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 31 ------------------ Date of reporting period: May 31, 2004 ------------------ 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, 2004 NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND NTC NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND NFC NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 NGK NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 NGO NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND NMT NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND NMB NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND NGX NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND NOM Photo of: Man holding up small boy. Photo of: 2 women with 2 girls looking at seashells. 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 and follow the simple instructions, using the address sheet that accompanied this report as a guide. 2 You'll be taken to a page with several options. Select the NEW ENROLLMENT-CREATE screen and follow the simple instructions. 3 Click Submit. Confirm the information you just entered is correct, then click Submit again. 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. 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 Timothy R. Schwertfeger Chairman of the Board Photo of: Timothy R. Schwertfeger Sidebar text: WE THINK THAT MUNICIPAL BOND INVESTMENTS LIKE YOUR NUVEEN FUND CAN BE IMPORTANT BUILDING BLOCKS IN A WELL-BALANCED PORTFOLIO. Dear SHAREHOLDER I am very pleased to report that for the fiscal year ended May 31, 2004, your Nuveen Fund continued to provide you with attractive monthly tax-free income. While tax-free income is always welcome, we know that many shareholders are beginning to wonder whether interest rates will rise significantly, and whether that possibility should cause them to adjust that portion of their investment portfolios allocated to tax-free municipal bonds. We believe this is a question you should consider carefully with the help of a trusted financial advisor. In many cases, it may be more appropriate to focus on long-term goals and objectives rather than shorter-term market movements, and this is where a professional advisor may be able to help keep you focused on the larger objectives of your investment program. As you read through this report, please review the inside front cover and consider receiving future Fund reports and other Fund information by e-mail and the Internet. Not only will you be able to receive the information faster, but this also may help lower your Fund's expenses. Sign up is quick and easy. 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, 2004 1 Nuveen Municipal Closed-End Exchange-Traded Funds (NTC, NFC, NGK, NGO, NMT, NMB, NGX, NOM) Portfolio Managers' COMMENTS Portfolio managers Paul Brennan, Dan Solender and Scott Romans review the market environment, key investment strategies and the performance of these Nuveen Funds. Paul, who has 13 years of investment experience, has managed NTC since 1999, NFC since 2001, NGK and NGO since 2002, and NMT and NMB since 2003. With 12 years of investment experience, Dan assumed portfolio management responsibility for NGX in May 2004. Scott, who joined Nuveen in 2000, has managed NOM since November 2003. WHAT FACTORS AFFECTED THE U.S. ECONOMY AND MUNICIPAL MARKET DURING THE 12-MONTH REPORTING PERIOD ENDED MAY 31, 2004? During this reporting period, the U.S. economy demonstrated growing evidence of improvement in such key areas as employment, capital spending and industrial production. Indeed, during the third quarter of last year, the U.S. gross domestic product grew at an annualized rate of 8.2%, more than double the second quarter's performance and the fastest annualized quarterly growth rate in nearly 20 years. Although this rapid pace was not considered sustainable, the economy continued to turn in steady performance for the rest of the 12-month reporting period, expanding by an annualized 4.1% in the fourth quarter of 2003 and an annualized 3.9% in the first three months of 2004. Inflation also showed some signs of acceleration, driven mainly by higher energy and transportation costs, with the Consumer Price Index rising at a 5.1% rate (annualized) during the first five months of 2004. The combination of economic momentum and growing inflation concerns served as a catalyst for heightened volatility in the fixed-income markets. Although short-term interest rates remained at or near historical lows throughout this 12-month period, the long-term bond markets, including the municipal market, were increasingly driven by expectations that the Federal Reserve would move to increase interest rates and by speculation over the timing and extent of those increases. As one example, the yield on the Bond Buyer 25 Revenue Bond Index, a widely followed municipal bond index, rose from 4.83% at the beginning of the period to 5.50% by the middle of August 2003. The index yield then fell steadily over the next seven months to reach 4.73% by the middle of March 2004, before rising to 5.36% by the end of the reporting period. In general, municipal supply nationwide remained strong over the 12-month reporting period, with $384.8 billion in new bonds coming to market. This represented an increase of 2% over the preceding 12-month period. However, the pace of issuance slowed toward the end, with $147.8 billion in new municipal supply during the first five months of 2004, down 6% from January-May 2003. In May 2004 alone, volume decreased 9% from one year earlier. HOW ABOUT ECONOMIC AND MARKET CONDITIONS IN CONNECTICUT, MASSACHUSETTS AND MISSOURI? Connecticut's economy continued its struggle toward recovery during the period, hampered by weakness in the manufacturing sector and the relatively high cost of doing business in the state. Although Connecticut's per capita income was the highest in the nation, its state government also had the highest per capita debt, which has acted to constrain growth. However, Connecticut remains economically diverse, and the job picture continued to improve, with a May 2004 unemployment rate of 4.6%, down from 5.4% in May 2003 and below the national rate of 5.6%. Current estimates call for Connecticut to end fiscal 2004 with a budget surplus of between $50 million and $100 million. It is expected that these funds will be deposited into the rainy day fund, which was depleted during 2003's budget crisis. In July 2003, Moody's downgraded the state's debt to Aa3 from Aa2, citing Connecticut's fiscal difficulties, high debt levels and underfunded pension plans. On the other hand, in September 2003, Standard & Poor's maintained its AA rating on the state's debt and changed its outlook to stable from negative because of the 2 corrective actions taken to address fiscal problems. During the 12-month reporting period ended May 2004, Connecticut issued $6.4 billion in new municipal bonds, an increase of 12% over the previous 12-month period. Like Connecticut, Massachusetts continued to grapple with a sluggish economy, budget problems and a high debt burden. While the commonwealth's manufacturing sector continued to shed jobs, overall job losses abated during this reporting period. Massachusetts seemed positioned to benefit from increased federal defense spending and emerging signs of recovery in its healthcare, education, financial services and technology sectors. As of May 2004, Massachusetts unemployment was 5.2%, down from 5.8% a year earlier. In March 2004, Moody's reconfirmed its rating of Massachusetts' debt at Aa2 with a negative outlook, citing the ongoing budgetary pressures in the commonwealth. In the same month, S&P also affirmed its rating of AA- with a stable outlook. Massachusetts new municipal bond issuance during the 12 months ended May 2004 totaled $11.5 billion, down 15% from the previous 12 months. Missouri's economy also remained weak, especially in terms of job creation, after a deep manufacturing-led recession over the past two years. However, the state's financial operations continued to be well managed, and debt ratios were below average. Tax revenues in fiscal 2004 increased over the prior year, and the state's budget reserve fund was expected to be fully funded by the end of the current fiscal period. Missouri continued to feature a large and industrially diverse economy, including construction, wholesale trade, transportation, communications and utilities, which positioned the state to benefit as the U.S. economy strengthens. The biotech/life sciences industry has also emerged as a potential growth driver in the state. While any rebound in manufacturing is not expected to create many jobs, the employment scenario has become more positive with the end of deep layoffs, as reflected in the May 2004 unemployment rate of 5.1%, compared with 5.8% in May 2003. Municipal new issue supply in Missouri for the 12-month period ended May 2004 was $5.8 billion, down 9% compared with the prior 12 months. As of May 2004, Missouri's general obligation debt retained its rating of Aaa/AAA with stable outlooks from Moody's and Standard & Poor's, respectively. IN THIS ENVIRONMENT, WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THE 12 MONTHS ENDED MAY 31, 2004? As the market continued to anticipate rising interest rates, our major focus during this reporting period remained on trying to mitigate some of the interest rate risk inherent in each Fund's portfolio. Interest rate risk is the risk that the value of a Fund's portfolio will decline if market interest rates rise (since bond prices move in the opposite direction of interest rates). Since longer-term bonds often carry more interest rate risk than intermediate-term or short-term bonds, we concentrated on finding attractive securities with defensive structures in the long- intermediate part of the yield curve (i.e., bonds that mature in 15 to 20 years). In many cases, bonds in this part of the curve offered yields similar to those of longer-term bonds with less inherent interest rate risk and greater total return potential. The combination of tighter supply and lower yields over most of this period meant that the new issue market did not offer many uninsured bonds that we thought would perform better than those we already owned in our portfolios. At the same time, the supply of insured bonds was more plentiful, allowing us to adjust NGX's portfolio in ways that we thought would better position the Fund going forward. When we did find attractive bonds, especially for the Connecticut and uninsured Massachusetts Funds, we sought to diversify the Funds' holdings with purchases of higher-rated general obligation bonds and other tax-backed securities. In addition, some of the Funds made purchases in the healthcare sector, where improvements in cost containment and reimbursement practices have helped the sector's long-term outlook. Some of these additions were financed through the sale of bonds with longer maturities or with proceeds from bond calls, 3 while in other cases we sold bonds that had become advanced refunded but were not yet called. For NGX, our efforts during the first half of this period also focused largely on enhancing diversification as an additional way of reducing risk following the Fund's initial investing period. As part of this, we decreased our allocation of tax-backed securities, healthcare and multifamily housing, and added to our holdings in the education and water and sewer sectors. We also worked to enhance and support NGX's income stream by adding longer bonds priced near par to the Fund's portfolio. NOM had a significant holding of AAA/U.S. Guaranteed rated bonds at the beginning of this period, and we sought more diversity by looking for lower-rated investment-grade securities. Among the higher credit quality bonds we sold were a number of prerefunded and escrowed bonds. The proceeds from these bonds were reallocated to limited tax obligation and healthcare bonds. HOW DID THE FUNDS PERFORM? Individual results for the Funds, as well as for relevant benchmarks, are presented in the accompanying table. TOTAL RETURNS ON NET ASSET VALUE For periods ended 5/31/04 (Annualized) 1-YEAR 5-YEAR 10-YEAR -------------------------------------------------------------- NTC -0.51% 6.31% 7.64% -------------------------------------------------------------- NFC -0.56% NA NA -------------------------------------------------------------- NGK -1.48% NA NA -------------------------------------------------------------- NGO -2.08% NA NA -------------------------------------------------------------- NMT -0.51% 5.53% 7.19% -------------------------------------------------------------- NMB -1.03% NA NA -------------------------------------------------------------- NOM -1.00% 6.15% 7.30% -------------------------------------------------------------- Lehman Brothers Municipal Bond Index1 -0.03% 5.49% 6.33% -------------------------------------------------------------- -------------------------------------------------------------- NGX -2.18% NA NA -------------------------------------------------------------- Lehman Brothers Insured Municipal Bond Index1 -0.39% 5.73% 6.54% -------------------------------------------------------------- Lipper Other States Municipal Debt Funds Average2 -0.99% 5.95% 7.16% -------------------------------------------------------------- Past performance is not predictive of future results. For additional information, see the individual Performance Overview for your Fund in this report. For the 12 months ended May 31, 2004, the total returns on net asset value (NAV) for all seven of the uninsured Funds in this report underperformed the return on the Lehman Brothers Municipal Bond Index. NGX, an insured Fund, trailed the Lehman Brothers Insured Municipal Bond Index. NTC, NFC and NMT outperformed the Lipper Other States peer group, while NMB and NOM performed in line with this Lipper average. NGK, NGO, and NGX underperformed the Lipper group average. One of the primary factors affecting the 12-month performance of each of these Funds compared with that of the unleveraged Lehman index was the Funds' use of leverage. Leveraging can provide opportunities for additional income and total return for common shareholders, but it is a strategy that adds volatility to the Funds' NAVs and share prices, especially when interest rates move significantly. While each of these Funds was able to generate additional income over this period through the use of leverage, rising interest rates caused larger declines in each Fund's NAV than would have been the case had the Fund not used leverage. This had a direct and negative effect on total returns over this period. On the positive side, the Funds' performances were helped by their holdings of lower-rated investment-grade quality bonds, which outperformed higher-rated bonds as the economy improved and investors' risk tolerance increased. For example, despite its relatively high concentration of AAA rated bonds, NOM benefited from having 3% of its portfolio in Baa2 rated bonds issued for Maryville University of St. Louis. In the other uninsured Funds, allocations of BBB rated bonds as of May 31, 2004, ranged from 14% in NFC to 13% in NMB, 10% in NGO, 9% in NTC, 8% in NGK and NMT, and 7% in NOM. Although NGX is an insured Fund, it is allowed to invest up to 20% of its portfolio in uninsured investment-grade securities. This Fund had 1% of its portfolio in BBB rated bonds as of May 31, 2004. Several Funds also benefited from their callable bond holdings in the housing sector, especially 1 The Lehman Brothers Municipal Bond Index is an unleveraged, unmanaged national index comprising a broad range of investment-grade municipal bonds, while the Lehman Brothers Insured Municipal Bond Index is an unleveraged, unmanaged national index consisting of a broad range of insured municipal bonds. Results for the Lehman indexes do not reflect any expenses. 2 The Lipper Other States Municipal Debt Funds category average is calculated using the returns of all closed-end exchange-traded funds in this category for each period as follows: 1 year, (44 funds); 5 years, (19 funds); and 10 years, (17 funds). Fund and Lipper returns assume reinvestment of dividends. 4 multifamily housing. While call exposure is a factor that we generally work to reduce in order to protect the Funds' income streams, many callable bonds have reduced interest rate risk and tended to perform well late in this reporting period as interest rates rose. Other holdings making positive contributions to the Connecticut Funds' total returns during this reporting period were bonds backed by revenues from the 1998 master tobacco settlement agreement. For NGX, its relative underperformance was due to its large holdings of bonds with long maturities and durations (see the inside back cover for a definition of leverage-adjusted duration). These bonds provided attractive income, but their prices are more vulnerable to rises in interest rates than bonds with shorter maturities. HOW ABOUT THE FUNDS' DIVIDENDS AND SHARE PRICES? With short-term interest rates remaining at historically low levels during this reporting period, the leveraged structures of these eight Funds continued to support their dividend-paying capabilities. The extent of this benefit is tied in part to the short-term rates the Funds pay their MuniPreferred(R) shareholders. During periods of low short-term rates, the Funds generally pay relatively lower dividends to their MuniPreferred shareholders, which can leave more earnings to support common share dividends. During this reporting period, this strategy enabled us to implement two dividend increases in NGK and NMB, one increase in NFC and NOM, and maintain the dividends of NTC, NGO, NMT and NGX throughout the period. All of these Funds seek to pay stable dividends at rates that reflect each Fund's past results and projected future performance. During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund's NAV. Each Fund will, over time, pay all of its net investment income as dividends to shareholders. As of May 31, 2004, all of the Funds in this report except NGX had positive UNII balances. NMT, NMB and NOM were trading at premiums to their net asset values as of May 31, 2004. The other five Funds were trading at discounts. As of the end of the fiscal year, all eight Funds were trading at smaller premiums or greater discounts than their average premium or discount over the course of the 12-month period. HOW WERE THE FUNDS POSITIONED IN TERMS OF CREDIT QUALITY AND BOND CALLS AS OF MAY 31, 2004? Given the current geopolitical and economic climate, we continued to believe that maintaining strong credit quality was an important requirement. As of the end of May 2004, the seven uninsured Funds continued to offer excellent credit quality, with allocations of bonds rated AAA/U.S. guaranteed and AA ranging from 88% in both NTC and NGK to 85% in NGO, 84% in NMB, 83% in NOM, 81% in NMT and 76% in NFC. NGX, which is allowed to invest up to 20% in uninsured investment-grade quality securities, held 83% of its portfolio in insured bonds as of May 31, 2004. As of May 31, 2004, potential call exposure for these Funds during 2004-2005 ranged from 1% in NMB, 2% in NGX, 3% in NGK and NOM, and 4% in NFC and NGO to 10% in NTC and NMT. The number of actual bond calls in all of the Funds will depend largely on market interest rates. 5 Nuveen Connecticut Premium Income Municipal Fund Performance OVERVIEW As of May 31, 2004 NTC Pie chart: CREDIT QUALITY AAA/U.S. Guaranteed 74% AA 14% A 2% BBB 9% N/R 1% FUND SNAPSHOT -------------------------------------------------- Share Price $14.47 -------------------------------------------------- Common Share Net Asset Value $14.60 -------------------------------------------------- Premium/(Discount) to NAV -0.89% -------------------------------------------------- Market Yield 6.10% -------------------------------------------------- Taxable-Equivalent Yield1 8.91% -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $77,725 -------------------------------------------------- Average Effective Maturity (Years) 17.91 -------------------------------------------------- Leverage-Adjusted Duration 8.73 -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) -------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------- 1-Year -10.80% -0.51% -------------------------------------------------- 5-Year 2.49% 6.31% -------------------------------------------------- 10-Year 6.60% 7.64% -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) -------------------------------------------------- Education and Civic Organizations 26% -------------------------------------------------- Tax Obligation/General 18% -------------------------------------------------- Tax Obligation/Limited 13% -------------------------------------------------- Water and Sewer 9% -------------------------------------------------- Healthcare 8% -------------------------------------------------- Bar chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.0735 Jul 0.0735 Aug 0.0735 Sep 0.0735 Oct 0.0735 Nov 0.0735 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. 