N-CSRS 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: November 30, 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. SEMIANNUAL REPORT November 30, 2004 Nuveen Investments Municipal Closed-End Exchange-Traded Funds NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND NTC NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND NFC NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 NGK NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 NGO NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND NMT NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND NMB NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND NGX NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND NOM Photo of: Man and woman sitting on porch. Photo of: 2 children sitting in the grass. DEPENDABLE, TAX-FREE INCOME BECAUSE IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R) Logo: NUVEEN Investments Photo of: Woman Photo of: Man and child Photo of: Woman NOW YOU CAN RECEIVE YOUR NUVEEN FUND REPORTS FASTER. NO MORE WAITING. SIGN UP TODAY TO RECEIVE NUVEEN FUND INFORMATION BY E-MAIL. It only takes a minute to sign up for E-Reports. Once enrolled, you'll receive an e-mail as soon as your Nuveen Investments Fund information is ready -- no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report, and save it on your computer if you wish. ------------------ DELIVERY DIRECT TO YOUR E-MAIL INBOX ------------------ IT'S FAST, EASY & FREE: WWW.INVESTORDELIVERY.COM if you get your Nuveen Fund dividends and statements from your financial advisor or brokerage account. OR WWW.NUVEEN.COM/ACCOUNTACCESS if you get your Nuveen Fund dividends and statements directly from Nuveen. (Be sure to have the address sheet that accompanied this report handy. You'll need it to complete the enrollment process.) Logo: NUVEEN Investments Timothy R. Schwertfeger Chairman of the Board Photo of: Timothy R. Schwertfeger Chairman's LETTER TO SHAREHOLDERS I am pleased to report that over the six-month period covered by this semiannual report your Fund continued to provide you with monthly income free from federal, state, and in some cases, local taxes, as well as an attractive total return. For more details about the management strategy and performance of your Fund, please see the Portfolio Managers' Comments and Performance Overview sections of this report. As I noted in my last letter to you, our conversations with financial advisors and investors suggest that many of you may be wondering whether interest rates will soon begin to rise, how high they might go, and whether that makes this a good time to adjust your holdings of fixed-income investments. We can't answer that question for you - no one knows what the future will bring. "OUR MISSION CONTINUES TO BE TO ASSIST YOU AND YOUR FINANCIAL ADVISOR BY OFFERING INVESTMENT SERVICES AND PRODUCTS THAT CAN HELP YOU TO SECURE YOUR FINANCIAL OBJECTIVES." From our experience, what we do know is that a well-balanced portfolio, structured and carefully monitored with the help of a trusted investment professional, can be an important component in achieving your long-term financial goals. In fact, a well- diversified portfolio may actually help to reduce your overall investment risk. That is one reason why we believe that a municipal bond investment like your Nuveen Fund can be an important building block in a comprehensive investment program designed to perform well in a variety of market conditions. As in past reports, I'd also like to direct your attention to the inside front cover, which explains the quick and easy process to begin receiving these Fund reports via e-mail and the internet. Thousands of Nuveen Fund shareholders already have signed-up, and they are getting their Fund information faster and more conveniently than ever. I urge you to consider joining them. At Nuveen Investments, our mission continues to be to assist you and your financial advisor by offering investment services and products that can help you to secure your financial objectives. We are grateful that you have chosen us as a partner as you pursue your financial goals, and we look forward to continuing to earn your trust in the months and years ahead. Sincerely, /s/ Timothy R. Schwertfeger Timothy R. Schwertfeger Chairman of the Board January 14, 2005 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 discuss the key investment strategies and semiannual 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 2003. WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THE SIX MONTHS ENDED NOVEMBER 30, 2004? As the market continued to anticipate an eventual increase in interest rates, our focus during this reporting period centered on finding bonds that we thought had the potential to add value immediately and also perform well under a variety of future market scenarios. This included purchasing bonds that would tend to shorten the Funds' yield curve positioning, and thereby help to mitigate their interest rate risk. (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). Given the individual portfolios of each Fund and the characteristics of each state, we looked at different maturity ranges when making new purchases for these Funds. In general, purchase activity in the Connecticut Funds emphasized securities that mature between 2011 and 2014, as we found the majority of the attractive opportunities in the Connecticut market in this part of the yield curve. At the same time, the Massachusetts and Missouri Funds were investing in bonds with 15 to 25 years to maturity, since we thought these bonds offered the best risk-return profiles in these states. We also focused on adding higher-coupon bonds that can help to position the Funds more defensively and mitigate interest rate risk if rates rise from their current levels. Over this six-month reporting period, municipal issuance in Connecticut declined from the previous six-month period. This reduced supply was easily absorbed by market demand. As a result, turnover in the Connecticut Funds was relatively light, ranging from 3% to 9% during the period. When we found them, we took advantage of opportunities to selectively trim some of our more concentrated positions of BBB bonds, especially in NFC, and add new holdings in both the AAA and AA credit categories. We believe this enhanced the overall diversification and credit quality of the portfolios. 4 In Massachusetts, municipal supply also was down over this period, and the turnover in these Funds also was below recent historical averages. As with the Connecticut Funds, we modestly trimmed some of our BBB rated holdings in the two noninsured Funds, particularly NMB, and reinvested the proceeds in higher quality AAA and AA bonds. Because BBB bonds performed well in 2004, demand for these bonds was strong and we were able to obtain attractive prices for the bonds we sold. We also continued to work to improve the diversification of NGX, which was introduced in late 2002, although our efforts were somewhat constrained by the limited availability of appropriate issues in the Massachusetts market. Missouri saw the most substantial decline in issuance among these three states during this reporting period, and this restricted the availability of bonds offering the premium coupons that we sought. As in the other Funds, we worked to reduce the Fund's credit risk by scaling back concentrated positions in individual BBB and nonrated holdings. As in Connecticut and Massachusetts, we tried to sell these lower-rated bonds at attractive prices. We continued to balance our efforts in risk reduction against the goal of building and maintaining income streams. One of our longer-term goals is to position all of these Funds so that they provide return variability and interest rate risk roughly comparable to the variability and risk of the bond markets in which the Funds invest. As one strategy to reach this goal, we attempted to reduce some of the interest rate risk of NFC, NGK, NGO and NGX by hedging in the derivatives market. Our only objective with these hedges was to reduce the duration of these Funds without having a negative impact on their dividends. These hedges do not affect the Funds' income streams or dividend-paying capabilities over the short-term. Instead, the costs of the hedges are reflected as an addition or subtraction from each Fund's net asset value as the value of the hedge fluctuates. Each of the hedges had a negative impact on its Fund's NAV as of November 30, 2004, because interest rates fell and bond prices rose during the period in which the hedges were in place. In each case, this loss in value was at least partly offset by the fact that the Fund's portfolio, because it had longer-than-target duration, increased in value by more as a result of these interest rate decreases than if the Fund had maintained a portfolio with the targeted duration. (NMB also instituted a similar hedging program after the conclusion of this reporting period.) 5 HOW DID THE FUNDS PERFORM? Individual results for these Nuveen Funds, as well as for relevant comparative indexes, are presented in the accompanying table. TOTAL RETURNS ON NET ASSET VALUE* For periods ended 11/30/04 6-MONTH 1-YEAR 5-YEAR 10-YEAR -------------------------------------------------------------------------------- NTC 5.80% 4.83% 8.77% 9.54% -------------------------------------------------------------------------------- NFC 6.35% 5.19% NA NA -------------------------------------------------------------------------------- NGK 5.50% 4.45% NA NA -------------------------------------------------------------------------------- NGO 6.41% 4.94% NA NA -------------------------------------------------------------------------------- NMT 5.97% 5.20% 7.88% 9.05% -------------------------------------------------------------------------------- NMB 7.09% 6.20% NA NA -------------------------------------------------------------------------------- NOM 6.45% 5.46% 8.64% 9.24% -------------------------------------------------------------------------------- Lehman Brothers Municipal Bond Index1 4.30% 4.08% 6.78% 7.16% -------------------------------------------------------------------------------- INSURED MASSACHUSETTS -------------------------------------------------------------------------------- NGX 5.82% 4.90% NA NA -------------------------------------------------------------------------------- Lehman Brothers Insured Municipal Bond Index1 4.38% 4.09% 7.21% 7.43% -------------------------------------------------------------------------------- Lipper Other States Municipal Debt Funds Average2 6.58% 5.69% 8.71% 8.95% -------------------------------------------------------------------------------- * Six-month returns are cumulative; returns for one year, five years, and ten years are annualized. Past performance is not predictive of future results. Returns do not reflect the deduction of taxes that a shareholder may have to pay on Fund distributions or upon the sale of Fund shares. For additional information, see the individual Performance Overview for each Fund in this report. For the six months ended November 30, 2004, the cumulative returns on net asset value (NAV) for all seven noninsured Funds in this report outperformed the return on the Lehman Brothers Municipal Bond Index, while the insured Massachusetts NGX outperformed the return on the Lehman Brothers Insured Municipal Bond Index. NMB also outperformed the average return for its Lipper Other State Municipal Debt Funds Category Average for this period, while the other seven Funds trailed this measure. It should be noted that the performance of the Lipper Other States category represents the overall average of returns for Funds from 10 different states with a wide variety of municipal market conditions, making direct comparisons between these Funds and that average less meaningful. 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 containing 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: 6 months, 44 funds; 1 year, 44 funds; 5 years, 19 funds; and 10 years, 17 funds. Fund and Lipper returns assume reinvestment of dividends. 6 One of the primary factors benefiting the six-month performances of these Funds relative to those of the two unmanaged Lehman Brothers indexes was the Funds' use of financial leverage. While leveraging can add volatility to the Funds' NAVs and share prices, especially during periods of rising interest rates, this strategy can also provide opportunities for additional income and total returns for common shareholders when short-term interest rates remain relatively low and long-term rates fall or remain relatively constant, as they did during this reporting period. All of these Funds benefited from their holdings of lower-quality bonds, which generally outperformed other credit quality sectors as the economy improved during the reporting period. Among the lower-rated bonds making positive contributions to the Funds' total returns during this period were those issued by the healthcare sector, especially hospital bonds. All of the Connecticut Funds' returns also were boosted by the strong performance of their holdings of bonds backed by the 1998 master tobacco settlement agreement. The price performance of these bonds was favorably affected by an improved litigation environment and the lack of supply combined with continued demand. Over this period, NFC and NGO maintained exposures of approximately 3% to tobacco bonds, while NTC and NGK continued to allocate slightly more than 1% to this sector. At the high end of the credit spectrum, each of the four Connecticut Funds had a number of credits that were prerefunded or escrowed to maturity as of November 30, 2004. Generally, these bonds performed well during this period. The two noninsured Massachusetts Funds benefited from their holdings of resource recovery bonds issued by the Massachusetts Industrial Finance Agency for the Ogden Haverhill project. This credit, which was negatively impacted when Ogden Haverhill's parent company declared bankruptcy in 2002, has continued its recovery and was one of the best performing holdings in NMT and NMB during this period. During the period we trimmed our position in these bonds to take advantage of their improved valuation. The performances of both NMT and NMB were also helped by prerefundings during this period, one of which involved Massachusetts general obligation debt. NMB also saw strong performance from its holdings of higher education credits, and NGX's position in revenue bonds rated A1 issued for Middlesex School was a top performer for the Fund. 7 In NOM, in addition to hospital bonds, we also had a significant position in bonds issued in the long-term care sector. One holding that performed particularly well was the $1.75 million of nonrated bonds issued by Cole County for Lutheran Senior Living, which we purchased in July 2004. One area of the market that did not perform well during this reporting period was structured finance bonds, which includes the housing sector as well as student loan bonds. While these types of bonds generally provide higher yields and help to reduce volatility in a rising interest rate environment, their underperformance during this six months stemmed largely from lower demand due to concerns about prepayments and increased bond calls as interest rates remained low. NGK's performance, in particular, was negatively affected during this period by a number of calls on its holdings of higher-coupon housing bonds. The six-month performance of all of the Connecticut Funds was impacted to some degree by their housing exposure, which ranged from 1% in NGK to 4% in NTC and NGO as of November 30, 2004. Among the Massachusetts Funds, NMT held a significant position in student loan bonds, which detracted from this Fund's performance, and all of the Massachusetts Funds had weightings in housing bonds, ranging from 9% in NGX to 11% in NMT and NMB. In Missouri, where the single-family housing market in particular did not perform well, NOM had a 6% allocation to housing, approximately one-quarter of which was in single-family housing bonds. HOW ABOUT THE FUNDS' DIVIDENDS AND SHARE PRICES? As short-term interest rates remained relatively low throughout 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 these Funds pay their MuniPreferred(R) shareholders. During periods of low short-term rates, leveraged Funds generally pay lower dividends to their MuniPreferred shareholders, which can leave more earnings to support common share dividends. This strategy helped to maintain the dividends of these Funds throughout the reporting 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 8 income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund's NAV. Each Fund will, over time, pay all of its net investment income as dividends to shareholders. As of November 30, 2004, NTC, NFC, NGK, NGO, NMT, NMB and NOM had positive UNII balances for both financial statement and tax purposes. NGX had a negative UNII balance for financial statement purposes and a positive UNII balance for tax purposes. As of November 30, 2004, the Funds were trading at premiums or discounts to their net asset values as shown in the accompanying chart. FUND 11/30 PREM/DISC PERIOD AVG. PREM/DISC -------------------------------------------------------------------------------- NTC 3.60% 4.07% -------------------------------------------------------------------------------- NFC 1.93% 2.07% -------------------------------------------------------------------------------- NGK 2.01% 0.38% -------------------------------------------------------------------------------- NGO - 6.57% - 3.46% -------------------------------------------------------------------------------- NMT 9.42% 2.36% -------------------------------------------------------------------------------- NMB 3.76% 1.65% -------------------------------------------------------------------------------- NGX 13.25% 5.64% -------------------------------------------------------------------------------- NOM 20.20% 12.11% -------------------------------------------------------------------------------- HOW WERE THE FUNDS POSITIONED IN TERMS OF CREDIT QUALITY AND BOND CALLS AS OF NOVEMBER 30, 2004? We continued to believe that, given the current geopolitical and economic climate, maintaining strong credit quality was an important requirement. As of November 30, 2004, the seven noninsured Funds continued to offer excellent credit quality, with allocations of bonds rated AAA/U.S. Guaranteed and AA in the Connecticut Funds ranging from 80% in NFC to 86% in NGO, 88% in NGK and NTC. In the Massachusetts Funds, NMT and NMB had AAA/U.S. Guaranteed and AA allocations of 82% and 88%, respectively, while NGX, which can invest up to 20% of its assets in uninsured investment-grade quality securities, held 83% of its portfolio in insured or U.S. Guaranteed bonds as of November 30, 2004. As of that date, NOM's allocation of AAA/U.S. Guaranteed and AA bonds accounted for 81% of its portfolio. 9 As of November 30, 2004, potential call exposure during 2005 and 2006 ranged from 0% in NMB to 2% in NGK, NGO, and NGX, and 5% in NFC. NOM's call exposure was 6% over 2005-2006 as of the end of November 30, 2004, while NTC faced a call exposure of 14% in 2005 - 2006, and NMT had 16% exposure. The number of actual bond calls in all of these Funds depends largely on future market interest rates. 10 Nuveen Connecticut Premium Income Municipal Fund NTC Performance OVERVIEW As of November 30, 2004 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 76% AA 12% A 2% BBB 9% N/R 1% Bar Chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE Dec 0.0735 Jan 0.0735 Feb 0.0735 Mar 0.0735 Apr 0.0735 May 0.0735 Jun 0.0735 Jul 0.0735 Aug 0.0735 Sep 0.0735 Oct 0.0735 Nov 0.0735 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/1/03 16.39 16.15 16.44 16.38 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 14.84 14.39 14.2 13.75 13.89 14.44 14.47 14.32 14.45 14.76 14.87 15.2 15 14.97 15.3 15.68 15.98 15.8 16.19 16.1 16.39 16 15.94 15.97 15.64 15.86 16 16.9 16.4 16.01 15.91 11/30/04 16 FUND SNAPSHOT ------------------------------------ Share Price $15.54 ------------------------------------ Common Share Net Asset Value $15.00 ------------------------------------ Premium/(Discount) to NAV 3.60% ------------------------------------ Market Yield 5.68% ------------------------------------ Taxable-Equivalent Yield1 8.29% ------------------------------------ Net Assets Applicable to Common Shares ($000) $79,978 ------------------------------------ Average Effective Maturity on Securities (Years) 16.37 ------------------------------------ Leverage-Adjusted Duration 7.36 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 6-Month (Cumulative) 10.46% 5.80% ------------------------------------ 1-Year 1.16% 4.83% ------------------------------------ 5-Year 6.33% 8.77% ------------------------------------ 10-Year 9.12% 9.54% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Education and Civic Organizations 24.5% ------------------------------------ Tax Obligation/General 16.5% ------------------------------------ Tax Obligation/Limited 12.8% ------------------------------------ U.S. Guaranteed 11.7% ------------------------------------ Water and Sewer 9.2% ------------------------------------ Healthcare 7.7% ------------------------------------ Long-Term Care 5.0% ------------------------------------ Utilities 4.2% ------------------------------------ Other 8.4% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 11 Nuveen Connecticut Dividend Advantage Municipal Fund NFC Performance OVERVIEW As of November 30, 2004 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 64% AA 16% A 7% BBB 12% N/R 1% Bar Chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE Dec 0.0745 Jan 0.0745 Feb 0.0745 Mar 0.0745 Apr 0.0745 May 0.0745 Jun 0.0745 Jul 0.0745 Aug 0.0745 Sep 0.0745 Oct 0.0745 Nov 0.0745 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/1/03 15.81 15.8 15.96 15.96 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 15.65 14.85 14.45 13.68 13.94 13.87 14.12 13.87 14.25 14.5 14.56 14.87 15.06 14.96 15.44 15.5 15.27 15.45 15.35 15.64 15.35 15.42 15.46 15.45 15.6 15.66 15.98 16.71 15.96 16 15.62 11/30/04 15.72 FUND SNAPSHOT ------------------------------------ Share Price $15.32 ------------------------------------ Common Share Net Asset Value $15.03 ------------------------------------ Premium/(Discount) to NAV 1.93% ------------------------------------ Market Yield 5.84% ------------------------------------ Taxable-Equivalent Yield1 8.53% ------------------------------------ Net Assets Applicable to Common Shares ($000) $38,502 ------------------------------------ Average Effective Maturity on Securities (Years) 16.65 ------------------------------------ Leverage-Adjusted Duration 6.82 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/01) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 6-Month (Cumulative) 11.69% 6.35% ------------------------------------ 1-Year 0.59% 5.19% ------------------------------------ Since Inception 6.08% 7.18% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Education and Civic Organizations 20.9% ------------------------------------ Tax Obligation/General 19.5% ------------------------------------ U.S. Guaranteed 18.3% ------------------------------------ Tax Obligation/Limited 11.5% ------------------------------------ Utilities 7.8% ------------------------------------ Water and Sewer 5.9% ------------------------------------ Transportation 4.5% ------------------------------------ Consumer Staples 3.1% ------------------------------------ Other 8.5% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 12 Nuveen Connecticut Dividend Advantage Municipal Fund 2 NGK Performance OVERVIEW As of November 30, 2004 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 67% AA 21% A 4% BBB 8% Bar Chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Dec 0.0735 Jan 0.0735 Feb 0.0735 Mar 0.0735 Apr 0.0735 May 0.0735 Jun 0.0735 Jul 0.0735 Aug 0.0735 Sep 0.0735 Oct 0.0735 Nov 0.0735 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/1/03 15.5 15.59 15.66 15.75 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 15.25 14.69 14.39 13.7 13.37 14.15 14.14 14.45 14.72 14.79 15.05 15 14.98 14.68 15.33 15.55 15.34 15.49 15.53 15.7 15.82 15.8 15.57 15.94 15.7 16 16.05 16.59 16.22 15.75 15.85 11/30/04 15.65 FUND SNAPSHOT ------------------------------------ Share Price $15.70 ------------------------------------ Common Share Net Asset Value $15.39 ------------------------------------ Premium/(Discount) to NAV 2.01% ------------------------------------ Market Yield 5.62% ------------------------------------ Taxable-Equivalent Yield1 8.20% ------------------------------------ Net Assets Applicable to Common Shares ($000) $35,527 ------------------------------------ Average Effective Maturity on Securities (Years) 15.42 ------------------------------------ Leverage-Adjusted Duration 7.57 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/25/02) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 6-Month (Cumulative) 14.18% 5.50% ------------------------------------ 1-Year 7.81% 4.45% ------------------------------------ Since Inception 7.67% 8.77% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Tax Obligation/General 31.8% ------------------------------------ Education and Civic Organizations 24.2% ------------------------------------ U.S. Guaranteed 14.1% ------------------------------------ Water and Sewer 6.5% ------------------------------------ Tax Obligation/Limited 5.8% ------------------------------------ Utilities 4.5% ------------------------------------ Transportation 4.2% ------------------------------------ Other 8.9% ------------------------------------ 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 31.5%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 2 The Fund also paid shareholders capital gains and net ordinary income distributions in December 2003 of $0.1161 per share. 13 Nuveen Connecticut Dividend Advantage Municipal Fund 3 NGO Performance OVERVIEW As of November 30, 2004 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 74% AA 12% A 5% BBB 9% Bar Chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE Dec 0.065 Jan 0.065 Feb 0.065 Mar 0.065 Apr 0.065 May 0.065 Jun 0.065 Jul 0.065 Aug 0.065 Sep 0.065 Oct 0.065 Nov 0.065 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/1/03 13.56 13.62 13.76 13.8 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 13.88 13.33 13.22 12.68 12.6 12.69 13 13.25 13.44 13.24 13.82 14.04 14.17 13.79 13.86 14.02 14.29 14.1 13.97 14.34 14.11 13.93 13.82 13.85 14.17 14.4 14.04 14 14.27 14.23 13.9 11/30/04 13.92 FUND SNAPSHOT ------------------------------------ Share Price $13.52 ------------------------------------ Common Share Net Asset Value $14.47 ------------------------------------ Premium/(Discount) to NAV -6.57% ------------------------------------ Market Yield 5.77% ------------------------------------ Taxable-Equivalent Yield1 8.42% ------------------------------------ Net Assets Applicable to Common Shares ($000) $62,948 ------------------------------------ Average Effective Maturity on Securities (Years) 16.46 ------------------------------------ Leverage-Adjusted Duration 6.91 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 9/26/02) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 6-Month (Cumulative) 6.94% 6.41% ------------------------------------ 1-Year 4.65% 4.94% ------------------------------------ Since Inception 0.47% 5.77% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Tax Obligation/General 23.1% ------------------------------------ Tax Obligation/Limited 16.8% ------------------------------------ U.S. Guaranteed 15.4% ------------------------------------ Education and Civic Organizations 12.5% ------------------------------------ Water and Sewer 8.4% ------------------------------------ Long-Term Care 8.1% ------------------------------------ Utilities 5.6% ------------------------------------ Other 10.1% ------------------------------------ 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. 14 Nuveen Massachusetts Premium Income Municipal Fund NMT Performance OVERVIEW As of November 30, 2004 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 67% AA 15% A 9% BBB 7% N/R 2% Bar Chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE Dec 0.0735 Jan 0.0735 Feb 0.0735 Mar 0.0735 Apr 0.0735 May 0.0735 Jun 0.0735 Jul 0.0735 Aug 0.0735 Sep 0.0735 Oct 0.0735 Nov 0.0735 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/1/03 15.88 15.56 15.33 15.36 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 14.75 15.01 14.47 14.82 14.2 14.08 14.35 14.29 14 14.04 14.15 14.42 14.81 14.61 14.85 15 14.79 14.88 15.25 15.15 15.28 15.19 15.39 15.34 15.38 15.61 15.44 16.28 16.11 15.9 16.3 11/30/04 16.21 FUND SNAPSHOT ------------------------------------ Share Price $16.14 ------------------------------------ Common Share Net Asset Value $14.75 ------------------------------------ Premium/(Discount) to NAV 9.42% ------------------------------------ Market Yield 5.46% ------------------------------------ Taxable-Equivalent Yield1 8.03% ------------------------------------ Net Assets Applicable to Common Shares ($000) $69,856 ------------------------------------ Average Effective Maturity on Securities (Years) 16.90 ------------------------------------ Leverage-Adjusted Duration 8.59 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/18/93) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 6-Month (Cumulative) 15.74% 5.97% ------------------------------------ 1-Year 9.21% 5.20% ------------------------------------ 5-Year 7.67% 7.88% ------------------------------------ 10-Year 9.41% 9.05% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Education and Civic Organizations 23.1% ------------------------------------ Tax Obligation/General 18.1% ------------------------------------ Housing/Multifamily 11.1% ------------------------------------ Healthcare 11.0% ------------------------------------ U.S. Guaranteed 9.1% ------------------------------------ Tax Obligation/Limited 8.7% ------------------------------------ Transportation 6.0% ------------------------------------ Water and Sewer 5.1% ------------------------------------ Other 7.8% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 15 Nuveen Massachusetts Dividend Advantage Municipal Fund NMB Performance OVERVIEW As of November 30, 2004 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 68% AA 20% A 3% BBB 8% BB or Lower 1% Bar Chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Dec 0.0775 Jan 0.0775 Feb 0.0775 Mar 0.0775 Apr 0.0775 May 0.0775 Jun 0.0775 Jul 0.0775 Aug 0.0775 Sep 0.0775 Oct 0.0775 Nov 0.0775 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/1/03 16.11 16.27 16.43 16.3 16.52 16.88 16.77 16.83 16.74 16.65 16.65 16.62 16.69 16.45 16.53 16.73 16.58 16.31 16.55 15.76 15.55 15.05 15.25 14.63 14.88 14.98 14.66 14.68 15 15.04 15.07 15.09 15.3 15.6 15.21 15.71 15.88 16 16.1 16.12 16.15 16.02 15.85 15.87 16.09 16 16.11 16.15 16.25 11/30/04 16.2 FUND SNAPSHOT ------------------------------------ Share Price $16.00 ------------------------------------ Common Share Net Asset Value $15.42 ------------------------------------ Premium/(Discount) to NAV 3.76% ------------------------------------ Market Yield 5.81% ------------------------------------ Taxable-Equivalent Yield1 8.54% ------------------------------------ Net Assets Applicable to Common Shares ($000) $30,049 ------------------------------------ Average Effective Maturity on Securities (Years) 19.06 ------------------------------------ Leverage-Adjusted Duration 9.17 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/30/01) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 6-Month (Cumulative) 10.74% 7.09% ------------------------------------ 1-Year 7.17% 6.20% ------------------------------------ Since Inception 7.62% 8.23% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Tax Obligation/General 23.1% ------------------------------------ Education and Civic Organizations 20.5% ------------------------------------ Tax Obligation/Limited 13.7% ------------------------------------ Healthcare 9.3% ------------------------------------ Housing/Multifamily 9.0% ------------------------------------ U.S. Guaranteed 7.3% ------------------------------------ Water and Sewer 5.6% ------------------------------------ Other 11.5% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 2 The Fund also paid shareholders capital gains distributions in December 2003 of $0.0789 per share. 16 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund NGX Performance OVERVIEW As of November 30, 2004 Pie Chart: CREDIT QUALITY (as a % of total investments) Insured 83% AAA (Uninsured) 3% AA (Uninsured) 9% A (Uninsured) 4% BBB (Uninsured) 1% Bar Chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Dec 0.072 Jan 0.072 Feb 0.072 Mar 0.072 Apr 0.072 May 0.072 Jun 0.072 Jul 0.072 Aug 0.072 Sep 0.072 Oct 0.072 Nov 0.072 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/1/03 15.9 16.05 16 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 15.16 15.33 15.1 14 13.15 13.51 13.9 13.85 14.1 14.2 14.48 14.51 14.81 14.8 14.49 14.87 14.59 15.25 15.25 15.7 16.3 15.85 16.15 15.88 15.7 15.87 15.74 16.31 16.48 15.87 16 11/30/04 16.3 FUND SNAPSHOT ------------------------------------ Share Price $16.33 ------------------------------------ Common Share Net Asset Value $14.42 ------------------------------------ Premium/(Discount) to NAV 13.25% ------------------------------------ Market Yield 5.29% ------------------------------------ Taxable-Equivalent Yield1 7.78% ------------------------------------ Net Assets Applicable to Common Shares ($000) $39,189 ------------------------------------ Average Effective Maturity on Securities (Years) 21.31 ------------------------------------ Leverage-Adjusted Duration 7.54 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 11/21/02) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 6-Month (Cumulative) 20.79% 5.82% ------------------------------------ 1-Year 9.52% 4.90% ------------------------------------ Since Inception 9.95% 6.17% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Tax Obligation/Limited 22.2% ------------------------------------ Tax Obligation/General 21.1% ------------------------------------ Education and Civic Organizations 17.2% ------------------------------------ U.S. Guaranteed 11.7% ------------------------------------ Housing/Multifamily 8.8% ------------------------------------ Water and Sewer 7.8% ------------------------------------ Healthcare 6.0% ------------------------------------ Other 5.2% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 2 The Fund also paid shareholders a net ordinary income distribution in December 2003 of $0.0148 per share. 17 Nuveen Missouri Premium Income Municipal Fund NOM Performance OVERVIEW As of November 30, 2004 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 64% AA 17% A 3% BBB 6% N/R 10% Bar Chart: 2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE Dec 0.0735 Jan 0.0735 Feb 0.0735 Mar 0.0735 Apr 0.0735 May 0.0735 Jun 0.0735 Jul 0.0735 Aug 0.0735 Sep 0.0735 Oct 0.0735 Nov 0.0735 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 12/1/03 17.25 17.1 17.33 17.15 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 16.65 16.4 16.15 15.8 14.9 14.9 15.15 15.6 15.2 15.17 15.55 15.54 15.95 16 16.2 16.95 16.85 17.15 17.21 17.49 17.23 17.05 17 16.72 16.7 17.07 17.2 17.4 17.35 17.5 17.52 11/30/04 17.85 FUND SNAPSHOT ------------------------------------ Share Price $17.85 ------------------------------------ Common Share Net Asset Value $14.85 ------------------------------------ Premium/(Discount) to NAV 20.20% ------------------------------------ Market Yield 4.94% ------------------------------------ Taxable-Equivalent Yield1 7.32% ------------------------------------ Net Assets Applicable to Common Shares ($000) $33,463 ------------------------------------ Average Effective Maturity on Securities (Years) 16.36 ------------------------------------ Leverage-Adjusted Duration 8.22 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 6-Month (Cumulative) 20.95% 6.45% ------------------------------------ 1-Year 10.64% 5.46% ------------------------------------ 5-Year 12.42% 8.64% ------------------------------------ 10-Year 11.58% 9.24% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Tax Obligation/General 22.2% ------------------------------------ Healthcare 21.4% ------------------------------------ Tax Obligation/Limited 20.6% ------------------------------------ U.S. Guaranteed 8.1% ------------------------------------ Housing/Multifamily 5.0% ------------------------------------ Education and Civic Organizations 4.2% ------------------------------------ Utilities 3.9% ------------------------------------ Long-Term Care 3.7% ------------------------------------ Other 10.9% ------------------------------------ 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 32.5%. For investments that generate qualified dividend income, the taxable-equivalent yield is lower. 18 Shareholder MEETING REPORT The Shareholder Meeting was held November 17, 2004, at 8:30 a.m. (Pacific time) in the Embassy Room of the Mandarin Oriental Hotel, 222 Sansome Street, San Francisco, CA 94104-2792.
NTC NFC NGK APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS: Common and Common and Common and MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred shares voting shares voting shares voting shares voting shares voting shares voting together together together together together together as a class as a class as a class as a class as a class as a class ==================================================================================================================================== Robert P. Bremner For 4,890,636 -- 2,467,709 -- 2,238,260 -- Withhold 30,576 -- 7,725 -- 4,881 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 4,921,212 -- 2,475,434 -- 2,243,141 -- ==================================================================================================================================== Lawrence H. Brown For 4,886,036 -- 2,466,207 -- 2,238,260 -- Withhold 35,176 -- 9,227 -- 4,881 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 4,921,212 -- 2,475,434 -- 2,243,141 -- ==================================================================================================================================== Jack B. Evans For 4,889,236 -- 2,467,709 -- 2,238,260 -- Withhold 31,976 -- 7,725 -- 4,881 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 4,921,212 -- 2,475,434 -- 2,243,141 -- ==================================================================================================================================== William C. Hunter For 4,890,636 -- 2,467,709 -- 2,238,260 -- Withhold 30,576 -- 7,725 -- 4,881 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 4,921,212 -- 2,475,434 -- 2,243,141 -- ==================================================================================================================================== William J. Schneider For -- 1,479 -- 751 -- 700 Withhold -- -- -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total -- 1,479 -- 751 -- 700 ==================================================================================================================================== Timothy R. Schwertfeger For -- 1,479 -- 751 -- 700 Withhold -- -- -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total -- 1,479 -- 751 -- 700 ==================================================================================================================================== Judith M. Stockdale For 4,891,705 -- 2,467,709 -- 2,238,260 -- Withhold 29,507 -- 7,725 -- 4,881 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 4,921,212 -- 2,475,434 -- 2,243,141 -- ==================================================================================================================================== 19 Shareholder MEETING REPORT (continued) NGO NMT NMB ----------------------------------------------------------------------------------------------------------------------------------- APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS: Common and Common and Common and MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred shares voting shares voting shares voting shares voting shares voting shares voting together together together together together together as a class as a class as a class as a class as a class as a class ==================================================================================================================================== Robert P. Bremner For 4,245,804 -- 4,443,962 -- 1,916,493 -- Withhold 32,053 -- 58,963 -- 4,146 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 4,277,857 -- 4,502,925 -- 1,920,639 -- ==================================================================================================================================== Lawrence H. Brown For 4,245,804 -- 4,440,462 -- 1,916,493 -- Withhold 32,053 -- 62,463 -- 4,146 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 4,277,857 -- 4,502,925 -- 1,920,639 -- ==================================================================================================================================== Jack B. Evans For 4,245,804 -- 4,443,962 -- 1,916,128 -- Withhold 32,053 -- 58,963 -- 4,511 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 4,277,857 -- 4,502,925 -- 1,920,639 -- ==================================================================================================================================== William C. Hunter For 4,244,138 -- 4,442,583 -- 1,916,128 -- Withhold 33,719 -- 60,342 -- 4,511 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 4,277,857 -- 4,502,925 -- 1,920,639 -- ==================================================================================================================================== William J. Schneider For -- 1,244 -- 1,283 -- 565 Withhold -- -- -- 5 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total -- 1,244 -- 1,288 -- 565 ==================================================================================================================================== Timothy R. Schwertfeger For -- 1,244 -- 1,283 -- 565 Withhold -- -- -- 5 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total -- 1,244 -- 1,288 -- 565 ==================================================================================================================================== Judith M. Stockdale For 4,240,205 -- 4,442,908 -- 1,916,128 -- Withhold 37,652 -- 60,017 -- 4,511 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 4,277,857 -- 4,502,925 -- 1,920,639 -- ==================================================================================================================================== 20 NGX NOM ------------------------------------------------------------------------------------------------------------------------------------ APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS: Common and Common and MuniPreferred MuniPreferred MuniPreferred MuniPreferred shares voting shares voting shares voting shares voting together together together together as a class as a class as a class as a class ==================================================================================================================================== Robert P. Bremner For 2,676,759 -- 2,039,983 -- Withhold 11,956 -- 25,035 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 2,688,715 -- 2,065,018 -- ==================================================================================================================================== Lawrence H. Brown For 2,676,759 -- 2,036,886 -- Withhold 11,956 -- 28,132 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 2,688,715 -- 2,065,018 -- ==================================================================================================================================== Jack B. Evans For 2,676,759 -- 2,040,183 -- Withhold 11,956 -- 24,835 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 2,688,715 -- 2,065,018 -- ==================================================================================================================================== William C. Hunter For 2,676,659 -- 2,040,183 -- Withhold 12,056 -- 24,835 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 2,688,715 -- 2,065,018 -- ==================================================================================================================================== William J. Schneider For -- 815 -- 542 Withhold -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total -- 815 -- 542 ==================================================================================================================================== Timothy R. Schwertfeger For -- 815 -- 542 Withhold -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total -- 815 -- 542 ==================================================================================================================================== Judith M. Stockdale For 2,676,759 -- 2,039,650 -- Withhold 11,956 -- 25,368 -- ------------------------------------------------------------------------------------------------------------------------------------ Total 2,688,715 -- 2,065,018 -- ====================================================================================================================================
21 Nuveen Connecticut Premium Income Municipal Fund (NTC) Portfolio of INVESTMENTS November 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 1.9% (1.3% OF TOTAL INVESTMENTS) $ 1,620 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 1,497,074 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 35.6% (24.5% OF TOTAL INVESTMENTS) Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education Loan Program, Series 1996A: 800 5.800%, 11/15/14 (Alternative Minimum Tax) - AMBAC Insured 11/06 at 102.00 AAA 801,680 505 5.875%, 11/15/17 (Alternative Minimum Tax) - AMBAC Insured 11/06 at 102.00 AAA 506,076 470 Connecticut Higher Education Supplemental Loan Authority, 11/09 at 102.00 AAA 481,186 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 940,743 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 (Alternative Minimum Tax) - MBIA Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 AAA 1,580,445 Revenue Bonds, Loomis Chaffee School, Series 1996C, 5.500%, 7/01/16 - MBIA Insured 1,900 Connecticut Health and Educational Facilities Authority, 7/08 at 102.00 AAA 1,967,165 Revenue Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 2,920 Connecticut Health and Educational Facilities Authority, 7/07 at 102.00 AAA 3,158,155 Revenue Bonds, Connecticut College, Series 1997C-1, 5.500%, 7/01/20 - MBIA Insured 2,525 Connecticut Health and Educational Facilities Authority, 11/12 at 100.00 AAA 2,725,081 Revenue Bonds, Connecticut State University System, Series 2003E, 5.000%, 11/01/15 - FGIC Insured 1,250 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 AAA 1,319,013 Revenue Bonds, Fairfield University, Series 1999I, 5.250%, 7/01/25 - MBIA Insured 750 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 815,408 Revenue Bonds, Horace Bushnell Memorial Hall, Series 1999A, 5.625%, 7/01/29 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, No Opt. Call AAA 1,104,200 Revenue Bonds, Connecticut State University System, Series 2003F, 5.000%, 11/01/13 - FSA Insured 500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 509,240 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 - AMBAC Insured 650 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 697,470 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 450 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 457,159 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 2,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 2,045,260 Revenue Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,536,645 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 1,500 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 1,509,720 Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 925 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 941,437 Revenue 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 1,089,260 Bonds, Series 2002A, 5.250%, 11/15/19 - FGIC Insured 1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,168,937 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 1,073,800 2,000 5.000%, 1/15/19 - MBIA Insured 1/14 at 100.00 AAA 2,138,140 22 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 11.2% (7.7% OF TOTAL INVESTMENTS) $ 2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa $ 2,052,940 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 1,087,480 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 3,055,650 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 2,187,200 Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 - RAAI Insured 500 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 536,045 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/21 - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 4.5% (3.1% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 12/09 at 100.00 AAA 1,037,790 Finance Program Bonds, Series 1999D-2, 6.200%, 11/15/41 (Alternative Minimum Tax) 605 Waterbury Nonprofit Housing Corporation, Connecticut, 1/05 at 100.00 AAA 606,555 FHA-Insured Section 8 Mortgage Revenue Bonds, Fairmount Heights Project, Series 1993A, 6.500%, 7/01/07 - MBIA Insured 1,875 Williamantic Housing Authority, Connecticut, GNMA 10/05 at 105.00 AAA 1,992,694 Collateralized Multifamily Housing Mortgage Revenue Bonds, Village Heights Apartments, Series 1995A, 8.000%, 10/20/30 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 1.3% (0.9% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,011,110 Finance Program Bonds, Series 2001C, 5.300%, 11/15/33 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.3% (1.6% OF TOTAL INVESTMENTS) 1,750 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,815,380 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 7.3% (5.0% OF TOTAL INVESTMENTS) 1,300 Connecticut Health and Educational Facilities Authority, 8/08 at 102.00 AAA 1,325,324 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- 758,190 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 615 Connecticut Development Authority, First Mortgage Gross 9/09 at 102.00 AA 665,442 Revenue Refunding Healthcare Bonds, Connecticut Baptist Homes Inc., Series 1999, 5.500%, 9/01/15 - RAAI Insured Connecticut Development Authority, Revenue Refunding Bonds, Duncaster Inc., Series 1999A: 1,000 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 AA 1,048,020 1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 1,045,760 1,000 Connecticut Development Authority, Health Facilities Revenue 2/05 at 102.00 N/R 1,005,430 Refunding Bonds, Alzheimer's Resource Center of Connecticut Inc., Series 1994A, 7.000%, 8/15/09 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 22.9% (15.7% OF TOTAL INVESTMENTS) 500 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 557,340 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 750 Bridgeport, Connecticut, General Obligation Refunding Bonds, 8/12 at 100.00 Aaa 819,338 Series 2002A, 5.375%, 8/15/19 - FGIC Insured 1,000 Bridgeport, Connecticut, General Obligation Bonds, 9/13 at 100.00 AAA 1,062,480 Series 2003A, 5.250%, 9/15/23 - FSA Insured 2,000 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA 2,197,440 5.500%, 6/15/21 1,500 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,622,070 5.375%, 4/15/19 1,110 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 1,160,905 5.000%, 4/01/23 - FGIC Insured 1,000 Hartford, Connecticut, General Obligation Bonds, Series 2000, 6/10 at 102.00 AAA 1,106,070 5.500%, 6/15/20 - FGIC Insured 400 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 A 424,260 Series 2000A, 6.000%, 6/01/20 - ACA Insured 1,500 Puerto Rico, General Obligation and Public Improvement No Opt. Call AAA 1,733,460 Refunding Bonds, Series 2001A, 5.500%, 7/01/20 - MBIA Insured 23 Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued) Portfolio of INVESTMENTS November 30, 2004 (Unaudited) PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) 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 $ 384,678 350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 388,143 350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aaa 389,795 1,420 Regional School District 16, Connecticut, General Obligation 3/13 at 101.00 Aaa 1,542,617 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 2,130,576 4.000%, 2/15/15 - FSA Insured 1,000 Waterbury, Connecticut, General Obligation Bonds, Series 2004B, No Opt. Call AAA 1,095,850 5.000%, 4/01/13 - FSA Insured 1,630 Westport, Connecticut, General Obligation Bonds, Series 2003, 2/12 at 100.00 Aaa 1,691,565 4.750%, 2/01/19 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 18.7% (12.8% OF TOTAL INVESTMENTS) 1,900 Capitol Region Education Council, Connecticut, Revenue Bonds, 10/05 at 102.00 BBB 1,977,805 Series 1995, 6.700%, 10/15/10 2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 102.00 AAA 2,174,480 Revenue Bonds, Child Care Facilities Program, Series 1999C, 5.625%, 7/01/29 - AMBAC Insured Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: 2,000 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,113,640 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,049,390 500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 520,920 Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 1,700 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AA- 1,996,395 Purpose Bonds, Series 1991B, 6.500%, 10/01/10 625 Connecticut, Special Obligation Rate Reduction Bonds, No Opt. Call AAA 688,756 Series 2004A, 5.000%, 6/30/11 2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 8/12 at 100.00 AAA 2,174,760 5.250%, 8/01/21 - FSA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 1,150,590 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 1,096,080 Loan Notes, Series 2003, 5.250%, 10/01/19 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 2.3% (1.5% OF TOTAL INVESTMENTS) 750 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AAA 759,503 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 1,041,940 Series 2000A, 6.400%, 7/01/20 ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 17.0% (11.7% OF TOTAL INVESTMENTS) 1,500 Bridgeport, Connecticut, General Obligation Bonds, 7/10 at 101.00 AAA 1,733,835 Series 2000A, 6.000%, 7/15/19 (Pre-refunded to 7/15/10) - FGIC Insured Cheshire, Connecticut, General Obligation Bonds, Series 1999: 660 5.625%, 10/15/16 (Pre-refunded to 10/15/09) 10/09 at 101.00 Aa3*** 747,087 660 5.625%, 10/15/17 (Pre-refunded to 10/15/09) 10/09 at 101.00 Aa3*** 747,087 1,060 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 1,144,789 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*** 46,563 6.000%, 3/15/12 1,000 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 AAA 1,076,270 Revenue Bonds, Trinity College, Series 1996E, 5.875%, 7/01/26 (Pre-refunded to 7/01/06) - MBIA Insured 1,000 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 1,096,430 Purpose Bonds, Series 2002A, 5.375%, 7/01/19 (Pre-refunded to 7/01/12) - FSA Insured 1,000 Connecticut, Special Tax Obligation Transportation Infrastructure 12/09 at 101.00 AAA 1,134,960 Purpose Bonds, Series 1999A, 5.625%, 12/01/19 (Pre-refunded to 12/01/09) - FGIC Insured 1,000 Connecticut, Special Assessment Revenue Bonds, Second 1/11 at 101.00 AAA 1,120,470 Injury Fund, 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 1,134,590 5.500%, 10/01/20 (Pre-refunded to 10/01/11) 24 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** (continued) $ 300 Puerto Rico, General Obligation and Public Improvement Bonds, 7/11 at 100.00 AAA $ 334,890 Series 2001, 5.125%, 7/01/30 (Pre-refunded to 7/01/11) - FSA Insured 1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,078,490 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 1,000 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 1,124,810 Series 2002A, 5.375%, 4/01/17 (Pre-refunded to 4/01/12) - FSA Insured 965 Waterbury, Connecticut, General Obligation Tax Revenue 2/09 at 101.00 AA*** 1,093,374 Intercept Bonds, Series 2000, 6.000%, 2/01/19 (Pre-refunded to 2/01/09) - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 6.1% (4.2% OF TOTAL INVESTMENTS) 1,000 Connecticut Development Authority, Pollution Control 10/08 at 102.00 A3 1,066,980 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 2,045 Connecticut Resource Recovery Authority, Revenue Bonds, 5/05 at 100.00 AAA 2,054,489 American Ref-Fuel Company of Southeastern Connecticut, Series 1989A, 7.700%, 11/15/11 - MBIA Insured Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 395 5.500%, 1/01/14 (Alternative Minimum Tax) 1/05 at 100.00 BBB 403,512 1,290 5.500%, 1/01/20 (Alternative Minimum Tax) 1/05 at 100.00 BBB 1,315,800 ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 13.4% (9.2% OF TOTAL INVESTMENTS) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,281,115 Series 2003A, 5.000%, 10/01/16 1,500 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 1,660,005 Series 2003B, 5.000%, 10/01/12 1,400 Connecticut Development Authority, Water Facilities Revenue 12/04 at 101.00 AAA 1,417,233 Refunding Bonds, Bridgeport Hydraulic Company, Series 1993B, 5.500%, 6/01/28 - MBIA Insured 2,550 Connecticut Development Authority, Water Facilities Revenue 9/06 at 102.00 AAA 2,723,630 Bonds, Bridgeport Hydraulic Company, 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 1,061,680 1,525 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,555,530 1,000 Stamford, Connecticut, Water Pollution Control System 11/13 at 100.00 AA+ 1,013,380 and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 ------------------------------------------------------------------------------------------------------------------------------------ $ 108,675 Total Long-Term Investments (cost $110,348,327) - 144.5% 115,512,149 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 1.1% (0.8% OF TOTAL INVESTMENTS) 900 Puerto Rico Government Development Bank, Adjustable A-1 900,000 Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 1.580%, 12/01/15 - MBIA Insured+ ------------------------------------------------------------------------------------------------------------------------------------ $ 900 Total Short-Term Investments (cost $900,000) 900,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $111,248,327) - 145.6% 116,412,149 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.3% 1,865,465 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (47.9)% (38,300,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 79,977,614 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. * Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings: 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. + 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. 25 Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) Portfolio of INVESTMENTS November 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 4.5% (3.1% OF TOTAL INVESTMENTS) Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001A: $ 125 5.000%, 5/15/22 5/11 at 100.00 Baa3 $ 125,793 500 5.400%, 5/15/31 5/11 at 100.00 Baa3 462,315 1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 1,153,884 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 30.8% (20.9% OF TOTAL INVESTMENTS) 705 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 736,915 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 50,143 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- 515,245 Revenue Bonds, University of New Haven, Series 1996D, 6.700%, 7/01/26 750 Connecticut Health and Educational Facilities Authority, 11/12 at 100.00 AAA 809,430 Revenue Bonds, Connecticut State University System, Series 2003E, 5.000%, 11/01/15 - FGIC Insured 500 Connecticut Health and Educational Facilities Authority, No Opt. Call AAA 552,100 Revenue Bonds, Connecticut State University System, Series 2003F, 5.000%, 11/01/13 - FSA Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 1,527,720 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 1,073,030 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 350 Connecticut Health and Educational Facilities Authority, 4/14 at 100.00 AAA 376,908 Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 (Alternative Minimum Tax) - MBIA Insured 625 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 634,944 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 1,022,630 Revenue Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,024,430 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999: 125 5.375%, 2/01/19 2/09 at 101.00 BBB 129,375 270 5.375%, 2/01/29 2/09 at 101.00 BBB 274,010 University of Connecticut, General Obligation Bonds, Series 2001A: 1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,030,220 1,000 5.250%, 4/01/20 4/11 at 101.00 AA 1,071,560 1,000 4.750%, 4/01/21 4/11 at 101.00 AA 1,025,150 ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 3.1% (2.1% OF TOTAL INVESTMENTS) 125 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 128,309 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 1,051,650 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 2.0% (1.4% OF TOTAL INVESTMENTS) 750 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call BBB+ 769,635 Housing Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Alternative Minimum Tax) (Mandatory put 12/01/08) 26 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 2.6% (1.8% OF TOTAL INVESTMENTS) $ 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA $ 1,011,110 Finance Program Bonds, Series 2001C, 5.300%, 11/15/33 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.7% (1.8% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,037,360 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.1% (1.4% OF TOTAL INVESTMENTS) 300 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 310,347 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 500 Connecticut Development Authority, Health Facilities Revenue 2/05 at 102.00 N/R 487,845 Refunding Bonds, Alzheimer's Resource Center of Connecticut Inc., Series 1994A, 7.250%, 8/15/21 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 25.9% (17.6% OF TOTAL INVESTMENTS) 500 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 557,340 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 750 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA 824,040 5.500%, 6/15/21 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,081,380 5.375%, 4/15/19 560 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 585,682 5.000%, 4/01/23 - FGIC Insured 500 East Lyme, Connecticut, General Obligation Bonds, 7/11 at 102.00 Aaa 537,535 Series 2001, 5.125%, 7/15/20 - FGIC Insured 1,000 Hartford, Connecticut, General Obligation Bonds, 1/08 at 102.00 AAA 1,042,220 Series 1998, 4.700%, 1/15/15 - FGIC Insured 400 Hartford, Connecticut, General Obligation Bonds, No Opt. Call AAA 453,140 Series 2004, 5.500%, 8/15/11 - MBIA Insured 375 New Haven, Connecticut, General Obligation Bonds, 2/08 at 101.00 AAA 386,584 Series 1999, 4.700%, 2/01/15 - FGIC Insured 1,000 New Haven, Connecticut, General Obligation Bonds, 11/10 at 101.00 AAA 1,044,820 Series 2001A, 5.000%, 11/01/20 - FGIC Insured 250 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 A 265,163 Series 2000A, 6.000%, 6/01/20 - ACA Insured Norwich, Connecticut, General Obligation Bonds, Series 2001A: 585 5.000%, 4/01/15 - FGIC Insured 4/09 at 100.00 Aaa 626,927 575 5.000%, 4/01/17 - FGIC Insured 4/09 at 100.00 Aaa 613,784 475 5.000%, 4/01/18 - FGIC Insured 4/09 at 100.00 Aaa 504,963 575 5.000%, 4/01/19 - FGIC Insured 4/09 at 100.00 Aaa 610,702 275 5.000%, 4/01/20 - FGIC Insured 4/09 at 100.00 Aaa 291,676 500 Waterbury, Connecticut, General Obligation Bonds, No Opt. Call AAA 547,925 Series 2004B, 5.000%, 4/01/13 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 16.9% (11.5% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Educational Facilities Authority, 7/08 at 105.00 A 1,089,570 Revenue Bonds, New Opportunities for Waterbury Inc., Series 1998A, 6.750%, 7/01/28 1,475 Connecticut, Special Tax Obligation Transportation No Opt. Call AAA 1,681,618 Infrastructure Purpose Bonds, Series 1998B, 5.500%, 11/01/12 - FSA Insured 625 Connecticut, Special Obligation Rate Reduction Bonds, No Opt. Call AAA 688,756 Series 2004A, 5.000%, 6/30/11 Connecticut, Certificates of Participation, Juvenile Training School, Series 2001: 600 5.000%, 12/15/20 12/11 at 101.00 AA- 628,494 1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 1,009,540 500 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 AA 531,925 Refunding Bonds, Matching Fund Loan Notes, Series 1998A, 5.500%, 10/01/18 - RAAI Insured 750 Virgin Islands Public Finance Authority, Gross Receipts 10/10 at 101.00 BBB 859,050 Taxes Loan Notes, Series 1999A, 6.375%, 10/01/19 27 Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) (continued) Portfolio of INVESTMENTS November 30, 2004 (Unaudited) PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.5% (4.5% OF TOTAL INVESTMENTS) $ 2,500 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AAA $ 2,531,675 International Airport, Series 2001A, 5.125%, 10/01/26 (Alternative Minimum Tax) - FGIC Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 27.0% (18.3% OF TOTAL INVESTMENTS) 515 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 556,195 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded to 7/01/10) 500 Connecticut, Special Tax Obligation Transportation 7/12 at 100.00 AAA 550,115 Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/18 (Pre-refunded to 7/01/12) - FSA Insured 2,000 Connecticut, Clean Water Fund Revenue Bonds, 10/11 at 100.00 AAA 2,269,180 Series 2001, 5.500%, 10/01/20 (Pre-refunded to 10/01/11) 700 Farmington, Connecticut, General Obligation Bonds, 3/11 at 101.00 Aa1*** 769,685 Series 2001, 4.875%, 3/15/20 (Pre-refunded to 3/15/11) Hamden, Connecticut, General Obligation Bonds, Series 2001: 640 5.250%, 8/15/18 (Pre-refunded to 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 726,042 635 5.000%, 8/15/19 (Pre-refunded to 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 710,876 300 5.000%, 8/15/20 (Pre-refunded to 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 335,847 Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,425 5.500%, 10/01/32 10/10 at 101.00 AAA 1,539,941 1,300 5.500%, 10/01/40 10/10 at 101.00 AAA 1,402,037 1,000 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 1,124,810 Series 2002A, 5.375%, 4/01/17 (Pre-refunded to 4/01/12) - FSA Insured 370 Windsor, Connecticut, General Obligation Bonds, 7/09 at 100.00 Aa2*** 401,391 Series 2001, 5.000%, 7/15/20 (Pre-refunded to 7/15/09) ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 11.5% (7.8% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control 10/08 at 102.00 A3 533,490 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 1,000 Eastern Connecticut Resource Recovery Authority, 1/05 at 100.00 BBB 1,021,550 Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax) 1,975 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 2,058,088 Series 2000HH, 5.250%, 7/01/29 - FSA Insured 790 Puerto Rico Electric Power Authority, Power Revenue Refunding 7/05 at 100.00 A- 800,112 Bonds, Series 1995Z, 5.250%, 7/01/21 ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 8.7% (5.9% OF TOTAL INVESTMENTS) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,281,115 Series 2003A, 5.000%, 10/01/16 500 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 553,335 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 796,260 720 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 734,411 ------------------------------------------------------------------------------------------------------------------------------------ $ 52,520 Total Long-Term Investments (cost $53,320,862) - 144.3% 55,551,047 =============----------------------------------------------------------------------------------------------------------------------- 28 PRINCIPAL MARKET AMOUNT (000) DESCRIPTION(1) RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 2.7% (1.9% OF TOTAL INVESTMENTS) $ 1,050 Puerto Rico Government Development Bank, Adjustable A-1 $ 1,050,000 Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 1.580%, 12/01/15 - MBIA Insured+ ------------------------------------------------------------------------------------------------------------------------------------ $ 1,050 Total Short-Term Investments (cost $1,050,000) 1,050,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $54,370,862) - 147.0% 56,601,047 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 3.6% 1,400,901 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (50.6)% (19,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 38,501,948 ====================================================================================================================
FORWARD SWAP CONTRACTS OUTSTANDING AT NOVEMBER 30, 2004:
SWAP UNREALIZED NOTIONAL EFFECTIVE TERMINATION APPRECIATION AMOUNT DATE(2) DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------------------------ Agreement with JPMorgan dated July 1, 2004, to pay semi-annually the notional amount multiplied by 5.805% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). $500,000 2/02/05 2/02/25 $ (29,118) Agreement with Morgan Stanley dated July 15, 2004, to pay semi-annually the notional amount multiplied by 5.717% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). 900,000 1/14/05 1/14/35 (41,419) Agreement with JPMorgan dated July 28, 2004, to pay quarterly the notional amount multiplied by 4.495% (annualized) and receive quarterly the notional amount multiplied by the one-week BMA (Bond Market Association) Municipal Swap Index for the quarter. 900,000 12/13/04 12/13/24 (30,433) ------------------------------------------------------------------------------------------------------------------------------------ $(100,970) ------------------------------------------------------------------------------------------------------------------------------------
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. * Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings: 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. + 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. 29 Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) Portfolio of INVESTMENTS November 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 2.1% (1.4% OF TOTAL INVESTMENTS) $ 810 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 748,537 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 35.6% (24.2% OF TOTAL INVESTMENTS) 500 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 BBB- 515,245 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 527,545 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 258,838 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 538,785 Revenue Bonds, State University System, Series 1997B, 5.250%, 11/01/17 - AMBAC Insured 500 Connecticut Health and Educational Facilities Authority, No Opt. Call AAA 552,100 Revenue Bonds, Connecticut State University System, Series 2003F, 5.000%, 11/01/13 - FSA Insured 215 Connecticut Health and Educational Facilities Authority, 1/15 at 100.00 Aaa 234,464 Revenue Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 - MBIA Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 1,551,585 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 1,015,910 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E: 590 5.500%, 7/01/22 - RAAI Insured 7/12 at 101.00 AA 632,533 1,000 5.250%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 1,022,630 2,250 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA 2,344,005 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 1,024,430 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 500 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 538,610 Bonds, Series 2002A, 5.250%, 11/15/22 - FGIC Insured 1,230 University of Connecticut, General Obligation Bonds, 4/12 at 100.00 AA 1,341,598 Series 2002A, 5.375%, 4/01/19 500 University of Connecticut, General Obligation Bonds, No Opt. Call AAA 551,580 Series 2004A, 5.000%, 1/15/13 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 3.6% (2.3% OF TOTAL INVESTMENTS) 25 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 26,131 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 218,720 Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 - RAAI Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,028,780 Revenue Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 1.4% (1.0% OF TOTAL INVESTMENTS) 500 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call BBB+ 513,090 Housing Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Alternative Minimum Tax) (Mandatory put 12/01/08) ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.9% (2.0% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,030,040 American Ref-Fuel Company of Southeastern Connecticut LP Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax) 30 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 3.2% (2.2% OF TOTAL INVESTMENTS) $ 450 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AAA $ 476,208 Revenue Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/19 - AMBAC Insured 325 Connecticut Development Authority, First Mortgage 4/07 at 102.00 BBB- 328,549 Gross Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 320 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 331,037 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 46.4% (31.4% OF TOTAL INVESTMENTS) 875 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 975,345 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 1,500 Connecticut, General Obligation Bonds, Series 2001C, No Opt. Call AA 1,708,440 5.500%, 12/15/12 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,081,380 5.375%, 4/15/19 2,105 Fairfield, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 2,304,070 5.000%, 4/01/16 (Pre-refunded to4/01/12) Farmington, Connecticut, General Obligation Bonds, Series 2002: 1,000 5.000%, 9/15/20 9/12 at 101.00 Aa1 1,065,700 1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,537,305 400 Hartford, Connecticut, General Obligation Bonds, Series 2004, No Opt. Call AAA 453,140 5.500%, 8/15/11 - MBIA Insured 1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ 1,369,323 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 1,467,923 1,535 5.000%, 5/01/22 - FSA Insured 5/11 at 101.00 Aaa 1,605,073 2,105 Stamford, Connecticut, General Obligation Bonds, Series 2002, 8/12 at 100.00 AAA 2,327,078 5.000%, 8/15/16 (Pre-refunded to 8/15/12) 500 Waterbury, Connecticut, General Obligation Bonds, No Opt. Call AAA 547,925 Series 2004B, 5.000%, 4/01/13 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 8.5% (5.8% OF TOTAL INVESTMENTS) 1,625 Connecticut, Special Tax Obligation Transportation 7/12 at 100.00 AAA 1,781,374 Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured 500 Connecticut, Special Tax Obligation Transportation 10/11 at 100.00 AAA 555,060 Infrastructure Purpose Bonds, Series 2001B, 5.375%, 10/01/13 - FSA Insured 625 Connecticut, Special Obligation Rate Reduction Bonds, No Opt. Call AAA 688,756 Series 2004A, 5.000%, 6/30/11 ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.2% (4.2% OF TOTAL INVESTMENTS) 1,950 New Haven, Connecticut, Revenue Refunding Bonds, No Opt. Call AAA 2,206,269 Air Rights Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 20.7% (14.1% OF TOTAL INVESTMENTS) 1,000 Bridgeport, Connecticut, General Obligation Bonds, 8/11 at 100.00 AAA 1,113,080 Series 2001C, 5.375%, 8/15/18 (Pre-refunded to 8/15/11) - FGIC Insured East Hartford, Connecticut, General Obligation Bonds, Series 2002: 750 4.875%, 5/01/20 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 815,850 750 5.000%, 5/01/21 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 820,882 750 5.000%, 5/01/22 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 820,882 Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,000 5.500%, 10/01/32 10/10 at 101.00 AAA 1,080,660 2,000 5.500%, 10/01/40 10/10 at 101.00 AAA 2,156,980 500 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 562,405 Series 2002A, 5.375%, 4/01/17 (Pre-refunded to 4/01/12) - FSA Insured 31 Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) (continued) Portfolio of INVESTMENTS November 30, 2004 (Unaudited) PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 6.6% (4.5% OF TOTAL INVESTMENTS) $ 500 Connecticut Development Authority, Pollution Control 10/08 at 102.00 A3 $ 533,490 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 250 5.500%, 1/01/15 (Alternative Minimum Tax) 1/05 at 100.00 BBB 255,413 510 5.500%, 1/01/20 (Alternative Minimum Tax) 1/05 at 100.00 BBB 520,200 1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,042,070 Series 2000HH, 5.250%, 7/01/29 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 9.6% (6.5% OF TOTAL INVESTMENTS) 785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 848,671 Series 2003A, 5.000%, 10/01/16 1,000 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 1,106,670 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 796,260 660 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 673,213 ------------------------------------------------------------------------------------------------------------------------------------ $ 48,735 Total Long-Term Investments (cost $49,710,340) - 146.8% 52,171,837 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 0.6% (0.4% OF TOTAL INVESTMENTS) 200 Puerto Rico Government Development Bank, Adjustable A-1 200,000 Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 1.580%, 12/01/15 - MBIA Insured+ ------------------------------------------------------------------------------------------------------------------------------------ $ 200 Total Short-Term Investments (cost $200,000) 200,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $49,910,340) - 147.4% 52,371,837 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.9% 655,051 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.3)% (17,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 35,526,888 ====================================================================================================================
FORWARD SWAP CONTRACTS OUTSTANDING AT NOVEMBER 30, 2004: SWAP UNREALIZED NOTIONAL EFFECTIVE TERMINATION APPRECIATION AMOUNT DATE(2) DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------------------------ Agreement with JPMorgan dated July 1, 2004, to pay semi-annually the notional amount multiplied by 5.805% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). $ 500,000 2/02/05 2/02/25 $ (29,118) Agreement with Morgan Stanley dated July 15, 2004, to pay semi-annually the notional amount multiplied by 5.717% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). 800,000 1/14/05 1/14/35 (36,817) Agreement with JPMorgan dated July 28, 2004, to pay quarterly the notional amount multiplied by 4.495% (annualized) and receive quarterly the notional amount multiplied by the one-week BMA (Bond Market Association) Municipal Swap Index for the quarter. 1,100,000 12/13/04 12/13/24 (37,196) ------------------------------------------------------------------------------------------------------------------------------------ $(103,131) ------------------------------------------------------------------------------------------------------------------------------------
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. * Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings: 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. + 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 Connecticut Dividend Advantage Municipal Fund 3 (NGO) Portfolio of INVESTMENTS November 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.8% (2.6% OF TOTAL INVESTMENTS) $ 2,590 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 2,393,471 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 18.6% (12.5% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Educational Facilities Authority, 11/07 at 101.00 AAA 1,077,570 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 1,079,240 Revenue Bonds, Connecticut State University System, Series 2003E, 5.000%, 11/01/15 - FGIC Insured 285 Connecticut Health and Educational Facilities Authority, 1/15 at 100.00 Aaa 310,801 Revenue Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 - MBIA Insured 3,100 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 3,260,301 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 1,661,639 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 1,536,645 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 500 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 538,610 Bonds, Series 2002A, 5.250%, 11/15/22 - FGIC Insured 1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,168,937 Series 2003A, 5.125%, 2/15/21 - MBIA Insured 1,000 University of Connecticut, General Obligation Bonds, No Opt. Call AAA 1,103,160 Series 2004A, 5.000%, 1/15/13 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 1.2% (0.8% OF TOTAL INVESTMENTS) 200 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 209,050 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 536,045 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/21 - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 1.2% (0.8% OF TOTAL INVESTMENTS) 750 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call BBB+ 769,635 Housing Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Alternative Minimum Tax) (Mandatory put 12/01/08) ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 4.9% (3.3% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/12 at 100.00 AAA 1,007,410 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 2,047,200 Finance Program Bonds, Series 2001D-2, 5.150%, 11/15/22 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 3.3% (2.2% OF TOTAL INVESTMENTS) 2,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 2,074,720 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 12.0% (8.1% OF TOTAL INVESTMENTS) 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 1,045,130 1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 AAA 1,514,700 33 Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) (continued) Portfolio of INVESTMENTS November 30, 2004 (Unaudited) PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE (continued) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc., Series 2002A: $ 430 5.000%, 7/01/18 - AMBAC Insured 7/12 at 101.00 AAA $ 456,957 475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 AAA 500,565 260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 AAA 270,007 1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 AAA 1,011,090 600 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 606,552 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 500 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 517,245 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 Connecticut Development Authority, Revenue Bonds, Duncaster Inc., Series 2002: 650 5.125%, 8/01/22 - RAAI Insured 8/12 at 101.00 AA 677,242 1,000 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 AA 962,680 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 32.4% (21.6% OF TOTAL INVESTMENTS) Bethel, Connecticut, General Obligation Bonds, Series 2002: 525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aaa 557,209 525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aaa 555,387 525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aaa 553,208 525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aaa 550,326 525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aaa 547,460 1,000 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 1,114,680 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 500 Bridgeport, Connecticut, General Obligation Bonds, 9/13 at 100.00 AAA 531,240 Series 2003A, 5.250%, 9/15/23 - FSA Insured 2,500 Connecticut, General Obligation Bonds, Series 2002D, 11/12 at 100.00 AA 2,717,550 5.375%, 11/15/21 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,043,340 5.000%, 4/15/21 450 Farmington, Connecticut, General Obligation Bonds, 9/12 at 101.00 Aa1 479,565 Series 2002, 5.000%, 9/15/20 1,000 Hartford, Connecticut, General Obligation Bonds, Series 2004, No Opt. Call AAA 1,132,850 5.500%, 8/15/11 - MBIA Insured New Canaan, Connecticut, General Obligation Bonds, Series 2002A: 950 4.500%, 5/01/19 5/11 at 100.00 Aaa 967,737 900 4.600%, 5/01/20 5/11 at 100.00 Aaa 917,757 500 4.700%, 5/01/21 5/11 at 100.00 Aaa 510,900 1,445 New Haven, Connecticut, General Obligation Bonds, 11/11 at 101.00 AAA 1,562,811 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 517,455 500 4.375%, 12/15/15 12/11 at 101.00 Aa3 517,825 500 4.375%, 12/15/16 12/11 at 101.00 Aa3 513,990 500 4.500%, 12/15/17 12/11 at 101.00 Aa3 515,130 500 4.625%, 12/15/18 12/11 at 101.00 Aa3 516,260 500 4.625%, 12/15/19 12/11 at 101.00 Aa3 513,850 500 4.875%, 12/15/20 12/11 at 101.00 Aa3 520,570 500 4.875%, 12/15/21 12/11 at 101.00 Aa3 517,815 500 5.000%, 12/15/22 12/11 at 101.00 Aa3 522,710 Stratford, Connecticut, General Obligation Bonds, Series 2002: 1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,352,230 630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 620,172 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 25.0% (16.8% OF TOTAL INVESTMENTS) 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 2,969,664 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,049,390 1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AAA 1,042,500 500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 520,920 Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 34 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 60 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AA- $ 69,519 Purpose Bonds, Series 1992B, 6.125%, 9/01/12 1,245 Connecticut, Special Obligation Rate Reduction Bonds, No Opt. Call AAA 1,372,002 Series 2004A, 5.000%, 6/30/11 3,500 Puerto Rico Infrastructure Financing Authority, Special Tax 1/08 at 101.00 AAA 3,571,295 Revenue Bonds, Series 1997A, 5.000%, 7/01/28 - AMBAC Insured Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G: 890 5.250%, 7/01/17 7/12 at 100.00 A- 946,568 1,000 5.250%, 7/01/20 7/12 at 100.00 A- 1,054,940 1,045 5.250%, 7/01/21 7/12 at 100.00 A- 1,096,916 1,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,097,577 Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 - AMBAC Insured 195 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 BBB+ 204,027 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 750 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 BBB 770,813 Refunding Bonds, Matching Fund Loan Notes, Series 1998A, 5.500%, 10/01/22 ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 0.7% (0.5% OF TOTAL INVESTMENTS) 415 New Haven, Connecticut, Revenue Refunding Bonds, No Opt. Call AAA 469,539 Air Rights Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 22.9% (15.4% OF TOTAL INVESTMENTS) 3,510 Bridgeport, Connecticut, General Obligation Bonds, 8/11 at 100.00 AAA 3,906,911 Series 2001C, 5.375%, 8/15/18 (Pre-refunded to 8/15/11) - FGIC Insured 500 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 550,115 Purpose Bonds, Series 2002A, 5.375%, 7/01/18 (Pre-refunded to 7/01/12) - FSA Insured 400 Connecticut, Special Tax Obligation Transportation Infrastructure 10/11 at 100.00 AAA 435,896 Purpose Bonds, Series 2001A, 4.800%, 10/01/18 (Pre-refunded to 10/01/11) - FSA Insured 2,910 Puerto Rico, General Obligation and Public Improvement 7/08 at 101.00 AAA 3,186,188 Refunding 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 4,313,960 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 570 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 BBB+*** 642,008 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 (Pre-refunded to 2/01/12) 1,220 University of Connecticut, General Obligation Bonds, 4/12 at 100.00 AA*** 1,372,268 Series 2002A, 5.375%, 4/01/17 (Pre-refunded to 4/01/12) ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 8.4% (5.6% OF TOTAL INVESTMENTS) 720 Connecticut Development Authority, Pollution Control 10/08 at 102.00 A3 768,226 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 1,000 5.500%, 1/01/14 (Alternative Minimum Tax) 1/05 at 100.00 BBB 1,021,550 305 5.500%, 1/01/20 (Alternative Minimum Tax) 1/05 at 100.00 BBB 311,100 3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,178,313 Series 2000HH, 5.250%, 7/01/29 - FSA Insured 35 Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) (continued) Portfolio of INVESTMENTS November 30, 2004 (Unaudited) PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 12.5% (8.4% OF TOTAL INVESTMENTS) $ 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA $ 1,281,115 Series 2003A, 5.000%, 10/01/16 2,000 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 2,213,340 Series 2003B, 5.000%, 10/01/12 765 Connecticut Development Authority, Water Facilities Revenue 9/06 at 102.00 A 794,162 Bonds, Bridgeport Hydraulic Company, 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 2,176,444 1,140 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,162,823 250 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 253,343 Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 ------------------------------------------------------------------------------------------------------------------------------------ $ 87,905 Total Long-Term Investments (cost $90,820,389) - 146.9% 92,510,061 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 2.1% (1.4% OF TOTAL INVESTMENTS) 1,300 Puerto Rico Government Development Bank, Adjustable A-1 1,300,000 Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 1.580%, 12/01/15 - MBIA Insured+ ------------------------------------------------------------------------------------------------------------------------------------ $ 1,300 Total Short-Term Investments (cost $1,300,000) 1,300,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $92,120,389) - 149.0% 93,810,061 ------------------------------------------------------------------------------------------------------------------------------------ Other Assets Less Liabilities - 1.8% 1,138,148 ------------------------------------------------------------------------------------------------------------------------------------ Preferred Shares, at Liquidation Value - (50.8)% (32,000,000) ------------------------------------------------------------------------------------------------------------------------------------ Net Assets Applicable to Common Shares - 100% $ 62,948,209 ====================================================================================================================================
FORWARD SWAP CONTRACTS OUTSTANDING AT NOVEMBER 30, 2004: SWAP UNREALIZED NOTIONAL EFFECTIVE TERMINATION APPRECIATION AMOUNT DATE(2) DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------------------------ Agreement with JPMorgan dated July 1, 2004, to pay semi-annually the notional amount multiplied by 5.805% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). $ 900,000 2/02/05 2/02/25 $ (52,413) Agreement with Morgan Stanley dated July 15, 2004, to pay semi-annually the notional amount multiplied by 5.717% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). 1,400,000 1/14/05 1/14/35 (64,429) Agreement with JPMorgan dated July 28, 2004, to pay quarterly the notional amount multiplied by 4.495% (annualized) and receive quarterly the notional amount multiplied by the one-week BMA (Bond Market Association) Municipal Swap Index for the quarter. 5,200,000 12/13/04 12/13/24 (175,834) ------------------------------------------------------------------------------------------------------------------------------------ $(292,676) ------------------------------------------------------------------------------------------------------------------------------------
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. * Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings: 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. 36 Nuveen Massachusetts Premium Income Municipal Fund (NMT) Portfolio of INVESTMENTS November 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 2.1% (1.4% OF TOTAL INVESTMENTS) $ 1,500 Boston Industrial Development Financing Authority, 9/12 at 102.00 Baa3 $ 1,474,350 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 33.0% (22.6% OF TOTAL INVESTMENTS) 280 Massachusetts Education Loan Authority, Student Loan 1/05 at 101.50 AAA 284,626 Revenue Bonds, Issue E, Series 1995, 6.150%, 7/01/10 (Alternative Minimum Tax) - AMBAC Insured 1,680 Massachusetts Educational Finance Authority, Educational 1/12 at 100.00 AAA 1,750,594 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 1,177,396 Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/29 1,000 Massachusetts Development Finance Authority, Revenue 7/13 at 101.00 BBB 1,032,140 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 938,897 Bonds, Curry College, Series 2000A, 6.000%, 3/01/20 - ACA Insured 750 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 AA- 801,450 Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 500 Massachusetts Development Finance Authority, Revenue 9/11 at 101.00 A 528,000 Bonds, Belmont Hills School, Series 2001, 5.375%, 9/01/23 2,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,148,120 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 1,561,275 Revenue Bonds, University of Massachusetts - Worcester Campus, Series 2001B, 5.250%, 10/01/31 - FGIC Insured 555 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 582,828 Revenue Bonds, Williams College, Series 2003H, 5.000%, 7/01/21 500 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 512,075 Revenue Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26 1,000 Massachusetts Health and Educational Facilities Authority, No Opt. Call AAA 1,126,770 Revenue Bonds, Massachusetts Institute of Technology, Series 2004M, 5.250%, 7/01/15 1,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 1/05 at 101.00 Aa1 1,664,115 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 2,331,119 Belmont Hill School, Series 1998, 5.250%, 9/01/28 4,000 New England Education Loan Marketing Corporation, No Opt. Call A3 4,264,120 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 1,301,712 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 1,067,280 Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 16.0% (11.0% OF TOTAL INVESTMENTS) 3,000 Massachusetts Health and Educational Facilities Authority, 1/05 at 102.00 AAA 3,065,670 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, 1/05 at 101.00 AAA 1,012,420 Revenue Bonds, Lahey Clinic Medical Center, Series 1993B, 5.625%, 7/01/15 - MBIA Insured 600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 644,214 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.375%, 5/15/19 - FGIC Insured 37 Nuveen Massachusetts Premium Income Municipal Fund (NMT) (continued) Portfolio of INVESTMENTS November 30, 2004 (Unaudited) PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE (continued) $ 2,500 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA- $ 2,699,400 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 375 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 397,388 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 AA 1,020,020 Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 - RAAI Insured 1,250 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 1,300,113 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 1,056,680 Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 16.2% (11.1% OF TOTAL INVESTMENTS) 2,500 Massachusetts Development Finance Authority, GNMA 10/11 at 105.00 AAA 2,801,000 Collateralized Revenue Bonds, VOA Concord Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 1,940 Massachusetts Development Financing Authority, Assisted 12/09 at 102.00 N/R 1,857,492 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 1,626,135 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 4/05 at 100.00 A+ 65,347 Revenue Refunding Bonds, Series 1993A, 6.300%, 10/01/13 1,425 Massachusetts Housing Finance Agency, Rental Housing 7/10 at 101.00 AAA 1,511,184 Mortgage Revenue Bonds, Series 1999D, 5.500%, 7/01/13 (Alternative Minimum Tax) - AMBAC Insured 1,835 Massachusetts Housing Finance Agency, FHA-Insured Rental 1/05 at 102.00 AAA 1,873,884 Housing Mortgage Revenue Bonds, Series 1995A, 7.350%, 1/01/35 (Alternative Minimum Tax) (Pre-refunded to 1/01/05) - AMBAC Insured 500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 503,195 Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,053,490 Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 0.6% (0.4% OF TOTAL INVESTMENTS) 400 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 421,588 Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 5.8% (4.0% OF TOTAL INVESTMENTS) 1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue 10/08 at 105.00 AAA 1,379,499 Bonds, Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31 2,000 Massachusetts Industrial Finance Agency, Healthcare 5/07 at 102.00 A-1+ 2,027,920 Facilities Revenue Bonds, Jewish Geriatric Services Inc. Obligated Group, Series 1997B, 5.500%, 5/15/27 645 Massachusetts Industrial Finance Agency, FHA-Insured 2/06 at 102.00 AAA 675,328 Project Revenue Bonds, Heights Crossing LP, Series 1995, 6.000%, 2/01/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 26.5% (18.1% OF TOTAL INVESTMENTS) 500 Ashland, Massachusetts, General Obligation Bonds, 5/15 at 100.00 Aaa 537,260 Series 2004, 5.250%, 5/15/23 - AMBAC Insured 1,180 Boston, Massachusetts, General Obligation Bonds, 8/11 at 100.00 AA 1,266,270 Series 2001B, 5.000%, 8/01/15 645 East Longmeadow, Massachusetts, General Obligation Bonds, 8/11 at 101.00 Aaa 701,812 Series 2001, 5.000%, 8/01/14 - AMBAC Insured 1,000 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 1,058,350 Series 2003, 5.000%, 2/01/21 - FSA Insured 2,500 Massachusetts Bay Transportation Authority, General No Opt. Call AAA 3,163,000 Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 3,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,831,324 Series 2001D, 6.000%, 11/01/13 - MBIA Insured 38 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 $ 2,033,727 Loan, Series 2003A, 5.000%, 1/01/22 (Pre-refunded to 1/01/13) 980 Monson, Massachusetts, General Obligation Bonds, 5/12 at 101.00 Aaa 1,045,052 Series 2002, 5.250%, 5/15/22 - AMBAC Insured 1,000 Narragansett Regional School District, Massachusetts, 6/10 at 101.00 Aaa 1,165,710 General Obligation Bonds, Series 2000, 6.500%, 6/01/16 - AMBAC Insured 1,260 Norwell, Massachusetts, General Obligation Bonds, No Opt. Call AAA 1,378,654 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 583,069 1,615 5.250%, 1/15/23 - MBIA Insured 1/13 at 100.00 AAA 1,723,189 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 12.8% (8.7% OF TOTAL INVESTMENTS) 210 Martha's Vineyard Land Bank, Massachusetts, Revenue 5/14 at 100.00 AAA 216,275 Bonds, Series 2004, 5.000%, 5/01/26 - AMBAC Insured 385 Massachusetts Bay Transportation Authority, Senior Lien No Opt. Call AAA 428,286 Sales Tax Revenue Bonds, Series 2004C, 5.250%, 7/01/21 1,000 Massachusetts College Building Authority, Project Revenue No Opt. Call AAA 1,113,410 Refunding Bonds, Series 2003B, 5.375%, 5/01/23 - XLCA Insured 550 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 585,019 Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured 1,500 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 1,588,245 Bonds, Series 2004, 5.250%, 1/01/25 - FGIC Insured 3,000 Massachusetts, Special Obligation Refunding Notes, No Opt. Call Aaa 3,260,790 Federal Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 1,500 Puerto Rico, Highway Revenue Bonds, Highway and No Opt. Call AAA 1,733,250 Transportation Authority, Series 2003AA, 5.500%, 7/01/19 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 8.8% (6.0% OF TOTAL INVESTMENTS) 2,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 2,021,480 5.000%, 7/01/33 - MBIA Insured 4,000 Massachusetts Port Authority, Special Facilities Revenue 9/06 at 102.00 AAA 4,122,240 Bonds, US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 (Alternative Minimum Tax) - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 13.3% (9.1% OF TOTAL INVESTMENTS) 1,250 Massachusetts, General Obligation Bonds, Consolidated 2/10 at 101.00 AAA 1,423,388 Loan, Series 2000A, 6.000%, 2/01/14 (Pre-refunded to 2/01/10) 1,250 Massachusetts, General Obligation Bonds, Consolidated 8/14 at 100.00 Aa2*** 1,366,975 Loan, Series 2004B, 5.000%, 8/01/24 (Pre-refunded to 8/01/14) 2,500 Massachusetts Health and Educational Facilities Authority, 8/10 at 100.00 AAA 2,674,625 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 2,060,160 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, 7/21 at 100.00 AAA 442,505 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded to 7/01/21) - MBIA Insured 905 Massachusetts Port Authority, Revenue Bonds, 1/05 at 100.00 AAA 1,308,250 Series 1982, 13.000%, 7/01/13 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 3.0% (2.0% OF TOTAL INVESTMENTS) 1,000 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA 1,098,160 Recovery Revenue Bonds, SEMASS System, Series 2001A, 5.625%, 1/01/16 - MBIA Insured 1,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 992,890 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) 39 Nuveen Massachusetts Premium Income Municipal Fund (NMT) (continued) Portfolio of INVESTMENTS November 30, 2004 (Unaudited) PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 7.4% (5.1% OF TOTAL INVESTMENTS) $ 2,000 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA $ 2,068,700 General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 1,500 Massachusetts Water Pollution Abatement Trust, Pooled 8/13 at 100.00 AAA 1,561,455 Loan Program Bonds, Series 9, 5.000%, 8/01/22 1,500 Massachusetts Water Pollution Abatement Trust, Pooled 8/14 at 100.00 AAA 1,539,820 Loan Program Bonds, Series 10, 5.000%, 8/01/26 ------------------------------------------------------------------------------------------------------------------------------------ $ 95,005 Total Long-Term Investments (cost $97,428,751) - 145.5% 101,632,174 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 0.7% (0.5% OF TOTAL INVESTMENTS) 500 Massachusetts Development Finance Authority, Revenue A-1+ 500,000 Bonds, Boston University, Variable Rate Demand Obligations, Series 2002R-4, 1.650%, 10/01/42 - XLCA Insured+ ------------------------------------------------------------------------------------------------------------------------------------ $ 500 Total Short-Term Investments (cost $500,000) 500,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $97,928,751) - 146.2% 102,132,174 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.5% 1,723,679 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (48.7)% (34,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 69,855,853 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. * Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings: 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. + 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. 40 Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) Portfolio of INVESTMENTS November 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 1.6% (1.1% OF TOTAL INVESTMENTS) $ 500 Boston Industrial Development Financing Authority, 9/12 at 102.00 Baa3 $ 491,450 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 29.7% (20.5% OF TOTAL INVESTMENTS) 1,200 Massachusetts Educational Finance Authority, Educational 7/10 at 100.00 AAA 1,222,512 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 1,127,290 Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/59 500 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 AA- 534,300 Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 1,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,074,060 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- 2,138,740 Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36 500 Massachusetts Health and Educational Facilities Authority, No Opt. Call AAA 563,385 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 1,354,125 Project Revenue Bonds, Series 2000-2, 5.250%, 11/01/20 - AMBAC Insured 600 University of Massachusetts Building Authority, Senior 11/13 at 100.00 AAA 650,856 Lien Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 - AMBAC Insured 250 University of Massachusetts Building Authority, Senior 11/14 at 100.00 AAA 266,820 Lien Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 13.5% (9.3% OF TOTAL INVESTMENTS) 1,000 Massachusetts Health and Educational Facilities Authority, 7/09 at 101.00 AA- 1,040,080 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- 1,079,760 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 500 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 529,850 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- 394,838 Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 500 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 520,045 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 500 Massachusetts Health and Educational Facilities Authority, 7/14 at 100.00 BB 489,420 Revenue Bonds, Northern Berkshire Community Services Inc., Series 2004B, 6.375%, 7/01/34 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 13.1% (9.0% OF TOTAL INVESTMENTS) 1,000 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,084,090 Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 1,250 Massachusetts Housing Finance Agency, Rental Housing 1/11 at 100.00 AAA 1,292,325 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- 503,195 Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,053,490 Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 41 Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) (continued) Portfolio of INVESTMENTS November 30, 2004 (Unaudited) PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 2.9% (2.0% OF TOTAL INVESTMENTS) $ 840 Massachusetts Housing Finance Agency, Single Family 6/10 at 100.00 AAA $ 869,266 Housing Revenue Bonds, Series 82, 5.375%, 12/01/20 (Alternative Minimum Tax) - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 0.7% (0.5% OF TOTAL INVESTMENTS) 200 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 210,794 Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.3% (1.6% OF TOTAL INVESTMENTS) 655 Massachusetts Development Finance Authority, First 7/11 at 102.00 BBB- 684,370 Mortgage Revenue Bonds, Berkshire Retirement Community - Edgecombe Project, Series 2001A, 6.750%, 7/01/21 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 33.5% (23.1% OF TOTAL INVESTMENTS) 310 Ashland, Massachusetts, General Obligation Bonds, 5/15 at 100.00 Aaa 333,101 Series 2004, 5.250%, 5/15/23 - AMBAC Insured 1,000 Boston, Massachusetts, General Obligation Bonds, 2/11 at 100.00 AA 1,052,240 Series 2001A, 5.000%, 2/01/20 2,000 Brookline, Massachusetts, General Obligation Bonds, 4/10 at 101.00 Aaa 2,208,620 Series 2000, 5.375%, 4/01/17 500 East Longmeadow, Massachusetts, General Obligation 8/11 at 101.00 Aaa 544,040 Bonds, Series 2001, 5.000%, 8/01/14 - AMBAC Insured 440 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 465,674 Series 2003, 5.000%, 2/01/21 - FSA Insured 1,675 Lawrence, Massachusetts, General Obligation Bonds, 2/11 at 100.00 Aaa 1,758,482 Series 2001, 5.000%, 2/01/21 - AMBAC Insured 1,095 Lynn, Massachusetts, General Obligation Bonds, 8/11 at 101.00 Aaa 1,227,166 Series 2001, 5.375%, 8/15/12 - FGIC Insured 750 Massachusetts, General Obligation Bonds, Consolidated No Opt. Call Aa2 849,315 Loan, Series 2002D, 5.500%, 8/01/19 500 Norwell, Massachusetts, General Obligation Bonds, No Opt. Call AAA 547,085 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 550,065 500 5.250%, 1/15/23 - MBIA Insured 1/13 at 100.00 AAA 533,495 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 19.9% (13.7% OF TOTAL INVESTMENTS) 395 Martha's Vineyard Land Bank, Massachusetts, Revenue 5/14 at 100.00 AAA 406,803 Bonds, Series 2004, 5.000%, 5/01/26 - AMBAC Insured 1,000 Massachusetts Bay Transportation Authority, Assessment 7/10 at 100.00 AAA 1,036,840 Bonds, Series 2000A, 5.250%, 7/01/30 385 Massachusetts Bay Transportation Authority, Senior Lien No Opt. Call AAA 428,286 Sales Tax Revenue Bonds, Series 2004C, 5.250%, 7/01/21 230 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 244,644 Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured 750 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 794,123 Bonds, Series 2004, 5.250%, 1/01/25 - FGIC Insured 1,250 Massachusetts, Special Obligation Refunding Notes, No Opt. Call Aaa 1,358,663 Federal 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 1,131,680 6.000%, 8/01/16 - FSA Insured 500 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 572,700 Loan Notes, Series 1999A, 6.375%, 10/01/19 ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 3.5% (2.4% OF TOTAL INVESTMENTS) 1,000 Massachusetts Port Authority, Special Facilities Revenue 7/07 at 102.00 AAA 1,065,880 Bonds, BOSFUEL Corporation, Series 1997, 5.500%, 7/01/18 (Alternative Minimum Tax) - MBIA Insured 42 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 10.5% (7.3% OF TOTAL INVESTMENTS) $ 1,000 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA $ 1,143,530 Asset-Backed Bonds, Series 2000, 6.000%, 7/01/26 (Pre-refunded to 7/01/10) 500 Massachusetts, General Obligation Bonds, Consolidated 8/14 at 100.00 Aa2*** 546,790 Loan, Series 2004B, 5.000%, 8/01/24 (Pre-refunded to 8/01/14) 345 Massachusetts Water Pollution Abatement Trust, Revenue 8/09 at 101.00 AAA 391,220 Bonds, MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29 (Pre-refunded to 8/01/09) 1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,078,490 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.6% (3.9% OF TOTAL INVESTMENTS) 1,070 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA 1,191,060 Recovery Revenue Bonds, SEMASS System, Series 2001A, 5.625%, 1/01/14 - MBIA Insured 500 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 496,445 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 8.1% (5.6% OF TOTAL INVESTMENTS) 530 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 548,206 General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 1,405 Massachusetts Water Pollution Abatement Trust, Revenue 8/09 at 101.00 AAA 1,546,090 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 329,862 Bonds, Series 2000A, 5.750%, 8/01/30 - FGIC Insured ------------------------------------------------------------------------------------------------------------------------------------ $ 40,550 Total Long-Term Investments (cost $41,654,187) - 144.9% 43,555,656 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 5.0% 1,493,792 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.9)% (15,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 30,049,448 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. * Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings: 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. See accompanying notes to financial statements. 43 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) Portfolio of INVESTMENTS November 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 26.1% (17.2% OF TOTAL INVESTMENTS) $ 500 Massachusetts Development Finance Authority, Revenue 7/13 at 101.00 BBB $ 552,975 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 2,250 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 A1 2,259,338 Bonds, Middlesex School, Series 2003, 5.000%, 9/01/33 3,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 3,042,300 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 2,029,580 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 2,334,034 Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 9.1% (6.0% OF TOTAL INVESTMENTS) 2,500 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 2,555,350 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 - FGIC Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 1,017,000 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 13.3% (8.8% OF TOTAL INVESTMENTS) 1,750 Massachusetts Development Finance Authority, GNMA 12/12 at 105.00 AAA 1,896,650 Collateralized Revenue Bonds, Neville Communities, Series 2002A, 6.000%, 6/20/44 55 Massachusetts Housing Finance Agency, Housing Project 4/05 at 100.00 AAA 55,320 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 1,276,613 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- 2,001,940 Series 2003H, 5.125%, 6/01/43 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 31.9% (21.1% OF TOTAL INVESTMENTS) 1,280 Littleton, Massachusetts, General Obligation Bonds, 1/13 at 101.00 AAA 1,356,672 Series 2003, 5.000%, 1/15/21 - FGIC Insured 3,000 Massachusetts, General Obligation Bonds, Consolidated No Opt. Call AAA 3,327,000 Loan, Series 2004B, 5.250%, 8/01/21 - FSA Insured (PLG) 1,025 Maynard, Massachusetts, General Obligation Bonds, 2/13 at 101.00 Aaa 1,136,407 Series 2003, 5.500%, 2/01/19 - MBIA Insured 1,705 North Attleborough, Massachusetts, General Obligation 7/14 at 101.00 Aaa 1,878,262 Bonds, Series 2004, 5.000%, 7/15/15 - FGIC Insured 1,500 Pittsfield, Massachusetts, General Obligation Bonds, 4/12 at 101.00 AAA 1,596,720 Series 2002, 5.000%, 4/15/18 - MBIA Insured 3,000 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 3,213,720 Series 2003, 5.250%, 1/15/22 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 33.5% (22.2% OF TOTAL INVESTMENTS) 3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue 5/13 at 100.00 AAA 3,035,220 Bonds, Series 2002, 5.000%, 5/01/32 - AMBAC Insured 3,000 Massachusetts Bay Transportation Authority, Senior Sales 7/12 at 100.00 AAA 3,051,210 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 2,954,247 Refunding Bonds, Series 2003A, 5.250%, 5/01/22 - XLCA Insured Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street Redevelopment, M/SRBC Project, Series 2002A: 1,475 5.125%, 8/01/28 - MBIA Insured 2/12 at 100.00 AAA 1,505,208 1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AAA 1,523,535 44 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 1,000 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA $ 1,075,080 Bonds, Series 2004, 5.250%, 1/01/21 - FGIC Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 2.6% (1.7% OF TOTAL INVESTMENTS) 1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 1,010,740 5.000%, 7/01/33 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 17.8% (11.7% OF TOTAL INVESTMENTS) 3,000 Massachusetts, General Obligation Bonds, Consolidated 11/11 at 100.00 AAA 3,277,230 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 2,376,252 Loan, Series 2003A, 5.250%, 1/01/18 (Pre-refunded to 1/01/13) - AMBAC Insured 905 Massachusetts Port Authority, Revenue Bonds, 1/05 at 100.00 AAA 1,308,250 Series 1982, 13.000%, 7/01/13 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.3% (3.5% OF TOTAL INVESTMENTS) 1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,563,105 Series 2000HH, 5.250%, 7/01/29 - FSA Insured 500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/12 at 101.00 AAA 522,865 Series 2002II, 5.125%, 7/01/26 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 11.8% (7.8% OF TOTAL INVESTMENTS) 1,900 Lynn Water and Sewer Commission, Massachusetts, 12/13 at 100.00 AAA 1,922,800 General 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 1,034,410 Bonds, Series 2004D, 5.000%, 8/01/24 - MBIA Insured 1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA 1,116,980 Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured 495 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 AAA 534,689 General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ $ 56,180 Total Long-Term Investments (cost $57,893,864) - 151.4% 59,341,702 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 0.9% 347,350 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (52.3)% (20,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 39,189,052 ====================================================================================================================
FORWARD SWAP CONTRACTS OUTSTANDING AT NOVEMBER 30, 2004: SWAP UNREALIZED NOTIONAL EFFECTIVE TERMINATION APPRECIATION AMOUNT DATE(2) DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------------------------ Agreement with Morgan Stanely dated June 9, 2004, to pay semi-annually the notional amount multiplied by 6.009% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). $3,000,000 12/13/04 12/13/24 $(265,333) Agreement with JPMorgan dated June 23, 2004, to pay semi-annually the notional amount multiplied by 5.932% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). 2,500,000 1/14/05 1/14/25 (189,578) ------------------------------------------------------------------------------------------------------------------------------------ $(454,911) ------------------------------------------------------------------------------------------------------------------------------------
At least 80% of the Fund's net assets are invested in municipal securities that are either covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance which ensures the timely payment of principal and interest. Up to 20% of the Fund's net assets may be invested in municipal securities that are (i) either backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities (also ensuring the timely payment of principal and interest), or (ii) municipal bonds that are rated, at the time of investment, within the four highest grades (Baa or BBB or better by Moody's, S&P or Fitch) or unrated but judged to be of comparable quality by the Adviser. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. * Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings: 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. (PLG) Portion of security, with an aggregate marke value of $332,700 has been pledged to collateralize the net payment obligations under forward swap contracts. See accompanying notes to financial statements. 45 Nuveen Missouri Premium Income Municipal Fund (NOM) Portfolio of INVESTMENTS November 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.1% (2.1% OF TOTAL INVESTMENTS) $ 1,000 Missouri Development Finance Board, Solid Waste Disposal No Opt. Call AA- $ 1,035,750 Revenue Bonds, Procter and Gamble Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 6.3% (4.2% OF TOTAL INVESTMENTS) 625 Missouri Health and Educational Facilities Authority, Revenue 6/10 at 100.00 Baa2 663,550 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 520,515 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 403,307 Bonds, Webster University, Series 2001, 5.500%, 4/01/18 - MBIA Insured 500 St. Louis County Industrial Development Authority, Missouri, 12/04 at 100.00 N/R 510,750 Revenue Bonds, Kiel Center Multipurpose Arena, Series 1992, 7.875%, 12/01/24 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 31.6% (21.4% OF TOTAL INVESTMENTS) 1,800 Johnson County, Missouri, Hospital Revenue Bonds, 6/10 at 100.00 AA 1,973,826 Western Missouri Medical Center, Series 2000, 6.000%, 6/01/20 - RAAI Insured 750 Joplin Industrial Development Authority, Missouri, 2/15 at 102.00 BBB+ 758,250 Health Facilities Revenue Bonds, Freeman Health System, Series 2004, 5.500%, 2/15/29 2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 2,581,300 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 518,980 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 1,545,090 1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,184,302 500 Missouri Health and Educational Facilities Authority, Revenue 2/14 at 100.00 BBB+ 514,635 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+ 439,310 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 1,061,160 Bonds, St. Anthony's Medical Center, Series 2000, 6.250%, 12/01/30 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 7.4% (5.0% OF TOTAL INVESTMENTS) 720 Missouri Housing Development Commission, Multifamily 12/11 at 100.00 AA 763,214 Housing Revenue Bonds, Series 2001II, 5.250%, 12/01/16 500 St. Charles County Industrial Development Authority, 4/08 at 102.00 AAA 505,860 Missouri, FHA-Insured Multifamily Housing Revenue Bonds, Ashwood Apartments, Series 1998A, 5.600%, 4/01/30 (Alternative Minimum Tax) - FSA Insured 545 St. Louis County Industrial Development Authority, 4/07 at 102.00 AAA 572,250 Missouri, GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997A, 5.950%, 4/20/17 600 St. Louis County Industrial Development Authority, Missouri, 4/07 at 102.00 AAA 624,666 GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997B, 6.000%, 10/20/15 (Alternative Minimum Tax) 46 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 2.1% (1.4% OF TOTAL INVESTMENTS) $ 190 Missouri Housing Development Commission, Single Family 3/06 at 105.00 AAA $ 190,253 Mortgage Revenue Bonds, Homeownership Loan Program, Series 1995C, 7.250%, 9/01/26 (Alternative Minimum Tax) 285 Missouri Housing Development Commission, Single Family 9/06 at 105.00 AAA 288,138 Mortgage Revenue Bonds, Homeownership Loan Program, Series 1996B, 7.550%, 9/01/27 (Alternative Minimum Tax) 215 Missouri Housing Development Commission, Single Family 3/10 at 100.00 AAA 223,787 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 5.5% (3.7% OF TOTAL INVESTMENTS) 1,750 Cole County Industrial Development Authority, Missouri, 2/14 at 100.00 N/R 1,790,967 Revenue Bonds, Lutheran Senior Services - Heisinger Project, Series 2004, 5.500%, 2/01/35 50 Lees Summit Industrial Development Authority, Missouri, 8/09 at 101.00 N/R 53,200 Health Facilities Revenue Bonds, John Knox Village, Series 1999, 6.000%, 8/15/17 ------------------------------------------------------------------------------------------------------------------------------------ MATERIALS - 2.3% (1.5% OF TOTAL INVESTMENTS) 750 Sugar Creek, Missouri, Industrial Development Revenue 6/13 at 101.00 BBB 754,268 Bonds, Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 32.7% (22.2% OF TOTAL INVESTMENTS) 500 Jackson County School District R-7, Lees Summit, Missouri, 3/12 at 100.00 AAA 540,875 General Obligation Refunding and Improvement Bonds, Series 2002, 5.250%, 3/01/18 - FSA Insured 1,630 North Kansas City School District, Missouri, General Obligation 3/13 at 100.00 AA+ 1,692,951 Bonds, Series 2003A, 5.000%, 3/01/23 1,500 Puerto Rico, General Obligation and Public Improvement No Opt. Call AAA 1,733,460 Refunding Bonds, Series 2001A, 5.500%, 7/01/20 - MBIA Insured 2,020 Ritenour Consolidated School District, St. Louis County, No Opt. Call AAA 2,468,359 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 1,639,905 General Obligation Refunding Bonds, Series 1994A, 7.800%, 3/01/08 - FGIC Insured 350 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 379,449 General Obligation Refunding Bonds, Series 2004, 5.250%, 3/01/20 - FSA Insured 895 St. Louis Board of Education, Missouri, General Obligation No Opt. Call AAA 1,016,944 Refunding Bonds, Series 1993A, 8.500%, 4/01/07 - FGIC Insured 1,405 St. Louis Board of Education, Missouri, General Obligation 4/13 at 100.00 AAA 1,488,864 Refunding Bonds, Series 2003A, 5.000%, 4/01/19 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 30.4% (20.6% OF TOTAL INVESTMENTS) 750 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R 769,133 Bonds, Gravois Bluffs Project, Series 2002, 6.125%, 10/01/21 750 Howard Bend Levee District, St. Louis County, Missouri, Levee 3/09 at 101.00 N/R 787,958 District Improvement Bonds, Series 1999, 5.850%, 3/01/19 1,000 Kansas City Land Clearance Redevelopment Authority, 12/05 at 102.00 AAA 1,053,740 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 2,217,200 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 503,186 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 1,129,960 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 2,269,280 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 1,432,633 Lease Revenue Bonds, Jordan Valley Park Parking Garage, Series 2002D, 5.000%, 11/01/22 - AMBAC Insured 47 Nuveen Missouri Premium Income Municipal Fund (NOM) (continued) Portfolio of INVESTMENTS November 30, 2004 (Unaudited) PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 4.7% (3.2% OF TOTAL INVESTMENTS) $ 500 Kansas City, Missouri, Passenger Facility Charge Revenue 4/11 at 101.00 AAA $ 507,630 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 1,077,980 Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19 ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 12.0% (8.1% OF TOTAL INVESTMENTS) 675 Missouri Health and Educational Facilities Authority, Revenue 2/06 at 102.00 BBB+*** 720,934 Bonds, Lake Regional Health System, Series 1996, 6.500%, 2/15/21 (Pre-refunded to 2/15/06) 1,000 St. Louis County, Missouri, GNMA Collateralized Mortgage No Opt. Call AAA 1,134,420 Revenue Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) 900 St. Louis County Pattonville School District R3, Missouri, 3/10 at 101.00 AAA 1,023,903 General Obligation Bonds, Series 2000, 5.750%, 3/01/17 (Pre-refunded to 3/01/10) - FGIC Insured 950 Texas County, Missouri, Hospital Revenue Bonds, Texas 6/10 at 100.00 N/R*** 1,133,778 County Memorial Hospital, Series 2000, 7.250%, 6/15/25 (Pre-refunded to 6/15/10) ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.7% (3.9% OF TOTAL INVESTMENTS) 1,800 Springfield Public Utilities Board, Missouri, Certificates 12/09 at 100.00 AAA 1,913,670 of Participation, Series 2001, 5.000%, 12/01/17 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 3.9% (2.7% OF TOTAL INVESTMENTS) 640 Metropolitan St. Louis Sewerage District, Missouri, Revenue 5/14 at 100.00 AAA 679,211 Bonds, Wastewater System, Series 2004A, 5.000%, 5/01/20 - MBIA Insured 350 Missouri Environmental Improvement and Energy Resources No Opt. Call Aaa 422,170 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 219,760 Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program - Multi-Participants, Series 1996D, 5.875%, 1/01/15 ------------------------------------------------------------------------------------------------------------------------------------ $ 45,880 Total Long-Term Investments (cost $46,443,534) - 147.7% 49,434,681 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 0.1% 27,826 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (47.8)% (16,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 33,462,507 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. * Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings: 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. 48 Statement of ASSETS AND LIABILITIES November 30, 2004 (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at market value (cost $111,248,327, $54,370,862, $49,910,340 and $92,120,389, respectively) $116,412,149 $56,601,047 $52,371,837 $ 93,810,061 Cash 239,633 814,106 130,862 191,627 Receivables: Interest 1,723,588 716,377 649,975 1,288,208 Investments sold -- -- -- -- Other assets 2,100 4,794 5,232 775 ------------------------------------------------------------------------------------------------------------------------------------ Total assets 118,377,470 58,136,324 53,157,906 95,290,671 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft -- -- -- -- Forward swaps, at value -- 100,970 103,131 292,676 Accrued expenses: Management fees 62,861 16,426 15,040 25,342 Other 34,084 13,618 11,518 23,127 Preferred share dividends payable 2,911 3,362 1,329 1,317 ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 99,856 134,376 131,018 342,462 ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 79,977,614 $38,501,948 $35,526,888 $ 62,948,209 ==================================================================================================================================== Common shares outstanding 5,332,742 2,561,096 2,308,421 4,348,855 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 15.00 $ 15.03 $ 15.39 $ 14.47 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 53,327 $ 25,611 $ 23,084 $ 43,489 Paid-in surplus 74,044,124 36,300,062 32,674,964 61,361,590 Undistributed (Over-distribution of) net investment income 596,375 331,187 305,752 269,214 Accumulated net realized gain (loss) from investments 119,966 (284,127) 164,722 (123,080) Net unrealized appreciation (depreciation) of investments and forward swap transactions 5,163,822 2,129,215 2,358,366 1,396,996 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 79,977,614 $38,501,948 $35,526,888 $ 62,948,209 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 49 Statement of ASSETS AND LIABILITIES November 30, 2004 (Unaudited) (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 $97,928,751, $41,654,187, $57,893,864 and $46,443,534, respectively) $102,132,174 $43,555,656 $59,341,702 $49,434,681 Cash 235,052 246,760 -- -- Receivables: Interest 1,552,971 704,675 910,468 844,138 Investments sold 10,000 571,463 -- 30,000 Other assets 7,650 3,075 1,534 699 ------------------------------------------------------------------------------------------------------------------------------------ Total assets 103,937,847 45,081,629 60,253,704 50,309,518 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft -- -- 68,964 798,023 Forward swaps, at value -- -- 454,911 -- Accrued expenses: Management fees 55,211 12,787 15,944 26,281 Other 23,150 19,394 18,663 20,403 Preferred share dividends payable 3,633 -- 6,170 2,304 ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 81,994 32,181 564,652 847,011 ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 69,855,853 $30,049,448 $39,189,052 $33,462,507 ==================================================================================================================================== Common shares outstanding 4,735,779 1,949,194 2,716,781 2,253,615 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.75 $ 15.42 $ 14.42 $ 14.85 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 47,358 $ 19,492 $ 27,168 $ 22,536 Paid-in surplus 65,707,322 27,587,886 38,274,309 30,050,439 Undistributed (Over-distribution of) net investment income 798,882 265,645 (80,955) 395,529 Accumulated net realized gain (loss) from investments (901,132) 274,956 (24,397) 2,856 Net unrealized appreciation (depreciation) of investments and forward swap transactions 4,203,423 1,901,469 992,927 2,991,147 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 69,855,853 $30,049,448 $39,189,052 $33,462,507 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 50 Statement of OPERATIONS Six Months Ended November 30, 2004 (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $2,812,848 $1,384,430 $1,223,433 $2,116,361 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 382,204 187,003 171,566 306,358 Preferred shares - auction fees 48,006 24,441 21,934 40,110 Preferred shares - dividend disbursing agent fees 5,014 5,014 5,014 5,014 Shareholders' servicing agent fees and expenses 8,957 933 691 741 Custodian's fees and expenses 15,497 8,909 8,327 13,071 Trustees' fees and expenses 1,733 798 931 1,509 Professional fees 5,851 4,749 4,718 5,309 Shareholders' reports - printing and mailing expenses 9,912 4,665 4,612 7,547 Stock exchange listing fees 5,506 109 98 186 Investor relations expense 7,055 1,722 1,599 5,525 Other expenses 6,044 5,030 6,009 5,197 ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 495,779 243,373 225,499 390,567 Custodian fee credit (916) (1,252) (1,543) (1,761) Expense reimbursement -- (86,856) (79,686) (151,779) ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 494,863 155,265 144,270 237,027 ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 2,317,985 1,229,165 1,079,163 1,879,334 ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS Net realized gain (loss) from investments 165,562 171,667 44,858 154,432 Change in net unrealized appreciation (depreciation) of investments 2,124,967 1,148,731 944,698 2,281,023 Change in net unrealized appreciation (depreciation) of forward swap transactions -- (100,970) (103,131) (292,676) ------------------------------------------------------------------------------------------------------------------------------------ Net gain from investments 2,290,529 1,219,428 886,425 2,142,779 ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (163,753) (84,348) (73,938) (151,678) From accumulated net realized gains from investments -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (163,753) (84,348) (73,938) (151,678) ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from operations $4,444,761 $2,364,245 $1,891,650 $3,870,435 ====================================================================================================================================
See accompanying notes to financial statements. 51 Statement of OPERATIONS Six Months Ended November 30, 2004 (Unaudited) (continued)
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $2,625,024 $1,080,843 $1,412,476 $1,268,514 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 335,597 145,314 193,150 159,441 Preferred shares - auction fees 42,617 18,801 25,695 20,055 Preferred shares - dividend disbursing agent fees 5,014 6,654 5,426 5,014 Shareholders' servicing agent fees and expenses 4,379 317 392 2,935 Custodian's fees and expenses 13,865 7,075 7,155 8,222 Trustees' fees and expenses 1,755 672 854 884 Professional fees 5,688 4,782 5,031 4,749 Shareholders' reports - printing and mailing expenses 10,120 3,624 4,690 5,007 Stock exchange listing fees 5,500 79 116 95 Investor relations expense 3,981 2,775 4,185 2,993 Other expenses 7,243 7,783 4,710 4,842 ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 435,759 197,876 251,404 214,237 Custodian fee credit (1,824) (1,634) (1,593) (2,275) Expense reimbursement -- (67,494) (95,692) -- ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 433,935 128,748 154,119 211,962 ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 2,191,089 952,095 1,258,357 1,056,552 ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS Net realized gain (loss) from investments 224,128 142,899 (8,274) 66,888 Change in net unrealized appreciation (depreciation) of investments 1,731,984 988,863 1,502,047 989,481 Change in net unrealized appreciation (depreciation) of forward swap transactions -- -- (454,911) -- ------------------------------------------------------------------------------------------------------------------------------------ Net gain from investments 1,956,112 1,131,762 1,038,862 1,056,369 ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (138,479) (52,588) (93,061) (69,370) From accumulated net realized gains from investments -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (138,479) (52,588) (93,061) (69,370) ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from operations $4,008,722 $2,031,269 $2,204,158 $2,043,551 ====================================================================================================================================
See accompanying notes to financial statements. 52 Statement of CHANGES IN NET ASSETS (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK) --------------------------------- ---------------------------------- -------------------------------- SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED 11/30/04 5/31/04 11/30/04 5/31/04 11/30/04 5/31/04 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 2,317,985 $ 4,932,014 $ 1,229,165 $ 2,476,158 $ 1,079,163 $ 2,220,362 Net realized gain (loss) from investments 165,562 722,872 171,667 (74,861) 44,858 241,031 Change in net unrealized appreciation (depreciation) of investments 2,124,967 (5,838,457) 1,148,731 (2,514,188) 944,698 (2,843,481) Change in net unrealized appreciation (depreciation) of forward swap transactions -- -- (100,970) -- (103,131) -- Distributions to Preferred Shareholders: From net investment income (163,753) (249,202) (84,348) (129,979) (73,938) (101,342) From accumulated net realized gains from investments -- -- -- -- -- (23,516) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 4,444,761 (432,773) 2,364,245 (242,870) 1,891,650 (506,946) ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (2,349,597) (4,686,749) (1,144,190) (2,261,395) (1,017,894) (2,004,077) From accumulated net realized gains from investments -- -- -- -- -- (267,884) ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (2,349,597) (4,686,749) (1,144,190) (2,261,395) (1,017,894) (2,271,961) ------------------------------------------------------------------------------------------------------------------------------------ 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 157,321 352,597 44,356 115,496 6,653 12,077 Preferred shares offering costs -- -- -- -- -- (27,909) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions 157,321 352,597 44,356 117,160 6,653 (15,832) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 2,252,485 (4,766,925) 1,264,411 (2,387,105) 880,409 (2,794,739) Net assets applicable to Common shares at the beginning of period 77,725,129 82,492,054 37,237,537 39,624,642 34,646,479 37,441,218 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $79,977,614 $77,725,129 $38,501,948 $37,237,537 $35,526,888 $34,646,479 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 596,375 $ 791,740 $ 331,187 $ 330,560 $ 305,752 $ 318,421 ====================================================================================================================================
See accompanying notes to financial statements. 53 Statement of CHANGES IN NET ASSETS (Unaudited) (continued)
CONNECTICUT MASSACHUSETTS PREMIUM MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) INCOME (NMT) DIVIDEND ADVANTAGE (NMB) --------------------------------- --------------------------------- -------------------------------- SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED 11/30/04 5/31/04 11/30/04 5/31/04 11/30/04 5/31/04 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 1,879,334 $ 3,820,097 $ 2,191,089 $ 4,450,255 $ 952,095 $ 1,948,056 Net realized gain (loss) from investments 154,432 (13,145) 224,128 942,951 142,899 254,529 Change in net unrealized appreciation (depreciation) of investments 2,281,023 (4,885,233) 1,731,984 (5,525,901) 988,863 (2,448,042) Change in net unrealized appreciation (depreciation) of forward swap transactions (292,676) -- -- -- -- -- Distributions to Preferred Shareholders: From net investment income (151,678) (232,209) (138,479) (217,866) (52,588) (75,765) From accumulated net realized gains from investments -- -- -- -- -- (12,018) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 3,870,435 (1,310,490) 4,008,722 (350,561) 2,031,269 (333,240) ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,696,054) (3,390,125) (2,086,805) (4,161,260) (906,029) (1,786,931) From accumulated net realized gains from investments -- -- -- -- -- (153,574) ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,696,054) (3,390,125) (2,086,805) (4,161,260) (906,029) (1,940,505) ------------------------------------------------------------------------------------------------------------------------------------ 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 -- 165,098 128,247 314,919 20,620 41,277 Preferred shares offering costs -- (14,584) -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions -- 150,514 128,247 314,919 20,620 42,941 ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 2,174,381 (4,550,101) 2,050,164 (4,196,902) 1,145,860 (2,230,804) Net assets applicable to Common shares at the beginning of period 60,773,828 65,323,929 67,805,689 72,002,591 28,903,588 31,134,392 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $62,948,209 $60,773,828 $69,855,853 $67,805,689 $30,049,448 $28,903,588 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 269,214 $ 237,612 $ 798,882 $ 833,077 $ 265,645 $ 272,167 ====================================================================================================================================
See accompanying notes to financial statements. 54
INSURED MASSACHUSETTS MISSOURI PREMIUM TAX-FREE ADVANTAGE (NGX) INCOME (NOM) -------------------------------- -------------------------------- SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED 11/30/04 5/31/04 11/30/04 5/31/04 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 1,258,357 $ 2,548,725 $ 1,056,552 $ 2,142,759 Net realized gain (loss) from investments (8,274) (16,228) 66,888 444,042 Change in net unrealized appreciation (depreciation) of investments 1,502,047 (3,274,453) 989,481 (2,836,623) Change in net unrealized appreciation (depreciation) of forward swap transactions (454,911) -- -- -- Distributions to Preferred Shareholders: From net investment income (93,061) (154,434) (69,370) (122,983) From accumulated net realized gains from investments -- (4,012) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 2,204,158 (900,402) 2,043,551 (372,805) ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,173,157) (2,342,674) (991,879) (1,963,048) From accumulated net realized gains from investments -- (39,926) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,173,157) (2,382,600) (991,879) (1,963,048) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Net proceeds from sale of shares -- -- -- -- Net proceeds from shares issued to shareholders due to reinvestment of distributions 36,969 100,710 180,119 339,007 Preferred shares offering costs -- 6,822 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions 36,969 107,532 180,119 339,007 ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 1,067,970 (3,175,470) 1,231,791 (1,996,846) Net assets applicable to Common shares at the beginning of period 38,121,082 41,296,552 32,230,716 34,227,562 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $39,189,052 $38,121,082 $33,462,507 $32,230,716 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ (80,955) $ (73,094) $ 395,529 $ 400,226 ====================================================================================================================================
See accompanying notes to financial statements. 55 Notes to FINANCIAL STATEMENTS (Unaudited) 1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES The funds (the "Funds") covered in this report and their corresponding Common share stock exchange symbols are Nuveen Connecticut Premium Income Municipal Fund (NTC), Nuveen Connecticut Dividend Advantage Municipal Fund (NFC), Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK), Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO), Nuveen Massachusetts Premium Income Municipal Fund (NMT), Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB), Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) and Nuveen Missouri Premium Income Municipal Fund (NOM). Common shares of Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are traded on the New York Stock Exchange while Common shares of Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB), Insured Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM) are traded on the American Stock Exchange. The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies. Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX) the alternative minimum tax applicable to individuals, by investing primarily in a diversified portfolio of municipal obligations issued by state and local government authorities within a single state. 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 November 30, 2004, there were no such outstanding purchase commitments in any of the 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. Investment income also includes paydown gains and losses, if any. Income Taxes Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute all net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, each Fund intends to satisfy conditions which will enable interest from municipal securities, which is exempt from regular federal and designated state income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX) the alternative minimum tax applicable to individuals, to retain such tax-exempt status when distributed to shareholders of the Funds. Net realized capital gains and ordinary income distributions paid by the Funds are subject to federal taxation. 56 Dividends and Distributions to Common Shareholders Dividends from tax-exempt net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders not less frequently than annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards. Distributions to Common shareholders of tax-exempt net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. Preferred Shares The Funds have issued and outstanding Preferred shares, $25,000 stated value per share, as a means of effecting financial leverage. Each Fund's Preferred shares are issued in one Series. The dividend rate on each Series is determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and is payable weekly at the end of each rate period. The number of Preferred shares outstanding for each Fund is as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) -------------------------------------------------------------------------------- Number of shares: Series T -- 780 -- -- Series W -- -- 700 -- Series TH 1,532 -- -- -- Series F -- -- -- 1,280 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------- Number of shares: Series T -- 600 -- -- Series W -- -- 820 -- Series TH 1,360 -- -- 640 Series F -- -- -- -- ================================================================================ Insurance Insured Massachusetts Tax-Free Advantage (NGX) invests at least 80% of its net assets (including net assets 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, in contrast, is effective only while the municipal securities are held by the Fund. Accordingly, neither the prices used in determining the market value of the underlying municipal securities nor the Common share net asset value of the Fund includes value, if any, attributable to the Portfolio Insurance. Each policy of the Portfolio Insurance does, however, give the Fund the right to obtain permanent insurance with respect to the municipal security covered by the Portfolio Insurance policy at the time of its sale. Forward Swap Transactions The Funds may invest in certain derivative financial instruments. The Funds' use of forward interest rate swap transactions is intended to mitigate the negative impact that an increase in long-term interest rates could have on Common share net asset value. Forward interest rate swap transactions involve each Fund's agreement with the counterparty to pay, in the future, a fixed rate payment in exchange for the counterparty paying the Fund a variable rate payment. The amount of the payment obligation is based on the notional amount of the forward swap contract. The Funds may close out a contract prior to the effective date at which point a realized gain 57 Notes to FINANCIAL STATEMENTS (Unaudited) (continued) or loss would be recognized. When a forward swap is terminated, it does not involve the delivery of securities or other underlying assets or principal, but rather is settled in cash. Each Fund intends, but is not obligated to, terminate its forward swaps before the effective date. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the credit risk associated with a counterparty failing to honor its commitment to pay any realized gain to the Fund upon termination. To minimize such credit risk, all counterparties are required to pledge collateral daily (based on the daily valuation of each swap) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when any of the Funds have an unrealized loss on a swap contract, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate, either up or down, by at least the pre-determined threshold amount. Custodian Fee Credit Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by credits earned on each Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Indemnifications Under the Funds' organizational documents, 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. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates. 2. FUND SHARES Transactions in Common shares were as follows:
CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK) ----------------------- ---------------------- ----------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED 11/30/04 5/31/04 11/30/04 5/31/04 11/30/04 5/31/04 --------------------------------------------------------------------------------------------------------- Common shares: Shares sold -- -- -- -- -- -- Shares issued to shareholders due to reinvestment of distributions 10,051 21,447 2,882 7,211 413 748 --------------------------------------------------------------------------------------------------------- 10,051 21,447 2,882 7,211 413 748 =========================================================================================================
58
CONNECTICUT DIVIDEND MASSACHUSETTS MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) ADVANTAGE (NMB) ----------------------- ---------------------- ----------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED 11/30/04 5/31/04 11/30/04 5/31/04 11/30/04 5/31/04 --------------------------------------------------------------------------------------------------------- Common shares: Shares sold -- -- -- -- -- -- Shares issued to shareholders due to reinvestment of distributions -- 11,300 8,438 20,346 1,298 2,552 --------------------------------------------------------------------------------------------------------- -- 11,300 8,438 20,346 1,298 2,552 ========================================================================================================= INSURED MASSACHUSETTS TAX-FREE MISSOURI ADVANTAGE (NGX) PREMIUM INCOME (NOM) ------------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED 11/30/04 5/31/04 11/30/04 5/31/04 --------------------------------------------------------------------------------------------------------- Common shares: Shares sold -- -- -- -- Shares issued to shareholders due to reinvestment of distributions 2,414 6,392 11,016 20,100 --------------------------------------------------------------------------------------------------------- 2,414 6,392 11,016 20,100 =========================================================================================================
3. SECURITIES TRANSACTIONS Purchases and sales (including maturities) of investments in long-term municipal securities during the six months ended November 30, 2004, were as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) -------------------------------------------------------------------------------- Purchases $ 3,531,268 $ 3,220,337 $ 4,614,004 $ 5,228,946 Sales and maturities 4,329,573 4,856,718 4,638,740 6,029,381 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------- Purchases $ 6,259,865 $ 2,524,219 $1,039,430 $ 6,798,933 Sales and maturities 5,860,085 3,128,848 489,425 5,263,556 ================================================================================ 4. INCOME TAX INFORMATION The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses on investments, timing differences in recognizing income on taxable market discount securities and timing differences in recognizing certain gains and losses on security transactions. At November 30, 2004, the cost of investments was as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) -------------------------------------------------------------------------------- Cost of investments $111,235,332 $54,348,463 $49,898,012 $92,108,789 ================================================================================ 59 Notes to FINANCIAL STATEMENTS (Unaudited) (continued) INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------- Cost of investments $97,813,397 $41,640,236 $57,893,840 $46,423,242 ================================================================================ Gross unrealized appreciation and gross unrealized depreciation of investments at November 30, 2004, the Funds' last fiscal year end, were as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------- Gross unrealized: Appreciation $5,422,065 $2,451,024 $2,612,151 $2,024,253 Depreciation (245,248) (198,440) (138,326) (322,981) -------------------------------------------------------------------------------- Net unrealized appreciation of investments $5,176,817 $2,252,584 $2,473,825 $1,701,272 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------- Gross unrealized: Appreciation $4,534,062 $1,939,725 $1,535,613 $3,042,073 Depreciation (215,285) (24,305) (87,751) (30,634) -------------------------------------------------------------------------------- Net unrealized appreciation of investments $4,318,777 $1,915,420 $1,447,862 $3,011,439 ================================================================================ The tax components of undistributed net investment income and net realized gains at May 31, 2004, the Funds' last fiscal year end, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------- Undistributed net tax-exempt income* $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 -- -- =======================================================================================================
* Undistributed net tax exempt income (on a tax basis) has not been reduced for the dividend declared on May 3, 2004, paid on June 1, 2004. ** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. 60 The tax character of distributions paid during the fiscal year ended May 31, 2004, the Funds' last fiscal year end, was designated for purposes of the dividends paid deduction as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ---------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,933,954 $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 (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. At May 31, 2004, the Funds' last fiscal year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
INSURED CONNECTICUT CONNECTICUT 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 =============================================================================================================
61 Notes to FINANCIAL STATEMENTS (Unaudited) (continued) 5. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES As approved by the Board of Trustees, effective August 1, 2004, a complex-wide management fee structure was adopted for all funds sponsored by Nuveen Advisory Corp. (the "Adviser"), a wholly owned subsidiary of Nuveen Investments, Inc. and its affiliates. This fee structure separates each fund's management fee into two components - a complex-level component, based on the aggregate amount of all funds assets managed by the Adviser and its affiliates, and a specific fund-level component, based only on the amount of assets within each individual fund. This pricing structure enables Nuveen fund shareholders to benefit from growth in the assets within each individual fund as well as from growth in the amount of complex-wide assets managed by the Adviser and its affiliates. Under no circumstances will this pricing structure result in a fund paying management fees at a rate higher than would otherwise have been applicable had the complex-wide management fee structure not been implemented. As a consequence of this new management fee structure, the funds' effective management fees were reduced by approximately .007% as of December 31, 2004. Effective August 1, 2004, the annual fund-level fee, payable monthly, for each of the Funds is based upon the average daily net assets (including net assets attributable to Preferred shares) of each Fund as follows: CONNECTICUT PREMIUM INCOME (NTC) AVERAGE DAILY NET ASSETS MASSACHUSETTS PREMIUM INCOME (NMT) (INCLUDING NET ASSETS MISSOURI PREMIUM INCOME (NOM) ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE -------------------------------------------------------------------------------- For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For the next $3 billion .3875 For net assets over $5 billion .3750 ================================================================================ CONNECTICUT DIVIDEND ADVANTAGE (NFC) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) AVERAGE DAILY NET ASSETS MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) (INCLUDING NET ASSETS INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE -------------------------------------------------------------------------------- For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For net assets over $2 billion .3750 ================================================================================ Effective August 1, 2004, the annual complex-level fee, payable monthly, which is additive to the fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the aggregate amount of total fund assets managed as follows: COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE -------------------------------------------------------------------------------- For the first $55 billion .2000% For the next $1 billion .1800 For the next $1 billion .1600 For the next $3 billion .1425 For the next $3 billion .1325 For the next $3 billion .1250 For the next $5 billion .1200 For the next $5 billion .1175 For the next $15 billion .1150 For Managed Assets over $91 billion (2) .1400 ================================================================================ 62 (1) The complex-level fee component of the management fee for the funds is calculated based upon the aggregate Managed Assets ("Managed Assets" means the average daily net assets of each fund including assets attributable to all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds in the U.S. (2) With respect to the complex-wide Managed Assets over $91 billion, the fee rate or rates that will apply to such assets will be determined at a later date. In the unlikely event that complex-wide Managed Assets reach $91 billion prior to a determination of the complex-level fee rate or rates to be applied to Managed Assets in excess of $91 billion, the complex-level fee rate for such complex-wide Managed Assets shall be .1400% until such time as a different rate or rates is determined. Each Fund paid through July 31, 2004, an annual management fee, payable monthly, at the rates set forth below, which were based upon the average daily net assets (including net assets attributable to Preferred shares) of each Fund as follows: CONNECTICUT PREMIUM INCOME (NTC) AVERAGE DAILY NET ASSETS MASSACHUSETTS PREMIUM INCOME (NMT) (INCLUDING NET ASSETS MISSOURI PREMIUM INCOME (NOM) ATTRIBUTABLE TO PREFERRED SHARES) MANAGEMENT FEE RATE -------------------------------------------------------------------------------- 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 ================================================================================ CONNECTICUT DIVIDEND ADVANTAGE (NFC) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) AVERAGE DAILY NET ASSETS MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) (INCLUDING NET ASSETS INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ATTRIBUTABLE TO PREFERRED SHARES) MANAGEMENT FEE RATE -------------------------------------------------------------------------------- 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. 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. 63 Notes to FINANCIAL STATEMENTS (Unaudited) (continued) For the first ten years of Connecticut Dividend Advantage 2's (NGK) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING MARCH 31, MARCH 31, -------------------------------------------------------------------------------- 2002* .30% 2008 .25% 2003 .30 2009 .20 2004 .30 2010 .15 2005 .30 2011 .10 2006 .30 2012 .05 2007 .30 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage 2 (NGK) for any portion of its fees and expenses beyond March 31, 2012. For the first eight years of Connecticut Dividend Advantage 3's (NGO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING SEPTEMBER 30, SEPTEMBER 30, -------------------------------------------------------------------------------- 2002* .32% 2007 .32% 2003 .32 2008 .24 2004 .32 2009 .16 2005 .32 2010 .08 2006 .32 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage 3 (NGO) for any portion of its fees and expenses beyond September 30, 2010. For the first eight years of Insured Massachusetts Tax-Free Advantage's (NGX) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING NOVEMBER 30, NOVEMBER 30, -------------------------------------------------------------------------------- 2002* .32% 2007 .32% 2003 .32 2008 .24 2004 .32 2009 .16 2005 .32 2010 .08 2006 .32 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Insured Massachusetts Tax-Free Advantage (NGX) for any portion of its fees and expenses beyond November 30, 2010. 64 6. SUBSEQUENT EVENTS Distributions to Common Shareholders The Funds declared Common share dividend distributions from their tax-exempt net investment income which were paid on December 30, 2004, to shareholders of record on December 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 $.0695 $.0735 ================================================================================ At the same time, the following Funds declared capital gains and ordinary income distributions as follows:
CONNECTICUT CONNECTICUT MASSACHUSETTS MASSACHUSETTS PREMIUM DIVIDEND PREMIUM DIVIDEND INCOME ADVANTAGE 2 INCOME ADVANTAGE (NTC) (NGK) (NMT) (NMB) ----------------------------------------------------------------------------------------------------- Capital gains distributions per share $.0114 $.0657 $ -- $.1149 Ordinary income distributions per share* -- .0006 .0107 .0028 =====================================================================================================
* Ordinary income consists of taxable market discount income and net short-term capital gains, if any. Swap Transactions Massachusetts Dividend Advantage (NMB) entered into forward starting swap transactions for the purpose of hedging its portfolio duration. The swap transactions will be valued daily with the corresponding unrealized gain or loss reflected in the Fund's NAV. The Fund entered into forward starting swap transactions on the dates and in the notional amounts as follows: -------------------------------------------------------------------------------- Trade Date December 2, 2004 December 8, 2004 -------------------------------------------------------------------------------- Notional Amount $450,000 $300,000 ================================================================================ Adviser Merger Effective January 1, 2005, the Adviser and its affiliate, Nuveen Institutional Advisory Corp. ("NIAC"), were merged into Nuveen Asset Management ("NAM"), also a wholly owned subsidiary of Nuveen Investments, Inc. As a result of the merger, NAM is now the adviser to all funds previously advised by either NIAC or the Adviser. 65 Financial HIGHLIGHTS (Unaudited) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions ------------------------------------------------------------------- -------------------------------- Distributions Distributions from Net from From Net Beginning 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: 2005(d) $14.60 $ .43 $ .44 $(.03) $ -- $ .84 $(.44) $ -- $(.44) 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: 2005(d) 14.56 .48 .47 (.03) -- .92 (.45) -- (.45) 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: 2005(d) 15.01 .47 .38 (.03) -- .82 (.44) -- (.44) 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: 2005(d) 13.97 .43 .49 (.03) -- .89 (.39) -- (.39) 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: 2005(d) $ -- $15.00 $15.5400 10.46% 5.80% 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: 2005(d) -- 15.03 15.3200 11.69 6.35 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: 2005(d) -- 15.39 15.7000 14.18 5.50 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: 2005(d) -- 14.47 13.5200 6.94 6.41 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: 2005(d) $79,978 1.24%* 5.79%* 1.24%* 5.80%* 3% 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: 2005(d) 38,502 1.27* 5.95* .81* 6.41* 6 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: 2005(d) 35,527 1.27* 5.61* .81* 6.06* 9 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: 2005(d) 62,948 1.24* 5.50* .75* 5.98* 6 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: 2005(d) $38,300 $25,000 $77,205 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: 2005(d) 19,500 25,000 74,361 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: 2005(d) 17,500 25,000 75,753 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: 2005(d) 32,000 25,000 74,178 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 changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Common Share Net Asset Value is the combination of changes in Common Share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) For the period 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. (d) For the six months ended November 30, 2004. See accompanying notes to financial statements. 66-67 spread FINANCIAL HIGHLIGHTS (Unaudited) (continued) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions ------------------------------------------------------------------- -------------------------------- Distributions Distributions from Net from From Net Beginning 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: 2005(c) $14.34 $ .46 $ .42 $(.03) $ -- $ .85 $(.44) $ -- $ (.44) 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: 2005(c) 14.84 .49 .59 (.03) -- 1.05 (.47) -- (.47) 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: 2005(c) 14.04 .46 .38 (.03) -- .81 (.43) -- (.43) 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: 2005(c) 14.37 .47 .48 (.03) -- .92 (.44) -- (.44) 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: 2005(c) $ -- $14.75 $16.1400 15.74% 5.97% 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: 2005(c) -- 15.42 16.0000 10.74 7.09 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: 2005(c) -- 14.42 16.3300 20.79 5.82 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: 2005(c) -- 14.85 17.8500 20.95 6.45 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: 2005(c) $69,856 1.25%* 6.27%* 1.24%* 6.27%* 6% 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: 2005(c) 30,049 1.32* 5.89* .86* 6.35* 6 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: 2005(c) 39,189 1.28* 5.91* .78* 6.41* 1 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: 2005(c) 33,463 1.29* 6.32* 1.27* 6.34* 11 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: 2005(c) $34,000 $25,000 $76,365 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: 2005(c) 15,000 25,000 75,082 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: 2005(c) 20,500 25,000 72,792 2004 20,500 25,000 71,489 2003(b) 20,500 25,000 75,362 MISSOURI PREMIUM INCOME (NOM) ------------------------------------------------------------------- Year Ended 5/31: 2005(c) 16,000 25,000 77,285 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 changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Common Share Net Asset Value is the combination of changes in Common Share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares, 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. (c) For the six months ended November 30, 2004. See accompanying notes to financial statements. 68-69 spread Reinvest Automatically EASILY AND CONVENIENTLY Sidebar text: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET UP YOUR REINVESTMENT ACCOUNT. NUVEEN CLOSED-END 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 the dividends or distributions awaiting reinvestment. Because the market price may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the dividend or distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions. FLEXIBLE You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. Should you withdraw, you can receive a certificate for all whole shares credited to your reinvestment account and cash payment for fractional shares, or cash payment for all reinvestment account shares, less brokerage commissions and a $2.50 service fee. You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan. The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time. 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. 70 Other Useful INFORMATION Effective Jan. 1, 2005, the asset management services and operations of Nuveen Advisory Corp. (NAC) and Nuveen Institutional Advisory Corp (NIAC) became part of Nuveen Asset Management (NAM). This internal consolidation is intended to simplify the delivery of services to the investment management clients of Nuveen Investments. It does not affect the investment objectives or portfolio management of any Fund. QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION Each Fund's (i) quarterly portfolio of investments and (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the most recent 12-month period ended June 30, 2004, are available without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's web site at www.nuveen.com. You may also obtain this and other Fund information directly from the Securities and Exchange Commission ("SEC"). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public References Section at 450 Fifth Street NW, Washington, D.C. 20549. GLOSSARY OF TERMS USED IN THIS REPORT AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an investment's performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment's actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered. AVERAGE EFFECTIVE MATURITY: The average of all the maturities of the bonds in a Fund's portfolio, computed by weighting each maturity date (the date the security comes due) by the market value of the security. This figure does not account for the likelihood of prepayments or the exercise of call provisions. LEVERAGE-ADJUSTED DURATION: Duration is a measure of the sensitivity of a bond or bond Fund's value to changes when interest rates change. 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 longer than the duration of the Fund's portfolio of bonds. MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An investment's current annualized dividend divided by its current market price. NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by subtracting the liabilities of the Fund (including any MuniPreferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of shares outstanding. Fund NAVs are calculated at the end of each business day. TAXABLE-EQUIVALENT YIELD: The yield necessary from a fully taxable investment to equal, on an after-tax basis, the yield of a municipal bond investment. BOARD OF TRUSTEES Robert P. Bremner Lawrence H. Brown Jack B. Evans William C. Hunter William J. Schneider Timothy R. Schwertfeger Judith M. Stockdale FUND MANAGER Nuveen Asset Management 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 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 six month period ended November 30, 2004. Any future repurchases will be reported to shareholders in the next annual or semiannual report. 71 Nuveen Investments: SERVING Investors For GENERATIONS Photo of: 2 women looking at a photo album. Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions. For the past century, Nuveen Investments has adhered to the belief that the best approach to investing is to apply conservative risk-management principles to help minimize volatility. Building on this tradition, we today offer a range of high quality equity and fixed-income solutions that are integral to a well-diversified core portfolio. Our clients have come to appreciate this diversity, as well as our continued adherence to proven, long-term investing principles. WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT NEEDS. Managing $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. FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS. 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. o Share prices Learn more o Fund details about Nuveen Funds at o Daily financial news WWW.NUVEEN.COM/ETF o Investor education o Interactive planning tools Logo: NUVEEN Investments ESA-B-1104D ITEM 2. CODE OF ETHICS. Not applicable to this filing. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to this filing. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to this filing. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to this filing. ITEM 6. SCHEDULE OF INVESTMENTS. See Schedule I in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. 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 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the "Exchange Act")(17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. File the exhibits listed below as part of this Form. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT attached hereto. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable. (b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Nuveen Massachusetts Premium Income Municipal Fund ----------------------------------------------------------- By (Signature and Title)* /s/ Jessica R. Droeger ---------------------------------------------- Jessica R. Droeger Vice President and Secretary Date: February 8, 2005 ------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Gifford R. Zimmerman ---------------------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) Date: February 8, 2005 ------------------------------------------------------------------- By (Signature and Title)* /s/ Stephen D. Foy ---------------------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) Date: February 8, 2005 ------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature.