 100.00 AAA 1,466,733 1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,385,505 630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 636,407 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 27.7% Connecticut, Special Tax Obligation Bonds, Transportation Infrastructure Purpose, 2002 Series B: 2,810 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 3,066,300 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,082,930 1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AAA 1,077,180 3,500 Puerto Rico Infrastructure Financing Authority, Special Tax 1/08 at 101.00 AAA 3,643,745 Revenue Bonds, Series 1997A, 5.000%, 7/01/28 - AMBAC Insured 1,000 Puerto Rico Public Buildings Authority, Guaranteed 7/07 at 101.50 AAA 1,042,950 Government Facilities Revenue Bonds, Series 1997B, 5.000%, 7/01/27 - AMBAC Insured Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G: 890 5.250%, 7/01/17 7/12 at 100.00 A- 977,220 1,000 5.250%, 7/01/20 7/12 at 100.00 A- 1,076,640 1,045 5.250%, 7/01/21 7/12 at 100.00 A- 1,117,763 3,010 Puerto Rico Public Finance Corporation, 1998 Series A Bonds, No Opt. Call AAA 3,453,162 Commonwealth Appropriation Bonds, 5.125%, 6/01/24 - AMBAC Insured 765 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 BBB+ 815,689 Appropriation Bonds, 2002 Series E, 5.500%, 8/01/29 750 Virgin Islands Public Finance Authority, Revenue and Refunding 10/08 at 101.00 BBB- 772,042 Bonds, Virgin Islands Matching Fund Loan Notes, Series 1998A, Senior Lien/Refunding, 5.500%, 10/01/22 28 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 12.8% $ 400 Connecticut, Special Tax Obligation Bonds, Transportation 10/11 at 100.00 AAA $ 458,136 Infrastructure Purposes, 2001 Series A, 4.800%, 10/01/18 (Pre-refunded to 10/01/11) - FSA Insured 2,910 Puerto Rico Public Improvement Refunding Bonds, 7/08 at 101.00 AAA 3,355,667 Series 1998B, General Obligation Bonds, 5.000%, 7/01/24 (Pre-refunded to 7/01/08) - MBIA Insured 4,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 4,535,040 Obligation Bonds, 2000 Series A, 5.500%, 10/01/40 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 12.6% 720 Connecticut Development Authority, Pollution Control 10/08 at 102.00 A3 767,398 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 2,000 Connecticut Resources Recovery Authority, Corporate Credit 12/11 at 102.00 Baa2 2,095,100 Resource Recovery Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut, I Series 1998A, 5.500%, 11/15/15 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 1,000 5.500%, 1/01/14 (Alternative Minimum Tax) 7/03 at 102.00 BBB 1,007,640 1,005 5.500%, 1/01/20 (Alternative Minimum Tax) 7/03 at 102.00 BBB 1,004,618 3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,328,648 Series 2000HH, 5.250%, 7/01/29 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 6.5% 765 Connecticut Development Authority, Water Facilities Revenue 9/06 at 102.00 A 813,784 Bonds, Bridgeport Hydraulic Company Project ,1996 Series, 6.000%, 9/01/36 (Alternative Minimum Tax) 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 2,242,208 1,140 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,209,446 - ------------------------------------------------------------------------------------------------------------------------------------ $ 87,820 Total Long-Term Investments (cost $89,654,621) - 143.8% 93,948,503 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 5.2% 3,375,426 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.0)% (32,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $65,323,929 ==================================================================================================================== (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares. * Optional Call Provisions (not covered by the report of independent auditors): 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. ** Ratings (not covered by the report of independent auditors): Using the higher of Standard & Poor's or Moody's rating. See accompanying notes to financial statements. 29
Nuveen Massachusetts Premium Income Municipal Fund (NMT) Portfolio of INVESTMENTS May 31, 2003
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 2.1% $ 1,500 Boston, Massachusetts, Industrial Development Financing 9/12 at 102.00 Baa3 $ 1,500,165 Authority, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 29.1% 475 Massachusetts Educational Financing Authority, Education 7/04 at 102.00 AAA 494,489 Loan Revenue Bonds, Issue E, Series 1995, 6.150%, 7/01/10 (Alternative Minimum Tax) - AMBAC Insured 1,730 Massachusetts Educational Financing Authority, Education 1/12 at 100.00 AAA 1,904,125 Loan Revenue Bonds, 2002 Series E, 5.000%, 1/01/13 (Alternative Minimum Tax) - AMBAC Insured 2,090 Massachusetts Development Finance Authority, Revenue No Opt. Call A3 2,444,380 Bonds, Series 1999P, Boston University Refunding, 6.000%, 5/15/29 1,000 Massachusetts Development Finance Authority, Revenue 7/13 at 101.00 BBB 1,010,150 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 890 Massachusetts Development Finance Agency, Revenue Bonds, 3/09 at 101.00 A 962,642 Curry College Issue, Series A, 6.000%, 3/01/20 - ACA Insured 500 Massachusetts Development Finance Authority, Revenue 9/11 at 101.00 A 540,315 Bonds, Belmont Hills School, Series 2001, 5.375%, 9/01/23 1,500 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 AAA 1,613,325 Revenue Bonds, UMASS - Worcester Campus, Series 2001B, 5.250%, 10/01/31 - FGIC Insured 555 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 600,432 Revenue Bonds, Williams College, Series 2003H, 5.000%, 7/01/21 Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College, Series 2003H: 500 5.000%, 7/01/26 7/13 at 100.00 AA+ 533,655 1,000 5.000%, 7/01/33 7/13 at 100.00 AA+ 1,060,540 2,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 7/03 at 102.00 Aa1 2,691,578 Whitehead Institute for Biomedical Research - 1993 Issue, 5.125%, 7/01/26 2,300 Massachusetts Industrial Finance Agency, Revenue Bonds, 9/08 at 101.00 A 2,364,722 Belmont Hill School Issue, Series 1998, 5.250%, 9/01/28 4,000 New England Education Loan Marketing Corporation, No Opt. Call A3 4,644,720 Massachusetts, Student Loan Revenue Bonds, Series 1992, Subordinate Issue H, 6.900%, 11/01/09 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 21.0% 3,000 Massachusetts Health and Educational Facilities Authority, 7/04 at 102.00 AAA 3,158,190 Revenue Bonds, New England Medical Center Hospitals Issue, Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured 3,000 Massachusetts Health and Educational Facilities Authority, 7/03 at 102.00 AAA 3,069,060 Revenue Bonds, Lahey Clinic Medical Center Issue, Series 1993B, 5.625%, 7/01/15 - MBIA Insured 600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 660,882 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.375%, 5/15/19 - FGIC Insured 2,500 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA- 2,694,575 Revenue Bonds, Partners Health Care System Issue, Series 2001C, 5.750%, 7/01/32 1,395 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 1,440,714 Revenue Bonds, Caregroup Issue, Series A, 5.000%, 7/01/25 - MBIA Insured 1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 AA 1,035,390 Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 - RAAI Insured 30 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE (continued) $ 2,000 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ $ 2,109,700 Revenue Bonds, Berkshire Health System Issue, Series 2001E, 6.250%, 10/01/31 1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 964,140 Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 15.8% 2,500 Massachusetts Development Finance Agency, Revenue Bonds 10/11 at 105.00 AAA 2,915,650 Series 2000A, GNMA Collateralized - VOA Concord Assisted Living, Inc. Project, 6.900%, 10/20/41 1,970 Massachusetts Development Finance Agency, Assisted Living 12/09 at 102.00 N/R 1,995,118 Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31 1,500 Massachusetts Development Finance Agency, Assisted Living 3/12 at 105.00 AAA 1,673,970 Facility Revenue Bonds, Arbors at Chicopee Project, GNMA Collateralized, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 195 Massachusetts Housing Finance Agency, Housing Project Revenue 10/03 at 102.00 A+ 199,163 Bonds, 1993 Series A Refunding, 6.300%, 10/01/13 1,460 Massachusetts Housing Finance Agency, Rental Housing 7/10 at 101.00 AAA 1,589,852 Mortgage Revenue Bonds, 1999 Series D, 5.500%, 7/01/13 (Alternative Minimum Tax) - AMBAC Insured 1,865 Massachusetts Housing Finance Agency, Rental Housing 1/05 at 102.00 AAA 1,960,134 Mortgage Revenue Bonds, 1995 Series A, FHA-Insured Mortgage Loans, 7.350%, 1/01/35 (Alternative Minimum Tax) - AMBAC Insured 1,000 Somerville Housing Authority, Massachusetts, Mortgage 5/12 at 103.00 AAA 1,071,800 Revenue Bonds, Clarendon Hill Towers Project, GNMA Collateralized, Series 2002 Refunding, 5.200%, 11/20/22 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 6.0% 1,270 Boston, Massachusetts, Revenue Bonds, Deutsches Altenheim, 10/08 at 105.00 AAA 1,404,963 Incorporated Project, FHA-Insured Mortgage, Series 1998A, 6.125%, 10/01/31 2,000 Massachusetts Industrial Finance Agency, Health Care 5/07 at 102.00 A-1 2,052,480 Facilities Revenue Bonds, Series 1997B, Jewish Geriatric Services Inc. Obligated Group, 5.500%, 5/15/27 805 Massachusetts Industrial Finance Agency, Revenue Bonds, 2/06 at 102.00 AAA 858,227 Heights Crossing Limited Partnership Issue, FHA-Insured Project, Series 1995, 6.000%, 2/01/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 22.0% 1,000 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 1,090,930 Series 2003, 5.000%, 2/01/21 - FSA Insured 2,500 Massachusetts Bay Transportation Authority, General No Opt. Call AAA 3,378,300 Transportation System Bonds, 1991 Series A, 7.000%, 3/01/21 4,275 Massachusetts, General Obligation Bonds, Consolidated Loan No Opt. Call AAA 5,334,815 of 2001 Series D, 6.000%, 11/01/13 - MBIA Insured 1,865 Massachusetts, General Obligation Bonds, Consolidated Loan 1/13 at 100.00 Aa2 1,983,950 of 2003 Series A, 5.000%, 1/01/22 980 Monson, Massachusetts, General Obligation Bonds, 5/12 at 101.00 Aaa 1,081,832 Series 2002, 5.250%, 5/15/22 - AMBAC Insured 1,000 Narragansett Regional School District, Massachusetts, 6/10 at 101.00 Aaa 1,229,840 General Obligation Bonds, Series 2000, 6.500%, 6/01/16 - AMBAC Insured 1,615 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 1,756,716 Series 2003, State Qualified, 5.250%, 1/15/23 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 2.5% 1,500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 1,815,885 Revenue Bonds, Series 2003AA, 5.500%, 7/01/19 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 13.8% 1,300 Massachusetts Development Finance Agency Revenue Bonds, 6/09 at 101.00 AA 1,482,195 Worcester Redevelopment Authority Issue, Series 1999, 6.000%, 6/01/24 - RAAI Insured 4,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 4,218,680 5.000%, 7/01/33 - MBIA Insured 4,000 Massachusetts Port Authority, Special Facilities Revenue 9/06 at 102.00 AAA 4,225,000 Bonds, US Air Project, Series 1996-A, 5.750%, 9/01/16 (Alternative Minimum Tax) - MBIA Insured 31 Nuveen Massachusetts Premium Income Municipal Fund (NMT) (continued) Portfolio of INVESTMENTS May 31, 2003 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 28.6% Barnstable, Massachusetts, General Obligation Bonds: $ 1,020 5.750%, 9/15/10 (Pre-refunded to 9/15/04) 9/04 at 102.00 AA+*** $ 1,101,590 1,020 5.750%, 9/15/11 (Pre-refunded to 9/15/04) 9/04 at 102.00 AA+*** 1,101,590 4,375 Lowell, Massachusetts, General Obligation State Qualified 11/03 at 102.00 AAA 4,546,413 Bonds, 5.600%, 11/01/12 - FSA Insured (Pre-refunded to 11/01/03) 1,250 Massachusetts, General Obligation Bonds, Consolidated Loan, 2/10 at 101.00 AAA 1,517,888 Series 2000A, 6.000%, 2/01/14 (Pre-refunded to 2/01/10) 2,500 Massachusetts Health and Educational Facilities Authority, No Opt. Call AAA 2,802,400 Revenue Bonds, Malden Hospital Issue, FHA-Insured Project, Series 1982A, 5.000%, 8/01/16 2,000 Massachusetts Health and Educational Facilities Authority, 7/06 at 100.00 Aaa 2,140,220 Revenue Bonds, Daughters of Charity National Health System - Carney Hospital, Series 1994D, 6.100%, 7/01/14 (Pre-refunded to 7/01/06) Massachusetts Health and Educational Facilities Authority, Revenue Refunding Bonds, Youville Hospital Issue, FHA-Insured Project, Series 1994B: 1,295 6.125%, 2/15/15 (Pre-refunded to 2/15/04) 2/04 at 102.00 Aa2*** 1,367,662 1,000 6.000%, 2/15/25 (Pre-refunded to 2/15/04) 2/04 at 102.00 Aa2*** 1,055,230 1,000 Massachusetts Health and Educational Facilities Authority, 2/07 at 102.00 Aa2*** 1,179,810 Revenue Refunding Bonds, Youville Hospital Issue, FHA-Insured Project, Series 1997A, 6.250%, 2/15/41 (Pre-refunded to 2/15/07) 410 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 459,307 Revenue Bonds, Caregroup Issue, Series A, 5.000%, 7/01/25 - MBIA Insured 1,000 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/03 at 100.00 AAA 1,575,110 13.000%, 7/01/13 1,500 Massachusetts Industrial Finance Agency, Revenue Bonds, 9/08 at 102.00 AAA 1,771,425 Phillips Academy Issue, Series 1993, 5.375%, 9/01/23 (Pre-refunded to 9/01/08) - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 4.8% 1,000 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA 1,137,870 Recovery Revenue Bonds, SEMASS System, Series 2001A, 5.625%, 1/01/16 - MBIA Insured 2,500 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 2,331,724 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ $ 95,650 Total Long-Term Investments (cost $96,908,287) - 145.7% 104,905,628 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.5% 1,096,963 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (47.2)% (34,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $72,002,591 ==================================================================================================================== (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares. * Optional Call Provisions (not covered by the report of independent auditors): 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. ** Ratings (not covered by the report of independent auditors): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. Such securities are normally considered to be equivalent to AAA rated securities. N/R Investment is not rated. See accompanying notes to financial statements. 32
Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) Portfolio of INVESTMENTS May 31, 2003
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 1.6% $ 500 Boston, Massachusetts, Industrial Development Financing 9/12 at 102.00 Baa3 $ 500,055 Authority, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 27.4% 1,500 Massachusetts Educational Financing Authority, Educational 7/10 at 100.00 AAA 1,597,890 Loan Revenue Bonds, Issue E, Series 2001, 5.300%, 1/01/16 (Alternative Minimum Tax) - AMBAC Insured 2,000 Massachusetts Development Finance Authority, Revenue 5/29 at 105.00 A3 2,331,880 Bonds, Series 1999P, Boston University Refunding, 6.000%, 5/15/59 1,000 Massachusetts Health and Educational Facilities Authority, 10/09 at 101.00 Aaa 1,049,170 Revenue Bonds, Brandeis University, Series 1999J, 5.000%, 10/01/26 - MBIA Insured 2,000 Massachusetts Health and Educational Facilities Authority, 2/11 at 100.00 AA- 2,176,840 Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36 1,250 University of Massachusetts Building Authority, Project 11/10 at 100.00 AAA 1,378,425 Revenue Bonds, Senior Series 2000-2, 5.250%, 11/01/20 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 15.7% 1,000 Massachusetts Health and Educational Facilities Authority, 7/09 at 101.00 AA- 1,053,370 Revenue Bonds, Partners Health Care System Issue, Series 1999B, 5.125%, 7/01/19 1,000 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA- 1,077,830 Revenue Bonds, Partners Health Care System Issue, Series 2001C, 5.750%, 7/01/32 1,250 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 1,311,213 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 375 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A- 400,241 Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 1,000 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 1,054,850 Revenue Bonds, Berkshire Health System Issue, Series 2001E, 6.250%, 10/01/31 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 11.3% 1,000 Massachusetts Development Finance Agency, Assisted Living 3/12 at 105.00 AAA 1,115,980 Facility Revenue Bonds, Arbors at Chicopee Project, GNMA Collateralized, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 1,250 Massachusetts Housing Finance Agency, Rental Housing 1/11 at 100.00 AAA 1,330,125 Mortgage Revenue Bonds, 2001 Series A, 5.850%, 7/01/35 (Alternative Minimum Tax) - AMBAC Insured 1,000 Somerville Housing Authority, Massachusetts, Mortgage Revenue 5/12 at 103.00 AAA 1,071,800 Bonds, Clarendon Hill Towers Project, GNMA Collateralized, Series 2002 Refunding, 5.200%, 11/20/22 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 9.3% 905 Massachusetts Housing Finance Agency, Single Family 12/04 at 102.00 AA 943,508 Housing Revenue Bonds, Series 1994-36, 6.600%,12/01/26 (Alternative Minimum Tax) 1,835 Massachusetts Housing Finance Agency, Single Family 6/10 at 100.00 AAA 1,937,301 Housing Revenue Bonds, Series 2001-82, 5.375%, 12/01/20 (Alternative Minimum Tax) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.2% 655 Massachusetts Development Finance Agency, First Mortgage 7/11 at 102.00 BBB- 680,820 Revenue Bonds, Edgecombe Project, Series 2001A, 6.750%, 7/01/21 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 26.2% 1,000 Boston, Massachusetts, General Obligation Bonds, 2/11 at 100.00 Aa2 1,084,050 Series 2001A, 5.000%, 2/01/20 2,000 Brookline, Massachusetts, General Obligation Bonds, 4/10 at 101.00 Aaa 2,290,360 Series 2000, 5.375%, 4/01/17 440 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 480,009 Series 2003, 5.000%, 2/01/21 - FSA Insured 33 Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) (continued) Portfolio of INVESTMENTS May 31, 2003 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) $ 1,675 Lawrence, Massachusetts, General Obligation Bonds, 2/11 at 100.00 Aaa $ 1,812,652 Series 2001, 5.000%, 2/01/21 - AMBAC Insured 1,020 Massachusetts Bay Transportation Authority, General 3/07 at 101.00 AAA 1,053,884 Transportation System Bonds, 1997 Series A, 5.000%, 3/01/27 - FGIC Insured 750 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call Aa2 895,380 2002 Series D, 5.500%, 8/01/19 500 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 543,875 Series 2003, State Qualified, 5.250%, 1/15/23 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 11.0% 1,000 Massachusetts Bay Transportation Authority, Assessment 7/10 at 100.00 AAA 1,073,820 Bonds, 2000 Series A, 5.250%, 7/01/30 1,000 Puerto Rico Municipal Finance Agency, 1999 Series A Bonds, 8/09 at 101.00 AAA 1,189,160 6.000%, 8/01/16 - FSA Insured 1,000 Virgin Islands Public Finance Authority, Revenue Bonds, 10/10 at 101.00 BBB- 1,162,320 Virgin Islands Gross Receipts Taxes Loan Note, Series 1999A, 6.375%, 10/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 10.2% 2,000 Massachusetts Port Authority, Revenue Bonds, 7/08 at 101.00 AAA 2,066,400 Series 1998-D, 5.000%, 7/01/28 - FGIC Insured 1,000 Massachusetts Port Authority, Special Facilities Revenue 7/07 at 102.00 AAA 1,100,190 Bonds, BOSFUEL Project, Series 1997, 5.500%, 7/01/18 (Alternative Minimum Tax) - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 12.4% 1,000 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 1,223,430 Asset-Backed Bonds, Series 2000, 6.000%, 7/01/26 (Pre-refunded to 7/01/10) 1,250 Massachusetts, General Obligation Bonds, Consolidated 10/10 at 100.00 AAA 1,510,000 Loan Series 2000C, 5.750%,10/01/19 (Pre-refunded to 10/01/10) 1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,133,760 Obligation Bonds, 2000 Series A, 5.500%,10/01/40 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 3.0% 1,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 932,690 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 14.2% 2,000 Boston Water and Sewer Commission, Massachusetts, 11/08 at 101.00 AAA 2,073,080 General Revenue Bonds, Senior Series, 1998 Series D, 5.000%, 11/01/28 - FGIC Insured 1,750 Massachusetts Water Pollution Abatement Trust, Water 8/09 at 101.00 AAA 2,001,038 Pollution Abatement Revenue Bonds, MWRA Program, Subordinate Series 1999A, 5.750%, 8/01/29 300 Massachusetts Water Resources Authority, General Revenue 8/10 at 101.00 AAA 342,887 Bonds, 2000 Series A, 5.750%, 8/01/30 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ $ 41,205 Total Long-Term Investments (cost $41,619,636) - 144.5% 44,980,283 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 3.7% 1,154,109 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (48.2)% (15,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $31,134,392 ==================================================================================================================== (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares. * Optional Call Provisions (not covered by the report of independent auditors): 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. ** Ratings (not covered by the report of independent auditors): Using the higher of Standard & Poor's or Moody's rating. See accompanying notes to financial statements. 34
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) Portfolio of INVESTMENTS May 31, 2003
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 21.0% $ 500 Massachusetts Development Finance Authority, Revenue 7/13 at 101.00 BBB $ 543,475 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 1,195 Massachusetts Development Finance Authority, Revenue Bonds, 5/13 at 101.00 A+ 1,274,217 Lawrence Academy Project, Series 2003, 5.250%, 5/01/25 3,000 Massachusetts Development Finance Authority, Revenue No Opt. Call AAA 3,690,630 Bonds, Series 2002A, WGBH Educational Foundation, 5.750%, 1/01/42 - AMBAC Insured 2,000 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 AAA 2,108,540 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 1,057,180 Revenue Bonds, Williams College, Series 2003H, 5.000%, 7/01/33 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 12.6% 1,500 Maine Health and Higher Educational Facilities Authority, 7/13 at 100.00 AAA 1,575,735 Revenue Bonds, Series 2003A, 5.000%, 7/01/32 - MBIA Insured 2,500 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 2,599,700 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 - FGIC Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 1,032,770 Revenue Bonds, Caregroup Issue, Series 1998A, 5.000%, 7/01/25 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 12.9% 1,750 Massachusetts Development Finance Authority, Revenue Bonds, 12/12 at 105.00 AAA 1,965,862 Neville Communities, GNMA Collateral, Series 2002A, 6.000%, 6/20/44 1,265 Massachusetts Housing Finance Agency, Rental Housing 7/12 at 100.00 AAA 1,311,185 Mortgage Revenue Bonds, 2002 Series H, 5.200%, 7/01/42 - FSA Insured 2,000 Massachusetts Housing Finance Agency, Housing Bonds, 12/12 at 100.00 AA- 2,055,580 2003 Series H, 5.125%, 6/01/43 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 64.4% 1,605 Bridgewater and Raynham Regional School District, 6/12 at 101.00 Aaa 1,756,801 Plymouth County, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 6/15/20 - FSA Insured Fall River, Massachusetts, General Obligation Bonds, Series 2003: 2,090 5.250%, 2/01/15 - FSA Insured 2/13 at 101.00 AAA 2,443,022 2,140 5.250%, 2/01/16 - FSA Insured 2/13 at 101.00 AAA 2,480,239 Littleton, Massachusetts, General Obligation Bonds, Series 2003: 1,380 5.000%, 1/15/20 - FGIC Insured 1/13 at 101.00 AAA 1,522,582 1,280 5.000%, 1/15/21 - FGIC Insured 1/13 at 101.00 AAA 1,401,395 1,000 Massachusetts Bay Transportation Authority, General 3/08 at 101.00 AAA 1,085,850 Transportation System Bonds, 1998 Series A, 5.000%, 3/01/18 - MBIA Insured 2,000 Massachusetts, General Obligation Bonds, Consolidated No Opt. Call AAA 2,413,640 Loan of 2002 Series D, 5.500%, 8/01/18 - FGIC Insured 2,000 Massachusetts, General Obligation Bonds, Consolidated No Opt. Call AAA 2,414,640 Loan, Series 2002C, 5.500%, 11/01/15 - MBIA Insured Maynard, Massachusetts, General Obligation Bonds, Series 2003: 1,025 5.500%, 2/01/18 - MBIA Insured 2/13 at 101.00 Aaa 1,199,681 1,025 5.500%, 2/01/19 - MBIA Insured 2/13 at 101.00 Aaa 1,191,419 1,250 Northampton, Massachusetts, General Obligation Bonds, 9/12 at 101.00 Aaa 1,374,338 Series 2002, 5.000%, 9/01/19 - MBIA Insured 1,500 Pittsfield, Massachusetts, General Obligation Bonds, 4/12 at 101.00 AAA 1,664,970 Series 2002, 5.000%, 4/15/18 - MBIA Insured 35 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) (continued) Portfolio of INVESTMENTS May 31, 2003 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) Puerto Rico Public Improvement, General Obligation Bonds, Series 2002A: $ 1,500 5.500%, 7/01/19 - FGIC Insured No Opt. Call AAA $ 1,815,885 500 5.000%, 7/01/32 - FGIC Insured 7/12 at 100.00 AAA 528,970 3,000 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 3,273,210 Series 2003, State Qualified, 5.250%, 1/15/22 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 24.0% 2,000 Martha's Vineyard, Massachusetts, Land Bank Revenue Bonds, 5/13 at 100.00 AAA 2,111,200 Series 2002, 5.000%, 5/01/32 - AMBAC Insured 1,500 Massachusetts Bay Transportation Authority, Senior Sales 7/12 at 100.00 AAA 1,579,725 Tax Revenue Bonds, Series 2002A Refunding, 5.000%, 7/01/27 - FGIC Insured 2,790 Massachusetts State College Building Authority, Project 5/13 at 100.00 AAA 3,050,446 Revenue Bonds, Series 2003A Refunding, 5.250%, 5/01/22 - XLCA Insured Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street Redevelopment, M/SRBC Project, 2002 Series A: 1,000 5.125%, 8/01/28 - MBIA Insured 2/12 at 100.00 AAA 1,055,190 1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AAA 1,579,245 500 Puerto Rico Highway and Transportation Authority, 7/12 at 100.00 AAA 528,970 Transportation Revenue Bonds, Series 2002D, 5.000%, 7/01/32 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 11.4% 3,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 3,172,290 5.000%, 7/01/28 (DD, settling 6/02/03) - MBIA Insured 1,500 Massachusetts Turnpike Authority, Metropolitan Highway 1/07 at 102.00 AAA 1,539,975 System Revenue Bonds, 1997 Series A Senior, 5.000%, 1/01/37 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 6.6% 1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,637,040 Series 2000HH, 5.250%, 7/01/29 - FSA Insured 1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/12 at 101.00 AAA 1,080,340 2002 Series II, 5.125%, 7/01/26 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 2.8% 1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA 1,171,929 Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ $ 58,295 Total Long-Term Investments (cost $61,067,622) - 155.7% 64,287,866 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - (6.1)% (2,491,314) -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.6)% (20,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $41,296,552 ==================================================================================================================== At least 80% of the Fund's net assets 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 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) municipal bonds that are 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. * Optional Call Provisions (not covered by the report of independent auditors): 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. ** Ratings (not covered by the report of independent auditors): Using the higher of Standard & Poor's or Moody's rating. (DD) Security purchased on a delayed delivery basis. See accompanying notes to financial statements. 36
Nuveen Missouri Premium Income Municipal Fund (NOM) Portfolio of INVESTMENTS May 31, 2003
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.2% $ 1,000 Missouri State Development Finance Board, Solid Waste Disposal No Opt. Call AA- $ 1,108,570 Revenue Bonds, Procter & Gamble Paper Products Company Project, Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 7.2% 1,400 Missouri Health and Educational Facilities Authority, 6/10 at 100.00 Baa2 1,500,982 Educational Facilities Revenue Bonds, Maryville University of St. Louis Project, Series 2000, 6.750%, 6/15/30 500 Missouri Health and Educational Facilities Authority, 2/08 at 101.00 A3 529,930 Educational Facilities Revenue Bonds, St. Louis Priory School Project, Series 2000, 5.650%, 2/01/25 365 Missouri Health and Educational Facilities Authority, 4/11 at 100.00 Aaa 416,648 Educational Facilities Revenue Bonds, Webster University, Series 2001, 5.500%, 4/01/18 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 22.5% 1,800 Johnson County, Missouri, Hospital Revenue Bonds, 6/10 at 100.00 AA 2,017,872 Western Missouri Medical Center Project, Series 2000, 6.000%, 6/01/20 - RAAI Insured 2,500 Missouri Health and Educational Facilities Authority, 6/11 at 101.00 AAA 2,666,125 Revenue Bonds, SSM Health Care, Series 2001A, 5.250%, 6/01/28 - AMBAC Insured 500 Missouri Health and Educational Facilities Authority, 6/11 at 101.00 AAA 534,570 Health Facilities Revenue Bonds, St. Luke's Episcopal- Presbyterian Hospitals, Series 2001, 5.250%, 12/01/26 - FSA Insured 425 Missouri Health and Educational Facilities Authority, Health 2/06 at 102.00 BBB+ 446,199 Facilities Revenue Bonds, Lake of the Ozarks General Hospital Inc., Series 1996, 6.500%, 2/15/21 1,000 Missouri Health and Educational Facilities Authority, Health 12/10 at 101.00 A 1,077,480 Facilities Revenue Bonds, St. Anthony's Medical Center, Series 2000, 6.250%, 12/01/30 950 Texas County, Missouri, Hospital Revenue Bonds, Texas County 6/10 at 100.00 N/R 961,932 Memorial Hospital, Series 2000, 7.250%, 6/15/25 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 10.3% 920 Missouri Housing Development Commission, Multifamily 12/11 at 100.00 AA 1,002,542 Housing Revenue Bonds, 2001 Series II, 5.250%, 12/01/16 1,250 Industrial Development Authority, St. Charles County, 4/08 at 102.00 AAA 1,294,488 Missouri, Multifamily Housing Revenue Bonds, Ashwood Apartments Project, Series 1998A, 5.600%, 4/01/30 (Alternative Minimum Tax) - FSA Insured 545 Industrial Development Authority, St. Louis County, Missouri, 4/07 at 102.00 AAA 585,510 Multifamily Housing Revenue Refunding Bonds, GNMA Collateralized - South Summit Apartments Project), Series 1997A, 5.950%, 4/20/17 600 Industrial Development Authority, St. Louis County, Missouri, 4/07 at 102.00 AAA 638,958 Multifamily Housing Revenue Refunding Bonds, GNMA Collateralized - South Summit Apartments Project, Series 1997B, 6.000%, 10/20/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 6.0% 525 Missouri Housing Development Commission, Single Family 3/06 at 105.00 AAA 547,250 Mortgage Revenue Bonds, Homeownership Loan Program, 1995 Series C, 7.250%, 9/01/26 (Alternative Minimum Tax) 895 Missouri Housing Development Commission, Single Family 9/06 at 105.00 AAA 921,931 Mortgage Revenue Bonds, Homeownership Program, 1996 Series B, 7.550%, 9/01/27 (Alternative Minimum Tax) 545 Missouri Housing Development Commission, Single Family 3/10 at 100.00 AAA 585,521 Mortgage Revenue Bonds, Homeownership Loan Program, 2000 Series B-1, 6.250%, 3/01/31 (Alternative Minimum Tax) 37 Nuveen Missouri Premium Income Municipal Fund (NOM) (continued) Portfolio of INVESTMENTS May 31, 2003 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 27.0% $ 500 Lees Summit Reorganized School District.7, Jackson 3/12 at 100.00 AAA $ 558,855 County, Missouri, General Obligation Bonds, Series 2002 Refunding and Improvement, 5.250%, 3/01/18 - FSA Insured 1,000 Missouri, General Obligation Bonds, Fourth State Building 10/12 at 100.00 AAA 1,113,900 Refunding, Series 2002A, 5.000%, 10/01/18 2,020 Ritenour Consolidated School District, St. Louis County, No Opt. Call AAA 2,635,757 Missouri, General Obligation Bonds, Series 1995, 7.375%, 2/01/12 - FGIC Insured 1,500 Francis Howell School District, St. Charles County, Missouri, No Opt. Call AAA 1,791,135 General Obligation Bonds, Series 1994A Refunding, 7.800%, 3/01/08 - FGIC Insured 1,000 Pattonville R-3 School District, St. Louis County, Missouri, 3/10 at 101.00 AAA 1,169,080 General Obligation Bonds, Series 2000, 5.750%, 3/01/17 - FGIC Insured 895 Board of Education of St. Louis, Missouri, General Obligation No Opt. Call AAA 1,110,999 Bonds, Series 1993A Refunding, 8.500%, 4/01/07 - FGIC Insured 625 Reeds Spring Reorganized School District No. R-IV, Stone No Opt. Call AAA 811,281 County, Missouri, General Obligation School Building Refunding and Improvement Bonds, Series 1995, 7.600%, 3/01/10 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 24.1% 750 Fenton, Missouri, Tax Increment Bonds, Gravois Bluffs Project, 10/12 at 100.00 N/R 774,683 Series 2002 Refunding and Improvement, 6.125%, 10/01/21 1,000 Land Clearance for Redevelopment Authority, Kansas City, 12/05 at 102.00 AAA 1,120,070 Missouri, Lease Revenue Bonds, Municipal Auditorium and Muehlebach Hotel Redevelopment Projects, Series 1995A, 5.900%, 12/01/18 - CAP GTY/FSA Insured 2,000 Kansas City, Missouri Development Finance Board, 4/10 at 100.00 AAA 2,298,380 Infrastructure Facilities Revenue Bonds, Midtown Redevelopment Projects, Series 2000A, 5.750%, 4/01/22 - MBIA Insured 450 Monarch-Chesterfield Levee District, St. Louis County, 3/10 at 101.00 AAA 523,544 Missouri, Levee District Improvement Bonds, Series 1999, 5.750%, 3/01/19 - MBIA Insured 1,000 St. Louis, Missouri, Municipal Finance Corporation, Leasehold 2/12 at 100.00 Aaa 1,174,560 Revenue Bonds, Carnahan Courthouse Project, Series 2002A, 5.750%, 2/15/16 - FGIC Insured 2,000 Springfield, Missouri, Public Building Corporation, 6/10 at 100.00 AAA 2,363,040 Leasehold Revenue Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 4.7% 500 Kansas City, Missouri, Passenger Facility Charge Revenue 4/11 at 101.00 AAA 517,450 Bonds, Kansas City International Airport, Series 2001, 5.000%, 4/01/23 (Alternative Minimum Tax) - AMBAC Insured 1,000 St. Louis, Missouri, Land Clearance for Redevelopment 9/09 at 102.00 N/R 1,090,650 Authority, Tax Exempt Parking Facility, Revenue Refunding and Improvement Bonds, LCRA Parking Facilities Project, Series 1999C, 7.000%, 9/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 24.7% 675 Missouri Health and Educational Facilities Authority, Health 2/06 at 102.00 BBB+*** 777,094 Facilities Revenue Bonds, Lake of the Ozarks General Hospital Inc., Series 1996, 6.500%, 2/15/21 (Pre-refunded to 2/15/06) 825 Missouri Health and Educational Facilities Authority, 3/10 at 101.00 Aaa 1,000,865 Educational Facilities Revenue Bonds, Washington University, Series 2000A, 6.000%, 3/01/30 (Pre-refunded to 3/01/10) 530 Missouri State Environmental Improvement and Energy 7/04 at 102.00 AAA 569,109 Resources Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program-- City of Branson Project, Series 1995A, 6.050%, 7/01/16 (Pre-refunded to 7/01/04) - FSA Insured 540 Missouri State Environmental Improvement & Energy 1/06 at 101.00 Aaa 606,884 Resources Authority, Water Pollution Control Revenue Bonds, State Revolving Fund, Multi-Participant Program, Series 1996D, 5.875%, 1/01/15 (Pre-refunded to 1/01/06) 1,000 St. Charles, Missouri, School District, General Obligation 3/06 at 100.00 AA+*** 1,114,310 Bonds, Series 1996A, 5.625%, 3/01/14 (Pre-refunded to 3/01/06) 1,000 St. Louis County, Missouri, Certificates of Receipt, GNMA No Opt. Call AAA 1,187,000 Collateralized Mortgage Revenue Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) 38 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (continued) $ 1,275 St. Louis, Missouri, Municipal Finance Corporation, 2/05 at 100.00 AAA $ 1,385,912 Leasehold Revenue Bonds, Series 1992, 6.250%, 2/15/12 (Pre-refunded to 2/15/05) - FGIC Insured 1,600 St. Louis, Missouri, Municipal Finance Corporation, Leasehold 2/06 at 102.00 AAA 1,814,880 Revenue Bonds, City Justice Center Project, Series 1996A, 5.750%, 2/15/11 (Pre-refunded to 2/15/06) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 9.5% 600 Sikeston, Missouri, Electric System Revenue Refunding Bonds, No Opt. Call AAA 746,040 1996 Series, 6.000%, 6/01/13 - MBIA Insured 2,300 Springfield, Missouri, Public Utilities Board Certificates 12/09 at 100.00 AAA 2,522,065 of Participation, Series 2001, 5.000%, 12/01/17 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 3.4% 350 State Environmental Improvement and Energy Resources No Opt. Call Aaa 446,099 Authority, Missouri, Water Pollution Control Revenue Bonds, State Revolving Fund Program - City of Kansas City Project, Series 1997C, 6.750%, 1/01/12 470 State Environmental Improvement and Energy Resources 7/04 at 102.00 AAA 501,767 Authority, Missouri, Water Pollution Control Revenue Bonds, State Revolving Fund Program - City of Branson Project, Series 1995A, 6.050%, 7/01/16 - FSA Insured 210 State Environmental Improvement & Energy Resources 1/06 at 101.00 Aaa 232,286 Authority, Missouri, Water Pollution Control Revenue Bonds, State Revolving Fund, Multi-Participant Program, Series 1996D, 5.875%, 1/01/15 - ------------------------------------------------------------------------------------------------------------------------------------ $ 43,335 Total Long-Term Investments (cost $43,955,915) - 142.6% 48,794,203 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 4.1% 1,433,359 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (46.7)% (16,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $34,227,562 ==================================================================================================================== (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares. * Optional Call Provisions (not covered by the report of independent auditors): 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. ** Ratings (not covered by the report of independent auditors): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. Such securities are normally considered to be equivalent to AAA rated securities. N/R Investment is not rated. See accompanying notes to financial statements. 39
Statement of ASSETS AND LIABILITIES May 31, 2003
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at market value (cost $109,704,467, $52,266,608, $49,880,727 and $89,654,621, respectively) $118,581,779 $55,862,251 $54,241,009 $93,948,503 Cash 144,204 661,735 114,026 339,219 Receivables: Interest 1,771,224 691,987 597,134 1,300,261 Investments sold 390,630 1,937,784 5,019 1,807,727 Other assets 9,384 10,376 22,285 6,042 - ------------------------------------------------------------------------------------------------------------------------------------ Total assets 120,897,221 59,164,133 54,979,473 97,401,752 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft -- -- -- -- Payable for investments purchased -- -- -- -- Accrued expenses: Management fees 66,309 17,434 16,194 29,717 Organization and offering costs -- -- -- -- Other 37,177 19,708 20,795 43,285 Preferred share dividends payable 1,681 2,349 1,266 4,821 - ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 105,167 39,491 38,255 77,823 - ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 82,492,054 $39,624,642 $37,441,218 $65,323,929 ==================================================================================================================================== Common shares outstanding 5,301,244 2,551,003 2,307,260 4,337,555 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 15.56 $ 15.53 $ 16.23 $ 15.06 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 53,012 $ 25,510 $ 23,073 $ 43,376 Paid-in surplus 73,534,521 36,138,646 32,684,152 61,211,854 Undistributed (Over-distribution of) net investment income 796,522 245,776 203,941 39,849 Accumulated net realized gain (loss) from investments (769,313) (380,933) 169,770 (265,032) Net unrealized appreciation of investments 8,877,312 3,595,643 4,360,282 4,293,882 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 82,492,054 $39,624,642 $37,441,218 $65,323,929 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ==================================================================================================================================== See accompanying notes to financial statements. 40
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at market value (cost $96,908,287, $41,619,636 $61,067,622 and $43,955,915, respectively) $104,905,628 $44,980,283 $64,287,866 $48,794,203 Cash -- 167,615 -- 456,111 Receivables: Interest 1,437,729 686,573 848,806 882,768 Investments sold 10,000 325,000 -- 132,325 Other assets 7,730 9,661 7,529 3,328 - ------------------------------------------------------------------------------------------------------------------------------------ Total assets 106,361,087 46,169,132 65,144,201 50,268,735 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft 264,251 -- 106,748 -- Payable for investments purchased -- -- 3,153,890 -- Accrued expenses: Management fees 58,187 13,598 17,147 27,556 Organization and offering costs -- -- 13,500 -- Other 34,939 20,093 54,477 12,582 Preferred share dividends payable 1,119 1,049 1,887 1,035 - ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 358,496 34,740 3,347,649 41,173 - ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 72,002,591 $31,134,392 $41,296,552 $34,227,562 ==================================================================================================================================== Common shares outstanding 4,706,995 1,945,344 2,707,975 2,222,499 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 15.30 $ 16.00 $ 15.25 $ 15.40 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 47,070 $ 19,453 $ 27,080 $ 22,225 Paid-in surplus 65,270,235 27,524,365 38,129,482 29,865,422 Undistributed (Over-distributed of) net investment income 813,281 190,315 (124,606) 344,130 Accumulated net realized gain (loss) from investments (2,125,336) 39,612 44,352 (842,503) Net unrealized appreciation of investments 7,997,341 3,360,647 3,220,244 4,838,288 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 72,002,591 $31,134,392 $41,296,552 $34,227,562 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ==================================================================================================================================== See accompanying notes to financial statements. 41
Statement of OPERATIONS Year Ended May 31, 2003
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO)* - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $ 6,195,536 $2,857,148 $2,552,913 $2,469,506 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 762,454 372,087 342,380 382,242 Preferred shares - auction fees 97,322 50,794 43,082 42,642 Preferred shares - dividend disbursing agent fees 10,000 10,000 10,000 5,425 Shareholders' servicing agent fees and expenses 20,552 1,765 1,898 2,119 Custodian's fees and expenses 41,968 23,175 30,959 21,307 Trustees' fees and expenses 1,597 741 704 942 Professional fees 11,092 6,432 9,414 12,284 Shareholders' reports - printing and mailing expenses 23,132 3,938 11,440 20,405 Stock exchange listing fees 10,479 39 87 164 Investor relations expense 13,450 3,272 4,204 6,895 Other expenses 11,865 8,451 8,263 1,447 - ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 1,003,911 480,694 462,431 495,872 Custodian fee credit (6,687) (3,735) (14,647) (11,292) Expense reimbursement -- (171,732) (158,022) (188,180) - ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 997,224 305,227 289,762 296,400 - ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 5,198,312 2,551,921 2,263,151 2,173,106 - ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS Net realized gain (loss) from investments 1,504,009 (278,778) 325,473 (265,032) Change in net unrealized appreciation (depreciation) of investments 4,082,959 3,304,347 3,671,087 4,293,882 - ------------------------------------------------------------------------------------------------------------------------------------ Net gain from investments 5,586,968 3,025,569 3,996,560 4,028,850 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (358,883) (170,791) (169,519) (163,989) From accumulated net realized gains from investments -- -- (11,970) -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (358,883) (170,791) (181,489) (163,989) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from operations $10,426,397 $5,406,699 $6,078,222 $6,037,967 ==================================================================================================================================== * For the period September 26, 2002 (commencement of operations) through May 31, 2003. See accompanying notes to financial statements. 42
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX)** (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $5,502,207 $2,269,513 $1,067,617 $2,585,636 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 674,048 286,884 178,382 316,703 Preferred shares - auction fees 85,830 39,073 18,133 39,495 Preferred shares - dividend disbursing agent fees 10,000 10,000 3,699 10,000 Shareholders' servicing agent fees and expenses 11,673 1,150 1,197 8,281 Custodian's fees and expenses 35,347 17,079 8,461 25,342 Trustees' fees and expenses 1,383 477 395 577 Professional fees 13,379 9,735 9,215 9,268 Shareholders' reports - printing and mailing expenses 24,601 3,110 6,315 12,252 Stock exchange listing fees 11,698 285 100 416 Investor relations expense 13,548 2,350 2,348 7,148 Other expenses 12,080 6,630 1,258 9,038 - ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 893,587 376,773 229,503 438,520 Custodian fee credit (10,776) (2,001) (5,172) (6,623) Expense reimbursement -- (132,408) (87,819) -- - ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 882,811 242,364 136,512 431,897 - ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 4,619,396 2,027,149 931,105 2,153,739 - ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS Net realized gain (loss) from investments (16,814) 133,861 44,352 (15,252) Change in net unrealized appreciation (depreciation) of investments 3,635,536 3,241,102 3,220,244 2,231,265 - ------------------------------------------------------------------------------------------------------------------------------------ Net gain from investments 3,618,722 3,374,963 3,264,596 2,216,013 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (315,608) (139,815) (81,083) (161,228) From accumulated net realized gains from investments -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (315,608) (139,815) (81,083) (161,228) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from operations $7,922,510 $5,262,297 $4,114,618 $4,208,524 ==================================================================================================================================== ** For the period November 22, 2002 (commencement of operations) through May 31, 2003. See accompanying notes to financial statements. 43
Statement of CHANGES IN NET ASSETS
CONNECTICUT CONNECTICUT PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) ------------------------------ ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/03 5/31/02 5/31/03 5/31/02 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 5,198,312 $ 5,259,938 $ 2,551,921 $ 2,549,084 Net realized gain (loss) from investments 1,504,009 544,946 (278,778) (44,913) Change in net unrealized appreciation (depreciation) of investments 4,082,959 474,512 3,304,347 840,819 Distributions to Preferred Shareholders: From net investment income (358,883) (546,694) (170,791) (291,100) From accumulated net realized gains from investments -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from operations 10,426,397 5,732,702 5,406,699 3,053,890 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (4,646,089) (4,403,107) (2,140,226) (2,135,321) From accumulated net realized gains from investments -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (4,646,089) (4,403,107) (2,140,226) (2,135,321) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Net proceeds from sale of shares -- -- -- -- Net proceeds from shares issued to shareholders due to reinvestment of distributions 384,893 355,425 100,877 60,234 Preferred shares offering costs -- -- 23,986 -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions 384,893 355,425 124,863 60,234 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares 6,165,201 1,685,020 3,391,336 978,803 Net assets applicable to Common shares at the beginning of period 76,326,853 74,641,833 36,233,306 35,254,503 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $82,492,054 $76,326,853 $39,624,642 $36,233,306 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 796,522 $ 645,815 $ 245,776 $ 6,243 ==================================================================================================================================== See accompanying notes to financial statements. 44
CONNECTICUT CONNECTICUT DIVIDEND MASSACHUSETTS PREMIUM DIVIDEND ADVANTAGE 2 (NGK) ADVANTAGE 3 (NGO) INCOME (NMT) ----------------------------- ----------------- --------------------------- FOR THE FOR THE PERIOD 3/26/02 PERIOD 9/26/02 (COMMENCEMENT (COMMENCEMENT YEAR ENDED OF OPERATIONS) OF OPERATIONS) YEAR ENDED YEAR ENDED 5/31/03 THROUGH 5/31/02 THROUGH 5/31/03 5/31/03 5/31/02 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 2,263,151 $ 188,643 $ 2,173,106 $ 4,619,396 $ 4,829,981 Net realized gain (loss) from investments 325,473 -- (265,032) (16,814) 511,753 Change in net unrealized appreciation (depreciation) of investments 3,671,087 689,408 4,293,882 3,635,536 56,519 Distributions to Preferred Shareholders: From net investment income (169,519) (9,064) (163,989) (315,608) (513,588) From accumulated net realized gains from investments (11,970) -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from operations 6,078,222 868,987 6,037,967 7,922,510 4,884,665 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,910,300) (159,183) (1,969,268) (4,094,191) (3,887,315) From accumulated net realized gains from investments (143,733) -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (2,054,033) (159,183) (1,969,268) (4,094,191) (3,887,315) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Net proceeds from sale of shares -- 32,878,500 61,625,745 -- -- Net proceeds from shares issued to shareholders due to reinvestment of distributions 4,040 -- 290,710 317,813 280,344 Preferred shares offering costs 5,020 (280,610) (761,500) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions 9,060 32,597,890 61,154,955 317,813 280,344 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares 4,033,249 33,307,694 65,223,654 4,146,132 1,277,694 Net assets applicable to Common shares at the beginning of period 33,407,969 100,275 100,275 67,856,459 66,578,765 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $37,441,218 $33,407,969 $65,323,929 $72,002,591 $67,856,459 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 203,941 $ 20,396 $ 39,849 $ 813,281 $ 659,569 ==================================================================================================================================== See accompanying notes to financial statements. 45
Statement of CHANGES IN NET ASSETS (continued) INSURED MASSACHUSETTS MASSACHUSETTS TAX-FREE MISSOURI PREMIUM DIVIDEND ADVANTAGE (NMB) ADVANTAGE (NGX) INCOME (NOM) ----------------------------- ---------------- --------------------------- FOR THE PERIOD 11/22/02 (COMMENCEMENT YEAR ENDED YEAR ENDED OF OPERATIONS) YEAR ENDED YEAR ENDED 5/31/03 5/31/02 THROUGH 5/31/03 5/31/03 5/31/02 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 2,027,149 $ 2,001,715 $ 931,105 $ 2,153,739 $ 2,228,230 Net realized gain (loss) from investments 133,861 (68,781) 44,352 (15,252) (29,238) Change in net unrealized appreciation (depreciation) of investments 3,241,102 555,011 3,220,244 2,231,265 669,418 Distributions to Preferred Shareholders: From net investment income (139,815) (238,070) (81,083) (161,228) (283,065) From accumulated net realized gains from investments -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from operations 5,262,297 2,249,875 4,114,618 4,208,524 2,585,345 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,703,320) (1,701,593) (974,628) (1,919,228) (1,770,473) From accumulated net realized gains from investments -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,703,320) (1,701,593) (974,628) (1,919,228) (1,770,473) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Net proceeds from sale of shares -- -- 38,596,500 -- -- Net proceeds from shares issued to shareholders due to reinvestment of distributions 31,840 19,714 14,987 318,941 296,123 Preferred shares offering costs 24,400 -- (555,200) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions 56,240 19,714 38,056,287 318,941 296,123 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares 3,615,217 567,996 41,196,277 2,608,237 1,110,995 Net assets applicable to Common shares at the beginning of period 27,519,175 26,951,179 100,275 31,619,325 30,508,330 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $31,134,392 $27,519,175 $41,296,552 $34,227,562 $31,619,325 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 190,315 $ 9,113 $ (124,606) $ 344,130 $ 286,262 ==================================================================================================================================== See accompanying notes to financial statements. 46
Notes to FINANCIAL STATEMENTS 1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES The state 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). Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are traded on the New York Stock Exchange while 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. Prior to the commencement of operations of Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO) and Insured Massachusetts Tax-Free Advantage (NGX), each Fund had no operations other than those related to organizational matters, the initial capital contribution of $100,275 per Fund by Nuveen Advisory Corp. (the "Adviser"), a wholly owned subsidiary of Nuveen Investments, Inc. (formerly, The John Nuveen Company), and the recording of the organization expenses ($11,500 per Fund) and their reimbursement by Nuveen Investments, LLC (formerly, Nuveen Investments), also a wholly owned subsidiary of Nuveen Investments, Inc. 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. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States. Securities 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 price quotes are not readily available (which is usually the case for municipal securities), the pricing service establishes fair market 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 and general market conditions. If it is determined that market prices for a security are unavailable or inappropriate, the Board of Trustees of the Funds, or its designee, may establish a fair value for the security. Temporary investments in securities that have variable rate and demand features qualifying them as short-term securities are valued at amortized cost, which approximates market value. Securities Transactions Securities transactions are recorded on a trade date basis. Realized gains and losses from such transactions are determined on the specific identification method. Securities purchased or sold on a when-issued or delayed delivery basis may have extended settlement periods. The securities 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 and delayed delivery purchase commitments. At May 31, 2003, Insured Massachusetts Tax-Free Advantage (NGX) had an outstanding delayed delivery purchase commitment of $3,153,890. There were no such outstanding purchase commitments in any of the other Funds. Investment Income Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. 47 Notes to FINANCIAL STATEMENTS (continued) Income Taxes Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net investment income to its shareholders. 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. All monthly tax-exempt income dividends paid during the fiscal year ended May 31, 2003, have been designated Exempt Interest Dividends. Dividends and Distributions to Common Shareholders Dividends from tax-exempt net investment income are declared and paid 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 accounting principles generally accepted in the United States. Preferred Shares The Funds have issued and outstanding $25,000 stated value Preferred shares. Each Fund's Preferred shares are issued in one Series. The dividend rate on each Series may change every seven days, as set pursuant to a dutch auction process by the auction agent, and is payable at or near 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 -- -- -- -- =========================================================================================================
Effective November 15, 2002, Connecticut Dividend Advantage 3 (NGO) issued 1,280 Series F, $25,000 stated value Preferred shares. Effective January 17, 2003, Insured Massachusetts Tax-Free Advantage (NGX) issued 820 Series W, $25,000 stated value Preferred shares. 48 Derivative Financial Instruments The Funds may invest in certain derivative financial instruments including futures, forward, swap and option contracts, and other financial instruments with similar characteristics. Although the Funds are authorized to invest in such financial instruments, and may do so in the future, they did not make any such investments during the period ended May 31, 2003. 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. Offering Costs Nuveen Investments, LLC has agreed to pay all Common share offering costs (other than the sales load) that exceed $.03 per Common share for Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO) and Insured Massachusetts Tax-Free Advantage (NGX). Connecticut Dividend Advantage 2's (NGK), Connecticut Dividend Advantage 3's (NGO) and Insured Massachusetts Tax-Free Advantage's (NGX) share of Common share offering costs ($69,000, $129,330 and $81,000, respectively) were recorded as a reduction of the proceeds from the sale of Common shares. Costs incurred by Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO) and Insured Massachusetts Tax-Free Advantage (NGX) in connection with their offering of Preferred shares ($275,590, $761,500 and $555,200, respectively) were recorded as a reduction to paid-in surplus. Use of Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States 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. 2. FUND SHARES Transactions in Common and Preferred shares were as follows:
CONNECTICUT DIVIDEND CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND ADVANTAGE 3 PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK) (NGO) ---------------------- ----------------------- ---------------------------- --------------- FOR THE FOR THE PERIOD 9/26/02 PERIOD 3/26/02 (COMMENCE- (COMMENCEMENT MENT OF YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OF OPERATIONS) OPERATIONS) 5/31/03 5/31/02 5/31/03 5/31/02 5/31/03 THROUGH 5/31/02 THROUGH 5/31/03 - ------------------------------------------------------------------------------------------------------------------- Common shares: Shares sold -- -- -- -- -- 2,300,000 4,311,000 Shares issued to shareholders due to reinvestment of distributions 23,492 22,147 6,514 3,869 260 -- 19,555 - ------------------------------------------------------------------------------------------------------------------- 23,492 22,147 6,514 3,869 260 2,300,000 4,330,555 =================================================================================================================== Preferred shares sold -- -- -- -- -- 700 1,280 =================================================================================================================== INSURED MASSACHUSETTS TAX-FREE MASSACHUSETTS MASSACHUSETTS DIVIDEND ADVANTAGE MISSOURI PREMIUM INCOME (NMT) ADVANTAGE (NMB) (NGX) PREMIUM INCOME (NOM) ----------------------- ------------------------ --------------- ------------------------ FOR THE PERIOD 11/22/02 (COMMENCEMENT YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OF OPERATIONS) YEAR ENDED YEAR ENDED 5/31/03 5/31/02 5/31/03 5/31/02 THROUGH 5/31/03 5/31/03 5/31/02 - -------------------------------------------------------------------------------------------------------------- Common shares: Shares sold -- -- -- -- 2,700,000 -- -- Shares issued to shareholders due to reinvestment of distributions 19,972 18,094 2,042 1,301 975 19,544 19,877 - -------------------------------------------------------------------------------------------------------------- 19,972 18,094 2,042 1,301 2,700,975 19,544 19,877 ============================================================================================================== Preferred shares sold -- -- -- -- 820 -- -- ==============================================================================================================
49 Notes to FINANCIAL STATEMENTS (continued) 3. SECURITIES TRANSACTIONS Purchases and sales (including maturities) of investments in long-term municipal securities for the fiscal year ended May 31, 2003, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO)* - ---------------------------------------------------------------------------------------------------------- Purchases $27,649,904 $3,810,498 $7,041,642 $104,047,723 Sales and maturities 26,796,567 5,803,571 8,198,031 14,009,849 ==========================================================================================================
* For the period September 26, 2002 (commencement of operations) through May 31, 2003.
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX)** (NOM) - ---------------------------------------------------------------------------------------------------------- Purchases $19,184,845 $3,665,109 $69,537,855 $7,094,129 Sales and maturities 17,961,280 3,927,053 8,470,430 7,179,314 ==========================================================================================================
** For the period November 22, 2002 (commencement of operations) through May 31, 2003. 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 timing differences in recognizing income on taxable market discount securities and timing differences in recognizing certain gains and losses on security transactions. At May 31, 2003, the cost of investments were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ----------------------------------------------------------------------------------------------------------- Cost of investments $109,697,221 $52,251,804 $49,874,661 $89,649,335 =========================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ----------------------------------------------------------------------------------------------------------- Cost of investments $96,698,292 $41,604,468 $61,067,622 $43,939,133 ===========================================================================================================
50 Gross unrealized appreciation and gross unrealized depreciation on investments at May 31, 2003, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ---------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $9,108,257 $3,852,790 $4,446,598 $4,562,713 Depreciation (223,699) (242,343) (80,250) (263,545) - ---------------------------------------------------------------------------------------------------------- Net unrealized appreciation on investments $8,884,558 $3,610,447 $4,366,348 $4,299,168 ========================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ---------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $8,362,309 $3,375,815 $3,220,244 $4,909,722 Depreciation (154,973) -- -- (54,652) - ---------------------------------------------------------------------------------------------------------- Net unrealized appreciation on investments $8,207,336 $3,375,815 $3,220,244 $4,855,070 ==========================================================================================================
The tax components of undistributed net investment income and net realized gains at May 31, 2003, 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 $1,180,598 $411,892 $358,341 $321,326 Undistributed net ordinary income * -- -- 83,197 -- Undistributed net long-term capital gains -- -- 86,574 -- ========================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ---------------------------------------------------------------------------------------------------------- Undistributed net tax-exempt income $944,663 $318,206 $72,254 $489,254 Undistributed net ordinary income * 5,707 -- 44,352 261 Undistributed net long-term capital gains -- 39,612 -- -- ==========================================================================================================
* 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 fiscal years ended May 31, 2003 and May 31, 2002, 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 2003 (NTC) (NFC) (NGK) (NGO) - ---------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,914,860 $2,309,669 $2,079,493 $1,846,495 Distributions from net ordinary income * 74,506 -- 124,592 -- Distributions from net long-term capital gains -- -- 31,111 -- ========================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME 2003 (NMT) (NMB) (NGX) (NOM) - ---------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,392,112 $1,843,169 $858,850 $2,071,810 Distributions from net ordinary income * -- -- -- -- Distributions from net long-term capital gains -- -- -- -- ==========================================================================================================
51 Notes to FINANCIAL STATEMENTS (continued)
CONNECTICUT CONNECTICUT CONNECTICUT MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND DIVIDEND PREMIUM DIVIDEND PREMIUM INCOME ADVANTAGE ADVANTAGE 2 INCOME ADVANTAGE INCOME 2002 (NTC) (NFC) (NGK) (NMT) (NMB) (NOM) - -------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,936,883 $2,427,472 $-- $4,408,553 $1,940,760 $2,047,062 Distributions from net ordinary income * 12,951 -- -- -- -- -- Distributions from net long-term capital gains -- -- -- -- -- -- ==============================================================================================================
* Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. At May 31, 2003, 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:
CONNECTICUT CONNECTICUT CONNECTICUT MASSACHUSETTS MISSOURI PREMIUM DIVIDEND DIVIDEND PREMIUM PREMIUM INCOME ADVANTAGE ADVANTAGE 3 INCOME INCOME (NTC) (NFC) (NGO) (NMT) (NOM) - ------------------------------------------------------------------------------------------------------------- Expiration year: 2004 $ -- $ -- $ -- $ 828,906 $708,417 2005 593,568 -- -- 195,761 -- 2006 -- -- -- -- -- 2007 -- -- -- -- -- 2008 7,281 -- -- 210,989 57,432 2009 168,464 30,535 -- 718,509 -- 2010 -- 42,027 -- -- 6,599 2011 -- -- 172,070 -- -- - ------------------------------------------------------------------------------------------------------------- Total $769,313 $72,562 $172,070 $1,954,165 $772,448 =============================================================================================================
The following Funds have elected to defer net realized losses from investments incurred from November 1, 2002 through May 31, 2003 ("post-October losses") in accordance with Federal income tax regulations. The following post-October losses are treated as having arisen in the following fiscal year:
CONNECTICUT CONNECTICUT MASSACHUSETTS MISSOURI DIVIDEND DIVIDEND PREMIUM PREMIUM ADVANTAGE ADVANTAGE 3 INCOME INCOME (NFC) (NGO) (NMT) (NOM) - ---------------------------------------------------------------------------------------------------------- $308,371 $92,962 $171,171 $70,055 ==========================================================================================================
52 5. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES Under Connecticut Premium Income's (NTC), Massachusetts Premium Income's (NMT) and Missouri Premium Income's (NOM) investment management agreements with the Adviser, each Fund pays an annual management fee, payable monthly, at the rates set forth below, which are based upon the average daily net assets (including net assets attributable to Preferred shares) of each Fund as follows: AVERAGE DAILY NET ASSETS (INCLUDING NET ASSETS ATTRIBUTABLE TO PREFERRED SHARES) MANAGEMENT FEE - -------------------------------------------------------------------------------- For the first $125 million .6500% For the next $125 million .6375 For the next $250 million .6250 For the next $500 million .6125 For the next $1 billion .6000 For the next $3 billion .5875 For net assets over $5 billion .5750 ================================================================================ Under Connecticut Dividend Advantage's (NFC), Connecticut Dividend Advantage 2's (NGK), Connecticut Dividend Advantage 3's (NGO), Massachusetts Dividend Advantage's (NMB) and Insured Massachusetts Tax-Free Advantage's (NGX) investment management agreements with the Adviser, each Fund pays an annual management fee, payable monthly, at the rates set forth below, which are based upon the average daily net assets (including net assets attributable to Preferred shares) of each Fund as follows: AVERAGE DAILY NET ASSETS (INCLUDING NET ASSETS ATTRIBUTABLE TO PREFERRED SHARES) MANAGEMENT FEE - -------------------------------------------------------------------------------- For the first $125 million .6500% For the next $125 million .6375 For the next $250 million .6250 For the next $500 million .6125 For the next $1 billion .6000 For net assets over $2 billion .5750 =============================================================================== 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. 53 Notes to FINANCIAL STATEMENTS (continued) 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. 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 their officers, all of whom receive remuneration for their services to the Funds from the Adviser. 6. SUBSEQUENT EVENT - DISTRIBUTIONS TO COMMON SHAREHOLDERS The Funds declared Common share dividend distributions from their tax-exempt net investment income which were paid on July 1, 2003, to shareholders of record on June 15, 2003, as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - --------------------------------------------------------------------------------------------------------- Dividend per share $.0735 $.0715 $.0705 $.0650 ========================================================================================================= INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - --------------------------------------------------------------------------------------------------------- Dividend per share $.0735 $.0745 $.0720 $.0725 =========================================================================================================
54 Financial HIGHLIGHTS 55 Financial HIGHLIGHTS Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions ------------------------------------------------------------------ ------------------------------ Distributions Distributions from Net from From Net Beginning Net Investment Capital Investment Capital Common Realized/ Income to Gains to Income to Gains to Share Net Unrealized Preferred Preferred Common Common Net Asset Investment Investment Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total ==================================================================================================================================== CONNECTICUT PREMIUM INCOME (NTC) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003 $14.46 $ .98 $ 1.07 $(.07) $-- $1.98 $(.88) $-- $(.88) 2002 14.20 1.00 .20 (.10) -- 1.10 (.84) -- (.84) 2001 12.92 1.02 1.32 (.24) -- 2.10 (.82) -- (.82) 2000 14.44 1.06 (1.54) (.22) -- (.70) (.82) -- (.82) 1999 14.49 1.00 (.05) (.20) -- .75 (.80) -- (.80) CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003 14.24 1.00 1.19 (.07) -- 2.12 (.84) -- (.84) 2002 13.88 1.00 .31 (.11) -- 1.20 (.84) -- (.84) 2001(a) 14.33 .21 (.23) (.05) -- (.07) (.21) -- (.21) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003 14.48 .98 1.74 (.07) (.01) 2.64 (.83) (.06) (.89) 2002(b) 14.33 .08 .30 -- -- .38 (.07) -- (.07) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003(c) 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: 2003 $-- $15.56 $17.1400 12.63% 14.08% 2002 -- 14.46 16.0500 5.01 7.87 2001 -- 14.20 16.1000 25.91 16.57 2000 -- 12.92 13.5000 (14.85) (4.87) 1999 -- 14.44 16.7500 13.50 5.22 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ------------------------------------------------------------------------------- Year Ended 5/31: 2003 .01 15.53 16.3500 9.19 15.38 2002 -- 14.24 15.7900 8.61 8.81 2001(a) (.17) 13.88 15.3400 3.71 (1.67) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ------------------------------------------------------------------------------- Year Ended 5/31: 2003 -- 16.23 15.8000 11.16 18.77 2002(b) (.16) 14.48 15.0500 .79 1.53 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ------------------------------------------------------------------------------- Year Ended 5/31: 2003(c) (.21) 15.06 15.0900 3.71 8.46 =============================================================================== Ratios/Supplemental Data ------------------------------------------------------------------------------------------- Before Credit/Reimbursement After Credit/Reimbursement*** --------------------------- ----------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Ending Expenses Income to Expenses Income to Net to Average Average to Average Average Assets Net Assets Net Assets Net Assets Net Assets Applicable Applicable Applicable Applicable Applicable Portfolio to Common to Common to Common to Common to Common Turnover Shares (000) Shares++ Shares++ Shares++ Shares++ Rate ================================================================================================================== CONNECTICUT PREMIUM INCOME (NTC) - ------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003 $82,492 1.27% 6.57% 1.26% 6.58% 23% 2002 76,327 1.34 6.90 1.34 6.91 12 2001 74,642 1.33 7.36 1.31 7.39 8 2000 67,579 1.36 7.87 1.32 7.91 19 1999 75,165 1.32 6.83 1.30 6.84 7 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003 39,625 1.27 6.29 .81 6.76 7 2002 36,233 1.38 6.56 .88 7.06 20 2001(a) 35,255 1.22* 4.10* .80* 4.52* 29 CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003 37,441 1.31 5.94 .82 6.43 13 2002(b) 33,408 1.06* 2.90* .73* 3.23* -- CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003(c) 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: 2003 $38,300 $25,000 $78,846 2002 38,300 25,000 74,822 2001 38,300 25,000 73,722 2000 38,300 25,000 69,112 1999 38,300 25,000 74,063 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ------------------------------------------------------------ Year Ended 5/31: 2003 19,500 25,000 75,801 2002 19,500 25,000 71,453 2001(a) 19,500 25,000 70,198 CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ------------------------------------------------------------ Year Ended 5/31: 2003 17,500 25,000 78,487 2002(b) 17,500 25,000 72,726 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ------------------------------------------------------------ Year Ended 5/31: 2003(c) 32,000 25,000 76,034 ============================================================ * Annualized. ** Total Investment Return on Market Value is the combination of reinvested dividend income, reinvested capital gains distributions, if any, and changes in stock price per share. Total Return on Common Share Net Asset Value is the combination of reinvested dividend income, reinvested capital gains distributions, if any, and changes in Common share net asset value per share. 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 January 26, 2001 (commencement of operations) through May 31, 2001. (b) For the period March 26, 2002 (commencement of operations) through May 31, 2002. (c) For the period September 26, 2002 (commencement of operations) through May 31, 2003. See accompanying notes to financial statements. 56-57 spread
Financial HIGHLIGHTS (continued) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions ------------------------------------------------------------------ ------------------------------ Distributions Distributions from Net from From Net Beginning Net Investment Capital Investment Capital Common Realized/ Income to Gains to Income to Gains to Share Net Unrealized Preferred Preferred Common Common Net Asset Investment Investment Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total ==================================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003 $14.48 $ .98 $ .78 $(.07) $-- $1.69 $(.87) $-- $(.87) 2002 14.26 1.03 .13 (.11) -- 1.05 (.83) -- (.83) 2001 13.17 1.05 1.10 (.24) -- 1.91 (.82) -- (.82) 2000 14.72 1.05 (1.54) (.21) -- (.70) (.85) -- (.85) 1999 14.91 1.02 (.16) (.20) -- .66 (.85) -- (.85) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003 14.16 1.04 1.74 (.07) -- 2.71 (.88) -- (.88) 2002 13.88 1.03 .25 (.12) -- 1.16 (.88) -- (.88) 2001(a) 14.33 .24 (.24) (.05) -- (.05) (.22) -- (.22) INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003(b) 14.33 .35 1.21 (.03) -- 1.53 (.37) -- (.37) MISSOURI PREMIUM INCOME (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2003 14.35 .97 1.02 (.07) -- 1.92 (.87) -- (.87) 2002 13.97 1.01 .31 (.13) -- 1.19 (.81) -- (.81) 2001 12.77 1.02 1.18 (.26) -- 1.94 (.74) -- (.74) 2000 14.20 .99 (1.39) (.26) -- (.66) (.77) -- (.77) 1999 14.44 .97 (.22) (.22) -- .53 (.77) -- (.77) ==================================================================================================================================== 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: 2003 $-- $15.30 $16.8000 12.98% 12.02% 2002 -- 14.48 15.7000 8.04 7.51 2001 -- 14.26 15.3300 15.71 14.72 2000 -- 13.17 14.0000 (7.66) (4.79) 1999 -- 14.72 16.0625 2.48 4.47 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - -------------------------------------------------------------------------------- Year Ended 5/31: 2003 .01 16.00 16.4500 8.76 19.74 2002 -- 14.16 15.9500 14.15 8.46 2001(a) (.18) 13.88 14.8000 .13 (1.61) INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - -------------------------------------------------------------------------------- Year Ended 5/31: 2003(b) (.24) 15.25 15.7800 7.69 9.07 MISSOURI PREMIUM INCOME (NOM) - -------------------------------------------------------------------------------- Year Ended 5/31: 2003 -- 15.40 16.8700 15.39 13.75 2002 -- 14.35 15.4100 14.11 8.65 2001 -- 13.97 14.2500 17.41 15.48 2000 -- 12.77 12.8125 (4.35) (4.63) 1999 -- 14.20 14.1875 5.24 3.64 ================================================================================ Ratios/Supplemental Data ------------------------------------------------------------------------------------------- Before Credit/Reimbursement After Credit/Reimbursement*** --------------------------- ----------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Ending Expenses Income to Expenses Income to Net to Average Average to Average Average Assets Net Assets Net Assets Net Assets Net Assets Applicable Applicable Applicable Applicable Applicable Portfolio to Common to Common to Common to Common to Common Turnover Shares (000) Shares++ Shares++ Shares++ Shares++ Rate =================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) - ------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2003 $72,003 1.28% 6.61% 1.27% 6.63% 18% 2002 67,856 1.31 7.11 1.30 7.12 13 2001 66,579 1.37 7.46 1.35 7.48 14 2000 61,323 1.32 7.71 1.31 7.73 11 1999 68,288 1.30 6.87 1.30 6.88 11 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2003 31,134 1.29 6.49 .83 6.95 8 2002 27,519 1.47 6.70 .94 7.24 9 2001(a) 26,951 1.28* 4.84* .84* 5.28* 18 INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - ------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2003(b) 41,297 1.14* 4.17* .68* 4.64* 19 MISSOURI PREMIUM INCOME (NOM) - ------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2003 34,228 1.34 6.56 1.32 6.58 15 2002 31,619 1.38 7.08 1.36 7.10 8 2001 30,508 1.39 7.48 1.38 7.50 31 2000 27,701 1.48 7.49 1.47 7.51 23 1999 30,603 1.44 6.72 1.43 6.72 10 =================================================================================================================== 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: 2003 $34,000 $25,000 $77,943 2002 34,000 25,000 74,894 2001 34,000 25,000 73,955 2000 34,000 25,000 70,091 1999 34,000 25,000 75,212 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - -------------------------------------------------------------- Year Ended 5/31: 2003 15,000 25,000 76,891 2002 15,000 25,000 70,865 2001(a) 15,000 25,000 69,919 INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - -------------------------------------------------------------- Year Ended 5/31: 2003(b) 20,500 25,000 75,362 MISSOURI PREMIUM INCOME (NOM) - -------------------------------------------------------------- Year Ended 5/31: 2003 16,000 25,000 78,481 2002 16,000 25,000 74,405 2001 16,000 25,000 72,669 2000 16,000 25,000 68,282 1999 16,000 25,000 72,817 ============================================================== * Annualized. ** Total Investment Return on Market Value is the combination of reinvested dividend income, reinvested capital gains distributions, if any, and changes in stock price per share. Total Return on Common Share Net Asset Value is the combination of reinvested dividend income, reinvested capital gains distributions, if any, and changes in Common share net asset value per share. 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, where applicable. (a) For the period January 31, 2001 (commencement of operations) through May 31, 2001. (b) For the period November 22, 2002 (commencement of operations) through May 31, 2003. See accompanying notes to financial statements. 58-59 spread
Trustees AND OFFICERS The management of the Fund, including general supervision of the duties performed for the Fund under the management agreement between Nuveen Advisory and the Fund, is the responsibility of the Board of Trustees of the Fund. The number of trustees of the Fund is currently set at seven. None of the trustees who are not "interested" persons of the Fund has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the trustees and officers of the Fund, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
NUMBER OF PORTFOLIOS IN FUND YEAR FIRST PRINCIPAL OCCUPATION(S) COMPLEX NAME, BIRTHDATE POSITION(S) HELD ELECTED OR INCLUDING OTHER DIRECTORSHIPS OVERSEEN AND ADDRESS WITH THE FUND APPOINTED(2) DURING PAST 5 YEARS BY TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEE WHO IS AN INTERESTED PERSON OF THE FUNDS: - ------------------------------------------------------------------------------------------------------------------------------------ Timothy R. Schwertfeger (1) Chairman of the 1994 Chairman and Director (since 1996) of Nuveen 140 3/28/49 Board and Investments, Inc. and Nuveen Investments, LLC; 333 W. Wacker Drive Trustee Director (since 1992) and Chairman (since 1996) of Chicago, IL 60606 Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.; Chairman and Director (since 1997) of Nuveen Asset Management, Inc.; Director (since 1996) of Institutional Capital Corporation; Chairman and Director (since 1999) of Rittenhouse Asset Management, Inc.; Chairman of Nuveen Investments Advisers Inc. (since 2002). TRUSTEES WHO ARE NOT INTERESTED PERSONS OF THE FUNDS: - ------------------------------------------------------------------------------------------------------------------------------------ Robert P. Bremner Trustee 1997 Private Investor and Management Consultant. 122 8/22/40 333 W. Wacker Drive Chicago, IL 60606 - ------------------------------------------------------------------------------------------------------------------------------------ Lawrence H. Brown Trustee 1993 Retired (since 1989) as Senior Vice President of The 122 7/29/34 Northern Trust Company; Director of the United Way of 333 W. Wacker Drive Highland Park-Highwood (since 2002). Chicago, IL 60606 - ------------------------------------------------------------------------------------------------------------------------------------ Anne E. Impellizzeri Trustee 1994 Retired, formerly, Executive Director (since 1998) of 122 1/26/33 Manitoga/The Russel Wright Design Center; prior 333 W. Wacker Drive thereto, President and Chief Executive Officer of Chicago, IL 60606 Blanton-Peale Institute (since 1990); prior thereto, Vice President, Metropolitan Life Insurance Co. - ------------------------------------------------------------------------------------------------------------------------------------ Peter R. Sawers Trustee 1991 Adjunct Professor of Business and Economics, 122 4/3/33 University of Dubuque, Iowa; formerly (1991-2000) 333 W. Wacker Drive Adjunct Professor, Lake Forest Graduate School of Forest, Illinois; Management, Lake prior thereto, Executive Director, Chicago, IL 60606 Towers Perrin Australia, a management consulting firm; Chartered Financial Analyst; Certified Management Consultant; Director, Executive Service Corps of Chicago, a not-for-profit organization. - ------------------------------------------------------------------------------------------------------------------------------------ William J. Schneider Trustee 1997 Senior Partner and Chief Operating Officer, 122 9/24/44 Miller-Valentine Group, Vice President, 333 W. Wacker Drive Miller-Valentine Realty, a development Chicago, IL 60606 and contract company; Chair, MiamiValley Hospital; Chair, Miami Valley Economic Development Coalition; formerly, Member, Community Advisory Board, National City Bank, Dayton, Ohio and Business Advisory Council, Cleveland Federal Reserve Bank. - ------------------------------------------------------------------------------------------------------------------------------------ Judith M. Stockdale Trustee 1997 Executive Director, Gaylord and Dorothy Donnelley 122 12/29/47 Foundation (since 1994); prior thereto, Executive 333 W. Wacker Drive Director, Great Lakes Protection Fund (from 1990 Chicago, IL 60606 to 1994). 60 NUMBER OF PORTFOLIOS IN FUND YEAR FIRST PRINCIPAL OCCUPATION(S) COMPLEX NAME, BIRTHDATE POSITION(S) HELD ELECTED OR INCLUDING OTHER DIRECTORSHIPS OVERSEEN AND ADDRESS WITH THE FUND APPOINTED(3) DURING PAST 5 YEARS BY OFFICER - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS OF THE FUNDS: - ------------------------------------------------------------------------------------------------------------------------------------ Gifford R. Zimmerman Chief 1988 Managing Director (since 2002), Assistant Secretary 140 9/9/56 Administrative and Associate General Counsel, formerly, Vice President 333 W. Wacker Drive Officer and Assistant General Counsel of Nuveen Investments, Chicago, IL 60606 LLC; Managing Director (since 2002), General Counsel and Assistant Secretary, formerly, Vice President of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.; Managing Director (since 2002), Assistant Secretary and Associate General Counsel, formerly, Vice President (since 2000), of Nuveen Asset Management, Inc.; Assistant Secretary of Nuveen Investments, Inc. (since 1994); Assistant Secretary of NWQ Investment Management Company, LLC (since 2002); Vice President and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002); Managing Director, Associate General Counsel and Assistant Secretary of Rittenhouse Asset Management, Inc. (since May 2003); Chartered Financial Analyst. - ------------------------------------------------------------------------------------------------------------------------------------ Michael T. Atkinson Vice President 2000 Vice President (since 2002), formerly, Assistant 140 2/3/66 and Assistant Vice President (since 2000), previously, Associate of 333 W. Wacker Drive Secretary Nuveen Investments, LLC. Chicago, IL 60606 - ------------------------------------------------------------------------------------------------------------------------------------ Paul L. Brennan Vice President 1999 Vice President (since 2002), formerly, Assistant 134 11/10/66 Vice President (since 1997), of Nuveen Advisory Corp.; 333 W. Wacker Drive prior thereto, portfolio manager of Flagship Financial Chicago, IL 60606 Inc.; Chartered Financial Analyst and Certified Public Accountant. - ------------------------------------------------------------------------------------------------------------------------------------ Peter H. D'Arrigo Vice President 1999 Vice President of Nuveen Investments, LLC (since 1999), 140 11/28/67 and Treasurer prior thereto, Assistant Vice President (since 1997); 333 W. Wacker Drive Vice President and Treasurer of Nuveen Investments, Chicago, IL 60606 Inc. (since 1999); Vice President and Treasurer of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. (since 1999); Vice President and Treasurer of Nuveen Asset Management, Inc. (since 2002) and of Nuveen Investments Advisers Inc. (since 2002); Assistant Treasurer of NWQ Investment Management Company, LLC (since 2002); Chartered Financial Analyst. - ------------------------------------------------------------------------------------------------------------------------------------ Susan M. DeSanto Vice President 2001 Vice President of Nuveen Advisory Corp. (since 2001); 140 9/8/54 previously, Vice President of Van Kampen Investment 333 W. Wacker Drive Advisory Corp. (since 1998); Vice President of Nuveen Chicago, IL 60606 Institutional Advisory Corp. (since 2002); prior thereto, Assistant Vice President of Van Kampen Investment Advisory Corp. (since 1994). - ------------------------------------------------------------------------------------------------------------------------------------ Jessica R. Droeger Vice President 2000 Vice President (since 2002) and Assistant General 140 9/24/64 and Secretary Counsel (since 1998); formerly, Assistant Vice President 333 W. Wacker Drive (since 1998) of Nuveen Investments, LLC; Vice President Chicago, IL 60606 (since 2002) and Assistant Secretary (since 1998), formerly Assistant Vice President of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. 61 Trustees AND OFFICERS (CONTINUED) NUMBER OF PORTFOLIOS IN FUND YEAR FIRST PRINCIPAL OCCUPATION(S) COMPLEX NAME, BIRTHDATE POSITION(S) HELD ELECTED OR INCLUDING OTHER DIRECTORSHIPS OVERSEEN AND ADDRESS WITH THE FUND APPOINTED(3) DURING PAST 5 YEARS BY OFFICER - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS OF THE FUNDS (CONTINUED): - ------------------------------------------------------------------------------------------------------------------------------------ Lorna C. Ferguson Vice President 1998 Vice President of Nuveen Investments, LLC; Vice 140 10/24/45 President (since 1998) of Nuveen Advisory Corp. and 333 W. Wacker Drive Nuveen Institutional Advisory Corp. Chicago, IL 60606 - ------------------------------------------------------------------------------------------------------------------------------------ William M. Fitzgerald Vice President 1995 Managing Director (since 2002) of Nuveen Investments, 140 3/2/64 LLC; Managing Director (since 2001), formerly Vice 333 W. Wacker Drive President of Nuveen Advisory Corp. and Nuveen Chicago, IL 60606 Institutional Advisory Corp. (since 1995); Managing Director of Nuveen Asset Management, Inc. (since 2001); Vice President of Nuveen Investment Advisers Inc. (since 2002); Chartered Financial Analyst. - ------------------------------------------------------------------------------------------------------------------------------------ Stephen D. Foy Vice President 1998 Vice President (since 1993) and Funds Controller 140 5/31/54 and Controller (since 1998) of Nuveen Investments, LLC and Vice 333 W. Wacker Drive President and Funds Controller (since 1998) of Nuveen Chicago, IL 60606 Investments, Inc.; Certified Public Accountant. - ------------------------------------------------------------------------------------------------------------------------------------ J. Thomas Futrell Vice President 1988 Vice President of Nuveen Advisory Corp.; 134 7/5/55 Chartered Financial Analyst. 333 W. Wacker Drive Chicago, IL 60606 - ------------------------------------------------------------------------------------------------------------------------------------ Richard A. Huber Vice President 1997 Vice President of Nuveen Institutional Advisory Corp. 134 3/26/63 (since 1998) and Nuveen Advisory Corp. (since 1997); 333 W. Wacker Drive prior thereto, Vice President and Portfolio Manager of Chicago, IL 60606 Flagship Financial, Inc. - ------------------------------------------------------------------------------------------------------------------------------------ Steven J. Krupa Vice President 1990 Vice President of Nuveen Advisory Corp. 134 8/21/57 333 W. Wacker Drive Chicago, IL 60606 - ------------------------------------------------------------------------------------------------------------------------------------ David J. Lamb Vice President 2000 Vice President (since 2000) of Nuveen Investments, LLC, 140 3/22/63 previously Assistant Vice President (since 1999); prior 333 W. Wacker Drive thereto, Associate of Nuveen Investments, LLC; Certified Chicago, IL 60606 Public Accountant. - ------------------------------------------------------------------------------------------------------------------------------------ Tina M. Lazar Vice President 2002 Vice President (since 1999), previously, Assistant Vice 140 8/27/61 President (since 1993) of Nuveen Investments, LLC. 333 W. Wacker Drive Chicago, IL 60606 - ------------------------------------------------------------------------------------------------------------------------------------ Larry W. Martin Vice President 1998 Vice President, Assistant Secretary and Assistant 140 7/27/51 and Assistant General Counsel of Nuveen Investments, LLC; Vice 333 W. Wacker Drive Secretary President and Assistant Secretary of Nuveen Advisory Chicago, IL 60606 Corp. and Nuveen Institutional Advisory Corp.; Assistant Secretary of Nuveen Investments, Inc. and (since 1997) Nuveen Asset Management, Inc.; Vice President (since 2000), Assistant Secretary and Assistant General Counsel (since 1998) of Rittenhouse Asset Management, Inc.; Vice President and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002); Assistant Secretary of NWQ Investment Management Company, LLC (since 2002). 62 NUMBER OF PORTFOLIOS IN FUND YEAR FIRST PRINCIPAL OCCUPATION(S) COMPLEX NAME, BIRTHDATE POSITION(S) HELD ELECTED OR INCLUDING OTHER DIRECTORSHIPS OVERSEEN AND ADDRESS WITH THE FUND APPOINTED(3) DURING PAST 5 YEARS BY OFFICER - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS OF THE FUNDS (CONTINUED): - ------------------------------------------------------------------------------------------------------------------------------------ Edward F. Neild, IV Vice President 1996 Managing Director (since 2002) of Nuveen Investments, 140 7/7/65 LLC; Managing Director (since 1997), formerly Vice 333 W. Wacker Drive President (since 1996) of Nuveen Advisory Corp. and Chicago, IL 60606 Nuveen Institutional Advisory Corp.; Managing Director of Nuveen Asset Management, Inc. (since 1999). Chartered Financial Analyst. - ------------------------------------------------------------------------------------------------------------------------------------ Thomas J. O'Shaughnessy Vice President 1999 Vice President (since 2002), formerly, Assistant 134 9/4/60 Vice President (since 1998), of Nuveen Advisory Corp.; 333 W. Wacker Drive prior thereto, portfolio manager. Chicago, IL 60606 - ------------------------------------------------------------------------------------------------------------------------------------ Thomas C. Spalding Vice President 1982 Vice President of Nuveen Advisory Corp. and Nuveen 134 7/31/51 Institutional Advisory Corp.; Chartered Financial 333 W. Wacker Drive Analyst. Chicago, IL 60606
(1) Mr. Schwertfeger is an "interested person" of the Funds, as defined in the Investment Company Act of 1940, because he is an officer and trustee of Nuveen Advisory Corp. (2) Trustees serve a one-year term until his/her successor is elected. The year first elected or appointed represents the year in which the Trustee was first elected or appointed to any fund in the Nuveen Complex. (3) Officers serve a one-year term through July of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex. 63 Build Your Wealth AUTOMATICALLY SIDEBAR TEXT: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET UP YOUR REINVESTMENT ACCOUNT. NUVEEN CLOSED-END EXCHANGE-TRADED FUNDS DIVIDEND REINVESTMENT PLAN Your Nuveen Closed-End Exchange-Traded 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 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. FLEXIBILITY 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. 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. 64 Fund INFORMATION BOARD OF TRUSTEES Robert P. Bremner Lawrence H. Brown Anne E. Impellizzeri Peter R. Sawers William J. Schneider Timothy R. Schwertfeger Judith M. Stockdale FUND MANAGER Nuveen Advisory Corp. 333 West Wacker Drive Chicago, IL 60606 CUSTODIAN State Street Bank & Trust Boston, MA TRANSFER AGENT AND SHAREHOLDER SERVICES State Street Bank & Trust Nuveen Funds P.O. Box 43071 Providence, RI 02940-3071 (800) 257-8787 LEGAL COUNSEL Morgan, Lewis & Bockius LLP Washington, D.C. INDEPENDENT AUDITORS Ernst & Young LLP Chicago, IL POLICY CHANGE On November 14, 2002, the Board adopted a policy that allows these Funds, in addition to investments in municipal bonds, to invest up to 5% of its net assets (including assets attributable to preferred shares, if any) in tax-exempt or taxable fixed-income securities or equity securities for the purpose of acquiring control of an issuer whose municipal bonds (a) the Fund already owns and (b) have deteriorated or are expected shortly to deteriorate significantly in credit quality, provided Nuveen Advisory determines that such investment should enable the Fund to better maximize the value of its existing investment in such issuer. This policy is a non-fundamental policy of each Fund which means that it can be changed at any time by the Board of Trustees without vote of the shareholders. 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 (including change in NAV and reinvested dividends) that would have been necessary on an annual basis to equal the investment's actual performance 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. Leverage-Adjusted Duration: Duration is a measure of a bond or bond fund's sensitivity to changes in interest rates. Generally, the longer a bond 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 generally longer than the duration of the actual portfolio of individual bonds that make up the Fund. 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 NAV is calculated by subtracting the liabilities of 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. - --------- 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 ended May 31, 2003. Any future repurchases will be reported to shareholders in the next annual or semiannual report. 65 Serving Investors FOR GENERATIONS 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. Managing $80 billion in assets, 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 tax-free 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. To learn more about the products and services Nuveen Investments offers and for a prospectus, where applicable, talk to your financial advisor, or call us at (800) 257-8787. Please read the information carefully before you invest. Distributed by NUVEEN INVESTMENTS, LLC | 333 West Wacker Drive | Chicago, Illinois 60606 | www.nuveen.com EAN-B-0503D ITEM 2. CODE OF ETHICS. Not applicable at this time. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable at this time. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable at this time. ITEMS 5-6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable to this registrant. ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) The registrant's principal executive officer and principal financial officer have concluded that the registrant's Disclosure Controls and Procedures are effective, based on our evaluation of such Disclosure Controls and Procedures as of a date within 90 days of the filing of this report on Form N-CSR. (b) There were no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of our evaluation. ITEM 10. EXHIBITS. File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a) 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. (b) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) in the exact form set forth below: Ex-99.CERT Attached hereto. (c) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Section 906 of the Sarbanes- Oxley Act of 2002. 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 Premium Income Municipal Fund ----------------------------------------------------------- By (Signature and Title)* /s/ Jessica R. Droeger ---------------------------------------------- Jessica R. Droeger Vice President and Secretary Date August 1, 2003 ------------------------------------------------------------------- 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 August 1, 2003 ------------------------------------------------------------------- By (Signature and Title)* /s/ Stephen D. Foy ---------------------------------------------- Stephen D. Foy Vice President and Controller (Principal Financial Officer) Date August 1, 2003 ------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 3 file002.txt CERTIFICATIONS Certification Pursuant to Section 302 of the Sarbanes-Oxley Act I, Gifford R. Zimmerman, certify that: 1. I have reviewed this report on Form N-CSR of Nuveen Massachusetts Premium Income 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; and 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 officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures 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) evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"); and c) presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, 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 in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and 6. The registrant's other certifying officers and I have indicated in this report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: August 1, 2003 ----------------------- /s/ Gifford R. Zimmerman --------------------- Chief Administrative Officer (principal executive officer) Certification Pursuant to Section 302 of the Sarbanes-Oxley Act I, Stephen D. Foy, certify that: 1. I have reviewed this report on Form N-CSR of Nuveen Massachusetts Premium Income 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; and 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 officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures 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) evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"); and c) presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, 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 in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and 6. The registrant's other certifying officers and I have indicated in this report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: August 1, 2003 ----------------------- /s/ Stephen D. Foy --------------------- Vice President and Controller (principal financial officer) EX-99.906CERT 4 file003.txt CERTIFICATIONS Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. I, Gifford R. Zimmerman, Chief Administrative Officer of Nuveen Massachusetts Premium Income Municipal Fund (the "Fund"), certify that: 1. The Form N-CSR of the Fund for the period ended May 31, 2003 (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. A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to Nuveen Massachusetts Premium Income Municipal Fund and will be retained by Nuveen Massachusetts Premium Income Municipal Fund and furnished to the Securities and Exchange Commission or its staff upon request. Date: August 1, 2003 ----------------------- /s/ Gifford R. Zimmerman --------------------- Chief Administrative Officer (chief executive officer) Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. I, Stephen D. Foy, Vice President and Controller of Nuveen Massachusetts Premium Income Municipal Fund (the "Fund"), certify that: 1. The Form N-CSR of the Fund for the period ended May 31, 2003 (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. A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to Nuveen Massachusetts Premium Income Municipal Fund and will be retained by Nuveen Massachusetts Premium Income Municipal Fund and furnished to the Securities and Exchange Commission or its staff upon request. Date: August 1, 2003 ----------------------- /s/ Stephen D. Foy --------------------- Vice President, Controller (Chief Financial Officer) -----END PRIVACY-ENHANCED MESSAGE-----