5/31/03 17.14 17.2 17.25 16.67 17.05 17.2 17.02 16.82 16.77 15.88 15.52 15.35 15.74 15.78 15.71 15.7 15.82 16.2 16.4 16.45 16.32 16.29 16.11 16.34 16.25 16.39 16.15 16.39 16.45 16.65 16.89 16.91 16.55 16.52 16.58 16.7 16.77 16.58 16.6 16.37 15.9 15.3 14.84 14.39 14.2 13.75 13.89 14.44 5/31/04 14.47 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 6 Nuveen Connecticut Dividend Advantage Municipal Fund Performance OVERVIEW As of May 31, 2004 NFC Pie chart: CREDIT QUALITY AAA/U.S. Guaranteed 60% AA 16% A 9% BBB 14% N/R 1% FUND SNAPSHOT -------------------------------------------------- Share Price $14.12 -------------------------------------------------- Common Share Net Asset Value $14.56 -------------------------------------------------- Premium/(Discount) to NAV -3.02% -------------------------------------------------- Market Yield 6.33% -------------------------------------------------- Taxable-Equivalent Yield1 9.24% -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $37,238 -------------------------------------------------- Average Effective Maturity (Years) 18.45 -------------------------------------------------- Leverage-Adjusted Duration 10.32 -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/01) -------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------- 1-Year -8.64% -0.56% -------------------------------------------------- Since Inception 3.55% 6.32% -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) -------------------------------------------------- Education and Civic Organizations 21% -------------------------------------------------- Tax Obligation/General 20% -------------------------------------------------- U.S. Guaranteed 13% -------------------------------------------------- Utilities 11% -------------------------------------------------- Tax Obligation/Limited 11% -------------------------------------------------- Bar chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.0715 Jul 0.0715 Aug 0.0715 Sep 0.0745 Oct 0.0745 Nov 0.0745 Dec 0.0745 Jan 0.0745 Feb 0.0745 Mar 0.0745 Apr 0.0745 May 0.0745 Line chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 5/31/03 16.35 16.6 16.44 16.5 16.4 16.57 16.28 16.3 14.95 15.24 15.04 15 14.91 15.39 15.21 15.33 15.55 15.64 15.85 15.75 16.05 16.16 16.21 16.1 16.13 15.81 15.8 16.16 16.06 16.37 16.38 16.54 16.55 16.4 16.4 16.6 16.94 16.55 16.5 16.37 16.22 15.93 15.65 14.85 14.45 13.68 13.94 13.87 5/31/04 14.12 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 7 Nuveen Connecticut Dividend Advantage Municipal Fund 2 Performance OVERVIEW As of May 31, 2004 NGK Pie chart: CREDIT QUALITY AAA/U.S. Guaranteed 68% AA 20% A 4% BBB 8% FUND SNAPSHOT -------------------------------------------------- Share Price $14.14 -------------------------------------------------- Common Share Net Asset Value $15.01 -------------------------------------------------- Premium/(Discount) to NAV -5.80% -------------------------------------------------- Market Yield 6.24% -------------------------------------------------- Taxable-Equivalent Yield1 9.11% -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $34,646 -------------------------------------------------- Average Effective Maturity (Years) 17.30 -------------------------------------------------- Leverage-Adjusted Duration 9.96 -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 3/25/02) -------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------- 1-Year -4.65% -1.48% -------------------------------------------------- Since Inception 3.07% 8.21% -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) -------------------------------------------------- Tax Obligation/General 31% -------------------------------------------------- Education and Civic Organizations 23% -------------------------------------------------- U.S. Guaranteed 11% -------------------------------------------------- Utilities 7% -------------------------------------------------- Water and Sewer 7% -------------------------------------------------- Bar chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Jun 0.0705 Jul 0.0705 Aug 0.0705 Sep 0.072 Oct 0.072 Nov 0.072 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. 5/31/03 15.8 16.55 16.69 16.69 16.46 16.7 16.25 15.71 14.98 15.01 14.55 14.33 14.43 14.87 14.93 15.3 15.31 15.38 15.71 15.65 15.75 15.84 15.5 15.7 15.52 15.5 15.59 15.57 16.25 16.42 16.43 16.6 16.19 16.35 16.38 16.3 16.4 16.43 16.71 16.46 16.28 15.9 15.25 14.69 14.39 13.7 13.37 14.15 5/31/04 14.14 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 2 The Fund also paid shareholders a capital gains distribution in December 2003 of $0.1161 per share. 8 Nuveen Connecticut Dividend Advantage Municipal Fund 3 Performance OVERVIEW As of May 31, 2004 NGO Pie chart: CREDIT QUALITY AAA/U.S. Guaranteed 72% AA 13% A 5% BBB 10% FUND SNAPSHOT -------------------------------------------------- Share Price $13.00 -------------------------------------------------- Common Share Net Asset Value $13.97 -------------------------------------------------- Premium/(Discount) to NAV -6.94% -------------------------------------------------- Market Yield 6.00% -------------------------------------------------- Taxable-Equivalent Yield1 8.76% -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $60,774 -------------------------------------------------- Average Effective Maturity (Years) 18.11 -------------------------------------------------- Leverage-Adjusted Duration 10.93 -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 9/26/02) -------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------- 1-Year -8.92% -2.08% -------------------------------------------------- Since Inception -3.34% 3.65% -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) -------------------------------------------------- Tax Obligation/General 25% -------------------------------------------------- Tax Obligation/Limited 19% -------------------------------------------------- Education and Civic Organizations 12% -------------------------------------------------- U.S. Guaranteed 10% -------------------------------------------------- Long-Term Care 9% -------------------------------------------------- Bar chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.065 Jul 0.065 Aug 0.065 Sep 0.065 Oct 0.065 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. 5/31/03 15.09 15.2 15.23 15.25 14.94 15.35 15.15 14.37 13.35 13.62 13.35 13.45 13.42 13.66 13.95 13.83 14 14.29 14.2 14 13.91 13.76 13.69 13.84 13.66 13.56 13.62 13.85 14.18 14.36 14.43 14.39 14.48 14.89 14.81 14.91 14.86 14.99 15.12 14.92 14.92 14.05 13.88 13.33 13.22 12.68 12.6 12.69 5/31/04 13 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 9 Nuveen Massachusetts Premium Income Municipal Fund Performance OVERVIEW As of May 31, 2004 NMT Pie chart: CREDIT QUALITY AAA/U.S. Guaranteed 65% AA 16% A 9% BBB 8% N/R 2% FUND SNAPSHOT -------------------------------------------------- Share Price $14.35 -------------------------------------------------- Common Share Net Asset Value $14.34 -------------------------------------------------- Premium/(Discount) to NAV 0.07% -------------------------------------------------- Market Yield 6.15% -------------------------------------------------- Taxable-Equivalent Yield1 9.04% -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $67,806 -------------------------------------------------- Average Effective Maturity (Years) 17.38 -------------------------------------------------- Leverage-Adjusted Duration 10.63 -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 3/18/93) -------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------- 1-Year -9.51% -0.51% -------------------------------------------------- 5-Year 3.37% 5.53% -------------------------------------------------- 10-Year 7.27% 7.19% -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) -------------------------------------------------- Education and Civic Organizations 25% -------------------------------------------------- Tax Obligation/General 20% -------------------------------------------------- Healthcare 13% -------------------------------------------------- Housing/Multifamily 11% -------------------------------------------------- U.S. Guaranteed 8% -------------------------------------------------- Bar chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.0735 Jul 0.0735 Aug 0.0735 Sep 0.0735 Oct 0.0735 Nov 0.0735 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. 5/31/03 16.8 16.95 16.54 16.14 16.22 16.6 16.48 15.39 14.15 14.54 14.3 14.5 14.36 14.8 15.05 15.37 15.3 15.17 14.99 14.93 15.4 15.22 15 15.36 15.65 15.88 15.56 15.5 15.55 15.73 16.08 15.85 16.1 16.15 16.05 15.93 15.92 16.25 16.01 16.04 16.08 15.59 14.75 15.01 14.47 14.82 14.2 14.08 5/31/04 14.35 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 10 Nuveen Massachusetts Dividend Advantage Municipal Fund Performance OVERVIEW As of May 31, 2004 NMB Pie chart: CREDIT QUALITY AAA/U.S. Guaranteed 63% AA 21% A 3% BBB 13% FUND SNAPSHOT -------------------------------------------------- Share Price $14.88 -------------------------------------------------- Common Share Net Asset Value $14.84 -------------------------------------------------- Premium/(Discount) to NAV 0.27% -------------------------------------------------- Market Yield 6.25% -------------------------------------------------- Taxable-Equivalent Yield1 9.19% -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $28,904 -------------------------------------------------- Average Effective Maturity (Years) 19.80 -------------------------------------------------- Leverage-Adjusted Duration 9.72 -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 1/30/01) -------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------- 1-Year -3.74% -1.03% -------------------------------------------------- Since Inception 5.54% 7.30% -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) -------------------------------------------------- Tax Obligation/General 23% -------------------------------------------------- Education and Civic Organizations 21% -------------------------------------------------- Tax Obligation/Limited 12% -------------------------------------------------- Healthcare 11% -------------------------------------------------- Housing/Multifamily 9% -------------------------------------------------- Bar chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Jun 0.0745 Jul 0.0745 Aug 0.0745 Sep 0.0765 Oct 0.0765 Nov 0.0765 Dec 0.0775 Jan 0.0775 Feb 0.0775 Mar 0.0775 Apr 0.0775 May 0.0775 Line chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 5/31/03 16.45 16.5 16.64 16.46 16.5 17 16.78 16.96 15.8 15.52 15.19 14.85 15.07 14.99 14.96 15.28 15.3 15.43 15.5 15.32 15.6 15.76 15.75 16 15.9 16.11 16.27 16.52 16.88 16.77 16.83 16.74 16.65 16.65 16.62 16.69 16.45 16.45 16.73 16.58 16.31 16.06 16.55 15.76 15.55 15.05 15.25 14.63 5/31/04 14.88 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 2 The Fund also paid shareholders a capital gains distribution in December 2003 of $0.0789 per share. 11 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund Performance OVERVIEW As of May 31, 2004 NGX Pie chart: CREDIT QUALITY Insured 83% AAA (uninsured) 3% AA (uninsured) 9% A (uninsured) 4% BBB (uninsured) 1% FUND SNAPSHOT -------------------------------------------------- Share Price $13.90 -------------------------------------------------- Common Share Net Asset Value $14.04 -------------------------------------------------- Premium/(Discount) to NAV -1.00% -------------------------------------------------- Market Yield 6.22% -------------------------------------------------- Taxable-Equivalent Yield1 9.15% -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $38,121 -------------------------------------------------- Average Effective Maturity (Years) 21.98 -------------------------------------------------- Leverage-Adjusted Duration 15.87 -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 11/21/02) -------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------- 1-Year -6.83% -2.18% -------------------------------------------------- Since Inception 0.22% 4.34% -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) -------------------------------------------------- Tax Obligation/General 21% -------------------------------------------------- Tax Obligation/Limited 21% -------------------------------------------------- Education and Civic Organizations 18% -------------------------------------------------- U.S. Guaranteed 12% -------------------------------------------------- Housing/Multifamily 9% -------------------------------------------------- Bar chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Jun 0.072 Jul 0.072 Aug 0.072 Sep 0.072 Oct 0.072 Nov 0.072 Dec 0.072 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. 5/31/03 15.78 15.98 16.43 16.3 16.44 16.7 16.45 15.6 15.26 15.45 15.45 15.27 14.85 14.9 14.92 14.86 15.2 15.33 15.23 15.24 15.4 15.38 15.59 15.86 15.77 15.9 16.05 16.42 16.77 16.4 16.5 16.52 16.19 16.83 16.79 16.8 16.5 16.58 16.83 16.83 16.93 16.2 15.16 15.33 15.1 14 13.15 13.51 5/31/04 13.9 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 2 The Fund also paid shareholders a capital gains distribution in December 2003 of $0.0148 per share. 12 Nuveen Missouri Premium Income Municipal Fund Performance OVERVIEW As of May 31, 2004 NOM Pie chart: CREDIT QUALITY AAA/U.S. Guaranteed 62% AA 21% A 3% BBB 7% N/R 7% FUND SNAPSHOT -------------------------------------------------- Share Price $15.15 -------------------------------------------------- Common Share Net Asset Value $14.37 -------------------------------------------------- Premium/(Discount) to NAV 5.43% -------------------------------------------------- Market Yield 5.82% -------------------------------------------------- Taxable-Equivalent Yield1 8.62% -------------------------------------------------- Net Assets Applicable to Common Shares ($000) $32,231 -------------------------------------------------- Average Effective Maturity (Years) 16.93 -------------------------------------------------- Leverage-Adjusted Duration 9.32 -------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) -------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------- 1-Year -5.35% -1.00% -------------------------------------------------- 5-Year 6.95% 6.15% -------------------------------------------------- 10-Year 8.08% 7.30% -------------------------------------------------- TOP FIVE SECTORS (as a % of total investments) -------------------------------------------------- Tax Obligation/Limited 23% -------------------------------------------------- Healthcare 22% -------------------------------------------------- Tax Obligation/General 20% -------------------------------------------------- U.S. Guaranteed 6% -------------------------------------------------- Education and Civic Organizations 6% -------------------------------------------------- Bar chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.0725 Jul 0.0725 Aug 0.0725 Sep 0.0735 Oct 0.0735 Nov 0.0735 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. 5/31/03 16.87 16.99 16.95 16.8 16.89 16.95 17.32 17.26 16.66 16.21 16.1 16.24 16.39 16.33 16.08 16.25 16.15 16.3 16.35 16.3 16.33 16.7 16.65 16.75 17 17.25 17.1 17.13 17.04 16.89 17.15 16.81 17.2 17.26 17.88 17.8 17.73 18 18.5 18.23 18.25 17.3 16.65 16.4 16.15 15.8 14.9 14.9 5/31/04 15.15 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32.5%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 13 Report of INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 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, 2004, 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 the standards of the Public Company Accounting Oversight Board (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, 2004, 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, 2004, and the results of their operations, changes in their net assets and their financial highlights for the periods indicated therein in conformity with U.S. generally accepted accounting principles. Ernst & Young LLP Chicago, Illinois July 9, 2004 14 Nuveen Connecticut Premium Income Municipal Fund (NTC) Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 1.8% $ 1,625 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 1,390,610 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 37.7% Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education Loan Program, Series 1996A: 860 5.800%, 11/15/14 (Alternative Minimum Tax) - AMBAC Insured 11/06 at 102.00 AAA 867,026 545 5.875%, 11/15/17 (Alternative Minimum Tax) - AMBAC Insured 11/06 at 102.00 AAA 549,529 545 Connecticut Higher Education Supplemental Loan Authority, 11/09 at 102.00 AAA 567,301 Revenue Bonds, Family Education Loan Program, Series 1999A, 6.000%, 11/15/18 (Alternative Minimum Tax) - AMBAC Insured 900 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 922,014 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 (Alternative Minimum Tax) - MBIA Insured 2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/06 at 102.00 AAA 2,144,140 Bonds, Trinity College, Series 1996E, 5.875%, 7/01/26 - MBIA Insured 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/06 at 102.00 AAA 1,596,465 Bonds, Loomis Chaffee School, Series 1996C, 5.500%, 7/01/16 - MBIA Insured 1,900 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 102.00 AAA 1,919,779 Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 2,920 Connecticut Health and Educational Facilities Authority, Revenue 7/07 at 102.00 AAA 3,111,231 Bonds, Connecticut College, Series 1997C-1, 5.500%, 7/01/20 - MBIA Insured 2,525 Connecticut Health and Educational Facilities Authority, Revenue 11/12 at 100.00 AAA 2,683,595 Bonds, Connecticut State University System, Series 2003E, 5.000%, 11/01/15 - FGIC Insured 1,250 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 AAA 1,272,513 Bonds, Fairfield University, Series 1999I, 5.250%, 7/01/25 - MBIA Insured 750 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 789,623 Bonds, Horace Bushnell Memorial Hall Issue, Series 1999A, 5.625%, 7/01/29 - MBIA Insured 500 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AAA 501,245 Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 - AMBAC Insured 650 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 682,630 Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 450 Connecticut Health and Educational Facilities Authority, Revenue 3/11 at 101.00 AAA 450,914 Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 1,973,860 Bonds, University of Hartford Issue, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,510,080 Bonds, Yale University Issue, Series 2002W, 5.125%, 7/01/27 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 1,473,345 Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 925 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 926,628 Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 - MBIA Insured 1,000 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 1,065,600 Bonds, Series 2002A, 5.250%, 11/15/19 - FGIC Insured 1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,140,843 Series 2003A, 5.125%, 2/15/21 - MBIA Insured University of Connecticut, General Obligation Bonds, Series 2004A: 1,000 5.000%, 1/15/18 - MBIA Insured 1/14 at 100.00 AAA 1,049,440 2,000 5.000%, 1/15/19 - MBIA Insured 1/14 at 100.00 AAA 2,086,100 15 Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued) Portfolio of INVESTMENTS May 31, 2004 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 11.2% $ 2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa $ 2,007,600 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/07 at 102.00 AAA 1,050,480 Revenue Bonds, William W. Backus Hospital, Series 1997D, 5.750%, 7/01/27 - AMBAC Insured 3,000 Connecticut Health and Educational Facilities Authority, 7/07 at 101.00 Aaa 3,013,590 Revenue Refunding Bonds, Middlesex Health Services, Series 1997H, 5.125%, 7/01/27 - MBIA Insured 2,000 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 AA 2,123,580 Revenue Bonds, Eastern Connecticut Health Network Issue, Series 2000A, 6.000%, 7/01/25 - RAAI Insured 500 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 520,985 Revenue Bonds, Bristol Hospital Issue, Series 2002B, 5.500%, 7/01/21 - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 4.8% 1,000 Connecticut Housing Finance Authority, Housing Mortgage 12/09 at 100.00 AAA 1,037,440 Finance Program Bonds, Series 1999D-2, 6.200%, 11/15/41 (Alternative Minimum Tax) 690 Waterbury Nonprofit Housing Corporation, Connecticut, 7/04 at 100.00 AAA 691,663 FHA-Insured Section 8 Mortgage Revenue Bonds, Fairmount Heights Project, Series 1993A, 6.500%, 7/01/07 - MBIA Insured 1,885 Williamantic Housing Authority, Connecticut, GNMA 10/05 at 105.00 AAA 2,013,519 Collateralized Mortgage Loan Multifamily Housing Revenue Bonds, Village Heights Apartments Project, Series 1995A, 8.000%, 10/20/30 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 3.2% 500 Connecticut Housing Finance Authority, Housing Mortgage 5/10 at 100.00 AAA 506,495 Finance Program Bonds, Series 2001A-1, 5.250%, 11/15/28 25 Connecticut Housing Finance Authority, Housing Mortgage 5/10 at 100.00 AAA 25,350 Finance Program Bonds, Series 2001A-2, 5.450%, 5/15/32 (Alternative Minimum Tax) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,007,260 Finance Program Bonds, Series 2001C, 5.300%, 11/15/33 (Alternative Minimum Tax) 945 Connecticut Housing Finance Authority, Housing Mortgage 5/12 at 100.00 AAA 953,392 Finance Program Bonds, Series 2001D-2, 5.350%, 11/15/32 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 7.7% 1,300 Connecticut Health and Educational Facilities Authority, 8/08 at 102.00 AAA 1,303,640 FHA-Insured Mortgage Revenue Bonds, Hebrew Home and Hospital, Series 1999B, 5.200%, 8/01/38 750 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 751,440 Revenue Healthcare Refunding Bonds, Church Homes, Inc., Congregational Avery Heights Project, Series 1997, 5.700%, 4/01/12 615 Connecticut Development Authority, First Mortgage Gross 9/09 at 102.00 AA 647,890 Revenue Healthcare Refunding Bonds, Connecticut Baptist Homes, Inc. Project, Series 1999, 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 1,019,980 1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 1,014,770 Connecticut Development Authority, Health Facility Revenue Refunding Bonds, Alzheimer's Resource Center of Connecticut, Inc. Project, Series 1994A: 245 6.875%, 8/15/04 No Opt. Call N/R 245,012 1,000 7.000%, 8/15/09 8/04 at 102.00 N/R 1,003,500 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 26.1% 750 Bridgeport, Connecticut, General Obligation Refunding Bonds, 8/12 at 100.00 Aaa 802,193 Series 2002A, 5.375%, 8/15/19 - FGIC Insured 1,000 Bridgeport, Connecticut, General Obligation Bonds, 9/13 at 100.00 AAA 1,032,980 Series 2003A, 5.250%, 9/15/23 - FSA Insured Cheshire, Connecticut, General Obligation Bonds, Issue of 1999: 660 5.625%, 10/15/16 10/09 at 101.00 Aa3 721,994 660 5.625%, 10/15/17 10/09 at 101.00 Aa3 720,779 2,000 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA 2,149,940 5.500%, 6/15/21 1,500 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,596,945 5.375%, 4/15/19 1,110 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 1,129,358 5.000%, 4/01/23 - FGIC Insured 16 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) $ 1,000 Hartford, Connecticut, General Obligation Bonds, Series 2000, 6/10 at 102.00 AAA $ 1,064,430 5.500%, 6/15/20 - FGIC Insured 400 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 A 416,644 Series 2000A, 6.000%, 6/01/20 - ACA Insured 500 Puerto Rico, Public Improvement General Obligation Refunding 7/11 at 100.00 AAA 504,500 Bonds, Series 2001, 5.125%, 7/01/30 - FSA Insured 1,500 Puerto Rico, Public Improvement General Obligation Refunding No Opt. Call AAA 1,671,300 Bonds, Series 2002A, 5.500%, 7/01/20 - MBIA Insured Regional School District 16, Beacon Falls and Prospect, Connecticut, General Obligation Bonds, Series 2000: 350 5.500%, 3/15/18 - FSA Insured 3/10 at 101.00 Aaa 377,797 350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 379,922 350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aaa 378,760 1,420 Regional School District 16, Connecticut, General Obligation 3/13 at 101.00 Aaa 1,515,680 Bonds, Series 2003, 5.000%, 3/15/16 - AMBAC Insured 2,105 Stratford, Connecticut, General Obligation Bonds, Series 2002, 2/12 at 100.00 AAA 2,075,130 4.000%, 2/15/15 - FSA Insured 1,000 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 1,077,830 Series 2002A, 5.375%, 4/01/17 - FSA Insured 965 Waterbury, Connecticut, General Obligation Tax Revenue 2/09 at 101.00 AA 1,046,388 Intercept Bonds, Series 2000, 6.000%, 2/01/19 - RAAI Insured 1,630 Westport, Connecticut, General Obligation Bonds, Series 2003, 2/12 at 100.00 Aaa 1,655,575 4.750%, 2/01/19 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 19.4% 1,900 Capitol Region Education Council, Connecticut, Revenue Bonds, 10/05 at 102.00 BBB 1,988,996 Series 1995, 6.700%, 10/15/10 2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 102.00 AAA 2,106,320 Revenue Bonds, Child Care Facilities Program, Series 1999C, 5.625%, 7/01/29 - AMBAC Insured 1,000 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 1,076,030 Purpose Bonds, Series 2002A, 5.375%, 7/01/19 - FSA Insured Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: 2,000 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,066,600 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,029,740 500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 508,555 Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 1,700 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AA- 1,987,487 Purpose Bonds, Series 1991B, 6.500%, 10/01/10 2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 8/12 at 100.00 AAA 2,121,600 5.250%, 8/01/21 - FSA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 1,114,700 Loan Notes, Series 1999A, 6.500%, 10/01/24 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/14 at 100.00 AAA 1,068,670 Loan Notes, Series 2003, 5.250%, 10/01/19 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 2.3% 750 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AAA 739,155 International Airport, Series 2001A, 5.125%, 10/01/26 (Alternative Minimum Tax) - FGIC Insured 1,000 Hartford, Connecticut, Parking System Revenue Bonds, 7/10 at 100.00 Baa2 1,031,600 Series 2000A, 6.400%, 7/01/20 ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 9.4% 1,500 Bridgeport, Connecticut, General Obligation Bonds, 7/10 at 101.00 AAA 1,729,635 Series 2000A, 6.000%, 7/15/19 (Pre-refunded to 7/15/10) - FGIC Insured 1,060 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 1,140,443 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded to 7/01/10) 40 Connecticut, General Obligation Bonds, Series 1993E, No Opt. Call AA*** 46,329 6.000%, 3/15/12 1,000 Connecticut, Special Tax Obligation Transportation 12/09 at 101.00 AAA 1,128,240 Infrastructure Purpose Bonds, Series 1999A, 5.625%, 12/01/19 (Pre-refunded to 12/01/09) - FGIC Insured 17 Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued) Portfolio of INVESTMENTS May 31, 2004 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (continued) $ 1,000 Connecticut, Second Injury Fund, Special Assessment Revenue 1/11 at 101.00 AAA $ 1,106,720 Bonds, Series 2000A, 5.250%, 1/01/14 (Pre-refunded to 1/01/11) - FSA Insured 1,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 1,123,490 5.500%, 10/01/20 (Pre-refunded to 10/01/11) 1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,050,700 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 9.8% 1,500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 A3 1,559,565 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 2,255 Connecticut Resources Recovery Authority, Resource Recovery 11/04 at 100.00 AAA 2,277,415 Revenue Bonds, American REF-FUEL Company of Southeastern Connecticut Project, Series 1989A, 7.700%, 11/15/11 - MBIA Insured 1,750 Connecticut Resources Recovery Authority, Corporate Credit 12/11 at 102.00 Baa2 1,783,723 Resource Recovery Revenue Bonds, American REF-FUEL Company of Southeastern Connecticut, I Series 2001A, 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) 7/04 at 101.00 BBB 396,051 1,590 5.500%, 1/01/20 (Alternative Minimum Tax) 7/04 at 101.00 BBB 1,574,005 ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 13.6% 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,258,980 Series 2003A, 5.000%, 10/01/16 1,500 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 1,637,880 Series 2003B, 5.000%, 10/01/12 1,400 Connecticut Development Authority, Water Facilities Revenue 6/04 at 101.00 AAA 1,416,772 Refunding Bonds, Bridgeport Hydraulic Company Project, Series 1993B, 5.500%, 6/01/28 - MBIA Insured 2,500 Connecticut Development Authority, Water Facilities Revenue 9/06 at 102.00 AAA 2,684,675 Bonds, Bridgeport Hydraulic Company Project, Series 1996, 6.000%, 9/01/36 (Alternative Minimum Tax) - AMBAC Insured 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 1,035,280 1,525 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,527,665 1,000 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 990,240 Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 ------------------------------------------------------------------------------------------------------------------------------------ $ 109,700 Total Long-Term Investments (cost $111,198,648) - 147.0% 114,237,503 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.3% 1,787,626 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.3)% (38,300,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 77,725,129 ==================================================================================================================== (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 registered public accounting firm): 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 registered public accounting firm): 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. 18
Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) Portfolio of INVESTMENTS May 31, 2004
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: $ 130 5.000%, 5/15/22 5/11 at 100.00 Baa3 $ 126,853 500 5.400%, 5/15/31 5/11 at 100.00 Baa3 438,755 1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 1,028,319 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 30.7% 705 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 722,244 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 (Alternative Minimum Tax) - MBIA Insured 50 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AA 48,320 Revenue Bonds, Sacred Heart University, Series 1998E, 5.000%, 7/01/28 - RAAI Insured 500 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 BBB- 510,775 Revenue Bonds, University of New Haven, Series 1996D, 6.700%, 7/01/26 25 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 AAA 26,802 Revenue Bonds, Trinity College, Series 1996E, 5.875%, 7/01/26 - MBIA Insured 750 Connecticut, Health and Educational Facilities Authority, 11/12 at 100.00 AAA 797,108 Revenue Bonds, Connecticut State University System, Series 2003E, 5.000%, 11/01/15 - FGIC Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 1,503,735 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 - AMBAC Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 1,050,200 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 625 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 626,269 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 986,930 Revenue Bonds, University of Hartford Issue, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,006,720 Revenue Bonds, Yale University Issue, Series 2002W, 5.125%, 7/01/27 750 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 736,673 Revenue Bonds, Yale University, Series 2003-X1, 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 126,386 270 5.375%, 2/01/29 2/09 at 101.00 BBB 263,847 University of Connecticut, General Obligation Bonds, Series 2001A: 1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,007,430 1,000 5.250%, 4/01/20 4/11 at 101.00 AA 1,050,040 1,000 4.750%, 4/01/21 4/11 at 101.00 AA 1,002,860 ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 3.1% 125 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 125,475 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,023,670 Revenue Bonds, Bristol Hospital Issue, Series 2002B, 5.500%, 7/01/32 - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 5.5% 2,000 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call BBB+ 2,053,000 Housing Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Alternative Minimum Tax) (Mandatory put 12/01/08) 19 Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) (continued) Portfolio of INVESTMENTS May 31, 2004 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 6.3% $ 1,265 Connecticut Housing Finance Authority, Housing Mortgage 5/10 at 100.00 AAA $ 1,281,432 Finance Program Bonds, Series 2001A-1, 5.250%, 11/15/28 45 Connecticut Housing Finance Authority, Housing Mortgage 5/10 at 100.00 AAA 45,630 Finance Program Bonds, Series 2001A-2, 5.450%, 5/15/32 (Alternative Minimum Tax) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,007,260 Finance Program Bonds, Series 2001C, 5.300%, 11/15/33 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.0% 250 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 252,275 Revenue Healthcare Bonds, 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 479,755 Refunding Bonds, Alzheimer's Resource Center of Connecticut, Inc. Project, Series 1994A, 7.250%, 8/15/21 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 29.5% 750 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA 806,228 5.500%, 6/15/21 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,064,630 5.375%, 4/15/19 560 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 569,766 5.000%, 4/01/23 - FGIC Insured 500 East Lyme, Connecticut, General Obligation Bonds, Series 2001, 7/11 at 102.00 Aaa 523,810 5.125%, 7/15/20 - FGIC Insured Hamden, Connecticut, General Obligation Bonds, Series 2001: 640 5.250%, 8/15/18 - MBIA Insured 8/11 at 102.00 AAA 685,562 635 5.000%, 8/15/19 - MBIA Insured 8/11 at 102.00 AAA 662,832 300 5.000%, 8/15/20 - MBIA Insured 8/11 at 102.00 AAA 311,307 1,000 Hartford, Connecticut, General Obligation Bonds, Series 1998, 1/08 at 102.00 AAA 1,030,200 4.700%, 1/15/15 - FGIC Insured 375 New Haven, Connecticut, General Obligation Bonds, Series 1999, 2/08 at 101.00 AAA 382,178 4.700%, 2/01/15 - FGIC Insured 1,000 New Haven, Connecticut, General Obligation Bonds, 11/10 at 101.00 AAA 1,020,150 Series 2001A, 5.000%, 11/01/20 - FGIC Insured 250 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 A 260,403 Series 2000A, 6.000%, 6/01/20 - ACA Insured Town of Norwich, Connecticut, General Obligation Bonds, Series 2001A: 585 5.000%, 4/01/15 - FGIC Insured 4/09 at 100.00 Aaa 614,455 575 5.000%, 4/01/17 - FGIC Insured 4/09 at 100.00 Aaa 596,465 475 5.000%, 4/01/18 - FGIC Insured 4/09 at 100.00 Aaa 490,267 575 5.000%, 4/01/19 - FGIC Insured 4/09 at 100.00 Aaa 590,646 275 5.000%, 4/01/20 - FGIC Insured 4/09 at 100.00 Aaa 283,742 1,000 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 1,077,830 Series 2002A, 5.375%, 4/01/17 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 16.7% 1,000 Connecticut Health and Educational Facilities Authority, 7/08 at 105.00 A 1,079,150 Revenue Bonds, New Opportunities for Waterbury Inc., Series 1998A, 6.750%, 7/01/28 500 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 540,535 Purpose Bonds, Series 2002A, 5.375%, 7/01/18 - FSA Insured 1,475 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AAA 1,667,119 Purpose Bonds, Series 1998B, 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- 611,478 1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 989,100 500 Virgin Islands Public Finance Authority, Revenue Refunding 10/08 at 101.00 AA 516,930 Senior Lien Bonds, Matching Fund Loan Notes, Series 1998A, 5.500%, 10/01/18 - RAAI Insured 750 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 830,910 Loan Notes, Series 1999A, 6.375%, 10/01/19 20 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.6% $ 2,500 Connecticut, General Airport Revenue Bonds, Bradley International 4/11 at 101.00 AAA $ 2,463,850 Airport, Series 2001A, 5.125%, 10/01/26 (Alternative Minimum Tax) - FGIC Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 19.4% 515 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 554,083 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded to 7/01/10) 2,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 2,246,980 5.500%, 10/01/20 (Pre-refunded to 10/01/11) 700 Farmington, Connecticut, General Obligation Bonds, 3/11 at 101.00 Aa1*** 759,066 Series 2001, 4.875%, 3/15/20 (Pre-refunded to 3/15/11) Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,425 5.500%, 10/01/32 10/10 at 101.00 AAA 1,497,247 1,300 5.500%, 10/01/40 10/10 at 101.00 AAA 1,365,910 Town of Windsor, Connecticut, General Obligation Bonds: 390 5.000%, 7/15/19 (Pre-refunded to 7/15/09) 7/09 at 100.00 Aa2*** 403,755 370 5.000%, 7/15/20 (Pre-refunded to 7/15/09) 7/09 at 100.00 Aa2*** 381,929 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 17.2% 1,500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 A3 1,559,561 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 1,019,270 Resource Recovery Revenue Bonds, American REF-FUEL Company of Southeastern Connecticut, I Series 2001A, 5.500%, 11/15/15 (Alternative Minimum Tax) 1,000 Eastern Connecticut Resource Recovery Authority, Solid Waste 7/04 at 101.00 BBB 1,002,660 Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax) 1,975 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 2,017,680 Series 2000HH, 5.250%, 7/01/29 - FSA Insured 790 Puerto Rico Electric Power Authority, Power Revenue Refunding 7/05 at 100.00 A- 806,360 Bonds, Series 1995Z, 5.250%, 7/01/21 ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 8.9% 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,258,980 Series 2003A, 5.000%, 10/01/16 500 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 545,960 Series 2003B, 5.000%, 10/01/12 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 776,460 720 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 721,260 ------------------------------------------------------------------------------------------------------------------------------------ $ 54,325 Total Long-Term Investments (cost $54,834,012) - 150.2% 55,915,467 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.2% 822,070 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (52.4)% (19,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 37,237,537 ==================================================================================================================== (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 registered public accounting firm): 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 registered public accounting firm): 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. 21
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 2.0% $ 815 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 697,444 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 34.6% 500 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 BBB- 510,775 Revenue Bonds, University of New Haven, Series 1996D, 6.700%, 7/01/26 500 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AAA 510,500 Revenue Bonds, Hopkins School, Series 1998A, 5.000%, 7/01/20 - AMBAC Insured 250 Connecticut Health and Educational Facilities Authority, 7/08 at 102.00 AAA 252,603 Revenue Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 500 Connecticut Health and Educational Facilities Authority, 11/07 at 101.00 AAA 529,510 Revenue Bonds, State University System, Series 1997B, 5.250%, 11/01/17 - AMBAC Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 1,516,185 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.250%, 7/01/31 1,000 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 1,002,030 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 986,930 Revenue Bonds, University of Hartford Issue, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 2,250 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA 2,288,295 Revenue Bonds, Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21 - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,006,720 Revenue Bonds, Yale University Issue, Series 2002W, 5.125%, 7/01/27 University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A: 500 5.250%, 11/15/22 - FGIC Insured 11/12 at 101.00 AAA 525,680 1,000 5.000%, 11/15/29 - FGIC Insured 11/12 at 101.00 AAA 1,001,850 1,230 University of Connecticut, General Obligation Bonds, 4/12 at 100.00 AA 1,314,194 Series 2002A, 5.375%, 4/01/19 500 University of Connecticut, General Obligation Bonds, No Opt. Call AAA 543,850 Series 2004A, 5.000%, 1/15/13 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 3.5% 25 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 25,659 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 200 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 AA 212,358 Revenue Bonds, Eastern Connecticut Health Network Issue, Series 2000A, 6.000%, 7/01/25 - RAAI Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 987,650 Revenue Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 9.1% 500 Connecticut Housing Finance Authority, Housing Mortgage 6/04 at 100.00 AAA 501,665 Finance Program Bonds, Series 1997B-2, 5.700%, 5/15/17 (Alternative Minimum Tax) (Pre-refunded to 6/25/04) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/11 at 100.00 AAA 1,023,290 Finance Program Bonds, Series 2002A-1, 5.450%, 11/15/28 - AMBAC Insured 675 Connecticut Housing Finance Authority, Housing Mortgage 11/11 at 100.00 AAA 693,272 Finance Program Bonds, Series 2002A-2, 5.600%, 11/15/28 (Alternative Minimum Tax) - AMBAC Insured 940 Connecticut Housing Finance Authority, Housing Mortgage 5/12 at 100.00 AAA 948,347 Finance Program Bonds, Series 2001D-2, 5.350%, 11/15/32 (Alternative Minimum Tax) 22 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 3.2% $ 450 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AAA $ 463,401 Revenue Bonds, Village for Families and Children, Inc. Issue, Series 2002A, 5.000%, 7/01/19 - AMBAC Insured 325 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 325,624 Revenue Healthcare Refunding Bonds, Church Homes, Inc., Congregational Avery Heights Project, Series 1997, 5.700%, 4/01/12 320 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 322,912 Revenue Healthcare Bonds, Elim Park Baptist, Inc. Project, Series 2003, 5.750%, 12/01/23 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 45.9% 1,000 Bridgeport, Connecticut, General Obligation Bonds, 8/11 at 100.00 AAA 1,073,050 Series 2001C, 5.375%, 8/15/18 - FGIC Insured 1,500 Connecticut, General Obligation Bonds, Series 2001C, No Opt. Call AA 1,688,085 5.500%, 12/15/12 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,064,630 5.375%, 4/15/19 2,105 Fairfield, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 2,290,893 5.000%, 4/01/16 (Pre-refunded to 4/01/12) Farmington, Connecticut, General Obligation Bonds, Series 2002: 1,000 5.000%, 9/15/20 9/12 at 101.00 Aa1 1,041,200 1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,500,054 1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ 1,341,188 Obligation Bonds, Series 2002, 5.000%, 4/01/22 Regional School District 8, Andover, Hebron, and Marlborough, Connecticut, General Obligation Bonds, Series 2002: 1,390 5.000%, 5/01/20 - FSA Insured 5/11 at 101.00 Aaa 1,436,315 1,535 5.000%, 5/01/22 - FSA Insured 5/11 at 101.00 Aaa 1,570,735 2,105 Stamford, Connecticut, General Obligation Bonds, Series 2002, 8/12 at 100.00 AAA 2,303,586 5.000%, 8/15/16 (Pre-refunded to 8/15/12) 500 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 538,915 Series 2002A, 5.375%, 4/01/17 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 6.6% 1,625 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 1,742,455 Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured 500 Connecticut, Special Tax Obligation Transportation Infrastructure 10/11 at 100.00 AAA 548,370 Purpose Bonds, Series 2001B, 5.375%, 10/01/13 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.2% 1,950 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights 12/12 at 101.00 AAA 2,152,703 Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 16.2% 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 811,613 750 5.000%, 5/01/21 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 816,615 750 5.000%, 5/01/22 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 816,615 Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,000 5.500%, 10/01/32 10/10 at 101.00 AAA 1,050,700 2,000 5.500%, 10/01/40 10/10 at 101.00 AAA 2,101,400 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 11.0% 750 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 A3 779,783 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 1,011,800 Resource Recovery Revenue Bonds, America REF-FUEL Company of Southeastern Connecticut Project, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax) 23 Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) (continued) Portfolio of INVESTMENTS May 31, 2004 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES (continued) 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 $ 500,100 510 5.500%, 1/01/20 (Alternative Minimum Tax) 7/04 at 101.00 BBB 504,869 1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,021,610 Series 2000HH, 5.250%, 7/01/29 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 9.7% 785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 834,008 Series 2003A, 5.000%, 10/01/16 1,000 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 1,091,920 Series 2003B, 5.000%, 10/01/12 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 776,460 660 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 661,152 ------------------------------------------------------------------------------------------------------------------------------------ $ 49,150 Total Long-Term Investments (cost $49,744,768) - 148.0% 51,261,568 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 0.7% $ 250 Puerto Rico Commonwealth Government Development Bank, A-1 250,000 Adjustable Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 1.070%, 12/01/15 - MBIA Insured+ ------------------------------------------------------------------------------------------------------------------------------------ $ 250 Total Short-Term Investments (cost $250,000) 250,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $49,994,768) - 148.7% 51,511,568 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.8% 634,911 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (50.5)% (17,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 34,646,479 ==================================================================================================================== (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 registered public accounting firm): 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 registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. + Security has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term security. The rate disclosed is that currently in effect. This rate changes periodically based on market conditions or a specified market index. See accompanying notes to financial statements. 24
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.7% $ 2,600 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 2,224,976 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 18.4% 1,000 Connecticut Health and Educational Facilities Authority, 11/07 at 101.00 AAA 1,059,020 Revenue Bonds, State University System, Series 1997B, 5.250%, 11/01/17 - AMBAC Insured 1,000 Connecticut, Health and Educational Facilities Authority, 11/12 at 100.00 AAA 1,062,810 Revenue Bonds, Connecticut State University System, Series 2003E, 5.000%, 11/01/15 - FGIC Insured 3,100 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 3,189,993 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21 - AMBAC Insured 1,595 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA 1,622,147 Revenue Bonds, Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21 - FSA Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,510,080 Revenue Bonds, Yale University Issue, Series 2002W, 5.125%, 7/01/27 500 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 525,680 Bonds, Series 2002A, 5.250%, 11/15/22 - FGIC Insured 1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,140,843 Series 2003A, 5.125%, 2/15/21 - MBIA Insured 1,000 University of Connecticut, General Obligation Bonds, No Opt. Call AAA 1,087,700 Series 2004A, 5.000%, 1/15/13 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 1.2% 200 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 205,272 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 500 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 520,985 Revenue Bonds, Bristol Hospital Issue, Series 2002B, 5.500%, 7/01/21 - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 7.5% 15 Connecticut Housing Finance Authority, Housing Mortgage 5/08 at 101.50 AAA 15,294 Finance Program Bonds, Series 1998E-2, 5.450%, 11/15/24 (Alternative Minimum Tax) 1,500 Connecticut Housing Finance Authority, Housing Mortgage 6/04 at 100.00 AAA 1,504,995 Finance Program Bonds, Series 1997B-2, 5.700%, 5/15/17 (Alternative Minimum Tax) (Pre-refunded to 6/25/04) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/12 at 100.00 AAA 1,002,010 Finance Program Bonds, Series 2002F-3, 5.250%, 5/15/33 (Alternative Minimum Tax) 2,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 2,021,200 Finance Program Bonds, Series 2001D-2, 5.150%, 11/15/22 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 13.1% Connecticut Housing Finance Authority, Special Needs Housing Mortgage Finance Program Special Obligation Bonds, Series 2002SNH-1: 1,000 5.000%, 6/15/22 - AMBAC Insured 6/12 at 101.00 AAA 1,012,190 1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 AAA 1,473,315 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc. Issue, Series 2002A: 430 5.000%, 7/01/18 - AMBAC Insured 7/12 at 101.00 AAA 445,394 475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 AAA 486,305 260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 AAA 262,353 1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 AAA 986,580 25 Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) (continued) Portfolio of INVESTMENTS May 31, 2004 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE (continued) $ 600 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- $ 601,152 Revenue Healthcare Refunding Bonds, Church Homes, Inc. - Congregational Avery Heights Project, Series 1997, 5.700%, 4/01/12 500 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 504,550 Revenue Healthcare Bonds, 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 650,975 1,665 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 AA 1,517,414 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 36.8% Bethel, Connecticut, General Obligation Bonds, Series 2002: 525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aaa 544,525 525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aaa 541,548 525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aaa 538,592 525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aaa 536,020 525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aaa 533,458 3,510 Bridgeport, Connecticut, General Obligation Bonds, Series 2001C, 8/11 at 100.00 AAA 3,766,406 5.375%, 8/15/18 - FGIC Insured 500 Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 9/13 at 100.00 AAA 516,490 5.250%, 9/15/23 - FSA Insured 2,500 Connecticut, General Obligation Bonds, Series 2002D, 11/12 at 100.00 AA 2,660,125 5.375%, 11/15/21 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,021,890 5.000%, 4/15/21 450 Farmington, Connecticut, General Obligation Bonds, 9/12 at 101.00 Aa1 468,540 Series 2002, 5.000%, 9/15/20 New Canaan, Connecticut, General Obligation Bonds, Series 2002A: 950 4.250%, 5/01/18 5/11 at 100.00 Aaa 927,998 950 4.500%, 5/01/19 5/11 at 100.00 Aaa 944,357 900 4.600%, 5/01/20 5/11 at 100.00 Aaa 897,453 500 4.700%, 5/01/21 5/11 at 100.00 Aaa 500,830 1,445 New Haven, Connecticut, General Obligation Bonds, 11/11 at 101.00 AAA 1,535,341 Series 2002A, 5.250%, 11/01/17 - AMBAC Insured Southbury, Connecticut, General Obligation Bonds, Series 2002: 500 4.250%, 12/15/14 12/11 at 101.00 Aa3 507,695 500 4.375%, 12/15/15 12/11 at 101.00 Aa3 506,400 500 4.375%, 12/15/16 12/11 at 101.00 Aa3 502,115 500 4.500%, 12/15/17 12/11 at 101.00 Aa3 502,635 500 4.625%, 12/15/18 12/11 at 101.00 Aa3 503,855 500 4.625%, 12/15/19 12/11 at 101.00 Aa3 501,040 500 4.875%, 12/15/20 12/11 at 101.00 Aa3 508,730 500 4.875%, 12/15/21 12/11 at 101.00 Aa3 506,265 500 5.000%, 12/15/22 12/11 at 101.00 Aa3 510,625 Stratford, Connecticut, General Obligation Bonds, Series 2002: 1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,283,370 630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 590,367 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 28.3% 500 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 540,535 Purpose Bonds, Series 2002A, 5.375%, 7/01/18 - FSA Insured Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: 2,810 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,903,573 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,029,740 1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AAA 1,014,180 500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 508,555 Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 3,500 Puerto Rico Infrastructure Financing Authority, Special Tax 1/08 at 101.00 AAA 3,507,455 Revenue Bonds, Series 1997A, 5.000%, 7/01/28 - AMBAC Insured 26 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G: $ 890 5.250%, 7/01/17 7/12 at 100.00 A- $ 925,938 1,000 5.250%, 7/01/20 7/12 at 100.00 A- 1,023,440 1,045 5.250%, 7/01/21 7/12 at 100.00 A- 1,065,294 3,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 3,172,721 Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 - AMBAC Insured 765 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 BBB+ 779,550 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 750 Virgin Islands Public Finance Authority, Revenue Refunding 10/08 at 101.00 BBB- 756,127 Senior Lien Bonds, Matching Fund Loan Notes, Series 1998A, 5.500%, 10/01/22 ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 15.1% 400 Connecticut, Special Tax Obligation Transportation 10/11 at 100.00 AAA 429,640 Infrastructure Purpose Bonds, Series 2001A, 4.800%, 10/01/18 (Pre-refunded to 10/01/11) - FSA Insured 2,910 Puerto Rico, Public Improvement General Obligation Refunding 7/08 at 101.00 AAA 3,179,990 Bonds, Series 1998B, 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 4,202,800 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 1,220 University of Connecticut, General Obligation Bonds, 4/12 at 100.00 AA*** 1,362,154 Series 2002A, 5.375%, 4/01/17 (Pre-refunded to 4/01/12) ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 13.0% 720 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 A3 748,591 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 2,038,540 Resource Recovery Revenue Bonds, American REF-FUEL Company of Southeastern Connecticut, Series 2001A-I, 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) 7/04 at 101.00 BBB 1,002,660 1,005 5.500%, 1/01/20 (Alternative Minimum Tax) 7/04 at 101.00 BBB 994,890 3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,115,911 Series 2000HH, 5.250%, 7/01/29 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 12.7% 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,258,980 Series 2003A, 5.000%, 10/01/16 2,000 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 2,183,840 Series 2003B, 5.000%, 10/01/12 765 Connecticut Development Authority, Water Facilities Revenue 9/06 at 102.00 A 789,449 Bonds, Bridgeport Hydraulic Company Project, Series 1996, 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 2,122,324 1,140 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,141,995 250 Stamford, Connecticut, Water Pollution Control System 11/13 at 100.00 AA+ 247,560 and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 ------------------------------------------------------------------------------------------------------------------------------------ $ 88,990 Total Long-Term Investments (cost $91,627,687) - 149.8% 91,036,335 =============----------------------------------------------------------------------------------------------------------------------- 27 Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) (continued) Portfolio of INVESTMENTS May 31, 2004 PRINCIPAL MARKET AMOUNT (000) DESCRIPTION(1) RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 0.3% $ 200 Puerto Rico Government Commonwealth Development Bank, A-1 $ 200,000 Adjustable Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 1.070%, 12/01/15 - MBIA Insured+ ------------------------------------------------------------------------------------------------------------------------------------ $ 200 Total Short-Term Investments (cost $200,000) 200,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $91,827,687) - 150.1% 91,236,335 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.6% 1,537,493 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (52.7)% (32,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 60,773,828 ==================================================================================================================== (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 registered public accounting firm): 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 registered public accounting firm): 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. + Security has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term security. The rate disclosed is that currently in effect. This rate changes periodically based on market conditions or a specified market index. See accompanying notes to financial statements. 28
Nuveen Massachusetts Premium Income Municipal Fund (NMT) Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 2.1% $ 1,500 Boston Industrial Development Financing Authority, 9/12 at 102.00 Baa3 $ 1,451,220 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 36.6% 335 Massachusetts Education Loan Authority, Student Loan 7/04 at 102.00 AAA 342,139 Revenue Bonds, Issue E, Series 1995, 6.150%, 7/01/10 (Alternative Minimum Tax) - AMBAC Insured 1,730 Massachusetts Educational Financing Authority, Educational 1/12 at 100.00 AAA 1,757,213 Loan Revenue Bonds, Series 2002E, 5.000%, 1/01/13 (Alternative Minimum Tax) - AMBAC Insured 1,090 Massachusetts Development Finance Authority, Revenue No Opt. Call A3 1,139,944 Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/29 1,000 Massachusetts Development Finance Authority, Revenue 7/13 at 101.00 BBB 976,890 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 890 Massachusetts Development Finance Authority, Revenue 3/09 at 101.00 A 914,751 Bonds, Curry College, Series 2000A, 6.000%, 3/01/20 - ACA Insured 750 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 AA- 768,098 Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 500 Massachusetts Development Finance Authority, Revenue Bonds, 9/11 at 101.00 A 514,655 Belmont Hills School, Series 2001, 5.375%, 9/01/23 2,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,101,760 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 1,500 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 AAA 1,517,655 Revenue Bonds, University of Massachusetts - Worcester Campus Project, Series 2001B, 5.250%, 10/01/31 - FGIC Insured 555 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 566,561 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+ 498,320 1,000 5.000%, 7/01/33 7/13 at 100.00 AA+ 987,120 1,000 Massachusetts Heath and Educational Facilities Authority, No Opt. Call AAA 1,102,100 Revenue Bonds, Massachusetts Institute of Technology, Series 2004M, 5.250%, 7/01/15 2,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 7/04 at 101.00 Aa1 2,647,698 Whitehead Institute for Biomedical Research, Series 1993, 5.125%, 7/01/26 2,300 Massachusetts Industrial Finance Agency, Revenue Bonds, 9/08 at 101.00 A 2,282,658 Belmont Hill School, Series 1998, 5.250%, 9/01/28 4,000 New England Education Loan Marketing Corporation, No Opt. Call A3 4,338,680 Massachusetts, Student Loan Revenue Bonds, Subordinate Series 1992H, 6.900%, 11/01/09 (Alternative Minimum Tax) 1,200 University of Massachusetts Building Authority, Senior Lien 11/13 at 100.00 AAA 1,272,732 Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 - AMBAC Insured 1,000 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 1,028,680 Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 18.7% 3,000 Massachusetts Health and Educational Facilities Authority, 7/04 at 102.00 AAA 3,047,220 Revenue Bonds, New England Medical Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/04 at 101.00 AAA 1,022,200 Revenue Bonds, Lahey Clinic Medical Center, Series 1993B, 5.625%, 7/01/15 - MBIA Insured 29 Nuveen Massachusetts Premium Income Municipal Fund (NMT) (continued) Portfolio of INVESTMENTS May 31, 2004 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE (continued) $ 600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA $ 631,314 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- 2,590,575 Revenue Bonds, Partners HealthCare System, Inc., Series 2001C, 5.750%, 7/01/32 1,395 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 1,376,154 Revenue Bonds, CareGroup, Inc., Series 1998A, 5.000%, 7/01/25 - MBIA Insured 1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 AA 987,800 Revenue Bonds, Cape Cod Health Care, Inc., Series 2001C, 5.250%, 11/15/31 - RAAI Insured 2,000 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 2,033,020 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 1,018,310 Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 16.6% 2,500 Massachusetts Development Finance Authority, GNMA 10/11 at 105.00 AAA 2,811,575 Collateralized Revenue Bonds, VOA Concord Assisted Living, Inc., Series 2000A, 6.900%, 10/20/41 1,950 Massachusetts Development Financing Authority, Assisted 12/09 at 102.00 N/R 1,847,937 Living Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31 1,500 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,598,235 Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 65 Massachusetts Housing Finance Agency, Housing Project 10/04 at 101.00 A+ 65,643 Revenue Refunding Bonds, Series 1993A, 6.300%, 10/01/13 1,435 Massachusetts Housing Finance Agency, Rental Housing 7/10 at 101.00 AAA 1,503,622 Mortgage Revenue Bonds, Series 1999D, 5.500%, 7/01/13 (Alternative Minimum Tax) - AMBAC Insured 1,845 Massachusetts Housing Finance Agency, FHA-Insured Rental 1/05 at 102.00 AAA 1,896,826 Housing Mortgage Revenue Bonds, Series 1995A, 7.350%, 1/01/35 (Alternative Minimum Tax) - AMBAC Insured 500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 487,640 Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,022,070 Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 0.6% 400 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 403,252 Disposal Revenue Bonds, Waste Management, Inc., Series 2003, 5.450%, 6/01/14 (WI, settling 6/01/04) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 6.0% 1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue 10/08 at 105.00 AAA 1,355,471 Bonds, Deutsches Altenheim, Inc. Project, Series 1998A, 6.125%, 10/01/31 2,000 Massachusetts Industrial Finance Agency, Healthcare 5/07 at 102.00 A-1+ 1,993,480 Facilities Revenue Bonds, Jewish Geriatric Services, Inc. Obligated Group, Series 1997B, 5.500%, 5/15/27 700 Massachusetts Industrial Finance Agency, FHA-Insured 2/06 at 102.00 AAA 724,689 Project Revenue Bonds, Heights Crossing LP, Series 1995, 6.000%, 2/01/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 27.8% 1,180 Boston, Massachusetts, General Obligation Bonds, 8/11 at 100.00 AA 1,238,634 Series 2001B, 5.000%, 8/01/15 645 East Longmeadow, Massachusetts, General Obligation Bonds, 8/11 at 101.00 Aaa 688,873 Series 2001, 5.000%, 8/01/14 - AMBAC Insured 1,000 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 1,029,710 Series 2003, 5.000%, 2/01/21 - FSA Insured 2,500 Massachusetts Bay Transportation Authority, General No Opt. Call AAA 3,080,450 Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 3,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,790,027 Series 2001D, 6.000%, 11/01/13 - MBIA Insured 30 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) $ 1,865 Massachusetts, General Obligation Bonds, Consolidated 1/13 at 100.00 Aa2 $ 1,993,107 Loan, Series 2003A, 5.000%, 1/01/22 (Pre-refunded to 1/01/13) 1,250 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 Aa2 1,250,400 Series 2004B, 5.000%, 8/01/24 980 Monson, Massachusetts, General Obligation Bonds, 5/12 at 101.00 Aaa 1,017,955 Series 2002, 5.250%, 5/15/22 - AMBAC Insured 1,000 Narragansett Regional School District, Massachusetts, 6/10 at 101.00 Aaa 1,151,800 General Obligation Bonds, Series 2000, 6.500%, 6/01/16 - AMBAC Insured 1,260 Norwell, Massachusetts, General Obligation Bonds, No Opt. Call AAA 1,324,436 Series 2003, 5.000%, 11/15/20 - FGIC Insured Springfield, Massachusetts, General Obligation Bonds, Series 2003: 530 5.250%, 1/15/15 - MBIA Insured 1/13 at 100.00 AAA 574,907 1,615 5.250%, 1/15/23 - MBIA Insured 1/13 at 100.00 AAA 1,682,572 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 10.2% 385 Massachusetts Bay Transportation Authority, Senior Lien No Opt. Call AAA 413,667 Sales Tax Revenue Bonds, Series 2004C, 5.250%, 7/01/21 1,000 Massachusetts College Building Authority, Project Revenue No Opt. Call AAA 1,069,000 Refunding Bonds, Series 2003B, 5.375%, 5/01/23 - XLCA Insured 550 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 568,458 Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured 3,000 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aaa 3,216,120 Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 1,500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 1,676,100 Revenue Bonds, Series 2003AA, 5.500%, 7/01/19 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 9.0% 2,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 1,968,260 5.000%, 7/01/33 - MBIA Insured 4,000 Massachusetts Port Authority, Special Facilities Revenue 9/06 at 102.00 AAA 4,165,520 Bonds, US Airways Group, Inc., Series 1996A, 5.750%, 9/01/16 (Alternative Minimum Tax) - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 11.7% 1,250 Massachusetts, General Obligation Bonds, Consolidated 2/10 at 101.00 AAA 1,424,275 Loan, Series 2000A, 6.000%, 2/01/14 (Pre-refunded to 2/01/10) 2,500 Massachusetts Health and Educational Facilities Authority, 8/10 at 100.00 AAA 2,647,100 FHA-Insured Revenue Bonds, Malden Hospital, Series 1982A, 5.000%, 8/01/16 (Pre-refunded to 8/01/10) 2,000 Massachusetts Health and Educational Facilities Authority, 7/06 at 100.00 Aaa 2,107,460 Revenue Bonds, Daughters of Charity National Health System - Carney Hospital, Series 1994D, 6.100%, 7/01/14 (Pre-refunded to 7/01/06) 410 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 419,713 Revenue Bonds, CareGroup, Inc., Series 1998A, 5.000%, 7/01/25 - MBIA Insured 905 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/04 at 100.00 AAA 1,305,354 13.000%, 7/01/13 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.1% 1,000 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA 1,085,140 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 2,355,450 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 2.2% 1,500 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 AAA 1,524,733 Program Bonds, Series 9, 5.000%, 8/01/22 ------------------------------------------------------------------------------------------------------------------------------------ $ 94,755 Total Long-Term Investments (cost $96,923,689) - 146.6% 99,395,128 =============----------------------------------------------------------------------------------------------------------------------- 31 Nuveen Massachusetts Premium Income Municipal Fund (NMT) (continued) Portfolio of INVESTMENTS May 31, 2004 PRINCIPAL MARKET AMOUNT (000) DESCRIPTION(1) RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 1.7% $ 1,150 Puerto Rico Commonwealth Government Development Bank, A-1 $ 1,150,000 Adjustable Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 1.070%, 12/01/15 - MBIA Insured+ ------------------------------------------------------------------------------------------------------------------------------------ $ 1,150 Total Short-Term Investments (cost $1,150,000) 1,150,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $98,073,689) - 148.3% 100,545,128 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.8% 1,260,561 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (50.1)% (34,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 67,805,689 ==================================================================================================================== (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 registered public accounting firm): 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 registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. N/R Investment is not rated. (WI) Security purchased on a when-issued basis. + Security has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term security. The rate disclosed is that currently in effect. This rate changes periodically based on market conditions or a specified market index. See accompanying notes to financial statements. 32
Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 1.7% $ 500 Boston Industrial Development Financing Authority, 9/12 at 102.00 Baa3 $ 483,740 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 30.7% 1,370 Massachusetts Educational Financing Authority, Educational 7/10 at 100.00 AAA 1,420,539 Loan Revenue Bonds, Series 2001E, 5.300%, 1/01/16 (Alternative Minimum Tax) - AMBAC Insured 1,000 Massachusetts Development Finance Authority, Revenue 5/29 at 105.00 A3 1,075,310 Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/59 500 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 AA- 512,065 Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 1,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,050,880 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 2,000 Massachusetts Health and Educational Facilities Authority, 2/11 at 100.00 AA- 2,061,220 Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36 500 Massachusetts Heath and Educational Facilities Authority, No Opt. Call AAA 551,050 Revenue Bonds, Massachusetts Institute of Technology, Series 2004M, 5.250%, 7/01/15 1,250 University of Massachusetts Building Authority, Senior Lien 11/10 at 100.00 AAA 1,309,000 Project Revenue Bonds, Series 2000-2, 5.250%, 11/01/20 - AMBAC Insured 600 University of Massachusetts Building Authority, Senior Lien 11/13 at 100.00 AAA 636,366 Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 - AMBAC Insured 250 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 257,170 Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 16.4% 1,000 Massachusetts Health and Educational Facilities Authority, 7/09 at 101.00 AA- 1,013,000 Revenue Bonds, Partners HealthCare System, Inc., Series 1999B, 5.125%, 7/01/19 1,000 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA- 1,036,230 Revenue Bonds, Partners HealthCare System, Inc., Series 2001C, 5.750%, 7/01/32 1,250 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 1,282,537 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- 386,692 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+ 1,016,510 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 13.4% 1,000 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,065,490 Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee Project, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 1,250 Massachusetts Housing Finance Agency, Rental Housing 1/11 at 100.00 AAA 1,285,800 Mortgage Revenue Bonds, Series 2001A, 5.850%, 7/01/35 (Alternative Minimum Tax) - AMBAC Insured 500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 487,640 Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,022,070 Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers Project, Series 2002, 5.200%, 11/20/22 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 5.1% 600 Massachusetts Housing Finance Agency, Single Family Housing 12/04 at 102.00 AA 614,868 Revenue Bonds, Series 36, 6.600%, 12/01/26 (Alternative Minimum Tax) 33 Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) (continued) Portfolio of INVESTMENTS May 31, 2004 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY (continued) $ 840 Massachusetts Housing Finance Agency, Single Family Housing 6/10 at 100.00 AAA $ 856,388 Revenue Bonds, Series 82, 5.375%, 12/01/20 (Alternative Minimum Tax) - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 0.7% 200 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 201,626 Disposal Revenue Bonds, Waste Management, Inc., Series 2003, 5.450%, 6/01/14 (WI, settling 6/01/04) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.3% 655 Massachusetts Development Finance Authority, First 7/11 at 102.00 BBB- 676,897 Mortgage Revenue Bonds, Berkshire Retirement Community - Edgecombe Project, Series 2001A, 6.750%, 7/01/21 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 34.6% 1,000 Boston, Massachusetts, General Obligation Bonds, 2/11 at 100.00 AA 1,021,840 Series 2001A, 5.000%, 2/01/20 2,000 Brookline, Massachusetts, General Obligation Bonds, 4/10 at 101.00 Aaa 2,143,060 Series 2000, 5.375%, 4/01/17 500 East Longmeadow, Massachusetts, General Obligation Bonds, 8/11 at 101.00 Aaa 534,010 Series 2001, 5.000%, 8/01/14 - AMBAC Insured 440 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 453,072 Series 2003, 5.000%, 2/01/21 - FSA Insured 1,675 Lawrence, Massachusetts, General Obligation Bonds, 2/11 at 100.00 Aaa 1,716,892 Series 2001, 5.000%, 2/01/21 - AMBAC Insured 1,095 Lynn, Massachusetts, General Obligation Bonds, Series 2001, 8/11 at 101.00 Aaa 1,215,888 5.375%, 8/15/12 - FGIC Insured 750 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call Aa2 820,943 Series 2002D, 5.500%, 8/01/19 500 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 Aa2 500,160 Series 2004B, 5.000%, 8/01/24 500 Norwell, Massachusetts, General Obligation Bonds, No Opt. Call AAA 525,570 Series 2003, 5.000%, 11/15/20 - FGIC Insured Springfield, Massachusetts, General Obligation Bonds, Series 2003: 500 5.250%, 1/15/15 - MBIA Insured 1/13 at 100.00 AAA 542,365 500 5.250%, 1/15/23 - MBIA Insured 1/13 at 100.00 AAA 520,920 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 18.1% 1,000 Massachusetts Bay Transportation Authority, Assessment 7/10 at 100.00 AAA 1,010,070 Bonds, Series 2000A, 5.250%, 7/01/30 385 Massachusetts Bay Transportation Authority, Senior Lien Sales No Opt. Call AAA 413,667 Tax Revenue Bonds, Series 2004C, 5.250%, 7/01/21 230 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 237,719 Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured 1,250 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aaa 1,340,050 Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 1,000 Puerto Rico Municipal Finance Agency, Series 1999A, 8/09 at 101.00 AAA 1,121,660 6.000%, 8/01/16 - FSA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 1,107,880 Loan Notes, Series 1999A, 6.375%, 10/01/19 ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 3.6% 1,000 Massachusetts Port Authority, Special Facilities Revenue 7/07 at 102.00 AAA 1,046,910 Bonds, BOSFUEL Corporation, Series 1997, 5.500%, 7/01/18 (Alternative Minimum Tax) - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 7.6% 1,000 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 1,144,010 Asset-Backed Bonds, Series 2000, 6.000%, 7/01/26 (Pre-refunded to 7/01/10) 1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,050,700 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 34 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 7.3% $ 1,070 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA $ 1,177,835 Recovery Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/14 - MBIA Insured 1,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 942,180 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 7.6% 1,750 Massachusetts Water Pollution Abatement Trust, Revenue 8/09 at 101.00 AAA 1,875,563 Bonds, MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29 300 Massachusetts Water Resources Authority, General Revenue 8/10 at 101.00 AAA 320,622 Bonds, Series 2000A, 5.750%, 8/01/30 - FGIC Insured ------------------------------------------------------------------------------------------------------------------------------------ $ 41,085 Total Long-Term Investments (cost $42,174,070) - 149.1% $ 43,086,674 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.8% 816,914 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (51.9)% (15,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 28,903,588 ==================================================================================================================== (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 registered public accounting firm): 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 registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. (WI) Security purchased on a when-issued basis. See accompanying notes to financial statements. 35
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 27.4% $ 500 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 BBB $ 528,940 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 2,250 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 A1 2,174,355 Middlesex School, Series 2003, 5.000%, 9/01/33 500 Massachusetts Health and Educational Facilities Authority, 10/13 at 100.00 AAA 492,775 Revenue Bonds, Simmons College, Series 2003F, 5.000%, 10/01/33 - FGIC Insured 3,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,981,550 Revenue Bonds, Boston College, Series 2003N, 5.125%, 6/01/37 2,000 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 AAA 1,987,000 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured 2,140 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 2,269,663 Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 9.1% 2,500 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 2,466,400 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 986,490 Revenue Bonds, CareGroup, Inc., Series 1998A, 5.000%, 7/01/25 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 13.4% 1,750 Massachusetts Development Finance Authority, GNMA 12/12 at 105.00 AAA 1,839,460 Collateralized Revenue Bonds, Neville Communities, Series 2002A, 6.000%, 6/20/44 55 Massachusetts Housing Finance Agency, Housing Project 10/04 at 101.00 AAA 55,599 Revenue Refunding Bonds, Series 1993A, 6.150%, 10/01/15 - AMBAC Insured 1,265 Massachusetts Housing Finance Agency, Rental Housing 7/12 at 100.00 AAA 1,266,012 Mortgage Revenue Bonds, Series 2002H, 5.200%, 7/01/42 - FSA Insured 2,000 Massachusetts Housing Finance Agency, Housing Bonds, 12/12 at 100.00 AA- 1,961,940 Series 2003H, 5.125%, 6/01/43 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 31.9% 1,280 Littleton, Massachusetts, General Obligation Bonds, Series 2003, 1/13 at 101.00 AAA 1,320,973 5.000%, 1/15/21 - FGIC Insured 3,000 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,201,930 Series 2004B, 5.250%, 8/01/21 - FSA Insured 1,025 Maynard, Massachusetts, General Obligation Bonds, 2/13 at 101.00 Aaa 1,117,578 Series 2003, 5.500%, 2/01/19 - MBIA Insured 1,705 North Attleborough, Massachusetts, General Obligation Bonds, 7/14 at 101.00 Aaa 1,838,587 Series 2004, 5.000%, 7/15/15 - FGIC Insured 1,500 Pittsfield, Massachusetts, General Obligation Bonds, 4/12 at 101.00 AAA 1,572,510 Series 2002, 5.000%, 4/15/18 - MBIA Insured 3,000 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 3,140,700 Series 2003, 5.250%, 1/15/22 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 30.9% 3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/13 at 100.00 AAA 2,962,080 Series 2002, 5.000%, 5/01/32 - AMBAC Insured 3,000 Massachusetts Bay Transportation Authority, Senior Sales 7/12 at 100.00 AAA 2,981,580 Tax Revenue Refunding Bonds, Series 2002A, 5.000%, 7/01/27 - FGIC Insured 2,790 Massachusetts College Building Authority, Project Revenue 5/13 at 100.00 AAA 2,870,994 Refunding Bonds, Series 2003A, 5.250%, 5/01/22 - XLCA Insured 36 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street Redevelopment, M/SRBC Project, Series 2002A: $ 1,475 5.125%, 8/01/28 - MBIA Insured 2/12 at 100.00 AAA $ 1,475,811 1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AAA 1,493,310 ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 2.6% 1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 984,130 5.000%, 7/01/33 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 18.0% 3,000 Massachusetts, General Obligation Bonds, Consolidated 11/11 at 100.00 AAA 3,235,950 Loan, Series 2001D, 5.000%, 11/01/20 (Pre-refunded to 11/01/11) - MBIA Insured 2,145 Massachusetts, General Obligation Bonds, Consolidated 1/13 at 100.00 AAA 2,330,929 Loan, Series 2003A, 5.250%, 1/01/18 (Pre-refunded to 1/01/13) - AMBAC Insured 905 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/04 at 100.00 AAA 1,305,354 13.000%, 7/01/13 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.4% 1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,532,415 Series 2000HH, 5.250%, 7/01/29 - FSA Insured 500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/12 at 101.00 AAA 507,345 Series 2002II, 5.125%, 7/01/26 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 11.8% 1,900 Lynn Water and Sewer Commission, Massachusetts, General 12/13 at 100.00 AAA 1,875,813 Revenue Bonds, Series 2003A, 5.000%, 12/01/32 - MBIA Insured 1,000 Massachusetts Water Resources Authority, General Revenue 8/13 at 100.00 AAA 1,005,410 Bonds, Series 2004D, 5.000%, 8/01/24 - MBIA Insured 1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA 1,082,340 Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured 495 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 AAA 522,486 General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ $ 55,680 Total Long-Term Investments (cost $57,422,618) - 150.5% $ 57,368,409 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 3.3% 1,252,673 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (53.8)% (20,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 38,121,082 ==================================================================================================================== (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 registered public accounting firm): 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 registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. See accompanying notes to financial statements. 37
Nuveen Missouri Premium Income Municipal Fund (NOM) Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.1% $ 1,000 Missouri Development Finance Board, Solid Waste Disposal No Opt. Call AA- $ 1,000,610 Revenue Bonds, Procter and Gamble, Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 8.9% 1,400 Missouri Health and Educational Facilities Authority, Revenue 6/10 at 100.00 Baa2 1,456,490 Bonds, Maryville University of St. Louis, Series 2000, 6.750%, 6/15/30 500 Missouri Health and Educational Facilities Authority, Revenue 2/08 at 101.00 A3 511,665 Bonds, St. Louis Priory School, Series 2000, 5.650%, 2/01/25 365 Missouri Health and Educational Facilities Authority, Revenue 4/11 at 100.00 Aaa 393,167 Bonds, Webster University, Series 2001, 5.500%, 4/01/18 - MBIA Insured 500 St. Louis County Industrial Development Authority, Missouri, 6/04 at 101.00 N/R 515,500 Revenue Bonds, Kiel Center Multipurpose Arena, Series 1992, 7.875%, 12/01/24 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 32.7% 1,800 Johnson County, Missouri, Hospital Revenue Bonds, Western 6/10 at 100.00 AA 1,942,830 Missouri Medical Center Project, Series 2000, 6.000%, 6/01/20 - RAAI Insured 2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 2,515,250 Bonds, SSM Healthcare System, Series 2001A, 5.250%, 6/01/28 - AMBAC Insured 500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 503,735 Bonds, St. Luke's Health System, Series 2001, 5.250%, 12/01/26 - FSA Insured Missouri Health and Educational Facilities Authority, Revenue Bonds, BJC Health System, Series 2003: 1,500 5.125%, 5/15/25 5/13 at 100.00 AA 1,499,970 1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,158,904 500 Missouri Health and Educational Facilities Authority, Revenue 2/14 at 100.00 BBB+ 501,985 Bonds, Lake Regional Health System, Series 2003, 5.700%, 2/15/34 425 Missouri Health and Educational Facilities Authority, Revenue 2/06 at 102.00 BBB+ 437,980 Bonds, Lake Regional Health System, Series 1996, 6.500%, 2/15/21 1,000 Missouri Health and Educational Facilities Authority, Revenue 12/10 at 101.00 A 1,042,190 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 933,869 Memorial Hospital, Series 2000, 7.250%, 6/15/25 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 7.9% 830 Missouri Housing Development Commission, Multifamily 12/11 at 100.00 AA 858,859 Housing Revenue Bonds, Series 2001-II, 5.250%, 12/01/16 500 St. Charles County Industrial Development Authority, 4/08 at 102.00 AAA 502,975 Missouri, FHA-Insured Multifamily Housing Revenue Bonds, Ashwood Apartments Project, Series 1998A, 5.600%, 4/01/30 (Alternative Minimum Tax) - FSA Insured 545 St. Louis County Industrial Development Authority, Missouri, 4/07 at 102.00 AAA 568,331 GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments Project, Series 1997A, 5.950%, 4/20/17 600 St. Louis County Industrial Development Authority, Missouri, 4/07 at 102.00 AAA 618,906 GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments Project, Series 1997B, 6.000%, 10/20/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 2.7% 235 Missouri Housing Development Commission, Single Family 3/06 at 105.00 AAA 235,768 Mortgage Revenue Bonds, Homeownership Loan Program, Series 1995C, 7.250%, 9/01/26 (Alternative Minimum Tax) 335 Missouri Housing Development Commission, Single Family 9/06 at 105.00 AAA 336,926 Mortgage Revenue Bonds, Homeownership Loan Program, Series 1996B, 7.550%, 9/01/27 (Alternative Minimum Tax) 38 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY (continued) $ 285 Missouri Housing Development Commission, Single Family 3/10 at 100.00 AAA $ 295,682 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 0.2% 50 Lees Summit Industrial Development Authority, Missouri, 8/09 at 101.00 N/R 52,523 Health Facilities Revenue Bonds, John Knox Village, Series 1999, 6.000%, 8/15/17 ------------------------------------------------------------------------------------------------------------------------------------ MATERIALS - 3.0% 1,000 Sugar Creek, Missouri, Industrial Development Revenue 6/13 at 101.00 BBB 973,470 Bonds, Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 29.4% 500 Jackson County R-7 School District, Lees Summit, Missouri, 3/12 at 100.00 AAA 528,790 General Obligation Refunding and Improvement Bonds, Series 2002, 5.250%, 3/01/18 - FSA Insured 1,000 Missouri, General Obligation Refunding Bonds, Fourth State 10/12 at 100.00 AAA 1,041,950 Building, Series 2002A, 5.000%, 10/01/18 1,630 North Kansas City School District, Missouri, General Obligation 3/13 at 100.00 AA+ 1,647,734 Bonds, Series 2003A, 5.000%, 3/01/23 2,020 Ritenour Consolidated School District, St. Louis County, No Opt. Call AAA 2,446,361 Missouri, General Obligation Bonds, Series 1995, 7.375%, 2/01/12 - FGIC Insured 1,500 St. Charles County Francis Howell School District, Missouri, No Opt. Call AAA 1,683,960 General Obligation Refunding Bonds, Series 1994A, 7.800%, 3/01/08 - FGIC Insured 1,000 St. Louis County Pattonville R3 School District, Missouri, 3/10 at 101.00 AAA 1,099,270 General Obligation Bonds, Series 2000, 5.750%, 3/01/17 - FGIC Insured 895 St. Louis Board of Education, Missouri, General Obligation No Opt. Call AAA 1,038,692 Refunding Bonds, Series 1993A, 8.500%, 4/01/07 - FGIC Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 34.0% 750 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R 760,178 Bonds, Gravois Bluffs Project, Series 2002, 6.125%, 10/01/21 1,740 Jackson County Public Building Corporation, Missouri, 12/13 at 100.00 Aa3 1,722,043 Leasehold Revenue Bonds, Capital Improvement Projects, Series 2003, 5.000%, 12/01/28 1,000 Kansas City Land Clearance Redevelopment Authority, 12/05 at 102.00 AAA 1,070,180 Missouri, Lease Revenue Bonds, Municipal Auditorium and Muehlebach Hotel Redevelopment Projects, Series 1995A, 5.900%, 12/01/18 - FSA Insured 2,000 Missouri Development Finance Board, Kansas City, 4/10 at 100.00 AAA 2,169,760 Infrastructure Facilities Revenue Bonds, Midtown Redevelopment Project, Series 2000A, 5.750%, 4/01/22 - MBIA Insured 450 Monarch-Chesterfield Levee District, St. Louis County, 3/10 at 101.00 AAA 494,284 Missouri, Levee District Improvement Bonds, Series 1999, 5.750%, 3/01/19 - MBIA Insured 1,000 St. Louis Municipal Finance Corporation, Missouri, Leasehold 2/12 at 100.00 Aaa 1,110,900 Revenue Bonds, Carnahan Courthouse, Series 2002A, 5.750%, 2/15/16 - FGIC Insured 2,000 Springfield Public Building Corporation, Missouri, Lease 6/10 at 100.00 AAA 2,225,000 Revenue Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 - AMBAC Insured 1,380 Springfield Center City Development Corporation, Missouri, 11/11 at 100.00 Aaa 1,397,443 Lease Revenue Bonds, Jordan Valley Park Parking Garage, Series 2002D, 5.000%, 11/01/22 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 4.8% 500 Kansas City, Missouri, Passenger Facility Charge Revenue 4/11 at 101.00 AAA 493,660 Bonds, Kansas City International Airport, Series 2001, 5.000%, 4/01/23 (Alternative Minimum Tax) - AMBAC Insured 1,000 St. Louis Land Clearance Redevelopment Authority, Missouri, 9/09 at 102.00 N/R 1,061,940 Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19 ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 9.0% 675 Missouri Health and Educational Facilities Authority, Revenue 2/06 at 102.00 BBB+*** 737,012 Bonds, Lake Regional Health System, Series 1996, 6.500%, 2/15/21 (Pre-refunded to 2/15/06) 39 Nuveen Missouri Premium Income Municipal Fund (NOM) (continued) Portfolio of INVESTMENTS May 31, 2004 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (continued) $ 1,000 St. Charles School District, Missouri, General Obligation Bonds, 3/06 at 100.00 AA+*** $ 1,061,920 Series 1996A, 5.625%, 3/01/14 (Pre-refunded to 3/01/06) 1,000 St. Louis County, Missouri, GNMA Collateralized Mortgage No Opt. Call AAA 1,096,260 Revenue Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.8% 1,800 Springfield Public Utilities Board, Missouri, Certificates 12/09 at 100.00 AAA 1,857,114 of Participation, Series 2001, 5.000%, 12/01/17 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 4.0% 640 Metropolitan St. Louis Sewerage District, Missouri, Revenue 5/14 at 100.00 AAA 658,906 Bonds, Wastewater System, Series 2004A, 5.000%, 5/01/20 - MBIA Insured 350 Missouri Environmental Improvement and Energy Resources No Opt. Call Aaa 419,437 Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program - Kansas City Project, Series 1997C, 6.750%, 1/01/12 210 Missouri Environmental Improvement and Energy Resources 1/06 at 101.00 Aaa 222,599 Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program - Multi-Participants, Series 1996D, 5.875%, 1/01/15 ------------------------------------------------------------------------------------------------------------------------------------ $ 44,515 Total Long-Term Investments (cost $44,901,312) - 145.5% $ 46,902,978 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 4.1% 1,327,738 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.6)% (16,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 32,230,716 ==================================================================================================================== (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 registered public accounting firm): 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 registered public accounting firm): 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. 40
Statement of ASSETS AND LIABILITIES May 31, 2004
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at market value (cost $111,198,648, $54,834,012, $49,994,768 and $91,827,687, respectively) $114,237,503 $55,915,467 $51,511,568 $91,236,335 Cash -- 51,642 67,937 89,652 Receivables: Interest 1,763,181 738,096 600,872 1,289,288 Investments sold 120,000 55,000 -- 206,241 Other assets 8,693 8,955 220 4,504 ------------------------------------------------------------------------------------------------------------------------------------ Total assets 116,129,377 56,769,160 52,180,597 92,826,020 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft 15,228 -- -- -- Payable for investments purchased -- -- -- -- Accrued expenses: Management fees 63,632 16,777 15,379 25,842 Other 23,286 11,483 16,224 19,130 Preferred share dividends payable 2,102 3,363 2,515 7,220 ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 104,248 31,623 34,118 52,192 ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 77,725,129 $37,237,537 $34,646,479 $60,773,828 ==================================================================================================================================== Common shares outstanding 5,322,691 2,558,214 2,308,008 4,348,855 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.60 $ 14.56 $ 15.01 $ 13.97 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 53,227 $ 25,582 $ 23,080 $ 43,489 Paid-in surplus 73,886,903 36,255,734 32,668,314 61,362,256 Undistributed (Over-distribution of) net investment income 791,740 330,560 318,421 237,612 Accumulated net realized gain (loss) from investments (45,596) (455,794) 119,864 (278,177) Net unrealized appreciation (depreciation) of investments 3,038,855 1,081,455 1,516,800 (591,352) ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 77,725,129 $37,237,537 $34,646,479 $60,773,828 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ==================================================================================================================================== See accompanying notes to financial statements. 41
Statement of ASSETS AND LIABILITIES May 31, 2004 (continued)
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at market value (cost $98,073,689, $42,174,070, $57,422,618 and $44,901,312, respectively) $100,545,128 $43,086,674 $57,368,409 $46,902,978 Cash 90,852 272,368 370,461 476,526 Receivables: Interest 1,584,821 711,604 868,900 859,459 Investments sold 60,000 45,101 50,000 30,519 Other assets 6,823 8,978 331 2,466 ------------------------------------------------------------------------------------------------------------------------------------ Total assets 102,287,624 44,124,725 58,658,101 48,271,948 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft -- -- -- -- Payable for investments purchased 400,000 200,000 -- -- Accrued expenses: Management fees 55,802 12,957 16,302 26,478 Other 24,081 6,858 19,171 13,814 Preferred share dividends payable 2,052 1,322 1,546 940 ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 481,935 221,137 37,019 41,232 ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 67,805,689 $28,903,588 $38,121,082 $32,230,716 ==================================================================================================================================== Common shares outstanding 4,727,341 1,947,896 2,714,367 2,242,599 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.34 $ 14.84 $ 14.04 $ 14.37 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 47,273 $ 19,479 $ 27,144 $ 22,426 Paid-in surplus 65,579,160 27,567,281 38,237,364 29,870,430 Undistributed (Over-distribution of) net investment income 833,077 272,167 (73,094) 400,226 Accumulated net realized gain (loss) from investments (1,125,260) 132,057 (16,123) (64,032) Net unrealized appreciation (depreciation) of investments 2,471,439 912,604 (54,209) 2,001,666 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 67,805,689 $28,903,588 $38,121,082 $32,230,716 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 42 Statement of OPERATIONS Year Ended May 31, 2004
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $5,913,942 $ 2,783,395 $2,506,702 $ 4,287,158 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 769,502 376,852 347,375 616,692 Preferred shares - auction fees 96,115 48,936 43,917 80,452 Preferred shares - dividend disbursing agent fees 10,028 10,028 10,028 10,028 Shareholders' servicing agent fees and expenses 16,388 1,373 1,589 1,240 Custodian's fees and expenses 32,257 16,482 14,815 23,534 Trustees' fees and expenses 2,398 1,290 1,026 1,721 Professional fees 12,419 10,717 12,144 12,370 Shareholders' reports - printing and mailing expenses 16,033 5,149 7,695 13,065 Stock exchange listing fees 11,111 158 153 549 Investor relations expense 6,660 3,033 4,783 9,209 Other expenses 12,045 12,081 5,729 8,253 ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 984,956 486,099 449,254 777,113 Custodian fee credit (3,028) (4,930) (2,587) (6,450) Expense reimbursement -- (173,932) (160,327) (303,602) ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 981,928 307,237 286,340 467,061 ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 4,932,014 2,476,158 2,220,362 3,820,097 ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS Net realized gain (loss) from investments 722,872 (74,861) 241,031 (13,145) Change in net unrealized appreciation (depreciation) of investments (5,838,457) (2,514,188) (2,843,481) (4,885,233) ------------------------------------------------------------------------------------------------------------------------------------ Net gain (loss) from investments (5,115,585) (2,589,049) (2,602,450) (4,898,378) ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (249,202) (129,979) (101,342) (232,209) From accumulated net realized gains from investments -- -- (23,516) -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (249,202) (129,979) (124,858) (232,209) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations $ (432,773) $ (242,870) $ (506,946) $(1,310,490) ====================================================================================================================================
See accompanying notes to financial statements. 43 Statement of OPERATIONS Year Ended May 31, 2004 (continued)
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $5,309,607 $2,189,042 $2,846,221 $2,562,192 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 674,834 292,061 389,640 320,034 Preferred shares - auction fees 85,325 37,643 51,446 41,153 Preferred shares - dividend disbursing agent fees 10,028 10,028 10,028 10,028 Shareholders' servicing agent fees and expenses 9,330 399 546 6,341 Custodian's fees and expenses 25,858 12,855 20,384 15,138 Trustees' fees and expenses 2,124 868 1,461 1,430 Professional fees 12,973 10,184 10,071 9,873 Shareholders' reports - printing and mailing expenses 16,657 3,698 6,830 5,630 Stock exchange listing fees 11,099 95 253 116 Investor relations expense 5,173 2,501 6,630 1,546 Other expenses 11,541 8,550 5,709 10,972 ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 864,942 378,882 502,998 422,261 Custodian fee credit (5,590) (3,098) (13,679) (2,828) Expense reimbursement -- (134,798) (191,823) -- ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 859,352 240,986 297,496 419,433 ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 4,450,255 1,948,056 2,548,725 2,142,759 ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS Net realized gain (loss) from investments 942,951 254,529 (16,228) 444,042 Change in net unrealized appreciation (depreciation) of investments (5,525,901) (2,448,042) (3,274,453) (2,836,623) ------------------------------------------------------------------------------------------------------------------------------------ Net gain (loss) from investments (4,582,950) (2,193,513) (3,290,681) (2,392,581) ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (217,866) (75,765) (154,434) (122,983) From accumulated net realized gains from investments -- (12,018) (4,012) -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (217,866) (87,783) (158,446) (122,983) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations $ (350,561) $ (333,240) $ (900,402) $ (372,805) ====================================================================================================================================
See accompanying notes to financial statements. 44 Statement of CHANGES IN NET ASSETS
CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK) ---------------------------- ----------------------------- --------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/04 5/31/03 5/31/04 5/31/03 5/31/04 5/31/03 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 4,932,014 $ 5,198,312 $ 2,476,158 $ 2,551,921 $ 2,220,362 $ 2,263,151 Net realized gain (loss) from investments 722,872 1,504,009 (74,861) (278,778) 241,031 325,473 Change in net unrealized appreciation (depreciation) of investments (5,838,457) 4,082,959 (2,514,188) 3,304,347 (2,843,481) 3,671,087 Distributions to Preferred Shareholders: From net investment income (249,202) (358,883) (129,979) (170,791) (101,342) (169,519) From accumulated net realized gains from investments -- -- -- -- (23,516) (11,970) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations (432,773) 10,426,397 (242,870) 5,406,699 (506,946) 6,078,222 ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (4,686,749) (4,646,089) (2,261,395) (2,140,226) (2,004,077) (1,910,300) From accumulated net realized gains from investments -- -- -- -- (267,884) (143,733) ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (4,686,749) (4,646,089) (2,261,395) (2,140,226) (2,271,961) (2,054,033) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Net proceeds from sale of shares -- -- 1,664 -- -- -- Net proceeds from shares issued to shareholders due to reinvestment of distributions 352,597 384,893 115,496 100,877 12,077 4,040 Preferred shares offering costs -- -- -- 23,986 (27,909) 5,020 ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions 352,597 384,893 117,160 124,863 (15,832) 9,060 ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (4,766,925) 6,165,201 (2,387,105) 3,391,336 (2,794,739) 4,033,249 Net assets applicable to Common shares at the beginning of period 82,492,054 76,326,853 39,624,642 36,233,306 37,441,218 33,407,969 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $77,725,129 $82,492,054 $37,237,537 $39,624,642 $34,646,479 $37,441,218 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 791,740 $ 796,522 $ 330,560 $ 245,776 $ 318,421 $ 203,941 ====================================================================================================================================
See accompanying notes to financial statements. 45 Statement of CHANGES IN NET ASSETS (continued)
CONNECTICUT MASSACHUSETTS PREMIUM MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) INCOME (NMT) DIVIDEND ADVANTAGE (NMB) ---------------------------- ----------------------------- ---------------------------- FOR THE PERIOD 9/26/02 (COMMENCEMENT YEAR ENDED OF OPERATIONS) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/04 THROUGH 5/31/03 5/31/04 5/31/03 5/31/04 5/31/03 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 3,820,097 $ 2,173,106 $ 4,450,255 $ 4,619,396 $ 1,948,056 $ 2,027,149 Net realized gain (loss) from investments (13,145) (265,032) 942,951 (16,814) 254,529 133,861 Change in net unrealized appreciation (depreciation) of investments (4,885,233) 4,293,882 (5,525,901) 3,635,536 (2,448,042) 3,241,102 Distributions to Preferred Shareholders: From net investment income (232,209) (163,989) (217,866) (315,608) (75,765) (139,815) From accumulated net realized gains from investments -- -- -- -- (12,018) -- ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations (1,310,490) 6,037,967 (350,561) 7,922,510 (333,240) 5,262,297 ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (3,390,125) (1,969,268) (4,161,260) (4,094,191) (1,786,931) (1,703,320) From accumulated net realized gains from investments -- -- -- -- (153,574) -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (3,390,125) (1,969,268) (4,161,260) (4,094,191) (1,940,505) (1,703,320) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Net proceeds from sale of shares -- 61,625,745 -- -- 1,664 -- Net proceeds from shares issued to shareholders due to reinvestment of distributions 165,098 290,710 314,919 317,813 41,277 31,840 Preferred shares offering costs (14,584) (761,500) -- -- -- 24,400 ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions 150,514 61,154,955 314,919 317,813 42,941 56,240 ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (4,550,101) 65,223,654 (4,196,902) 4,146,132 (2,230,804) 3,615,217 Net assets applicable to Common shares at the beginning of period 65,323,929 100,275 72,002,591 67,856,459 31,134,392 27,519,175 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $60,773,828 $65,323,929 $67,805,689 $72,002,591 $28,903,588 $31,134,392 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 237,612 $ 39,849 $ 833,077 $ 813,281 $ 272,167 $ 190,315 ====================================================================================================================================
See accompanying notes to financial statements. 46
INSURED MASSACHUSETTS MISSOURI PREMIUM TAX-FREE ADVANTAGE (NGX) INCOME (NOM) ------------------------------ --------------------------- FOR THE PERIOD 11/21/02 (COMMENCEMENT YEAR ENDED OF OPERATIONS) YEAR ENDED YEAR ENDED 5/31/04 THROUGH 5/31/03 5/31/04 5/31/03 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 2,548,725 $ 931,105 $ 2,142,759 $ 2,153,739 Net realized gain (loss) from investments (16,228) 44,352 444,042 (15,252) Change in net unrealized appreciation (depreciation) of investments (3,274,453) 3,220,244 (2,836,623) 2,231,265 Distributions to Preferred Shareholders: From net investment income (154,434) (81,083) (122,983) (161,228) From accumulated net realized gains from investments (4,012) -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations (900,402) 4,114,618 (372,805) 4,208,524 ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (2,342,674) (974,628) (1,963,048) (1,919,228) From accumulated net realized gains from investments (39,926) -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (2,382,600) (974,628) (1,963,048) (1,919,228) ------------------------------------------------------------------------------------------------------------------------------------ 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 100,710 14,987 339,007 318,941 Preferred shares offering costs 6,822 (555,200) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions 107,532 38,056,287 339,007 318,941 ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (3,175,470) 41,196,277 (1,996,846) 2,608,237 Net assets applicable to Common shares at the beginning of period 41,296,552 100,275 34,227,562 31,619,325 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $38,121,082 $41,296,552 $32,230,716 $34,227,562 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ (73,094) $ (124,606) $ 400,226 $ 344,130 ====================================================================================================================================
See accompanying notes to financial statements. 47 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). Common shares of Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are traded on the New York Stock Exchange while Common shares of Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB), Insured Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM) are traded on the American Stock Exchange. The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies. Prior to the commencement of operations of 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., and the recording of the organization expenses ($11,500 per Fund) and their reimbursement by Nuveen Investments, LLC, 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 U.S. generally accepted accounting principles. 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, evaluations of anticipated cash flows or collateral 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, 2004, Massachusetts Premium Income (NMT) and Massachusetts Dividend Advantage (NMB) had outstanding when-issued purchase commitments of $400,000 and $200,000, respectively. 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. 48 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, 2004, have been designated Exempt Interest Dividends. Dividends and Distributions to Common Shareholders Dividends from tax-exempt net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders not less frequently than annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards. Distributions to Common shareholders of tax-exempt net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. Preferred Shares The Funds have issued and outstanding $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. Insurance Insured Massachusetts Tax-Free Advantage (NGX) invests at least 80% of its net assets (including net assets applicable to Preferred shares) in municipal securities that are covered by insurance. The Fund may also invest up to 20% of its net assets (including net assets applicable to Preferred shares) in municipal securities which are either (i) backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, or (ii) 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. Each insured municipal security is covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance. Such insurance does not guarantee the market value of the municipal securities or the value of the Fund's Common shares. Original Issue Insurance and Secondary Market Insurance remain in effect as long as the municipal securities covered thereby remain outstanding and the insurer remains in business, regardless of whether the Fund ultimately disposes of such municipal securities. Consequently, the market value of the municipal securities covered by Original Issue Insurance or Secondary Market Insurance may reflect value attributable to the insurance. Portfolio Insurance is effective only while the municipal securities are held by the Fund. Accordingly, neither the prices used in determining the market value of the underlying municipal securities nor the Common share net asset value of the Fund includes value, if any, attributable to the Portfolio Insurance. Each policy of the Portfolio Insurance does, however, give the Fund the right to obtain permanent insurance with respect to the municipal security covered by the Portfolio Insurance policy at the time of its sale. 49 Notes to FINANCIAL STATEMENTS (continued) 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 fiscal year ended May 31, 2004. 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 3 (NGO) and Insured Massachusetts Tax-Free Advantage (NGX). Connecticut Dividend Advantage 3's (NGO) and Insured Massachusetts Tax-Free Advantage's (NGX) share of Common share offering costs ($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 3 (NGO) and Insured Massachusetts Tax-Free Advantage (NGX) in connection with their offering of Preferred shares ($776,084 and $548,378, respectively) were recorded as a reduction to paid-in surplus. Indemnifications Under the Funds' organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates. 2. FUND SHARES Transactions in Common and Preferred shares were as follows:
CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK) ----------------------- ---------------------- ----------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/04 5/31/03 5/31/04 5/31/03 5/31/04 5/31/03 --------------------------------------------------------------------------------------------------------- Common shares: Shares sold -- -- -- -- -- -- Shares issued to shareholders due to reinvestment of distributions 21,447 23,492 7,211 6,514 748 260 --------------------------------------------------------------------------------------------------------- 21,447 23,492 7,211 6,514 748 260 ========================================================================================================= Preferred shares sold -- -- -- -- -- -- =========================================================================================================
50
CONNECTICUT DIVIDEND MASSACHUSETTS MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) ADVANTAGE (NMB) --------------------------- ---------------------- ------------------------ FOR THE PERIOD 9/26/02 (COMMENCEMENT YEAR ENDED OF OPERATIONS) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/04 THROUGH 5/31/03 5/31/04 5/31/03 5/31/04 5/31/03 -------------------------------------------------------------------------------------------------------------- Common shares: Shares sold -- 4,311,000 -- -- -- -- Shares issued to shareholders due to reinvestment of distributions 11,300 19,555 20,346 19,972 2,552 2,042 -------------------------------------------------------------------------------------------------------------- 11,300 4,330,555 20,346 19,972 2,552 2,042 ============================================================================================================== Preferred shares sold -- 1,280 -- -- -- -- ==============================================================================================================
INSURED MASSACHUSETTS TAX-FREE MISSOURI ADVANTAGE (NGX) PREMIUM INCOME (NOM) ---------------------------- ----------------------- FOR THE PERIOD 11/21/02 (COMMENCEMENT YEAR ENDED OF OPERATIONS) YEAR ENDED YEAR ENDED 5/31/04 THROUGH 5/31/03 5/31/04 5/31/03 ------------------------------------------------------------------------------------------------------- Common shares: Shares sold -- 2,700,000 -- -- Shares issued to shareholders due to reinvestment of distributions 6,392 975 20,100 19,544 ------------------------------------------------------------------------------------------------------- 6,392 2,700,975 20,100 19,544 ======================================================================================================= Preferred shares sold -- 820 -- -- =======================================================================================================
3. SECURITIES TRANSACTIONS Purchases and sales (including maturities) of investments in long-term municipal securities during the fiscal year ended May 31, 2004, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------- Purchases $18,667,683 $5,075,147 $5,294,860 $14,916,539 Sales and maturities 17,687,414 2,361,230 5,600,834 12,677,361 ======================================================================================================= INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------- Purchases $22,705,663 $11,763,881 $58,195,802 $12,258,018 Sales and maturities 23,423,348 11,362,735 61,712,941 11,649,438 =======================================================================================================
51 Notes to FINANCIAL STATEMENTS (continued) 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, 2004, 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 $111,187,147 $54,811,976 $49,982,720 $91,817,496 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------- Cost of investments $97,942,211 $42,156,449 $57,422,583 $44,882,345 ================================================================================ Gross unrealized appreciation and gross unrealized depreciation of investments at May 31, 2004, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------ Gross unrealized: Appreciation $3,864,229 $1,492,068 $1,786,684 $ 630,742 Depreciation (813,873) (388,577) (257,836) (1,211,903) ------------------------------------------------------------------------------------------------------------ Net unrealized appreciation (depreciation) of investments $3,050,356 $1,103,491 $1,528,848 $ (581,161) ============================================================================================================
52
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $3,291,425 $1,093,301 $ 510,317 $2,218,908 Depreciation (688,508) (163,076) (564,491) (198,275) ------------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $2,602,917 $ 930,225 $ (54,174) $2,020,633 ===================================================================================================================
The tax components of undistributed net investment income and net realized gains at May 31, 2004, 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 $1,173,557 $502,475 $478,530 $512,881 Undistributed net ordinary income * -- -- -- 4,435 Undistributed net long-term capital gains -- -- 119,864 -- ================================================================================================================
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ---------------------------------------------------------------------------------------------------------------- Undistributed net tax-exempt income $998,406 $406,831 $123,850 $547,030 Undistributed net ordinary income * 52,706 -- -- -- Undistributed net long-term capital gains -- 132,057 -- -- ================================================================================================================
* 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, 2004 and May 31, 2003, 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 2004 (NTC) (NFC) (NGK) (NGO) ---------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,933,954 $2,378,343 $2,093,729 $3,619,201 Distributions from net ordinary income * -- -- 85,538 -- Distributions from net long-term capital gains -- -- 205,862 -- ==========================================================================================================
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME 2004 (NMT) (NMB) (NGX) (NOM) ---------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,376,698 $1,853,471 $2,496,989 $2,082,426 Distributions from net ordinary income * -- -- 44,352 -- Distributions from net long-term capital gains -- 165,592 -- -- ==========================================================================================================
* Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. 53 Notes to FINANCIAL STATEMENTS (continued)
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 -- -- -- -- =============================================================================================================
* Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. At May 31, 2004, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
INSURED CONNECTICUT CONNECTICUT CONNECTICUT MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND DIVIDEND PREMIUM TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE 3 INCOME ADVANTAGE INCOME (NTC) (NFC) (NGO) (NMT) (NGX) (NOM) -------------------------------------------------------------------------------------------------------------- Expiration year: 2005 $ -- $ -- $ -- $ 195,761 $ -- $ -- 2006 -- -- -- -- -- -- 2007 -- -- -- -- -- -- 2008 -- -- -- 210,990 -- 57,433 2009 45,596 30,535 -- 718,509 -- -- 2010 -- 42,027 -- -- -- 6,599 2011 -- -- 172,070 -- -- -- 2012 -- 383,232 106,107 -- 16,123 -- -------------------------------------------------------------------------------------------------------------- Total $45,596 $455,794 $278,177 $1,125,260 $16,123 $64,032 ==============================================================================================================
54 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 ================================================================================ 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 or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised Funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised Funds. As approved by the Board of Trustees, a complex-wide fee schedule for all Funds managed by the Adviser and its affiliates will go into effect on August 1, 2004. The implementation of this complex-wide fee schedule is expected to result in a marginal immediate decrease in the rate at which management fees are to be paid by the Funds. As assets in the Nuveen Fund complex grow, the management fee rates to be paid by the Funds will decrease further. Under no circumstances will the complex-wide fee schedule result in an increase in the rate at which management fees would be paid by the Funds if the complex-wide fee schedule were not implemented. 55 Notes to FINANCIAL STATEMENTS (continued) 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. 56 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. 57 Notes to FINANCIAL STATEMENTS (continued) 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, 2004, to shareholders of record on June 15, 2004, as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) -------------------------------------------------------------------------------- Dividend per share $.0735 $.0745 $.0735 $.0650 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------- Dividend per share $.0735 $.0775 $.0720 $.0735 ================================================================================ Swap Transactions The following Funds entered into forward starting swap transactions for the purpose of hedging their portfolio duration. The swap transactions will be marked to market daily with the corresponding unrealized gain or loss reflected in the Fund's NAV. The Funds entered into forward starting swap transactions on the dates and in the notational amounts as follows: CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND ADVANTAGE (NFC) ADVANTAGE 2 (NGK) -------------------------------------------------------------------------------- Trade Date July 1, 2004 July 15, 2004 July 1, 2004 July 15, 2004 -------------------------------------------------------------------------------- Notional Amount $51,500,000 $40,000,000 $51,500,000 $40,000,000 ================================================================================ CONNECTICUT DIVIDEND INSURED MASSACHUSETTS ADVANTAGE 3 (NGO) TAX-FREE ADVANTAGE (NGX) -------------------------------------------------------------------------------- Trade Date July 1, 2004 July 15, 2004 June 9, 2004 June 23, 2004 -------------------------------------------------------------------------------- Notional Amount $51,500,000 $40,000,000 $33,000,000 $17,000,000 ================================================================================ 58 Financial HIGHLIGHTS 59 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: 2004 $15.56 $ .93 $ (.96) $(.05) $ -- $ (.08) $(.88) $ -- $(.88) 2003 14.46 .98 1.07 (.07) -- 1.98 (.88) -- (.88) 2002 14.20 1.00 .20 (.10) -- 1.10 (.84) -- (.84) 2001 12.92 1.02 1.32 (.24) -- 2.10 (.82) -- (.82) 2000 14.44 1.06 (1.54) (.22) -- (.70) (.82) -- (.82) CONNECTICUT DIVIDEND ADVANTAGE (NFC) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2004 15.53 .97 (1.00) (.05) -- (.08) (.89) -- (.89) 2003 14.24 1.00 1.19 (.07) -- 2.12 (.84) -- (.84) 2002 13.88 1.00 .31 (.11) -- 1.20 (.84) -- (.84) 2001(a) 14.33 .21 (.23) (.05) -- (.07) (.21) -- (.21) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2004 16.23 .96 (1.13) (.04) (.01) (.22) (.87) (.12) (.99) 2003 14.48 .98 1.74 (.07) (.01) 2.64 (.83) (.06) (.89) 2002(b) 14.33 .08 .30 -- -- .38 (.07) -- (.07) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2004 15.06 .88 (1.14) (.05) -- (.31) (.78) -- (.78) 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: 2004 $ -- $14.60 $14.4700 (10.80)% (.51)% 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) CONNECTICUT DIVIDEND ADVANTAGE (NFC) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2004 -- 14.56 14.1200 (8.64) (.56) 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: 2004 (.01) 15.01 14.1400 (4.65) (1.48) 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: 2004 -- 13.97 13.0000 (8.92) (2.08) 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: 2004 $77,725 1.23% 6.16% 1.23% 6.16% 15% 2003 82,492 1.27 6.57 1.26 6.58 23 2002 76,327 1.34 6.90 1.34 6.91 12 2001 74,642 1.33 7.36 1.31 7.39 8 2000 67,579 1.36 7.87 1.32 7.91 19 CONNECTICUT DIVIDEND ADVANTAGE (NFC) -------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2004 37,238 1.26 5.97 .80 6.44 4 2003 39,625 1.27 6.29 .81 6.76 7 2002 36,233 1.38 6.56 .88 7.06 20 2001(a) 35,255 1.22* 4.10* .80* 4.52* 29 CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) -------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2004 34,646 1.25 5.73 .80 6.18 10 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: 2004 60,774 1.24 5.58 .74 6.08 14 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: 2004 $38,300 $25,000 $75,734 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 CONNECTICUT DIVIDEND ADVANTAGE (NFC) ---------------------------------------------------------------------- Year Ended 5/31: 2004 19,500 25,000 72,740 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: 2004 17,500 25,000 74,495 2003 17,500 25,000 78,487 2002(b) 17,500 25,000 72,726 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) ---------------------------------------------------------------------- Year Ended 5/31: 2004 32,000 25,000 72,480 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 at net asset value, reinvested capital gains distributions at net asset value, 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 25, 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. 60-61 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: 2004 $15.30 $ .94 $ (.97) $(.05) $ -- $ (.08) $(.88) $ -- $ (.88) 2003 14.48 .98 .78 (.07) -- 1.69 (.87) -- (.87) 2002 14.26 1.03 .13 (.11) -- 1.05 (.83) -- (.83) 2001 13.17 1.05 1.10 (.24) -- 1.91 (.82) -- (.82) 2000 14.72 1.05 (1.54) (.21) -- (.70) (.85) -- (.85) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2004 16.00 1.00 (1.11) (.04) (.01) (.16) (.92) (.08) (1.00) 2003 14.16 1.04 1.74 (.07) -- 2.71 (.88) -- (.88) 2002 13.88 1.03 .25 (.12) -- 1.16 (.88) -- (.88) 2001(a) 14.33 .24 (.24) (.05) -- (.05) (.22) -- (.22) INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2004 15.25 .94 (1.22) (.06) -- (.34) (.86) (.01) (.87) 2003(b) 14.33 .35 1.21 (.03) -- 1.53 (.37) -- (.37) MISSOURI PREMIUM INCOME (NOM) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2004 15.40 .96 (1.05) (.06) -- (.15) (.88) -- (.88) 2003 14.35 .97 1.02 (.07) -- 1.92 (.87) -- (.87) 2002 13.97 1.01 .31 (.13) -- 1.19 (.81) -- (.81) 2001 12.77 1.02 1.18 (.26) -- 1.94 (.74) -- (.74) 2000 14.20 .99 (1.39) (.26) -- (.66) (.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: 2004 $ -- $14.34 $14.3500 (9.51)% (.51)% 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) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2004 -- 14.84 14.8800 (3.74) (1.03) 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: 2004 -- 14.04 13.9000 (6.83) (2.18) 2003(b) (.24) 15.25 15.7800 7.69 9.07 MISSOURI PREMIUM INCOME (NOM) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2004 -- 14.37 15.1500 (5.35) (1.00) 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) ========================================================================================== 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: 2004 $67,806 1.24% 6.37% 1.23% 6.38% 22% 2003 72,003 1.28 6.61 1.27 6.63 18 2002 67,856 1.31 7.11 1.30 7.12 13 2001 66,579 1.37 7.46 1.35 7.48 14 2000 61,323 1.32 7.71 1.31 7.73 11 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ---------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2004 28,904 1.27 6.05 .81 6.51 26 2003 31,134 1.29 6.49 .83 6.95 8 2002 27,519 1.47 6.70 .94 7.24 9 2001(a) 26,951 1.28* 4.84* .84* 5.28* 18 INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ---------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2004 38,121 1.28 5.94 .75 6.46 97 2003(b) 41,297 1.14* 4.17* .68* 4.64* 19 MISSOURI PREMIUM INCOME (NOM) ---------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2004 32,231 1.27 6.44 1.26 6.45 24 2003 34,228 1.34 6.56 1.32 6.58 15 2002 31,619 1.38 7.08 1.36 7.10 8 2001 30,508 1.39 7.48 1.38 7.50 31 2000 27,701 1.48 7.49 1.47 7.51 23 ================================================================================================================================== 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: 2004 $34,000 $25,000 $74,857 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 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ----------------------------------------------------------------------- Year Ended 5/31: 2004 15,000 25,000 73,173 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: 2004 20,500 25,000 71,489 2003(b) 20,500 25,000 75,362 MISSOURI PREMIUM INCOME (NOM) ----------------------------------------------------------------------- Year Ended 5/31: 2004 16,000 25,000 75,360 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 =======================================================================
* 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 at net asset value, reinvested capital gains distributions at net asset value, 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 30, 2001 (commencement of operations) through May 31, 2001. (b) For the period November 21, 2002 (commencement of operations) through May 31, 2003. See accompanying notes to financial statements. 62-63 SPREAD Trustees AND OFFICERS The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of trustees of the Funds is currently set at seven. None of the trustees who are not "interested" persons of the Funds 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 Funds, 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 POSITION(S) YEAR FIRST PRINCIPAL OCCUPATION(S) PORTFOLIOS IN NAME, BIRTHDATE HELD WITH ELECTED OR INCLUDING OTHER DIRECTORSHIPS FUND COMPLEX AND ADDRESS THE FUNDS APPOINTED(2) DURING PAST 5 YEARS OVERSEEN BY TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEE WHO IS AN INTERESTED PERSON OF THE FUNDS: ------------------------------------------------------------------------------------------------------------------------------------ Timothy R. Schwertfeger (1) Chairman of 1994 Chairman and Director (since 1996) of Nuveen Investments, 144 3/28/49 the Board Inc. and Nuveen Investments, LLC; Director (since 1992) and 333 W. Wacker Drive and Trustee Chairman (since 1996) of Nuveen Advisory Corp. and Nuveen Chicago, IL 60606 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. 144 8/22/40 333 W. Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------------------------------------------------------------ Lawrence H. Brown Trustee 1993 Retired (1989) as Senior Vice President of The Northern 144 7/29/34 Trust Company; Director, Community Advisory Board for 333 W. Wacker Drive Highland Park and Highwood, United Way of the North Chicago, IL 60606 Shore (since 2002). ------------------------------------------------------------------------------------------------------------------------------------ Jack B. Evans Trustee 1999 President, The Hall-Perrine Foundation, a private philanthropic 144 10/22/48 corporation (since 1996); Director, Alliant Energy; Director and 333 W. Wacker Drive Vice Chairman, United Fire & Casualty Company; formerly Chicago, IL 60606 Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm. ------------------------------------------------------------------------------------------------------------------------------------ William C. Hunter Trustee 2004 Dean and Distinguished Professor of Finance, School of 144 3/6/48 Business at the University of Connecticut; previously Senior 333 W. Wacker Drive Vice President and Director of Research at the Federal Chicago, IL 60606 Reserve Bank of Chicago (1995-2003); Director, Credit Research Center at Georgetown University; Director of Xerox Corporation (since 2004). ------------------------------------------------------------------------------------------------------------------------------------ 64 NUMBER OF POSITION(S) YEAR FIRST PRINCIPAL OCCUPATION(S) PORTFOLIOS IN NAME, BIRTHDATE HELD WITH ELECTED OR INCLUDING OTHER DIRECTORSHIPS FUND COMPLEX AND ADDRESS THE FUNDS APPOINTED(2) DURING PAST 5 YEARS OVERSEEN BY TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES WHO ARE NOT INTERESTED PERSONS OF THE FUNDS (CONTINUED): ------------------------------------------------------------------------------------------------------------------------------------ William J. Schneider Trustee 1997 Senior Partner and Chief Operating Officer, Miller-Valentine 144 9/24/44 Group, Vice President, Miller-Valentine Realty, a construction 333 W. Wacker Drive company; Chair, Miami Valley Hospital; Chair, Dayton Chicago, IL 60606 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 144 12/29/47 Foundation (since 1994); prior thereto, Executive Director, 333 W. Wacker Drive Great Lakes Protection Fund (from 1990 to 1994) Chicago, IL 60606 NUMBER OF POSITION(S) YEAR FIRST PORTFOLIOS IN NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) FUND COMPLEX AND ADDRESS THE FUNDS APPOINTED(3) DURING PAST 5 YEARS OVERSEEN BY OFFICER ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS OF THE FUNDS: ------------------------------------------------------------------------------------------------------------------------------------ Gifford R. Zimmerman Chief 1988 Managing Director (since 2002), Assistant Secretary and 144 9/9/56 Administrative Associate General Counsel, formerly, Vice President and 333 W. Wacker Drive Officer Assistant General Counsel of Nuveen Investments, LLC; Chicago, IL 60606 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 2003); Chartered Financial Analyst. ------------------------------------------------------------------------------------------------------------------------------------ Michael T. Atkinson Vice President 2000 Vice President (since 2002), formerly, Assistant Vice 144 2/3/66 and Assistant President (since 2000), previously, Associate of Nuveen 333 W. Wacker Drive Secretary Investments, LLC. Chicago, IL 60606 65 Trustees AND OFFICERS (CONTINUED) NUMBER OF POSITION(S) YEAR FIRST PORTFOLIOS IN NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) FUND COMPLEX AND ADDRESS THE FUNDS APPOINTED(3) DURING PAST 5 YEARS OVERSEEN BY OFFICER ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS OF THE FUNDS (CONTINUED): ------------------------------------------------------------------------------------------------------------------------------------ Paul L. Brennan Vice President 1999 Vice President (since 2002), formerly, Assistant Vice 128 11/10/66 President (since 1997), of Nuveen Advisory Corp.; prior 333 W. Wacker Drive thereto, portfolio manager of Flagship Financial Inc.; Chicago, IL 60606 Chartered Financial Analyst and Certified Public Accountant. ------------------------------------------------------------------------------------------------------------------------------------ Peter H. D'Arrigo Vice President 1999 Vice President of Nuveen Investments, LLC (since 1999), 144 11/28/67 and Treasurer prior thereto, Assistant Vice President (since 1997); Vice 333 W. Wacker Drive President and Treasurer of Nuveen Investments, Inc. (since Chicago, IL 60606 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); Vice President and Treasurer of Nuveen Rittenhouse Asset Management, Inc. (since 2003); Chartered Financial Analyst. ------------------------------------------------------------------------------------------------------------------------------------ Jessica R. Droeger Vice President 2000 Vice President (since 2002) and Assistant General Counsel 144 9/24/64 and Secretary (since 1998); formerly, Assistant Vice President (since 1998) 333 W. Wacker Drive of Nuveen Investments, LLC; Vice President (since 2002) Chicago, IL 60606 and Assistant Secretary (since 1998), formerly Assistant Vice President of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. ------------------------------------------------------------------------------------------------------------------------------------ Lorna C. Ferguson Vice President 1998 Managing Director (since 2004) formerly, Vice President of 144 10/24/45 Nuveen Investments, LLC; Managing Director (since 2004) 333 W. Wacker Drive formerly, Vice President (since 1998) of Nuveen Advisory Chicago, IL 60606 Corp. and Nuveen Institutional Advisory Corp. ------------------------------------------------------------------------------------------------------------------------------------ William M. Fitzgerald Vice President 1995 Managing Director (since 2002) of Nuveen Investments, 144 3/2/64 LLC; Managing Director (since 2001), formerly Vice President 333 W. Wacker Drive of Nuveen Advisory Corp. and Nuveen Institutional Advisory Chicago, IL 60606 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 (since 1998) 144 5/31/54 and Controller of Nuveen Investments, LLC and Vice President and Funds 333 W. Wacker Drive Controller (since 1998) of Nuveen Investments, Inc.; Chicago, IL 60606 Certified Public Accountant. ------------------------------------------------------------------------------------------------------------------------------------ J. Thomas Futrell Vice President 1988 Vice President of Nuveen Advisory Corp.; Chartered 128 7/5/55 Financial Analyst. 333 W. Wacker Drive Chicago, IL 60606 66 NUMBER OF POSITION(S) YEAR FIRST PORTFOLIOS IN NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) FUND COMPLEX AND ADDRESS THE FUNDS APPOINTED(3) DURING PAST 5 YEARS OVERSEEN BY OFFICER ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS OF THE FUNDS (CONTINUED): ------------------------------------------------------------------------------------------------------------------------------------ Steven J. Krupa Vice President 1990 Vice President of Nuveen Advisory Corp. 128 8/21/57 333 W. Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------------------------------------------------------------ David J. Lamb Vice President 2000 Vice President (since 2000) of Nuveen Investments, 144 3/22/63 LLC, previously Assistant Vice President (since 1999); 333 W. Wacker Drive prior thereto, Associate of Nuveen Investments, LLC; Chicago, IL 60606 Certified Public Accountant. ------------------------------------------------------------------------------------------------------------------------------------ Tina M. Lazar Vice President 2002 Vice President (since 1999), previously, Assistant Vice 144 8/27/61 President (since 1993) of Nuveen Investments, LLC. 333 W. Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------------------------------------------------------------ Larry W. Martin Vice President 1988 Vice President, Assistant Secretary and Assistant General 144 7/27/51 and Assistant Counsel of Nuveen Investments, LLC; Vice President and 333 W. Wacker Drive Secretary Assistant Secretary of Nuveen Advisory Corp. and Nuveen Chicago, IL 60606 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). ------------------------------------------------------------------------------------------------------------------------------------ John V. Miller Vice President 2003 Vice President (since 2003) previously, Assistant Vice President 128 4/10/67 (since 1999), prior thereto, credit analyst (since 1996) of Nuveen 333 W. Wacker Drive Advisory Corp.; Chartered Financial Analyst. Chicago, IL 60606 ------------------------------------------------------------------------------------------------------------------------------------ Edward F. Neild, IV Vice President 1996 Managing Director (since 2002) of Nuveen Investments, LLC; 144 7/7/65 Managing Director (since 1997), formerly Vice President 333 W. Wacker Drive (since 1996) of Nuveen Advisory Corp. and Nuveen Institutional Chicago, IL 60606 Advisory Corp.; Managing Director of Nuveen Asset Management, Inc. (since 1999). Chartered Financial Analyst. ------------------------------------------------------------------------------------------------------------------------------------ Daniel S. Solender Vice President 2003 Vice President of Nuveen Advisory Corp. (since 2003); previously, 128 10/27/65 Principal and portfolio manager with The Vanguard Group 333 W. Wacker Drive (1999-2003); prior thereto, Assistant Vice President of the Chicago, IL 60606 Nuveen Advisory Corp.; Chartered Financial Analyst. ------------------------------------------------------------------------------------------------------------------------------------ Thomas C. Spalding Vice President 1982 Vice President of Nuveen Advisory Corp. and Nuveen 128 7/31/51 Institutional Advisory Corp.; Chartered Financial Analyst. 333 W. Wacker Drive 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 the Adviser. (2) Trustees serve an indefinite 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 one year terms 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. 67 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. 68 Fund INFORMATION BOARD OF TRUSTEES Robert P. Bremner Lawrence H. Brown Jack B. Evans William C. Hunter 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 Chapman and Cutler LLP Chicago, IL INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Chicago, IL PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling Nuveen Investments at (800) 257-8787; and (ii) on the Commission's website at http://www.sec.gov. 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 fiscal year ended May 31, 2004. Any future repurchases will be reported to shareholders in the next annual or semiannual report. 69 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 $100 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-0504D ITEM 2. CODE OF ETHICS. As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. The registrant has posted such code of ethics on its website at www.nuveen.com/etf. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. During the reporting period, the registrant's board of directors determined that the registrant had at least one "audit committee financial expert" (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant's audit committee financial expert for the reporting period was William E. Bennett, who was "independent" for purposes of Item 3 of Form N-CSR. Although Mr. Bennett served as the audit committee financial expert for part of reporting period, he unexpectedly resigned from the Board effective April 30, 2004. Since that time, the Audit Committee determined that Jack B. Evans, the Chairman of the Audit Committee, qualifies as an audit committee financial expert and recommended to the full Board that he be designated as such. On July 26, 2004, the full Board voted to so designate Mr. Evans. Mr. Bennett was formerly Executive Vice President and Chief Credit Officer of First Chicago Corporation and its principal subsidiary, The First National Bank of Chicago. As part of his role as Chief Credit Officer, Mr. Bennett set policy as to accrual of assets/loans; designated performing/non-performing assets; set the level of reserves against the credit portfolo; and determined the carrying value of credit related assets and exposure. Among other things, Mr. Bennett was also responsible for the oversight of the internal analysis function including setting ground rules for the review and preparation of financial analysis and financial statements for use in making credit and risk decisions for financial analysis and financial statements for use in making credit and risk decisions for clients. Mr. Bennett has significant experience reviewing, analyzing and evaluating financial statements of domestic and international companies in a variety of industries with complex accounting issues. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND FORM N-CSR DISCLOSURE RE: AUDIT FEES The following table shows the amount of fees that Ernst & Young LLP, the Fund's auditor, billed to the Fund during the Fund's last two full fiscal years. For engagements with Ernst & Young LLP entered into on or after May 6, 2003, the Audit Committee approved in advance all audit services and non-audit services that Ernst & Young LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the "pre-approval exception"). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee's attention, and the Committee (or its delegate) approves the services before the audit is completed. The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee). SERVICES THAT THE FUND'S AUDITOR BILLED TO THE FUND
AUDIT FEES BILLED AUDIT-RELATED FEES TAX FEES ALL OTHER FEES FISCAL YEAR ENDED TO FUND BILLED TO FUND BILLED TO FUND BILLED TO FUND ------------------------------------------------------------------------------------------------------------------------------------ May 31, 2004 $ 7,706 $ 0 $ 381 $ 2,450 ------------------------------------------------------------------------------------------------------------------------------------ Percentage approved N/A 0% 0% 0% pursuant to pre-approval exception ------------------------------------------------------------------------------------------------------------------------------------ May 31, 2003 $ 6,992 $ 0 $ 354 $ 2,250 ------------------------------------------------------------------------------------------------------------------------------------ Percentage approved N/A 0% 0% 0% pursuant to pre-approval exception ------------------------------------------------------------------------------------------------------------------------------------
The above "Tax Fees" were billed for professional services for tax advice, tax compliance and tax planning. SERVICES THAT THE FUND'S AUDITOR BILLED TO THE ADVISER AND AFFILIATED FUND SERVICE PROVIDERS The following table shows the amount of fees billed by Ernst & Young LLP to Nuveen Advisory Corp. ("NAC" or the "Adviser"), and any entity controlling, controlled by or under common control with NAC ("Control Affiliate") that provides ongoing services to the Fund ("Affiliated Fund Service Provider"), for engagements directly related to the Fund's operations and financial reporting, during the Fund's last two full fiscal years. The table also shows the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee's attention, and the Committee (or its delegate) approves the services before the Fund's audit is completed.
FISCAL YEAR ENDED AUDIT-RELATED FEES TAX FEES BILLED TO ALL OTHER FEES BILLED TO ADVISER AND ADVISER AND BILLED TO ADVISER AFFILIATED FUND AFFILIATED FUND AND AFFILIATED FUND SERVICE PROVIDERS SERVICE PROVIDERS SERVICE PROVIDERS ------------------------------------------------------------------------------------------------------------------------------------ May 31, 2004 $ 0 $ 0 $ 0 ------------------------------------------------------------------------------------------------------------------------------------ Percentage approved 0% 0% 0% pursuant to pre-approval exception ------------------------------------------------------------------------------------------------------------------------------------ May 31, 2003 $ 0 $ 0 $ 0 ------------------------------------------------------------------------------------------------------------------------------------ Percentage approved N/A N/A N/A pursuant to pre-approval exception ------------------------------------------------------------------------------------------------------------------------------------
NON-AUDIT SERVICES The following table shows the amount of fees that Ernst & Young LLP billed during the Fund's last two full fiscal years for non-audit services. For engagements entered into on or after May 6, 2003, the Audit Committee is required to pre-approve non-audit services that Ernst & Young LLP provides to the Adviser and any Affiliated Fund Services Provider, if the engagement related directly to the Fund's operations and financial reporting (except for those subject to the de minimis exception described above). The Audit Committee requested and received information from Ernst & Young LLP about any non-audit services that Ernst & Young LLP rendered during the Fund's last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating Ernst & Young LLP independence.
FISCAL YEAR ENDED TOTAL NON-AUDIT FEES BILLED TO ADVISER AND AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES PROVIDERS (ENGAGEMENTS BILLED TO ADVISER AND RELATED DIRECTLY TO THE AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES OPERATIONS AND FINANCIAL PROVIDERS (ALL OTHER BILLED TO FUND REPORTING OF THE FUND) ENGAGEMENTS) TOTAL ------------------------------------------------------------------------------------------------------------------------------------ May 31, 2004 $ 2,831 $ 0 $ 0 $ 2,831 May 31, 2003 $ 2,604 $ 0 $ 0 $ 2,604
Audit Committee Pre-Approval Policies and Procedures. Generally, the audit committee must approve (i) all non-audit services to be performed for the Fund by the Fund's independent accountants and (ii) all audit and non-audit services to be performed by the Fund's independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the audit committee if they are expected to be for amounts greater than $10,000; (ii) reported to the audit committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the audit committee at the next audit committee meeting if they are expected to be for an amount under $5,000. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable at this time. ITEM 6. SCHEDULE OF INVESTMENTS. Not applicable at this time. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. In the rare event that a municipal issuer held by the Fund were to issue a proxy or that the Fund were to receive a proxy issued by a cash management security, NAC would either engage an independent third party to determine how the proxy should be voted or vote the proxy with the consent, or based on the instructions, of the Fund's Board of Directors or Trustees or its representative. In the case of a conflict of interest, the proxy would be submitted to the applicable Fund's Board to determine how the proxy should be voted. A member of the Adviser's legal department would oversee the administration of the voting, and ensure that records were maintained in accordance with Rule 204-2(c)(2) under the Investment Advisers Act of 1940 (17 CFR 275.204-2(c)(2)), reports were filed with the SEC on Form N-PX, and the results were provided to the Board of Directors or Trustees and made available to shareholders as required by applicable rules. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable at this time. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. In the event of a vacancy on the Board, the nominating and governance committee receives suggestions from various sources, including shareholders, as to suitable candidates. Suggestions should be sent in writing to Lorna Ferguson, Vice President for Board Relations, Nuveen Investments, 333 West Wacker Drive, Chicago, IL 60606. The nominating and governance committee sets appropriate standards and requirements for nominations for new directors and reserves the right to interview all candidates and to make the final selection of any new directors. ITEM 10. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the "Exchange Act")(17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 11. EXHIBITS. File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because posted on registrant's website at www.nuveen.com/etf. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable at this time. (b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Nuveen Massachusetts Premium Income Municipal Fund ----------------------------------------------------------- By (Signature and Title)* /s/ Jessica R. Droeger ---------------------------------------------- Jessica R. Droeger Vice President and Secretary Date: August 6, 2004 ------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Gifford R. Zimmerman ---------------------------------------------- Gifford R. Zimmerman Chief Administrative Officer (Principal Executive Officer) Date: August 6, 2004 ------------------------------------------------------------------- By (Signature and Title)* /s/ Stephen D. Foy ---------------------------------------------- Stephen D. Foy Vice President and Controller (Principal Financial Officer) Date: August 6, 2004 ------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature.