-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, PMyPhlaP6a4F4gCrjD/WaCME9awM9NMWz53XIZ72tcW3sbwofkEP0AH4paPlZcR8 Etm/1qAKdE4g4/DaeUPhvw== 0000891804-07-002264.txt : 20070808 0000891804-07-002264.hdr.sgml : 20070808 20070808115415 ACCESSION NUMBER: 0000891804-07-002264 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20070531 FILED AS OF DATE: 20070808 DATE AS OF CHANGE: 20070808 EFFECTIVENESS DATE: 20070808 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND CENTRAL INDEX KEY: 0000897419 IRS NUMBER: 367032570 STATE OF INCORPORATION: MA FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07484 FILM NUMBER: 071034356 BUSINESS ADDRESS: STREET 1: 333 WEST WACKER DR CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3129178200 MAIL ADDRESS: STREET 1: 333 WEST WACKER DRIVE STREET 2: 333 WEST WACKER DRIVE CITY: CHICAGO STATE: IL ZIP: 60606 N-CSR 1 file001.txt NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-7484 --------------------- Nuveen Massachusetts Premium Income Municipal Fund - -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Kevin J. McCarthy Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (312) 917-7700 ------------------- Date of fiscal year end: May 31 ------------------ Date of reporting period: May 31, 2007 ------------------ 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. ANNUAL REPORT May 31, 2007 Nuveen Investments MUNICIPAL CLOSED-END FUNDS Photo of: Small child 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 IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R) Logo: NUVEEN Investments Photo of: Man working on computer LIFE IS COMPLEX. NUVEEN MAKES THINGS E-simple. --------------------------------------------------------------------------- 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. FREE E-REPORTS RIGHT TO YOUR E-MAIL! www.investordelivery.com If you receive your Nuveen Fund dividends and statements from your financial advisor or brokerage account. OR www.nuveen.com/accountaccess If you receive your Nuveen Fund dividends and statements directly from Nuveen. Logo: NUVEEN Investments Chairman's LETTER TO SHAREHOLDERS Photo: Timothy R. Schwertfeger Timothy R. Schwertfeger Chairman of the Board ONCE AGAIN, I AM PLEASED TO REPORT THAT OVER THE TWELVE-MONTH PERIOD COVERED BY THIS REPORT YOUR FUND CONTINUED TO PROVIDE YOU WITH ATTRACTIVE MONTHLY TAX-FREE INCOME. FOR MORE DETAILS ABOUT THE MANAGEMENT STRATEGY AND PERFORMANCE OF YOUR FUND, PLEASE READ THE PORTFOLIO MANAGERS' COMMENTS, THE DIVIDEND AND SHARE PRICE INFORMATION, AND THE PERFORMANCE OVERVIEW SECTIONS OF THIS REPORT. I ALSO WANTED TO TAKE THIS OPPORTUNITY TO REPORT SOME IMPORTANT NEWS ABOUT NUVEEN INVESTMENTS. WE HAVE AGREED TO A "GROWTH BUYOUT" OFFER FROM A PRIVATE EQUITY INVESTMENT FIRM. WHILE THIS MAY AFFECT THE CORPORATE STRUCTURE OF NUVEEN INVESTMENTS, IT WILL HAVE NO IMPACT ON THE INVESTMENT OBJECTIVES OF THE FUNDS, PORTFOLIO MANAGEMENT STRATEGIES OR THEIR DIVIDEND POLICIES. WE WILL PROVIDE YOU WITH ADDITIONAL INFORMATION ABOUT THIS TRANSACTION AS MORE DETAILS BECOME AVAILABLE. FOR SOME TIME, I'VE USED THESE LETTERS TO REMIND YOU THAT MUNICIPAL BONDS CAN BE AN IMPORTANT BUILDING BLOCK IN A WELL-BALANCED INVESTMENT PORTFOLIO. IN ADDITION TO PROVIDING ATTRACTIVE TAX-FREE MONTHLY INCOME, A MUNICIPAL BOND INVESTMENT LIKE YOUR FUND MAY HELP YOU ACHIEVE AND BENEFIT FROM GREATER PORTFOLIO DIVERSIFICATION. PORTFOLIO DIVERSIFICATION IS A RECOGNIZED WAY TO TRY TO REDUCE SOME OF THE RISK THAT COMES WITH INVESTING. FOR MORE INFORMATION ABOUT THIS IMPORTANT INVESTMENT STRATEGY, I ENCOURAGE YOU TO CONTACT YOUR PERSONAL FINANCIAL ADVISOR. WE ALSO ARE PLEASED TO BE ABLE TO OFFER YOU A CHOICE CONCERNING HOW YOU RECEIVE YOUR SHAREHOLDER REPORTS AND OTHER FUND INFORMATION. AS AN ALTERNATIVE TO MAILED COPIES, YOU CAN SIGN UP TO RECEIVE FUTURE FUND REPORTS AND OTHER FUND INFORMATION BY E-MAIL AND THE INTERNET. THE INSIDE FRONT COVER OF THIS REPORT CONTAINS INFORMATION ON HOW YOU CAN SIGN UP. WE ARE GRATEFUL THAT YOU HAVE CHOSEN US AS A PARTNER AS YOU PURSUE YOUR FINANCIAL GOALS AND WE LOOK FORWARD TO CONTINUING TO EARN YOUR TRUST IN THE MONTHS AND YEARS AHEAD. AT NUVEEN INVESTMENTS, OUR MISSION CONTINUES TO BE TO ASSIST YOU AND YOUR FINANCIAL ADVISOR BY OFFERING INVESTMENT SERVICES AND PRODUCTS THAT CAN HELP YOU TO SECURE YOUR FINANCIAL OBJECTIVES. SINCERELY, /S/ TIMOTHY R. SCHWERTFEGER TIMOTHY R. SCHWERTFEGER CHAIRMAN OF THE BOARD July 16, 2007 Portfolio Managers' COMMENTS Nuveen Investments Municipal Closed-End Funds NTC, NFC, NGK, NGO, NMT, NMB, NGX, NOM Portfolio managers Cathryn Steeves and Scott Romans review national and state economic and municipal market environments, key investment strategies, and the annual performance of these eight Nuveen Funds. Cathryn, who joined Nuveen in 1996, has managed the Connecticut and Massachusetts Funds since July 2006. Scott, who has been with Nuveen since 2000, assumed portfolio management responsibility for NOM in 2003. WHAT FACTORS AFFECTED THE U.S. ECONOMIC AND MUNICIPAL MARKET ENVIRONMENTS DURING THE 12-MONTH REPORTING PERIOD ENDED MAY 31, 2007? Between June 1, 2006 and May 31, 2007, we saw interest rates at the short end of the yield curve rise modestly, while longer rates generally declined. After announcing one further rate increase in late June 2006, the Federal Reserve ended its unprecedented series of 17 consecutive 0.25% rate hikes that brought the fed funds rate to 5.25% over a two-year span. During the remaining 11 months of this reporting period, the Fed left monetary policy unchanged as it kept close tabs on inflationary pressures and the pace of economic growth. Over this same 12-month period, the yield on the benchmark 10-year U.S. Treasury note dropped 22 basis points to end May 2007 at 4.89%. In the municipal market, the yield on the Bond Buyer 25 Revenue Bond Index, a widely followed measure of longer-term municipal market rates, fell to 4.57% at the end of May 2007, a decline of 65 basis points from the end of May 2006. As interest rates on shorter-term municipal bonds reached the levels of longer-term bonds, the municipal yield curve continued to flatten and bonds with longer durations1 generally outperformed those with shorter durations during this period. Although many market observers had expected the Fed to act on rates in early 2007, slowing economic growth, higher energy prices and a slumping housing market helped to keep the Fed on the sidelines. The U.S. gross domestic product (GDP), a closely watched measure of economic growth, operated at below-trend levels through most of 2006, expanded at a rate of 2.6% in the second quarter of 2006, 2.0% in the third quarter, and 2.5% in the fourth quarter (all GDP numbers annualized). In the first quarter of 2007, the rate of GDP growth slowed even further to 0.7%, the weakest rate since 2002. While the Consumer Price Index (CPI) registered a 2.7% year-over-year gain as of May 2007, the increase in this inflation gauge for the first five months of 2007 was 5.5%, driven largely by a 36% gain in energy prices. By comparison, the core CPI (which excludes food and energy prices) rose 2.1% as of May 2007, close to the Fed's 1 Duration is a measure of a bond's price sensitivity as interest rates change, with longer duration bonds displaying more sensitivity to these changes than bonds with shorter durations. 4 unofficial target of 2.0% or lower. The labor market remained tight, with a national unemployment rate of 4.5% in May 2007, down from 4.6% in May 2006. Over the 12 months ended May 2007, municipal bond issuance nationwide totaled $423.4 billion, up 15% from the previous 12 months. This total reflected a sharp increase in supply during the first five months of 2007, when $173.7 billion in new securities came to market, up almost 30% over the same period in 2006. A major factor in 2007 volume was the 56% increase in advance refundings,2 driven by attractive borrowing rates for issuers. The strength and diversity of the demand for municipal bonds were as important as the increase in supply, as the surge in issuance was easily absorbed by retail investors, institutional investors such as hedge funds and arbitragers, and overseas investors, all of whom continued to participate in the market. HOW WERE THE ECONOMIC AND MARKET CONDITIONS IN CONNECTICUT, MASSACHUSETTS, AND MISSOURI DURING THIS PERIOD? Connecticut, which continued to have the nation's highest income per capita during this period, featured a diverse economy led by manufacturing, financial services, education and health care. Although the defense industry's role in the state economy continued to decline, Connecticut still relied heavily on this sector, ranking seventh in terms of total defense dollars awarded to the 50 states. The Connecticut economy continued to expand with a growth rate that ranked 33rd in terms of GDP by state in 2006. Unemployment in the state has yet to recover to its pre-recession levels. As of May 2007, Connecticut's unemployment rate was 4.5%, up from 4.1% in May 2006. Due to increased tax receipts, Connecticut expected to end fiscal 2007 with a $536 million surplus, marking the fourth consecutive year it has ended with a surplus. The 2008-2009 biennium state budget called for drawing down this surplus and increasing income and cigarette taxes to achieve balance. In April 2007, both Moody's and Standard & Poor's reconfirmed their ratings on Connecticut general obligation debt at Aa3 and AA, respectively, with stable outlooks. Contrary to the increase generally seen in most states, issuance of municipal debt in Connecticut during the 12 months ended May 31, 2007, fell 10%, to $4.3 billion, from the previous 12 months. For the first five months of 2007, issuance totaled $1.2 billion, down 30% compared with the first five months of 2006. According to Moody's, Connecticut's debt per capita was the second highest in the nation (following Massachusetts), and the debt per capita/income per capita ratio was the third highest among the 50 states. Massachusetts' economy remained varied, with growth driven by education, health care, financial services and technology. The concentration of colleges and universities in the commonwealth continued to add a degree of stability to its employment environment and provide a source of well-educated workers for its service industries. 2 Advance refundings, also known as pre-refundings or refinancings, occur when an issuer sells new bonds and uses the proceeds to fund principal and interest payments of older existing bonds. This process often results in lower borrowing costs for bond issuers. 5 Education-related jobs accounted for approximately 5% of Massachusetts' employment, twice the national average. Employment growth has weakened in recent months, and in May 2007, the unemployment rate in Massachusetts was 5.1%, up from 4.9% in May 2006. Population trends in the commonwealth, while positive, lagged the national average. For fiscal 2007, Massachusetts' $25.7 billion budget provided increased spending for school aid and assistance to municipalities while holding the line on major tax increases. Tax revenues for fiscal 2007 were expected to exceed projections by $328 million. The $26.7 billion fiscal 2008 budget called for closing a projected $1.2 billion deficit through corporate tax hikes, elimination of deposits into the budget stabilization fund, and utilizing the interest from that fund, which was projected to end fiscal 2007 with a balance of $2.3 billion. In November 2006, Moody's confirmed its rating on Massachusetts general obligation debt at Aa2, and S&P confirmed its rating of AA in December 2006; both rating agencies maintained stable outlooks. For the 12 months ended May 31, 2007, Massachusetts went against the national trend of increased municipal supply, issuing $11.6 billion in debt, a decrease of 6% from the previous 12 months. During January-May 2007, however, the commonwealth's issuance of $6.1 billion in new municipal paper represented a surge of 55% over the first five months of 2006. According to Moody's, Massachusetts' debt per capita ranked as the highest in the nation, and debt as a percentage of personal income ranked second among the 50 states. Over the past two decades, debt levels in the commonwealth rose in conjunction with costs associated with the Central Artery/Ted Williams Tunnel Project, or Big Dig, which came in at approximately $15 billion, compared with the pre-construction estimate of $5 billion in 1991. Missouri's economy grew at a steady but considerably slower pace than the national average in 2006, as continued problems in the struggling manufacturing sector impacted expansion. While the state economy continued to rely heavily on automotive, communication and aerospace manufacturing, it also diversified into the highly competitive biotechnology sector. In May 2007, the unemployment rate in Missouri was 4.6%, compared with 4.7% in May 2006. Population growth in the state over the past six years was positive, although behind the national average. For fiscal 2007, the state budget included appropriations for elementary schools and road construction while reducing the number of state employees. The fiscal 2008 budget, which represented an increase of 3.8% over 2007, called for redeploying money from the general fund, reducing it from 6.4% of budget appropriations to 2.4%. As of May 2007, Moody's and S&P maintained their ratings on Missouri general obligation (GO) debt at Aaa/AAA with a stable outlook, reflecting the state's conservative fiscal policy and financial management. During the 12 months ended May 31, 2007, the increase in municipal issuance in Missouri outpaced the national trend, rising 28% over the previous 12-month period, to $8.2 billion. For January-May 2007, issuance in the state totaled $2.2 billion, down 19% from the first five months of 2006. This issuance fluctuation is fairly typical of smaller 6 markets such as Missouri. According to Moody's, Missouri's debt levels were moderate in relation to the state's economic base, with both debt per capita and debt as a percentage of personal income remaining well below national medians. WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THIS PERIOD? In the municipal bond interest rate environment of the past 12 months, we continued to emphasize a disciplined approach to duration management and yield curve positioning. As part of this approach, our purchases for the Funds' portfolios focused mainly on attractively priced bonds maturing in 20 to 30 years. Overall, we believed that the bonds we purchased during this period represented opportunities to add value, manage duration and enhance performance and income. In NOM, our duration management strategies during this period included the use of inverse floating rate trusts,3 a type of derivative financial instrument. The inverse floater had the dual benefit of increasing the Fund's distributable income and bringing its duration closer to our preferred strategic target. As discussed in past shareholder reports, we have also used Treasury futures contracts and forward interest rate swaps (additional types of derivative instruments) as duration management tools when we believed this supported our overall investment performance strategies. The goal of this strategy is to help us manage net asset value (NAV) volatility without having a negative impact on the Funds' income streams or common share dividends over the short term. During this reporting period, we used swaps in all three of the Massachusetts Funds and both swaps and futures contracts in the four Connecticut Funds. As of May 31, 2007, the futures contracts had been removed, while the swaps remained in place in NTC, NFC, NGK, NGO, NMT, and NMB. We also continued to emphasize individual credit selection. While supply in all three states remained relatively strong, both Connecticut and Massachusetts saw small declines in municipal issuance for the entire 12-month period. Since all three of these states are high-quality issuers, much of the new supply was highly rated and/or insured. The combination of reduced supply and high quality issuance in Connecticut and Massachusetts meant that we found fewer opportunities in these markets to add lower-rated credits to our portfolios. During this period, we added to the Connecticut and Massachusetts Funds' positions in health care (both hospitals and long-term/continuing care facilities), higher education and multifamily and single-family housing. We also continued to build positions in bonds that could help us increase the Funds' income-generating potential and manage duration including non-callable bonds. 3 An inverse floating rate trust is a financial instrument designed to pay long-term tax-exempt interest at a rate that varies inversely with a short-term tax-exempt interest rate index. For the Nuveen Funds, the index typically used is the Securities Industry and Financial Markets (SIFM) Municipal Swap Index (previously referred to as the Bond Market Association Index or BMA). Inverse floaters, including those inverse floating rate securities in which the Funds invested during the 12-month period, are further defined within the "Notes to Financial Statements" and "Glossary of Terms Used in This Report" sections of this shareholder report. 7 In Missouri during this period, various market conditions resulted in a number of large lower-rated, uninsured hospital offerings coming to market at the same time. To ensure buyer interest, these deals were offered at very attractive prices. We found opportunities to purchase lower credit quality and non-rated bonds that we considered attractive based not only on their price, but also on their performance potential and the support they could provide for NOM's income stream. These purchases focused mainly on health care and tax increment financing (TIF) bonds. As part of our efforts to extend NOM's duration, we also added housing bonds with long maturities to our portfolio. To help maintain the Funds' durations within our preferred strategic range and to generate cash for purchases, we selectively sold some of the Funds' holdings with shorter durations. HOW DID THE FUNDS PERFORM? Individual results for these Nuveen Funds, as well as relevant index and peer group information, are presented in the accompanying table. Total Returns on Net Asset Value For periods ended 5/31/07 Annualized -------------------------------- 1-Year 5-Year 10-Year Connecticut Funds NTC 4.79% 5.86% 6.52% NFC 5.05% 6.49% NA NGK 5.13% 6.55% NA NGO 5.42% NA NA Massachusetts Funds NMT 5.47% 5.90% 6.22% NMB 5.14% 7.35% NA Missouri Fund NOM 4.17% 5.85% 6.26% Lehman Brothers Municipal Bond Index4 4.84% 4.94% 5.61% Insured Massachusetts Fund NGX 5.12% NA NA Lehman Brothers Insured Municipal Bond Index4 5.01% 5.16% 5.81% Lipper Other States Municipal Debt Funds Average5 5.25% 6.68% 6.36% Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. For additional information, see the individual Performance Overview for your Fund in this report 4 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. 5 The Lipper Other States Municipal Debt Funds Average is calculated using the returns of all closed-end funds in this category for each period as follows: 1 year, 46; 5 years, 27; and 10 years, 18. Fund and Lipper returns assume reinvestment of dividends. 8 For the 12 months ended May 31, 2007, the total returns on net asset value for NFC, NGK, NGO, NMT, and NMB exceeded the return on the national Lehman Brothers Municipal Bond Index, NTC performed in line with this Lehman index, while NOM trailed the index. For the same period, NGX outperformed the return on the Lehman Brothers Insured Municipal Bond Index. During this 12 month period, NGO and NMT outperformed the average return for the Lipper Other States Municipal Debt Funds Average, while the other Funds lagged the group average. Shareholders should note that the performance of the Lipper Other States Municipal Debt Funds Average represents the overall average of returns for funds from 10 different states with a wide variety of municipal market conditions, making direct comparisons less meaningful. Factors that influenced the Funds' returns during this period included yield curve and duration positioning, exposure to lower-rated credits, individual security selection and sector allocations, and advance refunding activity. As the yield curve continued to flatten over the course of this period, municipal bonds with maturities of 15 years and longer, as measured by the Lehman Brothers Municipal Bond Index, performed best, generally outpacing municipal bonds with shorter maturities, especially those with maturities of 5 years and less. While our strategies during this period included adding longer bonds to all of our portfolios, most of these Funds remained short of our strategic target range in terms of their holdings of bonds in the longest part of the yield curve, which was negative for performance. In the Connecticut and Massachusetts Funds, this was offset to a large degree by these Funds' heavier exposure to the intermediate part of the curve and their lower allocations to the shorter part of the curve. The yield curve and duration positioning of the Connecticut and Massachusetts Funds during this period was a positive contributor to their performance. Due in part to a large number of advance refundings over the past two years, however, NOM had heavy exposure to the short part of the yield curve that did not perform well, including holdings of higher coupon and pre-refunded bonds that had final maturities in 2009-2012 or that were priced to calls in that time span. This had a major negative impact on NOM's performance for this period. As previously mentioned, we worked on restructuring NOM's portfolio during this period by extending the Fund's duration and reducing its exposure to the part of the curve that underperformed. With bonds rated BBB or lower and non-rated bonds generally outperforming other credit quality sectors during this period, all of these Funds benefited from their weightings in lower-quality credits. The outperformance of these credit sectors was largely the result of investor demand for the higher yields typically associated with lower-rated bonds, which drove up their value. As Dividend Advantage Funds, NFC, 9 NGK, NGO, and NMB can invest up to 20% of their assets in below-investment-grade securities (bonds rated BB or below) or in non-rated bonds judged to be in the same credit quality category. The exposure of these four Funds to the subinvestment-grade sector, together with a fee reimbursement agreement, contributed to the performance of these Funds during this period. In addition, NGO had the heaviest weighting of bonds rated BBB across all eight of these Funds, which further benefited its performance. The insured NGX, which can invest up to 20% of its assets in uninsured investment-grade quality securities, held 2% of its assets in bonds rated BBB as of May 31, 2007. Among the lower-rated holdings making positive contributions to the Funds' returns for this period were industrial development bonds and health-care (including hospitals and long-term care facilities) credits, which ranked as the top performing revenue sectors in the Lehman Brothers Municipal Bond Index. Lower-rated bonds backed by the 1998 master tobacco settlement agreement also performed well. As of May 31, 2007, the Connecticut Funds held approximately 2% to 3% of their portfolios in lower-rated tobacco bonds, while NMT had allocated less than 1% of its portfolio to these bonds. NMB, NGX, and NOM did not hold any tobacco bonds. Additional sectors that helped the Funds' performances during this period included tax-appropriation and TIF bonds. The Funds' holdings of noncallable bonds also provided a positive impact on performance for this period. We continued to see positive contributions from advance refunding activity, which benefited the Funds through price appreciation and enhanced credit quality. All of the Funds saw healthy levels of pre-refunding activity. In particular, NMT's performance received a boost from its newly pre-refunded holdings. However, NTC had only about half as many advance refundings as the other three Connecticut Funds, which hampered its performance relative to its peers. At the same time, older, previously pre-refunded bonds tended to underperform the general municipal market during this period, due primarily to their shorter effective maturities. In addition, holdings of single-family housing bonds negatively impacted the performances of all of these Funds (with the exception of NGX, which did not hold any single-family housing bonds), due to the underperformance of this sector as the municipal market rallied. 10 We should also note that all of these Funds continued to use financial leverage to provide opportunities for additional income and total return for common shareholders. This strategy can also add volatility to a Fund's NAV and share price. Over this period, the use of leverage was generally a positive factor in the Funds' total return performance, especially in relation to that of the unleveraged Lehman Brothers Municipal Bond Index. 11 Dividend and Share Price INFORMATION As previously noted, all eight of the Funds in this report use leverage to potentially enhance opportunities for additional income for common shareholders. Although the Funds' use of this strategy continued to provide incremental income, the extent of this benefit was somewhat reduced during this period due to high short-term interest rates that, in turn, kept the Funds' borrowing costs high. The Funds' income streams were also impacted as the proceeds from older, higher-yielding bonds that matured or were called or sold were reinvested into bonds currently available in the market, which generally offered lower yields. The combination of these factors resulted in one monthly dividend reduction in NTC and NGO and two in NFC, NGK, NMT, NMB, and NOM over the 12-month period ended May 31, 2007. In NGX, however, we were able to increase the dividend effective November 2006. Due to normal portfolio activity, common shareholders of the following Funds received capital gains and net ordinary income distributions at the end of December 2006 as follows: Short-Term Capital Gains Long-Term Capital Gains and/or Ordinary Income (per share) (per share) NTC $0.0652 $0.0043 NGK $0.0363 $0.0008 NMT $0.0049 $0.0027 NOM $0.0048 -- All of the Funds in this report seek to pay stable dividends at rates that reflect each Fund's past results and projected future performance. During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund's NAV. Each Fund will, over time, pay all of its net investment income as dividends to shareholders. As of May 31, 2007, all of the Funds in this report had positive UNII balances for tax purposes and negative UNII balances for financial statement purposes. 12 As of May 31, 2007, the Funds' share prices were trading at premiums or discounts to their NAVs as shown in the accompanying chart: 5/31/07 12-Month Average Premium/Discount Premium/Discount NTC +3.61% -1.52% NFC +10.91% +5.44% NGK +10.30% +5.52% NGO +2.80% -2.15% NMT -1.58% -1.61% NMB +9.70% +2.60% NGX -0.34% -5.25% NOM +16.05% +11.81% 13 NTC Performance OVERVIEW Nuveen Connecticut Premium Income Municipal Fund as of 5-31-07 Pie Chart: Credit Quality (as a % of total investments) AAA/U.S. Guaranteed 78% AA 13% BBB 8% N/R 1% Bar Chart: Monthly Tax-Free Dividends Per Share -- 2006-20072 Jun 0.0545 Jul 0.0545 Aug 0.0545 Sep 0.0545 Oct 0.0545 Nov 0.0545 Dec 0.0545 Jan 0.0545 Feb 0.0545 Mar 0.052 Apr 0.052 May 0.052 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Jun 1, 2006 14.1 14.21 14.01 13.9 13.71 13.73 13.7 14.2 14.34 13.85 13.7801 13.89 13.72 13.68 13.72 13.58 13.58 13.5 13.59 13.73 13.55 13.81 13.85 13.64 13.67 13.91 13.79 13.68 13.63 13.66 13.8 13.79 13.8 13.88 13.72 13.8 13.85 13.9 13.72 13.8212 13.76 14.01 13.96 14.05 13.88 14.2401 14.16 14.26 14.26 14.3 14.26 14.26 14.15 14.3 14.33 14.22 14.22 14.22 14.3 14.38 14.21 14.29 14.27 14.38 14.42 14.53 14.55 14.32 14.32 14.24 14.5 14.6 14.72 14.75 14.55 14.64 14.69 14.47 14.47 14.52 14.74 14.85 14.63 14.88 14.57 14.57 14.53 14.68 14.59 14.6 14.54 14.53 14.6489 14.54 14.68 14.54 14.41 14.51 14.45 14.4 14.49 14.4 14.4 14.34 14.6 14.39 14.39 14.39 14.38 14.6 14.47 14.47 14.39 14.54 14.52 14.46 14.37 14.48 14.42 14.37 14.37 14.31 14.37 14.37 14.37 14.35 14.36 14.37 14.39 14.29 14.27 14.23 14.23 14.17 14.34 14.49 14.5 14.26 14.35 14.36 14.15 14.2 14.19 14.04 14.13 14.04 14 14.08 14.07 14.07 14.08 14.13 14.2 14.26 14.31 14.48 14.37 14.37 14.22 14.33 14.41 14.35 14.4 14.43 14.44 14.39 14.37 14.33 14.37 14.35 14.5 14.57 14.57 14.5 14.52 14.52 14.56 14.52 14.45 14.45 14.501 14.44 14.65 14.53 14.66 14.52 14.51 14.55 14.59 14.68 14.64 14.64 14.56 14.51 14.59 14.6066 14.66 14.66 14.58 14.64 14.56 14.53 14.49 14.65 14.51 14.52 14.63 14.56 14.52 14.52 14.49 14.49 14.6 14.51 14.55 14.53 14.63 14.56 14.61 14.564 14.46 14.51 14.5285 14.55 14.48 14.59 14.6 14.59 14.5475 14.58 14.62 14.62 14.64 14.56 14.47 14.6 14.65 14.91 14.94 15 14.82 15 15.01 15.01 15.02 14.99 14.9 14.85 14.91 14.95 14.91 14.9 14.77 May 31, 2007 14.91 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.91 - ------------------------------------ Common Share Net Asset Value $14.39 - ------------------------------------ Premium/(Discount) to NAV 3.61% - ------------------------------------ Market Yield 4.19% - ------------------------------------ Taxable-Equivalent Yield1 6.13% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $77,151 - ------------------------------------ Average Effective Maturity on Securities (Years) 15.58 - ------------------------------------ Leverage-Adjusted Duration 8.28 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year 12.33% 4.79% - ------------------------------------ 5-Year 4.16% 5.86% - ------------------------------------ 10-Year 6.12% 6.52% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Education and Civic Organizations 19.7% - ------------------------------------ Tax Obligation/General 17.5% - ------------------------------------ U.S. Guaranteed 13.3% - ------------------------------------ Tax Obligation/Limited 12.0% - ------------------------------------ Water and Sewer 11.0% - ------------------------------------ Health Care 8.7% - ------------------------------------ Long-Term Care 4.9% - ------------------------------------ Other 12.9% - ------------------------------------ 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 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 2 The Fund paid shareholders capital gains and net ordinary income distributions in December 2006 of $0.0695 per share. 14 NFC Performance OVERVIEW Nuveen Connecticut Dividend Advantage Municipal Fund as of 5-31-07 Pie Chart: Credit Quality (as a % of total investments) AAA/U.S. Guaranteed 67% AA 17% A 4% BBB 11% N/R 1% Bar Chart: Monthly Tax-Free Dividends Per Share -- 2006-2007 Jun 0.0635 Jul 0.0635 Aug 0.0635 Sep 0.0605 Oct 0.0605 Nov 0.0605 Dec 0.0605 Jan 0.0605 Feb 0.0605 Mar 0.058 Apr 0.058 May 0.058 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Jun 1, 2006 16.6 16.56 15.75 15.75 15.9 15.99 16.03 15.88 15.88 15.8 15.8 15.5 15.41 15.21 15.39 15.15 15.15 15.47 15.2 15.23 15.23 15.37 15.68 15.79 15.8 16.15 16.07 16.07 16 16 16.09 16.09 16.0899 16.43 16.15 16.04 16.25 16.18 16.01 16.22 15.71 15.95 15.88 15.8 15.72 15.77 15.75 15.8 15.8 15.7 15.8 15.8 15.97 15.9 15.95 16.05 16.32 16.54 16.62 16.4 16.14 16.05 16.22 16.22 16.39 16.48 16.4422 16.11 16.11 16.09 16.08 16.22 16.22 16.1 16.21 16.1951 16.26 16.29 16.15 15.94 15.92 16.21 16.4 16.26 16.43 16.43 16.2 16.26 15.9 16.09 15.87 15.9 16.13 15.61 15.17 15.27 15.62 15.72 15.72 15.73 15.73 15.6 15.81 15.94 15.94 15.72 15.72 15.73 15.9 15.63 15.6 15.6 15.85 16.24 15.97 15.92 15.51 15.84 15.81 15.81 15.38 15.4 15.75 15.26 15.508 15.4 15.5 15.5 15.64 15.41 15.32 15.45 15.26 15.33 15.16 15.31 15.49 15.44 15.4 15.42 15.59 15.59 15.4 15.4 15.35 15.74 15.9199 15.78 15.65 15.65 15.73 15.12 15.4 15.62 15.8701 15.5 15.46 15.38 15.42 15.33 15.25 15.1 15.07 15.09 15.08 15.04 14.96 14.85 15 14.96 14.93 14.97 15.02 15.09 15.25 15.2999 15.28 15.24 15.16 15.18 15.25 15.269 15.38 15.34 15.37 15.38 15.38 15.35 15.37 15.4 15.29 15.33 15.37 15.5 15.38 15.36 15.55 15.4 15.37 15.45 15.43 15.35 15.49 15.36 15.7 15.62 15.4 15.35 15.4605 15.46 15.59 15.59 15.53 15.59 15.81 15.7 15.68 15.91 15.81 15.98 15.85 15.91 15.93 16.0799 16.15 16.41 16.29 16.15 16.04 15.92 15.7 15.7 15.65 15.6501 15.6 15.7 15.74 16.02 16.0001 16.06 16.0001 15.95 16.1 16.16 16.05 16.05 16.14 16.2 16.25 16.25 16.25 16.33 16.43 May 31, 2007 16.37 FUND SNAPSHOT - ------------------------------------ Common Share Price $16.37 - ------------------------------------ Common Share Net Asset Value $14.76 - ------------------------------------ Premium/(Discount) to NAV 10.91% - ------------------------------------ Market Yield 4.25% - ------------------------------------ Taxable-Equivalent Yield1 6.21% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $38,024 - ------------------------------------ Average Effective Maturity on Securities (Years) 14.63 - ------------------------------------ Leverage-Adjusted Duration 8.47 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/01) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year 5.46% 5.05% - ------------------------------------ 5-Year 6.17% 6.49% - ------------------------------------ Since Inception 6.82% 6.20% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 28.5% - ------------------------------------ Tax Obligation/Limited 14.5% - ------------------------------------ Education and Civic Organizations 14.0% - ------------------------------------ Water and Sewer 9.4% - ------------------------------------ Tax Obligation/General 8.7% - ------------------------------------ Health Care 5.7% - ------------------------------------ Transportation 4.5% - ------------------------------------ Other 14.7% - ------------------------------------ 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 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 15 NGK Performance OVERVIEW Nuveen Connecticut Dividend Advantage Municipal Fund 2 as of 5-31-07 Pie Chart: Credit Quality (as a % of total investments) AAA/U.S. Guaranteed 73% AA 18% A 1% BBB 8% Bar Chart: Monthly Tax-Free Dividends Per Share -- 2006-20072 Jun 0.0635 Jul 0.0635 Aug 0.0635 Sep 0.0605 Oct 0.0605 Nov 0.0605 Dec 0.0605 Jan 0.0605 Feb 0.0605 Mar 0.058 Apr 0.058 May 0.058 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Jun 1, 2006 16.68 16.78 16.4 16.51 16.35 16.16 16.49 16.04 16.04 16 15.99 16.1 16.2 16.1 16.27 16.1 15.9 16 15.76 15.76 15.55 15.75 15.99 15.87 15.87 16 16.01 16.19 15.95 15.95 15.95 15.95 15.95 15.95 15.95 15.6 15.75 15.85 16.11 16.2178 16.2 16 16.0266 16.06 15.95 16.09 16.09 15.85 15.85 15.85 15.68 15.68 16.15 15.99 15.82 16.23 16.1 15.95 15.86 15.88 15.88 15.85 15.8282 15.82 15.95 15.93 15.77 15.54 15.7 15.77 15.78 15.95 15.89 15.96 15.82 15.81 15.81 15.85 15.85 15.85 15.81 15.81 16.03 15.85 15.85 15.85 15.96 16.2 16.2 16.37 16.2 16.0001 16.0001 16.0001 15.65 15.64 15.64 15.5201 15.5201 15.5201 15.7 15.86 15.86 15.75 15.9 15.77 15.85 16 15.78 16.09 15.67 15.71 15.71 15.85 15.7 15.71 15.65 15.6 15.75 15.55 15.46 15.5 15.58 15.58 15.58 15.53 15.53 15.52 15.61 15.47 15.41 15.53 15.58 15.46 15.53 15.57 15.61 15.55 15.4 15.41 15.4 15.4 15.5 15.4 15.26 15.26 15.32 15.34 15.32 15.32 15.48 15.49 15.65 15.6 15.6 15.3 15.96 15.9 15.6 15.8 15.8 15.55 15.8 15.8 15.45 15.65 15.66 15.57 15.35 15.5 15.6 15.78 15.78 15.9 15.6501 15.65 15.65 15.4 15.35 15.35 15.7 16 15.95 16.31 16.18 16.2 16.11 16.03 16.06 16.31 16.17 16.31 16.3 16.18 16.16 16.13 16.22 16.38 16.27 16.25 16.31 16.12 16.11 16.11 16.08 16.04 16.15 16 15.98 15.93 16.06 16.06 16.08 16.15 16.06 16.06 16.06 16.06 15.84 15.86 15.78 15.79 15.8 15.69 15.64 15.59 15.65 15.65 15.65 15.65 15.53 15.59 15.6 15.85 15.85 15.89 15.88 15.72 16.17 16.15 15.9 15.89 16.1 16.2 16.05 16.05 15.9 15.91 15.97 16.5 16.25 16.5 16.4 May 31, 2007 16.38 FUND SNAPSHOT - ------------------------------------ Common Share Price $16.38 - ------------------------------------ Common Share Net Asset Value $14.85 - ------------------------------------ Premium/(Discount) to NAV 10.30% - ------------------------------------ Market Yield 4.25% - ------------------------------------ Taxable-Equivalent Yield1 6.21% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $34,366 - ------------------------------------ Average Effective Maturity on Securities (Years) 13.70 - ------------------------------------ Leverage-Adjusted Duration 8.72 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/25/02) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year 3.58% 5.13% - ------------------------------------ 5-Year 7.64% 6.55% - ------------------------------------ Since Inception 7.52% 6.62% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 32.5% - ------------------------------------ Tax Obligation/General 14.7% - ------------------------------------ Education and Civic Organizations 12.1% - ------------------------------------ Tax Obligation/Limited 8.4% - ------------------------------------ Water and Sewer 8.0% - ------------------------------------ Health Care 6.8% - ------------------------------------ Transportation 4.2% - ------------------------------------ Other 13.3% - ------------------------------------ 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 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 2 The Fund paid shareholders a capital gains and net ordinary income distributions in December 2006 of $0.0371 per share. 16 NGO Performance OVERVIEW Nuveen Connecticut Dividend Advantage Municipal Fund 3 as of 5-31-07 Pie Chart: Credit Quality (as a % of total investments) AAA/U.S. Guaranteed 72% AA 13% A 1% BBB 13% N/R 1% Bar Chart: Monthly Tax-Free Dividends Per Share -- 2006-2007 Jun 0.054 Jul 0.054 Aug 0.054 Sep 0.054 Oct 0.054 Nov 0.054 Dec 0.054 Jan 0.054 Feb 0.054 Mar 0.052 Apr 0.052 May 0.052 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Jun 1, 2006 14.37 14.16 14.18 14.15 13.84 14.14 14.14 13.9 14 14.03 13.79 13.81 13.87 13.81 13.81 13.57 13.34 13.4 13.36 13.35 13.35 13.28 13.36 13.46 13.45 13.33 13.33 13.33 13.35 13.29 13.29 13.24 13.275 13.44 13.52 13.75 13.68 13.68 13.85 14.01 13.91 13.96 14.14 14.02 14.1 13.97 14.25 14.25 14.15 14.2 14.11 14.11 14.02 14.25 14.25 14.37 14.2 14.2 14.2 14.11 14.05 14.09 14.2212 14.3 14.37 14.4 14.34 13.97 14.1924 14.26 14.32 14.32 14.19 14.15 14.2 14.3 14.24 14.3 14.35 14.55 14.44 14.55 14.49 14.5 14.58 14.58 14.58 14.5 14.5 14.36 14.34 14.27 14.3 14.35 14.35 14.16 14.2 14.21 13.92 14.09 14.1 14.06 14 14.1 13.96 14.02 14.03 14 14.1 14 14 14.13 14 14.09 14.06 14.17 13.97 13.95 14 14.08 14 13.99 14.04 13.97 14.02 14.09 14.05 14.05 14.05 13.95 14.02 14.15 13.99 14.02 14.06 14.03 14.12 14.12 14.14 14.05 14.04 14.0099 13.81 13.9 13.93 13.86 13.95 14 14.07 14.07 14.09 13.99 13.9501 13.95 14.0699 14.07 14.1 14.02 14 13.98 13.9823 14.05 13.93 13.9501 14.12 14 13.82 13.93 14.05 14.08 14.01 14.24 14.1 14.09 14.1 13.99 14 14 14 13.91 13.95 14.15 14.12 14.12 14.06 13.95 14 14.13 14.17 14.25 14.09 14.22 14.2 14.2 14.3 14.26 14.42 14.4 14.46 14.46 14.46 14.31 14.27 14.36 14.46 14.35 14.35 14.28 14.28 14.26 14.32 14.32 14.2 14.26 14.34 14.3 14.41 14.35 14.41 14.28 14.1 14.22 14.172 14.0405 14.13 14.21 14.26 14.2624 14.28 14.19 14.23 14.28 14.34 14.3 14.5 14.4 14.3 14.33 14.58 14.6 14.6 14.6 14.65 14.6 14.6 14.61 14.51 14.6 14.74 14.62 14.8 14.7 14.75 May 31, 2007 14.7 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.70 - ------------------------------------ Common Share Net Asset Value $14.30 - ------------------------------------ Premium/(Discount) to NAV 2.80% - ------------------------------------ Market Yield 4.24% - ------------------------------------ Taxable-Equivalent Yield1 6.20% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $62,325 - ------------------------------------ Average Effective Maturity on Securities (Years) 14.79 - ------------------------------------ Leverage-Adjusted Duration 8.46 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 9/26/02) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year 9.15% 5.42% - ------------------------------------ Since Inception 4.72% 5.06% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 21.6% - ------------------------------------ Tax Obligation/General 18.1% - ------------------------------------ Tax Obligation/Limited 14.8% - ------------------------------------ Water and Sewer 11.5% - ------------------------------------ Education and Civic Organizations 9.6% - ------------------------------------ Long-Term Care 8.3% - ------------------------------------ Health Care 4.3% - ------------------------------------ Other 11.8% - ------------------------------------ 1 Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 17 NMT Performance OVERVIEW Nuveen Massachusetts Premium Income Municipal Fund as of 5-31-07 Pie Chart: Credit Quality (as a % of total investments) AAA/U.S. Guaranteed 67% AA 18% A 3% BBB 9% BB or Lower 1% N/R 2% Bar Chart: Monthly Tax-Free Dividends Per Share -- 2006-20072 Jun 0.059 Jul 0.059 Aug 0.059 Sep 0.056 Oct 0.056 Nov 0.056 Dec 0.0535 Jan 0.0535 Feb 0.0535 Mar 0.0535 Apr 0.0535 May 0.0535 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Jun 1, 2006 14.53 14.5 14.5 14.58 14.31 14.5 14.3 14.13 14.07 14.17 14.09 13.95 14.1 14.22 13.9 13.9 13.9096 13.9 14.05 14.17 14.16 14.16 14.03 14.18 14.11 14.17 14.09 14.09 14.2 14.1 14.05 14.11 14.11 14.38 14.05 14.4 14.17 14.17 14.18 14.4 14.27 14.36 14.41 14.36 14.22 14.35 14.47 14.32 14.38 14.7 14.45 14.29 14.74 14.65 14.65 14.46 14.52 14.47 14.65 14.88 14.9 14.84 14.7 14.64 14.88 14.67 14.7 14.58 14.69 14.77 14.82 14.7 14.89 14.72 14.83 14.87 14.77 14.62 14.98 14.65 14.692 14.87 14.87 14.67 14.7 14.7 14.78 14.74 14.78 14.69 14.79 14.79 14.62 14.74 14.73 14.7 14.71 14.71 14.61 14.68 14.68 14.55 14.5 14.5535 14.49 14.59 14.69 14.74 14.71 14.8 14.81 14.7 14.7 14.44 14.45 14.77 14.6 14.64 14.56 14.59 14.51 14.63 14.85 14.62 14.72 14.87 14.66 14.63 14.6 14.79 14.68 14.75 14.67 14.69 14.65 14.63 14.67 14.5 14.44 14.39 14.33 14.53 14.33 14.26 14.26 14.25 14.21 14.18 14.39 14.39 14.44 14.39 14.43 14.49 14.4 14.38 14.35 14.37 14.33 14.3 14.29 14.26 14.28 14.28 14.24 14.2 14.23 14.17 14.19 14.18 14.32 14.22 14.21 14.21 14.17 14.11 14.1 14.15 14.2 14.16 14.24 14.29 14.38 14.27 14.27 14.29 14.18 14.28 14.21 14.3 14.34 14.36 14.23 14.42 14.42 14.35 14.4 14.44 14.54 14.37 14.37 14.33 14.31 14.37 14.47 14.37 14.36 14.42 14.42 14.37 14.37 14.37 14.51 14.562 14.6 14.67 14.63 14.74 14.56 14.54 14.47 14.42 14.42 14.45 14.479 14.479 14.56 14.43 14.39 14.44 14.51 14.62 14.58 14.6 14.63 14.82 14.54 14.6 14.6 14.66 14.62 14.6 14.54 14.65 14.87 14.6505 14.55 14.5 14.4 14.37 14.32 14.28 14.2894 May 31, 2007 14.33 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.33 - ------------------------------------ Common Share Net Asset Value $14.56 - ------------------------------------ Premium/(Discount) to NAV -1.58% - ------------------------------------ Market Yield 4.48% - ------------------------------------ Taxable-Equivalent Yield1 6.57% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $69,323 - ------------------------------------ Average Effective Maturity on Securities (Years) 15.62 - ------------------------------------ Leverage-Adjusted Duration 8.42 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/18/93) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year 4.60% 5.47% - ------------------------------------ 5-Year 3.61% 5.90% - ------------------------------------ 10-Year 5.25% 6.22% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 16.8% - ------------------------------------ Education and Civic Organizations 15.1% - ------------------------------------ Tax Obligation/General 13.7% - ------------------------------------ Health Care 12.0% - ------------------------------------ Tax Obligation/Limited 10.1% - ------------------------------------ Transportation 7.9% - ------------------------------------ Water and Sewer 7.4% - ------------------------------------ Housing/Multifamily 5.4% - ------------------------------------ Other 11.6% - ------------------------------------ 1 Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 2 The Fund paid shareholders capital gains and net ordinary income distributions in December 2006 of $0.0076 per share. 18 NMB Performance OVERVIEW Nuveen Massachusetts Dividend Advantage Municipal Fund as of 5-31-07 Pie Chart: Credit Quality (as a % of total investments) AAA/U.S. Guaranteed 60% AA 23% A 4% BBB 10% BB or Lower 3% Bar Chart: Monthly Tax-Free Dividends Per Share -- 2006-2007 Jun 0.065 Jul 0.065 Aug 0.065 Sep 0.062 Oct 0.062 Nov 0.062 Dec 0.062 Jan 0.062 Feb 0.062 Mar 0.0595 Apr 0.0595 May 0.0595 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Jun 1, 2006 15.51 15.56 15.59 15.6 15.56 15.48 15.51 15.48 15.33 15.29 15.28 15.15 15.12 15.12 15.09 15.2 14.75 14.75 14.75 14.85 14.89 15.1 15.1 15.16 15.02 15.06 15 15.1 15.11 15.15 15.2 15.1 15 15.19 15.24 15.15 15.13 15.13 15.1 15.19 15.15 15.14 15.24 15.3 15.35 15.24 15.27 15.3 15.3 15.4 15.29 15.34 15.4 15.45 15.45 15.4 15.35 15.32 15.32 15.4 15.58 15.58 15.47 15.49 15.43 15.52 15.55 15.5 15.5 15.46 15.35 15.3 15.3 15.28 15.34 15.35 15.39 15.32 15.4 15.26 15.4 15.35 15.4 15.4 15.4 15.4 15.4 15.45 15.6 15.51 15.51 15.51 15.56 15.56 15.53 15.45 15.55 15.55 15.55 15.52 15.52 15.32 15.35 15.35 15.44 15.44 15.35 15.4 15.41 15.42 15.44 15.44 15.44 15.57 15.54 15.54 15.59 15.6 15.55 15.55 15.64 15.64 15.55 15.6 15.55 15.5514 15.55 15.5 15.74 15.74 15.7 15.65 15.74 15.74 15.73 15.75 15.75 15.66 15.48 15.4 15.11 15.21 15.29 15.29 15.15 15.21 15.25 15.15 15.18 15.18 15.19 15.17 15.24 15.16 15.22 15.15 15.23 15.07 15.19 15.19 15.06 15.0755 15.19 15.19 15.07 15.04 14.95 15.04 15.01 15.05 15.05 15.08 15.03 14.87 14.99 14.97 14.97 14.94 14.99 14.99 15.05 15.05 15.14 15.14 15.14 15.17 15.2 15.16 15.28 15.25 15.33 15.38 15.43 15.48 15.53 15.53 15.5 15.5 15.55 15.55 15.49 15.51 15.51 15.473 15.47 15.38 15.37 15.46 15.47 15.48 15.52 15.52 15.52 15.52 15.57 15.7 15.75 15.8 15.7 15.61 15.61 15.61 15.61 15.55 15.55 15.7 15.7 15.7 15.75 15.65 15.6 15.85 15.75 15.7 15.75 15.75 15.74 15.94 15.92 15.92 15.92 15.89 15.84 15.84 16.1 16.05 16.4 16.1 16.11 16.11 16.11 16.0001 16.0001 May 31, 2007 16.2799 FUND SNAPSHOT - ------------------------------------ Common Share Price $16.28 - ------------------------------------ Common Share Net Asset Value $14.84 - ------------------------------------ Premium/(Discount) to NAV 9.70% - ------------------------------------ Market Yield 4.39% - ------------------------------------ Taxable-Equivalent Yield1 6.44% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $29,072 - ------------------------------------ Average Effective Maturity on Securities (Years) 18.27 - ------------------------------------ Leverage-Adjusted Duration 8.60 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/30/01) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year 10.04% 5.14% - ------------------------------------ 5-Year 6.41% 7.35% - ------------------------------------ Since Inception 7.27% 6.85% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Education and Civic Organizations 18.4% - ------------------------------------ Health Care 14.3% - ------------------------------------ U.S. Guaranteed 11.7% - ------------------------------------ Tax Obligation/Limited 10.3% - ------------------------------------ Tax Obligation/General 10.0% - ------------------------------------ Water and Sewer 9.5% - ------------------------------------ Housing/Multifamily 8.2% - ------------------------------------ Long-Term Care 4.9% - ------------------------------------ Other 12.7% - ------------------------------------ 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 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 19 NGX Performance OVERVIEW Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund as of 5-31-07 Pie Chart: Credit Quality (as a % of total investments) Insured 52% U.S. Guaranteed 27% GNMA/FNMA/FHA Guaranteed 3% AAA (Uninsured) 5% AA (Uninsured) 8% A (Uninsured) 3% BBB (Uninsured) 2% Bar Chart: Monthly Tax-Free Dividends Per Share -- 2006-2007 Jun 0.051 Jul 0.051 Aug 0.051 Sep 0.051 Oct 0.051 Nov 0.0525 Dec 0.0525 Jan 0.0525 Feb 0.0525 Mar 0.0525 Apr 0.0525 May 0.0525 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Jun 1, 2006 13.71 13.7401 13.61 13.71 13.7 13.82 13.78 13.6501 13.78 13.78 13.65 13.49 13.49 13.49 13.45 13.35 13.17 13.08 13.05 13.13 13.09 13.1301 13.27 13.2899 13.23 13.28 13.29 13.29 13.24 13.32 13.32 13.32 13.38 13.28 13.28 13.28 13.25 13.4 13.31 13.37 13.44 13.45 13.38 13.25 13.31 13.35 13.57 13.42 13.44 13.46 13.36 13.46 13.46 13.53 13.64 13.66 13.75 13.72 13.76 13.76 13.83 13.84 13.8 13.75 13.8 13.8 13.62 13.52 13.5 13.7 13.62 13.77 13.83 13.73 13.77 13.73 13.8 13.85 13.84 13.84 13.85 13.92 13.9612 14.1 14.13 14.13 13.95 14 14.15 14.11 14.02 13.99 13.94 13.91 13.83 13.73 13.74 13.74 13.74 13.58 13.57 13.54 13.68 13.65 13.65 13.71 13.81 13.81 13.81 13.93 13.85 13.8 13.8 13.73 13.76 13.88 13.88 13.9 13.9 13.96 13.9218 13.91 13.92 13.91 13.9 13.75 13.75 13.75 13.78 13.86 13.93 13.94 13.88 13.95 14 13.9 13.9 13.86 13.88 13.81 13.81 13.86 13.81 13.81 13.88 13.84 13.82 13.87 13.85 13.85 13.9 13.9 13.86 13.86 13.82 13.8 13.8 13.88 13.91 13.77 13.75 13.64 13.68 13.78 13.8 13.77 13.78 13.78 13.78 13.66 13.9 13.99 13.9896 13.76 13.81 13.9 14 13.94 13.95 13.99 14.35 14.35 14.24 14.21 14.2 14.1 14.07 14.2 14.2 14.2 14.216 14.24 14.25 14.22 14.2 14.2 14.15 14.17 14.16 14.16 14.16 14.16 14 13.96 13.96 13.97 14.06 14.1 14.2 14 14.04 14.04 14.09 14.23 14.19 14.48 14.39 14.16 14.15 14.15 14.15 14.1601 14.2299 14.4 14.2601 14.31 14.35 14.39 14.25 14.5 14.5 14.187 14.19 14.43 14.5 14.65 14.6299 14.63 14.6 14.64 14.48 14.6499 14.6499 14.53 14.58 14.58 14.65 14.6499 14.62 14.65 14.62 14.43 14.49 May 31, 2007 14.4501 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.45 - ------------------------------------ Common Share Net Asset Value $14.50 - ------------------------------------ Premium/(Discount) to NAV -0.34% - ------------------------------------ Market Yield 4.36% - ------------------------------------ Taxable-Equivalent Yield1 6.39% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $39,458 - ------------------------------------ Average Effective Maturity on Securities (Years) 17.32 - ------------------------------------ Leverage-Adjusted Duration 8.40 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 11/21/02) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year 12.49% 5.12% - ------------------------------------ Since Inception 4.24% 5.57% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 26.9% - ------------------------------------ Tax Obligation/General 17.7% - ------------------------------------ Tax Obligation/Limited 17.7% - ------------------------------------ Education and Civic Organizations 10.0% - ------------------------------------ Water and Sewer 8.9% - ------------------------------------ Health Care 6.9% - ------------------------------------ Housing/Multifamily 6.8% - ------------------------------------ Other 5.1% - ------------------------------------ 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 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 20 NOM Performance OVERVIEW Nuveen Missouri Premium Income Municipal Fund as of 5-31-07 Pie Chart: Credit Quality (as a % of total investments) AAA/U.S. Guaranteed 65% AA 12% A 2% BBB 7% N/R 14% Bar Chart: Monthly Tax-Free Dividends Per Share -- 2006-20072 Jun 0.063 Jul 0.063 Aug 0.063 Sep 0.06 Oct 0.06 Nov 0.06 Dec 0.06 Jan 0.06 Feb 0.06 Mar 0.0575 Apr 0.0575 May 0.0575 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Jun 1, 2006 16.25 16.15 16.3 16.15 16.15 16.2 16.24 16.24 16.05 15.88 15.9 15.83 15.65 15.45 15.01 15 15.24 15.23 15.2 15.44 15.44 15.44 15.25 15.44 15.7 15.7 15.6 15.6 15.35 15.35 15.35 14.93 14.7 14.66 14.66 14.7 14.9 14.85 14.56 14.66 14.61 14.95 14.65 14.83 14.89 15.04 15.04 15.13 15.07 15.08 15.02 14.99 15.05 15.1401 16.15 16.15 16.1 16.02 15.81 15.86 15.9767 16 15.81 15.89 16 16 16.1 16.1 16.17 16.17 16.15 16.15 15.95 16.2 16.24 16.24 16.2 16.2 16.25 16.29 16.21 16.25 16.05 16.05 16.04 16.04 15.99 16 15.95 16.22 16.25 16.2 16.2 16.15 16.15 16.14 16.14 16.14 16.14 16.38 16.4015 16.4015 16.4015 16.15 16.33 16.6 16.55 16.52 16.5 16.55 16.55 16.75 16.75 16.75 16.75 16.75 16.79 16.7 16.7 16.7 16.65 16.65 16.6 16.55 16.55 16.55 16.74 16.78 16.89 16.9 16.9 16.81 16.99 16.9 16.9 16.99 16.87 16.9 16.85 16.85 16.85 16.85 16.8 16.8 16.9 17 17 17 17 17 17.01 17.01 16.99 16.99 16.9 16.9 16.99 17.01 16.85 16.4 16.4 16.31 16.29 16.18 16.18 16.2 16.37 16.17 16.1636 16.01 16.08 16.22 16.23 16.23 16.23 16 16 16.01 16.01 16.01 16 16.03 16.05 16.05 16.15 16.3 16.47 16.72 16.6 16.6 16.53 16.53 16.39 16.75 17 17.06 16.82 16.65 16.63 16.63 16.62 16.48 16.53 16.53 16.2 16.27 16.27 16.21 16.11 16.11 16.11 16.11 16.11 16.2 16.4 16.22 16.5 16.62 16.59 16.65 16.65 16.71 16.43 16.62 16.7 16.71 16.47 16.47 16.47 16.43 16.43 16.43 16.43 16.64 16.855 16.93 16.894 16.87 17.15 17.12 17.07 17.03 17 16.95 16.87 16.87 16.87 16.84 16.8 16.3704 16.58 16.59 16.59 May 31, 2007 16.56 FUND SNAPSHOT - ------------------------------------ Common Share Price $16.56 - ------------------------------------ Common Share Net Asset Value $14.27 - ------------------------------------ Premium/(Discount) to NAV 16.05% - ------------------------------------ Market Yield 4.17% - ------------------------------------ Taxable-Equivalent Yield1 6.16% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $32,826 - ------------------------------------ Average Effective Maturity on Securities (Years) 15.51 - ------------------------------------ Leverage-Adjusted Duration 9.68 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year 5.98% 4.17% - ------------------------------------ 5-Year 6.79% 5.85% - ------------------------------------ 10-Year 7.93% 6.26% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Tax Obligation/Limited 19.8% - ------------------------------------ Tax Obligation/General 18.5% - ------------------------------------ U.S. Guaranteed 15.8% - ------------------------------------ Health Care 12.4% - ------------------------------------ Water and Sewer 9.9% - ------------------------------------ Housing/Single Family 5.8% - ------------------------------------ Long-Term Care 4.6% - ------------------------------------ Other 13.2% - ------------------------------------ 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 32.3%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 2 The Fund paid shareholders capital gains distribution in December 2006 of $0.0048 per share. 21 Report of INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM THE BOARD OF TRUSTEES AND SHAREHOLDERS NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund and Nuveen Missouri Premium Income Municipal Fund (the Funds) as of May 31, 2007, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds' internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of May 31, 2007, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund and Nuveen Missouri Premium Income Municipal Fund at May 31, 2007, the results of their operations for the year then ended, changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the periods indicated therein in conformity with U.S. generally accepted accounting principles. /s/ Ernst & Young LLP Chicago, Illinois July 19, 2007 22 NTC Nuveen Connecticut Premium Income Municipal Fund Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 2.8% (1.9% OF TOTAL INVESTMENTS) $ 600 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 $ 620,208 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 1,500 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 1,569,750 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ 2,100 Total Consumer Staples 2,189,958 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 29.2% (19.7% OF TOTAL INVESTMENTS) 1,100 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 1,168,926 of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 925 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 961,057 Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 - MBIA Insured 200 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 206,552 Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 500 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call AAA 533,515 Bonds, Connecticut State University System, Series 2003F, 5.000%, 11/01/13 - FSA Insured 2,115 Connecticut Health and Educational Facilities Authority, Revenue 11/15 at 100.00 AAA 2,263,558 Bonds, Connecticut State University System, Series 2005H, 5.000%, 11/01/17 - FSA Insured 725 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 102.00 AAA 744,749 Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 750 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 782,385 Bonds, Horace Bushnell Memorial Hall, Series 1999A, 5.625%, 7/01/29 - MBIA Insured 640 Connecticut Health and Educational Facilities Authority, Revenue 7/07 at 100.00 AAA 647,181 Bonds, Loomis Chaffee School, Series 1996C, 5.500%, 7/01/16 - MBIA Insured 800 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 883,328 Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 1,375 Connecticut Health and Educational Facilities Authority, Revenue 7/14 at 100.00 AAA 1,449,498 Bonds, Trinity College, Series 2004H, 5.000%, 7/01/21 - MBIA Insured 2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 2,094,960 Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,532,160 Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 1,555,215 Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 315 Connecticut Higher Education Supplemental Loan Authority, 11/09 at 102.00 AAA 317,567 Revenue Bonds, Family Education Loan Program, Series 1999A, 6.000%, 11/15/18 - AMBAC Insured (Alternative Minimum Tax) 740 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 765,789 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax) 305 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA 317,224 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 (WI/DD, Settling 6/07/07) - RAAI Insured 23 NTC Nuveen Connecticut Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS (continued) University of Connecticut, General Obligation Bonds, Series 2004A: $ 1,000 5.000%, 1/15/18 - MBIA Insured 1/14 at 100.00 AAA $ 1,058,820 2,000 5.000%, 1/15/19 - MBIA Insured 1/14 at 100.00 AAA 2,111,680 1,220 University of Connecticut, General Obligation Bonds, Series 2005A, 2/15 at 100.00 AAA 1,305,912 5.000%, 2/15/17 - FSA Insured 685 University of Connecticut, General Obligation Bonds, Series 2006A, 2/16 at 100.00 AAA 728,422 5.000%, 2/15/23 - FGIC Insured 1,000 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AAA 1,068,200 Series 2002A, 5.250%, 11/15/19 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 21,395 Total Education and Civic Organizations 24,496,698 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 12.8% (8.7% OF TOTAL INVESTMENTS) 500 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 533,385 Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/21 - RAAI Insured 645 Connecticut Health and Educational Facilities Authority, Revenue 7/10 at 101.00 AA 685,532 Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 800 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 835,368 500 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 520,030 1,100 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 1,156,089 Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 2,051,480 Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,051,760 Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured 3,000 Connecticut Health and Educational Facilities Authority, Revenue 7/07 at 101.00 Aaa 3,032,340 Refunding Bonds, Middlesex Health Services, Series 1997H, 5.125%, 7/01/27 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,545 Total Health Care 9,865,984 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 2.7% (1.8% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage Finance 12/09 at 100.00 AAA 1,046,680 Program Bonds, Series 1999D-2, 6.200%, 11/15/41 (Alternative Minimum Tax) 1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 999,330 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,000 Total Housing/Multifamily 2,046,010 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 4.6% (3.1% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage Finance 11/10 at 100.00 AAA 1,016,200 Program Bonds, Series 2001C, 5.300%, 11/15/33 (Alternative Minimum Tax) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 205 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 202,753 220 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 217,963 2,100 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 2,119,110 Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 3,525 Total Housing/Single Family 3,556,026 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.4% (1.6% OF TOTAL INVESTMENTS) 1,750 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,824,148 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 24 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 7.2% (4.9% OF TOTAL INVESTMENTS) $ 750 Connecticut Development Authority, First Mortgage Gross Revenue 10/07 at 102.00 BBB- $ 771,848 Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 615 Connecticut Development Authority, First Mortgage Gross Revenue 9/09 at 102.00 AA 645,080 Refunding Healthcare Bonds, Connecticut Baptist Homes Inc., Series 1999, 5.500%, 9/01/15 - RAAI Insured 700 Connecticut Development Authority, Health Facilities Revenue 8/07 at 100.00 N/R 701,638 Refunding Bonds, Alzheimer's Resource Center of Connecticut Inc., Series 1994A, 7.000%, 8/15/09 Connecticut Development Authority, Revenue Refunding Bonds, Duncaster Inc., Series 1999A: 1,000 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 AA 1,036,170 1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 1,041,520 1,300 Connecticut Health and Educational Facilities Authority, 8/08 at 102.00 AAA 1,334,333 FHA-Insured Mortgage Revenue Bonds, Hebrew Home and Hospital, Series 1999B, 5.200%, 8/01/38 - ------------------------------------------------------------------------------------------------------------------------------------ 5,365 Total Long-Term Care 5,530,589 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 25.8% (17.5% OF TOTAL INVESTMENTS) 500 Bridgeport, Connecticut, General Obligation Bonds, Series 2004C, No Opt. Call AAA 540,485 5.250%, 8/15/14 - MBIA Insured 750 Bridgeport, Connecticut, General Obligation Refunding Bonds, 8/12 at 100.00 Aaa 799,253 Series 2002A, 5.375%, 8/15/19 - FGIC Insured 1,520 Capitol Region Education Council, Connecticut, Revenue Bonds, 10/07 at 100.00 BBB 1,531,567 Series 1995, 6.700%, 10/15/10 1,110 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 1,165,245 5.000%, 4/01/23 - FGIC Insured 2,000 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 2,064,240 4.750%, 12/15/24 1,300 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 1,381,783 5.000%, 6/01/23 - FSA Insured Hartford, Connecticut, General Obligation Bonds, Series 2005A: 775 5.000%, 8/01/20 - FSA Insured 8/15 at 100.00 AAA 821,291 525 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 521,215 500 North Haven, Connecticut, General Obligation Bonds, No Opt. Call Aa2 549,435 Series 2006, 5.000%, 7/15/24 1,860 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 2,112,476 Series 2001A, 5.500%, 7/01/20 - MBIA Insured Regional School District 16, Beacon Falls and Prospect, Connecticut, General Obligation Bonds, Series 2000: 350 5.500%, 3/15/18 - FSA Insured 3/10 at 101.00 Aaa 367,927 350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 369,166 350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aaa 369,852 1,420 Regional School District 16, Connecticut, General Obligation 3/13 at 101.00 Aaa 1,513,109 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 2,118,640 4.000%, 2/15/15 - FSA Insured Suffield, Connecticut, General Obligation Bonds, Series 2005: 465 5.000%, 6/15/17 No Opt. Call AA 503,930 460 5.000%, 6/15/19 No Opt. Call AA 501,533 1,000 5.000%, 6/15/21 No Opt. Call AA 1,092,530 1,500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 1,607,535 Series 2005B, 5.000%, 10/01/18 - ------------------------------------------------------------------------------------------------------------------------------------ 18,840 Total Tax Obligation/General 19,931,212 - ------------------------------------------------------------------------------------------------------------------------------------ 25 NTC Nuveen Connecticut Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 17.7% (12.0% OF TOTAL INVESTMENTS) $ 1,000 Connecticut Health and Educational Facilities Authority, Child Care 7/16 at 100.00 AAA $ 1,037,280 Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 - AGC Insured 1,945 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 102.00 AAA 2,046,937 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 2,093,340 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,044,920 500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 525,420 Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: 960 0.000%, 7/01/32 - FGIC Insured No Opt. Call AAA 305,818 2,615 0.000%, 7/01/33 - FGIC Insured No Opt. Call AAA 797,915 2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 8/12 at 100.00 AAA 2,122,240 5.250%, 8/01/21 - FSA Insured 2,400 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 2,567,928 5.000%, 8/01/16 - FSA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/14 at 100.00 AAA 1,080,690 Loan Note, Series 2003, 5.250%, 10/01/19 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 15,420 Total Tax Obligation/Limited 13,622,488 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 0.9% (0.6% OF TOTAL INVESTMENTS) 750 Connecticut, General Airport Revenue Bonds, Bradley International 4/11 at 101.00 AAA 772,410 Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 19.6% (13.3% OF TOTAL INVESTMENTS) (4) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A: 1,305 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 1,398,373 50 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 53,548 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/07 at 102.00 AAA 1,021,330 Bonds, Connecticut College, Series 1997C-1, 5.500%, 7/01/20 (Pre-refunded 7/01/07) - MBIA Insured 450 Connecticut Health and Educational Facilities Authority, Revenue 3/11 at 101.00 AAA 472,185 Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 (Pre-refunded 3/01/11) - FSA Insured 650 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 (4) 696,345 Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 500 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AAA 525,510 Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 (Pre-refunded 7/01/11) - AMBAC Insured 1,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 1,066,660 5.500%, 10/01/20 (Pre-refunded 10/01/11) 40 Connecticut, General Obligation Bonds, Series 1993E, No Opt. Call AA (4) 43,716 6.000%, 3/15/12 (ETM) 1,500 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (4) 1,612,005 5.500%, 6/15/21 (Pre-refunded 6/15/12) 1,000 Hartford, Connecticut, Parking System Revenue Bonds, 7/10 at 100.00 Baa2 (4) 1,072,980 Series 2000A, 6.400%, 7/01/20 (Pre-refunded 7/01/10) 400 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 AAA 425,488 Series 2000A, 6.000%, 6/01/20 (Pre-refunded 6/01/10) - ACA Insured 26 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (4) (continued) $ 1,000 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA $ 1,063,620 Bonds, Series 2000A, 5.500%, 10/01/40 655 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 674,630 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded 7/01/10) 1,100 University of Connecticut, General Obligation Bonds, Series 2003A, 2/13 at 100.00 AAA 1,169,135 5.125%, 2/15/21 (Pre-refunded 2/15/13) - MBIA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan 10/10 at 101.00 BBB+ (4) 1,089,750 Note, Series 1999A, 6.500%, 10/01/24 (Pre-refunded 10/01/10) 1,000 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 1,066,390 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured 1,630 Westport, Connecticut, General Obligation Bonds, Series 2003, 2/12 at 100.00 Aaa 1,693,097 4.750%, 2/01/19 (Pre-refunded 2/01/12) - ------------------------------------------------------------------------------------------------------------------------------------ 14,280 Total U.S. Guaranteed 15,144,762 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.7% (3.9% OF TOTAL INVESTMENTS) 1,575 Bristol Resource Recovery Facility Operating Committee, No Opt. Call AAA 1,656,743 Connecticut, Solid Waste Revenue Bonds, Covanta Bristol Inc., Series 2005, 5.000%, 7/01/12 - AMBAC Insured 1,000 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 1,040,250 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 395 5.500%, 1/01/14 (Alternative Minimum Tax) 7/07 at 100.00 BBB 396,067 1,290 5.500%, 1/01/20 (Alternative Minimum Tax) 7/07 at 100.00 BBB 1,293,483 - ------------------------------------------------------------------------------------------------------------------------------------ 4,260 Total Utilities 4,386,543 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 16.3% (11.0% OF TOTAL INVESTMENTS) 2,550 Connecticut Development Authority, Water Facilities Revenue 9/07 at 101.00 Aaa 2,605,055 Bonds, Bridgeport Hydraulic Company, Series 1996, 6.000%, 9/01/36 - AMBAC Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,254,050 Series 2003A, 5.000%, 10/01/16 27 NTC Nuveen Connecticut Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: $ 900 5.000%, 11/15/16 - MBIA Insured 11/15 at 100.00 AAA $ 965,214 1,520 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 1,596,380 2,260 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 2,367,034 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 1,048,819 1,525 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,583,452 1,100 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 1,144,868 Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 - ------------------------------------------------------------------------------------------------------------------------------------ 12,040 Total Water and Sewer 12,564,872 - ------------------------------------------------------------------------------------------------------------------------------------ $ 111,270 Total Investments (cost $111,190,476) - 147.7% 113,931,700 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.9% 1,519,522 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.6)% (38,300,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 77,151,222 ====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (5) DATE (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ JPMorgan $1,250,000 Pay 3-Month USD LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $(39,197) Morgan Stanley 5,500,000 Pay 3-Month USD LIBOR 5.559 Semi-Annually 4/23/08 4/23/23 (8,689) - ------------------------------------------------------------------------------------------------------------------------------------ $(47,886) ==================================================================================================================================== USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
The Fund may invest in "zero coupon" securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. Such securities are included in the portfolio with a 0.00% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 28 NFC Nuveen Connecticut Dividend Advantage Municipal Fund Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 5.0% (3.3% OF TOTAL INVESTMENTS) Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001A: $ 65 5.000%, 5/15/22 5/11 at 100.00 Baa3 $ 65,788 500 5.400%, 5/15/31 5/11 at 100.00 Baa3 514,670 1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 1,312,774 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 - ------------------------------------------------------------------------------------------------------------------------------------ 1,835 Total Consumer Staples 1,893,232 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 20.9% (14.0% OF TOTAL INVESTMENTS) 500 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 531,330 of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 100 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 103,276 Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 500 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call AAA 533,515 Bonds, Connecticut State University System, Series 2003F, 5.000%, 11/01/13 - FSA Insured 440 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 484,484 Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/18 - AMBAC Insured 50 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 101.00 AA 50,771 Bonds, Sacred Heart University, Series 1998E, 5.000%, 7/01/28 - RAAI Insured 350 Connecticut Health and Educational Facilities Authority, Revenue 7/14 at 100.00 AAA 371,949 Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 1,047,480 Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,021,440 Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 570 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 589,865 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax) 150 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA 156,012 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 (WI/DD, Settling 6/07/07) - RAAI Insured 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- 127,979 270 5.375%, 2/01/29 2/09 at 101.00 BBB- 275,740 University of Connecticut, General Obligation Bonds, Series 2001A: 1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,025,760 1,000 4.750%, 4/01/21 4/11 at 101.00 AA 1,024,000 585 University of Connecticut, General Obligation Bonds, Series 2006A, 2/16 at 100.00 AAA 622,083 5.000%, 2/15/23 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 7,640 Total Education and Civic Organizations 7,965,684 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 8.5% (5.7% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 1,065,590 Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 - RAAI Insured 29 NFC Nuveen Connecticut Dividend Advantage Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (continued) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: $ 500 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 $ 522,105 250 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 260,015 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital for Special Care, Series 1997B: 135 5.375%, 7/01/17 7/07 at 102.00 BBB- 137,252 75 5.500%, 7/01/27 7/07 at 102.00 BBB- 76,226 125 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 128,218 Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,051,760 Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 3,085 Total Health Care 3,241,166 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 3.3% (2.2% OF TOTAL INVESTMENTS) 500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 499,665 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 750 Stamford Housing Authority, Connecticut, Multifamily Housing No Opt. Call A- 757,058 Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,250 Total Housing/Multifamily 1,256,723 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 4.5% (3.0% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,016,200 Finance Program Bonds, Series 2001C, 5.300%, 11/15/33 (Alternative Minimum Tax) 700 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 706,370 Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 1,700 Total Housing/Single Family 1,722,570 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.7% (1.8% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,042,370 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.6% (1.7% OF TOTAL INVESTMENTS) 300 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 316,866 Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 110 Connecticut Development Authority, First Mortgage Gross Revenue 10/07 at 102.00 BBB- 113,504 Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.800%, 4/01/21 500 Connecticut Development Authority, Health Facilities Revenue 8/07 at 100.00 N/R 501,230 Refunding Bonds, Alzheimer's Resource Center of Connecticut Inc., Series 1994A, 7.250%, 8/15/21 - ------------------------------------------------------------------------------------------------------------------------------------ 910 Total Long-Term Care 931,600 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 13.0% (8.7% OF TOTAL INVESTMENTS) 500 Bridgeport, Connecticut, General Obligation Bonds, Series 2004C, No Opt. Call AAA 540,485 5.250%, 8/15/14 - MBIA Insured 560 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 587,871 5.000%, 4/01/23 - FGIC Insured 700 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 722,484 4.750%, 12/15/24 400 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 425,164 5.000%, 6/01/23 - FSA Insured Hartford, Connecticut, General Obligation Bonds, Series 2005A: 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 380,736 240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 238,270 400 North Haven, Connecticut, General Obligation Bonds, No Opt. Call Aa2 439,548 Series 2006, 5.000%, 7/15/24 30 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) Suffield, Connecticut, General Obligation Bonds, Series 2005: $ 335 5.000%, 6/15/17 No Opt. Call AA $ 363,046 335 5.000%, 6/15/19 No Opt. Call AA 365,247 810 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 868,069 Series 2005B, 5.000%, 10/01/18 - ------------------------------------------------------------------------------------------------------------------------------------ 4,640 Total Tax Obligation/General 4,930,920 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 21.8% (14.5% OF TOTAL INVESTMENTS) 500 Connecticut Health and Educational Facilities Authority, Child Care 7/16 at 100.00 AAA 518,640 Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 - AGC Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 105.00 A 1,070,850 Bonds, New Opportunities for Waterbury Inc., Series 1998A, 6.750%, 7/01/28 Connecticut, Certificates of Participation, Juvenile Training School, Series 2001: 600 5.000%, 12/15/20 12/11 at 101.00 AA- 623,340 1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 1,030,930 1,475 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AAA 1,595,758 Purpose Bonds, Series 1998B, 5.500%, 11/01/12 - FSA Insured 600 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 680,562 Revenue Bonds, Series 2007N, 5.250%, 7/01/31 - AMBAC Insured 470 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 149,723 Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured 1,200 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 1,283,964 5.000%, 8/01/16 - FSA Insured 750 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 809,520 Loan Note, Series 1999A, 6.375%, 10/01/19 500 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 AA 512,815 Refunding Bonds, Matching Fund Loan Note, Series 1998A, 5.500%, 10/01/18 - RAAI Insured - ------------------------------------------------------------------------------------------------------------------------------------ 8,095 Total Tax Obligation/Limited 8,276,102 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.8% (4.5% OF TOTAL INVESTMENTS) 2,500 Connecticut, General Airport Revenue Bonds, Bradley International 4/11 at 101.00 AAA 2,574,700 Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 42.7% (28.5% OF TOTAL INVESTMENTS) (4) 625 Connecticut Health and Educational Facilities Authority, Revenue 3/11 at 101.00 AAA 655,813 Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 (Pre-refunded 3/01/11) - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 (4) 1,071,300 Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AAA 1,576,530 Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 (Pre-refunded 7/01/11) - AMBAC Insured 2,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 2,133,320 5.500%, 10/01/20 (Pre-refunded 10/01/11) 500 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (4) 537,335 5.500%, 6/15/21 (Pre-refunded 6/15/12) 500 East Lyme, Connecticut, General Obligation Bonds, Series 2001, 7/11 at 102.00 Aaa 533,065 5.125%, 7/15/20 (Pre-refunded 7/15/11) - FGIC Insured Hamden, Connecticut, General Obligation Bonds, Series 2001: 640 5.250%, 8/15/18 (Pre-refunded 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 686,387 635 5.000%, 8/15/19 (Pre-refunded 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 674,910 300 5.000%, 8/15/20 (Pre-refunded 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 318,855 31 NFC Nuveen Connecticut Dividend Advantage Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (4) (continued) New Haven, Connecticut, General Obligation Bonds, Series 2001A: $ 220 5.000%, 11/01/20 (Pre-refunded 11/01/11) - FGIC Insured 11/11 at 100.00 AAA $ 229,772 780 5.000%, 11/01/20 (Pre-refunded 11/01/10) - FGIC Insured 11/10 at 101.00 AAA 816,941 250 Northern Mariana Islands, General Obligation Bonds, Series 2000A, 6/10 at 100.00 AAA 265,930 6.000%, 6/01/20 (Pre-refunded 6/01/10) - ACA Insured 1,975 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 2,079,537 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured 1,425 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 1,516,585 Bonds, Series 2000A, 5.500%, 10/01/32 1,300 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 1,382,706 Bonds, Series 2000A, 5.500%, 10/01/40 320 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 329,590 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded 7/01/10) 1,000 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 1,066,390 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured 370 Windsor, Connecticut, General Obligation Bonds, Series 2001, 7/09 at 100.00 Aa2 (4) 379,220 5.000%, 7/15/20 (Pre-refunded 7/15/09) - ------------------------------------------------------------------------------------------------------------------------------------ 15,340 Total U.S. Guaranteed 16,254,186 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 4.0% (2.7% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 520,125 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 1,000 Eastern Connecticut Resource Recovery Authority, Solid Waste 7/07 at 100.00 BBB 1,002,700 Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,500 Total Utilities 1,522,825 - ------------------------------------------------------------------------------------------------------------------------------------ 32 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 14.0% (9.4% OF TOTAL INVESTMENTS) $ 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA $ 1,254,050 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 450 5.000%, 11/15/17 - MBIA Insured 11/15 at 100.00 AAA 481,707 720 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 756,180 1,110 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 1,162,570 140 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 152,656 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 786,614 720 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 747,597 - ------------------------------------------------------------------------------------------------------------------------------------ 5,075 Total Water and Sewer 5,341,374 - ------------------------------------------------------------------------------------------------------------------------------------ $ 54,570 Total Investments (cost $55,218,349) - 149.8% 56,953,452 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.5% 570,793 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (51.3)% (19,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 38,024,245 ====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (5) DATE (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ JPMorgan $1,000,000 Pay 3-Month USD LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $(31,358) Morgan Stanley 4,000,000 Pay 3-Month USD LIBOR 5.559 Semi-Annually 4/23/08 4/23/23 (6,319) - ------------------------------------------------------------------------------------------------------------------------------------ $(37,677) ====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate) The Fund may invest in "zero coupon" securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. Such securities are included in the portfolio with a 0.00% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. See accompanying notes to financial statements. 33 NGK Nuveen Connecticut Dividend Advantage Municipal Fund 2 Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.1% (2.1% OF TOTAL INVESTMENTS) $ 250 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 $ 258,420 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 755 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 790,108 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ 1,005 Total Consumer Staples 1,048,528 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 18.0% (12.1% OF TOTAL INVESTMENTS) 500 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 531,330 of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 100 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 103,276 Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 95 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 102.00 AAA 97,588 Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 500 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 101.00 AAA 510,610 Bonds, Hopkins School, Series 1998A, 5.000%, 7/01/20 - AMBAC Insured 215 Connecticut Health and Educational Facilities Authority, Revenue 1/15 at 100.00 Aaa 229,444 Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 - MBIA Insured 310 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 342,290 Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E: 590 5.500%, 7/01/22 - RAAI Insured 7/12 at 101.00 AA 631,914 1,000 5.250%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 1,047,480 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,021,440 Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 135 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA 140,411 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 (WI/DD, Settling 6/07/07) - RAAI Insured University of Connecticut, General Obligation Bonds, Series 2006A: 450 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AAA 481,892 490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AAA 521,061 500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AAA 533,695 Series 2002A, 5.250%, 11/15/22 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 5,885 Total Education and Civic Organizations 6,192,431 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 10.2% (6.8% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A: 20 6.125%, 7/01/20 - RAAI Insured 7/10 at 101.00 AA 21,329 65 6.000%, 7/01/25 - RAAI Insured 7/10 at 101.00 AA 69,085 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 300 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 313,263 300 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 312,018 34 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (continued) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital for Special Care, Series 1997B: $ 105 5.375%, 7/01/17 7/07 at 102.00 BBB- $ 106,751 45 5.500%, 7/01/27 7/07 at 102.00 BBB- 45,736 500 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 525,495 Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 1,031,950 Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 - RAAI Insured 25 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 25,712 Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,051,760 Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 3,360 Total Health Care 3,503,099 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 2.9% (2.0% OF TOTAL INVESTMENTS) 500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 499,665 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 500 Stamford Housing Authority, Connecticut, Multifamily Housing No Opt. Call A- 504,705 Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,000 Total Housing/Multifamily 1,004,370 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 3.6% (2.4% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 305 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 301,657 330 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 326,944 600 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 605,460 Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 1,235 Total Housing/Single Family 1,234,061 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 3.0% (2.1% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,042,370 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 3.3% (2.2% OF TOTAL INVESTMENTS) 320 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 337,990 Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 325 Connecticut Development Authority, First Mortgage Gross Revenue 10/07 at 102.00 BBB- 334,467 Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 450 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AAA 471,717 Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/19 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 1,095 Total Long-Term Care 1,144,174 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 21.9% (14.7% OF TOTAL INVESTMENTS) 875 Bridgeport, Connecticut, General Obligation Bonds, Series 2004C, No Opt. Call AAA 945,849 5.250%, 8/15/14 - MBIA Insured 600 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 619,272 4.750%, 12/15/24 400 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 425,164 5.000%, 6/01/23 - FSA Insured Farmington, Connecticut, General Obligation Bonds, Series 2002: 1,000 5.000%, 9/15/20 9/12 at 101.00 Aa1 1,057,010 1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,529,475 35 NGK Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) $ 1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ $ 1,371,960 Obligation Bonds, Series 2002, 5.000%, 4/01/22 Hartford, Connecticut, General Obligation Bonds, Series 2005A: 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 380,736 240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 238,270 400 Suffield, Connecticut, General Obligation Bonds, Series 2005, No Opt. Call AA 437,012 5.000%, 6/15/21 500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 537,420 Series 2005B, 5.000%, 10/01/17 - ------------------------------------------------------------------------------------------------------------------------------------ 7,130 Total Tax Obligation/General 7,542,168 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 12.5% (8.4% OF TOTAL INVESTMENTS) 500 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 518,640 Child Care Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 - AGC Insured 500 Connecticut, Special Tax Obligation Transportation Infrastructure 10/11 at 100.00 AAA 529,730 Purpose Bonds, Series 2001B, 5.375%, 10/01/13 - FSA Insured 1,625 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 1,729,488 Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured 500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 567,135 Revenue Bonds, Series 2007N, 5.250%, 7/01/31 - AMBAC Insured 430 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 136,981 Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured 750 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 802,478 5.000%, 8/01/16 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,305 Total Tax Obligation/Limited 4,284,452 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.3% (4.2% OF TOTAL INVESTMENTS) 1,950 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call AAA 2,148,549 Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 48.5% (32.5% OF TOTAL INVESTMENTS) (4) 2,250 Connecticut Health and Educational Facilities Authority, Revenue 11/11 at 100.00 AAA 2,355,503 Bonds, Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21 (Pre-refunded 11/01/11) - FSA Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A: 100 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 107,516 30 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 32,237 130 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 139,302 5 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 5,355 1,000 Connecticut Health and Educational Facilities Authority, Revenue 3/11 at 101.00 AAA 1,049,300 Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 (Pre-refunded 3/01/11) - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 (4) 1,061,930 Bonds, Loomis Chaffee School, Series 2001D, 5.250%, 7/01/31 (Pre-refunded 7/01/11) 500 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA (4) 533,445 5.375%, 4/15/19 (Pre-refunded 4/15/12) 2,105 Fairfield, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 2,210,250 5.000%, 4/01/16 (Pre-refunded 4/01/12) 36 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (4) (continued) $ 1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA $ 1,052,930 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured 1,000 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 1,064,270 Bonds, Series 2000A, 5.500%, 10/01/32 2,000 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 2,127,240 Bonds, Series 2000A, 5.500%, 10/01/40 Regional School District 8, Andover, Hebron and Marlborough, Connecticut, General Obligation Bonds, Series 2002: 1,390 5.000%, 5/01/20 (Pre-refunded 5/01/11) - FSA Insured 5/11 at 101.00 Aaa 1,460,821 1,535 5.000%, 5/01/22 (Pre-refunded 5/01/11) - FSA Insured 5/11 at 101.00 Aaa 1,613,208 1,230 University of Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA (4) 1,311,660 5.375%, 4/01/19 (Pre-refunded 4/01/12) 500 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 533,195 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 15,775 Total U.S. Guaranteed 16,658,162 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 3.7% (2.5% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 520,125 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) 8/07 at 100.00 BBB 250,675 510 5.500%, 1/01/20 (Alternative Minimum Tax) 7/07 at 100.00 BBB 511,377 - ------------------------------------------------------------------------------------------------------------------------------------ 1,260 Total Utilities 1,282,177 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 12.0% (8.0% OF TOTAL INVESTMENTS) 70 Connecticut Development Authority, Water Facilities Revenue 9/07 at 101.00 Aaa 71,511 Bonds, Bridgeport Hydraulic Company, Series 1996, 6.000%, 9/01/36 - AMBAC Insured (Alternative Minimum Tax) 785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 830,742 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 500 5.000%, 11/15/16 - MBIA Insured 11/15 at 100.00 AAA 536,230 690 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 724,673 320 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 335,154 37 NGK Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) $ 130 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 $ 141,751 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 786,613 660 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 685,296 - ------------------------------------------------------------------------------------------------------------------------------------ 3,905 Total Water and Sewer 4,111,970 - ------------------------------------------------------------------------------------------------------------------------------------ $ 48,905 Total Investments (cost $49,452,258) - 149.0% 51,196,511 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.9% 669,432 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (50.9)% (17,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 34,365,943 ====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (5) DATE (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ JPMorgan $ 750,000 Pay 3-Month USD-LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $(23,519) Morgan Stanley 3,000,000 Pay 3-Month USD-LIBOR 5.559 Semi-Annually 4/23/08 4/23/23 (4,739) - ------------------------------------------------------------------------------------------------------------------------------------ $(28,258) ====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate) The Fund may invest in "zero coupon" securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. Such securities are included in the portfolio with a 0.00% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. See accompanying notes to financial statements. 38 NGO Nuveen Connecticut Dividend Advantage Municipal Fund 3 Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 4.0% (2.7% OF TOTAL INVESTMENTS) $ 2,405 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 2,516,833 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 14.4% (9.6% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 986,170 Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 - MBIA Insured 650 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 690,729 of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 150 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 154,914 Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 1,700 Connecticut Health and Educational Facilities Authority, Revenue 11/15 at 100.00 AAA 1,819,408 Bonds, Connecticut State University System, Series 2005H, 5.000%, 11/01/17 - FSA Insured 285 Connecticut Health and Educational Facilities Authority, Revenue 1/15 at 100.00 Aaa 304,146 Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 - MBIA Insured 400 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 441,664 Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 750 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 803,280 Bonds, University of Hartford, Series 2002E, 5.500%, 7/01/22 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,532,160 Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 250 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA 260,020 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 (WI/DD, Settling 6/07/07) - RAAI Insured University of Connecticut, General Obligation Bonds, Series 2006A: 850 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AAA 910,240 490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AAA 521,061 500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AAA 533,695 Series 2002A, 5.250%, 11/15/22 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 8,525 Total Education and Civic Organizations 8,957,487 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 6.5% (4.3% OF TOTAL INVESTMENTS) 500 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 533,385 Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/21 - RAAI Insured 800 Connecticut Health and Educational Facilities Authority, Revenue 7/15 at 100.00 Aa3 835,368 Bonds, Griffin Hospital, Series 2005B, 5.000%, 7/01/20 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital for Special Care, Series 1997B: 235 5.375%, 7/01/17 7/07 at 102.00 BBB- 238,920 225 5.500%, 7/01/27 7/07 at 102.00 BBB- 228,679 900 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 945,891 Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 200 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 205,694 Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 39 NGO Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (continued) $ 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA $ 1,051,760 Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 3,860 Total Health Care 4,039,697 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 2.8% (1.9% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 999,330 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 750 Stamford Housing Authority, Connecticut, Multifamily Housing No Opt. Call A- 757,058 Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,750 Total Housing/Multifamily 1,756,388 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 3.2% (2.2% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 435 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 430,232 465 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 460,694 1,100 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 1,110,010 Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 2,000 Total Housing/Single Family 2,000,936 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 3.3% (2.2% OF TOTAL INVESTMENTS) 2,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 2,084,740 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG TERM-CARE - 12.4% (8.3% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 528,110 Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 600 Connecticut Development Authority, First Mortgage Gross Revenue 10/07 at 102.00 BBB- 617,478 Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 Connecticut Development Authority, Revenue Bonds, Duncaster Inc., Series 2002: 650 5.125%, 8/01/22 - RAAI Insured 8/12 at 101.00 AA 677,177 1,025 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 AA 1,031,437 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 451,461 475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 AAA 496,883 260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 AAA 270,772 1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 AAA 1,039,800 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 1,045,820 1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 AAA 1,557,630 - ------------------------------------------------------------------------------------------------------------------------------------ 7,440 Total Long-Term Care 7,716,568 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 27.1% (18.1% OF TOTAL INVESTMENTS) Bethel, Connecticut, General Obligation Bonds, Series 2002: 525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aaa 549,675 525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aaa 549,150 525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aaa 549,150 525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aaa 549,150 525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aaa 547,208 1,000 Bridgeport, Connecticut, General Obligation Bonds, Series 2004C, No Opt. Call AAA 1,080,970 5.250%, 8/15/14 - MBIA Insured 1,200 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 1,238,544 4.750%, 12/15/24 40 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) $ 700 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA $ 744,037 5.000%, 6/01/23 - FSA Insured 450 Farmington, Connecticut, General Obligation Bonds, Series 2002, 9/12 at 101.00 Aa1 475,655 5.000%, 9/15/20 Hartford, Connecticut, General Obligation Bonds, Series 2005A: 600 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 634,560 400 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 397,116 New Canaan, Connecticut, General Obligation Bonds, Series 2002A: 950 4.500%, 5/01/19 5/11 at 100.00 Aaa 964,345 900 4.600%, 5/01/20 5/11 at 100.00 Aaa 915,741 500 4.700%, 5/01/21 5/11 at 100.00 Aaa 509,885 Southbury, Connecticut, General Obligation Bonds, Series 2002: 500 4.250%, 12/15/14 12/11 at 101.00 Aa3 509,285 500 4.375%, 12/15/15 12/11 at 101.00 Aa3 511,370 500 4.375%, 12/15/16 12/11 at 101.00 Aa3 510,620 500 4.500%, 12/15/17 12/11 at 101.00 Aa3 512,205 500 4.625%, 12/15/18 12/11 at 101.00 Aa3 514,505 500 4.625%, 12/15/19 12/11 at 101.00 Aa3 512,505 500 4.875%, 12/15/20 12/11 at 101.00 Aa3 518,140 500 4.875%, 12/15/21 12/11 at 101.00 Aa3 517,140 500 5.000%, 12/15/22 12/11 at 101.00 Aa3 522,590 Stratford, Connecticut, General Obligation Bonds, Series 2002: 1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,364,014 630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 627,499 500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 535,845 Series 2005B, 5.000%, 10/01/18 - ------------------------------------------------------------------------------------------------------------------------------------ 16,330 Total Tax Obligation/General 16,860,904 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 22.1% (14.8% OF TOTAL INVESTMENTS) 930 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 964,670 Child Care Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 - AGC Insured 60 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AA 65,125 Purpose Bonds, Series 1992B, 6.125%, 9/01/12 Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: 2,810 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,941,143 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,044,920 1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AAA 1,042,920 500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 525,420 Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 1,000 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 1,134,270 Revenue Bonds, Series 2007N, 5.250%, 7/01/31 - AMBAC Insured Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: 780 0.000%, 7/01/32 - FGIC Insured No Opt. Call AAA 248,477 2,120 0.000%, 7/01/33 - FGIC Insured No Opt. Call AAA 646,876 Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G: 890 5.250%, 7/01/17 7/12 at 100.00 BBB- 929,650 1,000 5.250%, 7/01/20 7/12 at 100.00 BBB- 1,044,090 1,045 5.250%, 7/01/21 7/12 at 100.00 BBB- 1,090,102 1,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,105,273 Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 - AMBAC Insured 195 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 BBB- 204,787 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 41 NGO Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 750 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 BBB $ 769,418 Refunding Bonds, Matching Fund Loan Note, Series 1998A, 5.500%, 10/01/22 - ------------------------------------------------------------------------------------------------------------------------------------ 15,090 Total Tax Obligation/Limited 13,757,141 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 0.7% (0.6% OF TOTAL INVESTMENTS) 415 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call AAA 457,255 Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 32.3% (21.6% OF TOTAL INVESTMENTS) (4) 500 Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 9/13 at 100.00 AAA 537,725 5.250%, 9/15/23 (Pre-refunded 9/15/13) - FSA Insured 1,595 Connecticut Health and Educational Facilities Authority, Revenue 11/11 at 100.00 AAA 1,669,790 Bonds, Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21 (Pre-refunded 11/01/11) - FSA Insured 3,100 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AAA 3,258,162 Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21 (Pre-refunded 7/01/11) - AMBAC Insured 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA (4) 1,050,380 5.000%, 4/15/21 (Pre-refunded 4/15/12) 400 Connecticut, Special Tax Obligation Transportation Infrastructure 10/11 at 100.00 AAA 415,256 Purpose Bonds, Series 2001A, 4.800%, 10/01/18 (Pre-refunded 10/01/11) - FSA Insured 40 New Haven, Connecticut, General Obligation Bonds, Series 2002A, 11/11 at 101.00 AAA 42,625 5.250%, 11/01/17 - AMBAC Insured (ETM) 1,405 New Haven, Connecticut, General Obligation Bonds, Series 2002A, 11/11 at 101.00 AAA 1,496,901 5.250%, 11/01/17 (Pre-refunded 11/01/11) - AMBAC Insured 3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,211,437 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured 3,000 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 3,190,860 Bonds, Series 2000A, 5.500%, 10/01/40 2,000 Puerto Rico Infrastructure Financing Authority, Special Tax 1/08 at 101.00 AAA 2,035,840 Revenue Bonds, Series 1997A, 5.000%, 7/01/28 (Pre-refunded 1/01/08) - AMBAC Insured 570 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 Aaa 608,914 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 (Pre-refunded 2/01/12) 1,410 Puerto Rico, General Obligation and Public Improvement Refunding 7/08 at 101.00 AAA 1,444,686 Bonds, Series 1998B, 5.000%, 7/01/24 (Pre-refunded 7/01/08) - MBIA Insured 1,100 University of Connecticut, General Obligation Bonds, Series 2003A, 2/13 at 100.00 AAA 1,169,135 5.125%, 2/15/21 (Pre-refunded 2/15/13) - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 19,170 Total U.S. Guaranteed 20,131,711 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 3.3% (2.2% OF TOTAL INVESTMENTS) 720 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 748,980 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) 7/07 at 100.00 BBB 1,002,700 305 5.500%, 1/01/20 (Alternative Minimum Tax) 7/07 at 100.00 BBB 305,824 - ------------------------------------------------------------------------------------------------------------------------------------ 2,025 Total Utilities 2,057,504 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 17.2% (11.5% OF TOTAL INVESTMENTS) 765 Connecticut Development Authority, Water Facilities Revenue 9/07 at 101.00 N/R 781,310 Bonds, Bridgeport Hydraulic Company, Series 1996, 6.000%, 9/01/36 (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,254,050 Series 2003A, 5.000%, 10/01/16 42 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: $ 770 5.000%, 11/15/16 - MBIA Insured 11/15 at 100.00 AAA $ 825,794 1,230 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 1,291,808 640 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 670,310 230 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 250,794 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 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 2,150,081 1,140 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,183,695 1,840 South Central Connecticut Regional Water Authority, 8/16 at 100.00 AAA 1,943,038 Water System Revenue Bonds, Twentieth Series, 2007A, 5.000%, 8/01/30 - MBIA Insured 350 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 364,275 Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 - ------------------------------------------------------------------------------------------------------------------------------------ 10,200 Total Water and Sewer 10,715,155 - ------------------------------------------------------------------------------------------------------------------------------------ $ 91,210 Total Investments (cost $91,413,059) - 149.3% 93,052,319 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.0% 1,272,346 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (51.3)% (32,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 62,324,665 ====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (5) DATE (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley $2,500,000 Pay 3-Month USD-LIBOR 5.559% Semi-Annually 4/23/08 4/23/23 $(3,949) ====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate) The Fund may invest in "zero coupon" securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. Such securities are included in the portfolio with a 0.00% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 43 NMT Nuveen Massachusetts Premium Income Municipal Fund Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 2.2% (1.5% OF TOTAL INVESTMENTS) $ 1,485 Boston Industrial Development Financing Authority, Massachusetts, 9/12 at 102.00 Ba3 $ 1,537,747 Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 0.9% (0.6% OF TOTAL INVESTMENTS) 550 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 568,524 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 22.4% (15.1% OF TOTAL INVESTMENTS) 750 Massachusetts Development Finance Agency, Revenue Bonds, 9/15 at 100.00 AAA 779,483 Western New England College, Series 2005A, 5.000%, 9/01/33 - AGC Insured 890 Massachusetts Development Finance Authority, Revenue Bonds, 3/09 at 101.00 A 922,476 Curry College, Series 2000A, 6.000%, 3/01/20 - ACA Insured 1,000 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A3 1,074,020 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 1,745 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 1,806,494 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured 750 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 AA- 794,858 Milton Academy, Series 2003A, 5.000%, 9/01/19 1,090 Massachusetts Development Finance Authority, Revenue Refunding No Opt. Call A3 1,278,439 Bonds, Boston University, Series 1999P, 6.000%, 5/15/29 85 Massachusetts Education Loan Authority, Student Loan Revenue 7/07 at 100.00 AAA 85,088 Bonds, Issue E, Series 1995, 6.150%, 7/01/10 - AMBAC Insured (Alternative Minimum Tax) 1,550 Massachusetts Educational Finance Authority, Educational Loan 1/12 at 100.00 AAA 1,587,200 Revenue Bonds, Series 2002E, 5.000%, 1/01/13 - AMBAC Insured (Alternative Minimum Tax) 2,000 Massachusetts Health and Educational Facilities Authority, Revenue 6/13 at 100.00 AA- 2,129,440 Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 500 Massachusetts Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AA+ 519,355 Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26 555 Massachusetts Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AA+ 580,874 Bonds, Williams College, Series 2003H, 5.000%, 7/01/21 1,380 Massachusetts Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA+ 1,451,429 Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 500 Massachusetts Health and Educational Facilities Authority, Revenue 11/12 at 100.00 AAA 518,690 Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured 1,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 7/07 at 100.00 Aa1 1,646,431 Whitehead Institute for Biomedical Research, Series 1993, 5.125%, 7/01/26 375 Puerto Rico Industrial, Tourist, Educational, Medical and 2/09 at 101.00 BBB- 383,936 Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999, 5.375%, 2/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ 14,815 Total Education and Civic Organizations 15,558,213 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 17.9% (12.0% OF TOTAL INVESTMENTS) 1,250 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 1,337,575 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 44 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (continued) $ 1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 AA $ 1,039,590 Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 - RAAI Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 1,083,110 Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 935 Massachusetts Health and Educational Facilities Authority, Revenue 8/15 at 100.00 AA 957,365 Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 - RAAI Insured 1,000 Massachusetts Health and Educational Facilities Authority, Revenue 8/15 at 100.00 AAA 1,050,380 Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured 585 Massachusetts Health and Educational Facilities Authority, Revenue 7/17 at 100.00 BBB- 587,966 Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 1,000 Massachusetts Health and Educational Facilities Authority, Revenue 7/15 at 100.00 BBB- 1,022,420 Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 1,500 Massachusetts Health and Educational Facilities Authority, Revenue 7/07 at 100.00 AAA 1,501,545 Bonds, New England Medical Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured 600 Massachusetts Health and Educational Facilities Authority, Revenue 5/12 at 100.00 AAA 634,392 Bonds, New England Medical Center Hospitals, Series 2002H, 5.375%, 5/15/19 - FGIC Insured 2,000 Massachusetts Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AA 2,143,300 Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 375 Massachusetts Health and Educational Facilities Authority, Revenue 7/11 at 100.00 BBB 406,076 Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 615 Massachusetts Health and Educational Facilities Authority, Revenue 7/15 at 100.00 BBB 618,020 Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 - ------------------------------------------------------------------------------------------------------------------------------------ 11,860 Total Health Care 12,381,739 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 8.1% (5.4% OF TOTAL INVESTMENTS) 1,335 Massachusetts Development Finance Authority, Multifamily Housing 7/17 at 100.00 AAA 1,329,927 Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 (WI/DD, Settling 6/13/07) 1,875 Massachusetts Development Financing Authority, Assisted Living 12/09 at 102.00 N/R 1,955,175 Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31 335 Massachusetts Housing Finance Agency, Housing Bonds, 6/15 at 100.00 AA- 339,945 Series 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax) 500 Massachusetts Housing Finance Agency, Housing Revenue Bonds, 6/13 at 100.00 AA- 509,580 Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 385 Massachusetts Housing Finance Agency, Rental Housing Mortgage 7/10 at 101.00 AAA 399,703 Revenue Bonds, Series 1999D, 5.500%, 7/01/13 - AMBAC Insured (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA Collateralized 5/12 at 103.00 AAA 1,050,730 Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 - ------------------------------------------------------------------------------------------------------------------------------------ 5,430 Total Housing/Multifamily 5,585,060 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 3.5% (2.4% OF TOTAL INVESTMENTS) 990 Massachusetts Housing Finance Agency, Single Family Housing 6/15 at 100.00 AA 988,436 Revenue Bonds, Series 2006-122, 4.875%, 12/01/37 (Alternative Minimum Tax) 1,500 Massachusetts Housing Finance Agency, Single Family Housing 6/16 at 100.00 AA 1,451,415 Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,490 Total Housing/Single Family 2,439,851 - ------------------------------------------------------------------------------------------------------------------------------------ 45 NMT Nuveen Massachusetts Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 1.2% (0.8% OF TOTAL INVESTMENTS) $ 415 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R $ 420,536 Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 400 Massachusetts Development Finance Agency, Solid Waste Disposal No Opt. Call BBB 421,056 Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 - ------------------------------------------------------------------------------------------------------------------------------------ 815 Total Industrials 841,592 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 6.4% (4.3% OF TOTAL INVESTMENTS) 1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, 10/08 at 105.00 AAA 1,361,542 Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31 655 Massachusetts Development Finance Agency, Revenue Bonds, 10/12 at 102.00 BBB- 666,718 Orchard Cove, Series 2007, 5.250%, 10/01/26 1,500 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,648,605 Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 355 Massachusetts Industrial Finance Agency, FHA-Insured Project 8/07 at 101.00 AAA 358,468 Revenue Bonds, Heights Crossing LP, Series 1995, 6.000%, 2/01/15 (Alternative Minimum Tax) 400 Massachusetts Industrial Finance Agency, First Mortgage Revenue 1/11 at 101.00 BBB- 397,928 Bonds, Berkshire Retirement Community, Series 1994B, 4.750%, 7/01/17 - ------------------------------------------------------------------------------------------------------------------------------------ 4,180 Total Long-Term Care 4,433,261 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 16.0% (10.8% OF TOTAL INVESTMENTS) 500 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 Aaa 540,275 5.250%, 5/15/23 - AMBAC Insured 1,250 Boston, Massachusetts, General Obligation Bonds, Series 2005A, 1/15 at 100.00 AA+ 1,337,788 5.000%, 1/01/17 1,000 Fall River, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 AAA 1,055,020 5.000%, 2/01/21 - FSA Insured 2,500 Massachusetts Bay Transportation Authority, General Obligation No Opt. Call AAA 3,055,525 Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 1,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 1,425,501 Series 2001D, 6.000%, 11/01/13 - MBIA Insured 980 Monson, Massachusetts, General Obligation Bonds, Series 2002, 5/12 at 101.00 Aaa 1,040,427 5.250%, 5/15/22 - AMBAC Insured 1,260 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AAA 1,374,307 5.000%, 11/15/20 - FGIC Insured 1,220 Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 7/15 at 100.00 AAA 1,295,725 5.000%, 7/01/19 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,985 Total Tax Obligation/General 11,124,568 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 15.0% (10.1% OF TOTAL INVESTMENTS) 210 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA 219,923 Series 2004, 5.000%, 5/01/26 - AMBAC Insured 940 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/15 at 100.00 AAA 1,001,673 Series 2005A, 5.000%, 7/01/18 385 Massachusetts Bay Transportation Authority, Senior Lien Sales Tax No Opt. Call AAA 427,851 Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21 1,000 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/18 at 100.00 AAA 1,064,340 Revenue Bonds, Series 2006, 5.000%, 7/01/26 550 Massachusetts College Building Authority, Project Revenue Bonds, 5/14 at 100.00 AAA 579,871 Series 2004A, 5.000%, 5/01/19 - MBIA Insured 325 Massachusetts College Building Authority, Project Revenue Bonds, 5/16 at 100.00 AAA 341,322 Series 2006A, 5.000%, 5/01/31 - AMBAC Insured 1,000 Massachusetts College Building Authority, Project Revenue No Opt. Call AAA 1,126,030 Refunding Bonds, Series 2003B, 5.375%, 5/01/23 - XLCA Insured 46 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 1,300 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA $ 1,377,961 Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 540 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AAA 582,692 Series 2005, 5.000%, 1/01/20 - FGIC Insured 1,000 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aaa 1,060,920 Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 1,000 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 1,129,450 Revenue Bonds, Series 2007N, 5.250%, 7/01/30 - AMBAC Insured 240 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 45,614 Revenue Bonds, Series 2005A, 0.000%, 7/01/43 - AMBAC Insured 1,300 Puerto Rico, Highway Revenue Bonds, Highway and Transportation No Opt. Call AAA 1,472,679 Authority, Series 2003AA, 5.500%, 7/01/19 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,790 Total Tax Obligation/Limited 10,430,326 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 11.8% (7.9% OF TOTAL INVESTMENTS) 2,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 2,079,600 5.000%, 7/01/33 - MBIA Insured 1,700 Massachusetts Port Authority, Revenue Bonds, Series 2005A, 7/15 at 100.00 AAA 1,791,749 5.000%, 7/01/23 - AMBAC Insured 225 Massachusetts Port Authority, Special Facilities Revenue Bonds, 1/11 at 101.00 AAA 228,665 Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 - AMBAC Insured (Alternative Minimum Tax) 4,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 9/07 at 101.00 AAA 4,086,320 US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 - MBIA Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 7,925 Total Transportation 8,186,334 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 25.0% (16.8% OF TOTAL INVESTMENTS) (4) 2,500 Massachusetts Development Finance Authority, GNMA 10/11 at 105.00 AAA 2,906,075 Collateralized Revenue Bonds, VOA Concord Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 (Pre-refunded 10/20/11) 500 Massachusetts Development Finance Authority, Revenue Bonds, 9/11 at 101.00 A (4) 533,205 Belmont Hills School, Series 2001, 5.375%, 9/01/23 (Pre-refunded 9/01/11) 410 Massachusetts Health and Educational Facilities Authority, 7/21 at 100.00 AAA 444,817 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) - MBIA Insured 1,500 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 AAA 1,580,850 Revenue Bonds, University of Massachusetts - Worcester Campus, Series 2001B, 5.250%, 10/01/31 (Pre-refunded 10/01/11) - FGIC Insured 2,300 Massachusetts Industrial Finance Agency, Revenue Bonds, 9/08 at 101.00 A (4) 2,365,136 Belmont Hill School, Series 1998, 5.250%, 9/01/28 (Pre-refunded 9/01/08) 705 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/07 at 100.00 AAA 904,240 13.000%, 7/01/13 (ETM) 1,440 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 Aaa 1,527,221 Program Bonds, Series 9, 5.000%, 8/01/22 (Pre-refunded 8/01/13) 1,250 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 AA (4) 1,327,550 Series 2004B, 5.000%, 8/01/24 (Pre-refunded 8/01/14) 1,500 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 AAA 1,607,985 Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) - FGIC Insured 1,615 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 1,725,305 Series 2003, 5.250%, 1/15/23 (Pre-refunded 1/15/13) - MBIA Insured 1,200 University of Massachusetts Building Authority, Senior Lien Project 11/13 at 100.00 AAA 1,292,196 Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 (Pre-refunded 11/01/13) - AMBAC Insured 47 NMT Nuveen Massachusetts Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (4) (continued) $ 1,000 University of Massachusetts Building Authority, Senior Lien Project 11/14 at 100.00 AAA $ 1,086,520 Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 (Pre-refunded 11/01/14) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 15,920 Total U.S. Guaranteed 17,301,100 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 3.0% (2.0% OF TOTAL INVESTMENTS) 1,000 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AAA 1,074,430 Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/16 - MBIA Insured 1,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 1,034,610 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,000 Total Utilities 2,109,040 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 11.0% (7.4% OF TOTAL INVESTMENTS) 2,000 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 2,097,740 General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 285 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/14 at 100.00 AAA 297,534 Program Bonds, Series 10, 5.000%, 8/01/26 750 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 746,310 Program Bonds, Series 11, 4.500%, 8/01/29 1,000 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 968,040 Program Bonds, Series 12, 4.375%, 8/01/31 60 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 AAA 62,647 Program Bonds, Series 9, 5.000%, 8/01/22 1,250 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 1,321,312 MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 1,500 Massachusetts Water Resources Authority, General Revenue 8/17 at 100.00 AAA 1,587,554 Bonds, Series 2005A, 5.000%, 8/01/28 - MBIA Insured 625 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 541,180 Bonds, Series 2006A, 4.000%, 8/01/46 - ------------------------------------------------------------------------------------------------------------------------------------ 7,470 Total Water and Sewer 7,622,317 - ------------------------------------------------------------------------------------------------------------------------------------ $ 94,715 Total Long-Term Investments (cost $96,864,892) - 144.4% 100,119,672 =============----------------------------------------------------------------------------------------------------------------------- 48 PRINCIPAL AMOUNT (000) DESCRIPTION (1) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 4.3% (2.9% OF TOTAL INVESTMENTS) $ 2,950 Puerto Rico Government Development Bank, Adjustable Refunding VMIG-1 $ 2,950,000 Bonds, Variable Rate Demand Obligations, Series 1985, 3.610%, 12/01/15 - MBIA Insured (5) - ------------------------------------------------------------------------------------------------------------------------------------ $ 2,950 Total Short-Term Investments (cost $2,950,000) 2,950,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $99,814,892) - 148.7% 103,069,672 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 0.3% 253,824 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.0)% (34,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 69,323,496 ====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (6) DATE (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ JPMorgan $1,250,000 Pay 3-Month USD-LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $(39,197) ==================================================================================================================================== USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
The Fund may invest in "zero coupon" securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. Such securities are included in the portfolio with a 0.00% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Investment has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. (6) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 49 NMB Nuveen Massachusetts Dividend Advantage Municipal Fund Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 1.8% (1.2% OF TOTAL INVESTMENTS) $ 495 Boston Industrial Development Financing Authority, 9/12 at 102.00 Ba3 $ 512,582 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 27.1% (18.4% OF TOTAL INVESTMENTS) 450 Massachusetts Development Finance Agency, Revenue Bonds, 9/15 at 100.00 AAA 467,690 Western New England College, Series 2005A, 5.000%, 9/01/33 - AGC Insured 495 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 512,444 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured 500 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 AA- 529,905 Milton Academy, Series 2003A, 5.000%, 9/01/19 1,000 Massachusetts Development Finance Authority, Revenue Refunding 5/29 at 105.00 A3 1,201,120 Bonds, Boston University, Series 1999P, 6.000%, 5/15/59 1,085 Massachusetts Educational Finance Authority, Educational Loan 7/10 at 100.00 AAA 1,110,660 Revenue Bonds, Series 2001E, 5.300%, 1/01/16 - AMBAC Insured (Alternative Minimum Tax) 1,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,064,720 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- 2,100,840 Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36 590 Massachusetts Health and Educational Facilities Authority, 7/16 at 100.00 AA+ 620,538 Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 250 University of Massachusetts Building Authority, Senior Lien No Opt. Call AAA 267,655 Project Revenue Bonds, Series 2005-1, 5.000%, 5/01/15 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 7,370 Total Education and Civic Organizations 7,875,572 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 21.1% (14.3% OF TOTAL INVESTMENTS) 500 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 535,030 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 250 Massachusetts Health and Educational Facilities Authority, 1/09 at 101.00 BBB 255,973 Revenue Bonds, Caritas Christi Obligated Group, Series 1999A, 5.625%, 7/01/20 375 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A 402,956 Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 315 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AA 322,535 Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 - RAAI Insured 600 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AAA 630,228 Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured 290 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 291,470 Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 500 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 511,210 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 500 Massachusetts Health and Educational Facilities Authority, 7/14 at 100.00 BB- 531,130 Revenue Bonds, Northern Berkshire Community Services Inc., Series 2004B, 6.375%, 7/01/34 1,000 Massachusetts Health and Educational Facilities Authority, 7/09 at 101.00 AA 1,027,000 Revenue Bonds, Partners HealthCare System Inc., Series 1999B, 5.125%, 7/01/19 50 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (continued) $ 1,000 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA $ 1,071,650 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 541,435 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 - ------------------------------------------------------------------------------------------------------------------------------------ 5,830 Total Health Care 6,120,617 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 12.1% (8.2% OF TOTAL INVESTMENTS) 570 Massachusetts Development Finance Authority, Multifamily 7/17 at 100.00 AAA 567,834 Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 (WI/DD, Settling 6/13/07) 135 Massachusetts Housing Finance Agency, Housing Bonds, 6/15 at 100.00 AA- 136,993 Series 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax) 500 Massachusetts Housing Finance Agency, Housing Revenue Bonds, 6/13 at 100.00 AA- 509,580 Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 1,215 Massachusetts Housing Finance Agency, Rental Housing 1/11 at 100.00 AAA 1,249,919 Mortgage Revenue Bonds, Series 2001A, 5.850%, 7/01/35 - AMBAC Insured (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA Collateralized 5/12 at 103.00 AAA 1,050,730 Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 - ------------------------------------------------------------------------------------------------------------------------------------ 3,420 Total Housing/Multifamily 3,515,056 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 3.5% (2.4% OF TOTAL INVESTMENTS) 395 Massachusetts Housing Finance Agency, Single Family Housing 6/15 at 100.00 AA 394,376 Revenue Bonds, Series 2006-122, 4.875%, 12/01/37 (Alternative Minimum Tax) 650 Massachusetts Housing Finance Agency, Single Family Housing 6/16 at 100.00 AA 628,947 Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,045 Total Housing/Single Family 1,023,323 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 1.3% (0.9% OF TOTAL INVESTMENTS) 195 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 197,601 Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 200 Massachusetts Development Finance Agency, Solid Waste Disposal No Opt. Call BBB 210,528 Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 - ------------------------------------------------------------------------------------------------------------------------------------ 395 Total Industrials 408,129 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 7.2% (4.9% OF TOTAL INVESTMENTS) 285 Massachusetts Development Finance Agency, Revenue Bonds, 10/12 at 102.00 BBB- 290,099 Orchard Cove, Series 2007, 5.250%, 10/01/26 655 Massachusetts Development Finance Authority, First Mortgage 7/11 at 102.00 BBB- 714,782 Revenue Bonds, Berkshire Retirement Community - Edgecombe Project, Series 2001A, 6.750%, 7/01/21 1,000 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,099,070 Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,940 Total Long-Term Care 2,103,951 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 14.8% (10.0% OF TOTAL INVESTMENTS) 310 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 Aaa 334,971 5.250%, 5/15/23 - AMBAC Insured 2,000 Brookline, Massachusetts, General Obligation Bonds, Series 2000, 4/10 at 101.00 Aaa 2,098,860 5.375%, 4/01/17 440 Fall River, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 AAA 464,209 5.000%, 2/01/21 - FSA Insured 750 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AA 846,293 Series 2002D, 5.500%, 8/01/19 500 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AAA 545,360 5.000%, 11/15/20 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,000 Total Tax Obligation/General 4,289,693 - ------------------------------------------------------------------------------------------------------------------------------------ 51 NMB Nuveen Massachusetts Dividend Advantage Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 15.3% (10.3% OF TOTAL INVESTMENTS) $ 395 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA $ 413,664 Series 2004, 5.000%, 5/01/26 - AMBAC Insured 210 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/10 at 100.00 AAA 217,413 Series 2000A, 5.250%, 7/01/30 450 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/15 at 100.00 AAA 479,525 Series 2005A, 5.000%, 7/01/18 385 Massachusetts Bay Transportation Authority, Senior Lien Sales No Opt. Call AAA 427,851 Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21 230 Massachusetts College Building Authority, Project Revenue Bonds, 5/14 at 100.00 AAA 242,491 Series 2004A, 5.000%, 5/01/19 - MBIA Insured 250 Massachusetts College Building Authority, Project Revenue Bonds, 5/16 at 100.00 AAA 262,555 Series 2006A, 5.000%, 5/01/31 - AMBAC Insured 500 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA 529,985 Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 500 Massachusetts School Building Authority, Dedicated Sales Tax 8/17 at 100.00 AAA 511,545 Revenue Bonds, Series 2007A, 4.750%, 8/15/32 - AMBAC Insured 230 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AAA 248,184 Series 2005, 5.000%, 1/01/20 - FGIC Insured 500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 564,725 Revenue Bonds, Series 2007N, 5.250%, 7/01/30 - AMBAC Insured 500 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 539,680 Loan Note, Series 1999A, 6.375%, 10/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ 4,150 Total Tax Obligation/Limited 4,437,618 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.4% (4.3% OF TOTAL INVESTMENTS) 800 Massachusetts Port Authority, Revenue Bonds, Series 2005A, 7/15 at 100.00 AAA 843,176 5.000%, 7/01/23 - AMBAC Insured 1,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 7/07 at 102.00 AAA 1,021,020 BOSFUEL Corporation, Series 1997, 5.500%, 7/01/18 - MBIA Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,800 Total Transportation 1,864,196 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 17.3% (11.7% OF TOTAL INVESTMENTS) (4) 1,000 Boston, Massachusetts, General Obligation Bonds, Series 2001A, 2/11 at 100.00 AA+ (4) 1,039,440 5.000%, 2/01/20 (Pre-refunded 2/01/11) 1,675 Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 2/11 at 100.00 Aaa 1,741,062 5.000%, 2/01/21 (Pre-refunded 2/01/11) - AMBAC Insured 500 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 AA (4) 531,020 Series 2004B, 5.000%, 8/01/24 (Pre-refunded 8/01/14) 750 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 AAA 803,993 Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) - FGIC Insured 600 University of Massachusetts Building Authority, Senior Lien 11/13 at 100.00 AAA 646,098 Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 (Pre-refunded 11/01/13) - AMBAC Insured 250 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 271,630 Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 (Pre-refunded 11/01/14) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,775 Total U.S. Guaranteed 5,033,243 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.7% (3.9% OF TOTAL INVESTMENTS) 1,070 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AAA 1,148,720 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 517,305 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,570 Total Utilities 1,666,025 - ------------------------------------------------------------------------------------------------------------------------------------ 52 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 14.0% (9.5% OF TOTAL INVESTMENTS) $ 530 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA $ 555,901 General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 125 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 136,301 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 500 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 497,540 Program Bonds, Series 11, 4.500%, 8/01/29 400 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 387,216 Program Bonds, Series 12, 4.375%, 8/01/31 500 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 528,524 MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 1,405 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/09 at 101.00 AAA 1,471,034 MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29 250 Massachusetts Water Resources Authority, General Revenue 8/17 at 100.00 AAA 264,592 Bonds, Series 2005A, 5.000%, 8/01/28 - MBIA Insured 250 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 216,472 Bonds, Series 2006A, 4.000%, 8/01/46 - ------------------------------------------------------------------------------------------------------------------------------------ 3,960 Total Water and Sewer 4,057,580 - ------------------------------------------------------------------------------------------------------------------------------------ $ 40,750 Total Investments (cost $41,590,201) - 147.6% 42,907,585 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 4.0% 1,164,200 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (51.6)% (15,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 29,071,785 ====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (5) DATE (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ JPMorgan $500,000 Pay 3-Month USD-LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $(15,679) ==================================================================================================================================== USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. See accompanying notes to financial statements. 53 NGX Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 15.2% (10.0% OF TOTAL INVESTMENTS) $ 500 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A3 $ 561,280 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 1,250 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 A1 1,284,663 Middlesex School, Series 2003, 5.000%, 9/01/33 2,500 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,595,750 Revenue Bonds, Boston College, Series 2003N, 5.125%, 6/01/37 1,500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 AAA 1,556,070 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 5,750 Total Education and Civic Organizations 5,997,763 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 10.5% (6.9% OF TOTAL INVESTMENTS) 500 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 513,330 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 - MBIA Insured 585 Massachusetts Health and Educational Facilities Authority, Revenue 7/17 at 100.00 BBB- 587,966 Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 200 Massachusetts Health and Educational Facilities Authority, Revenue 7/15 at 100.00 BBB- 204,484 Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 2,500 Massachusetts Health and Educational Facilities Authority, Revenue 5/12 at 100.00 AAA 2,590,850 Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 - FGIC Insured 250 Massachusetts Health and Educational Facilities Authority, Revenue 7/15 at 100.00 BBB 251,228 Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 - ------------------------------------------------------------------------------------------------------------------------------------ 4,035 Total Health Care 4,147,858 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 10.4% (6.8% OF TOTAL INVESTMENTS) 775 Massachusetts Development Finance Authority, Multifamily Housing 7/17 at 100.00 AAA 772,055 Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 (WI/DD, Settling 6/13/07) 2,000 Massachusetts Housing Finance Agency, Housing Bonds, 12/12 at 100.00 AA- 2,025,320 Series 2003H, 5.125%, 6/01/43 1,265 Massachusetts Housing Finance Agency, Rental Housing 7/12 at 100.00 AAA 1,288,162 Mortgage Revenue Bonds, Series 2002H, 5.200%, 7/01/42 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,040 Total Housing/Multifamily 4,085,537 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 4.9% (3.3% OF TOTAL INVESTMENTS) 1,750 Massachusetts Development Finance Authority, GNMA 12/12 at 105.00 AAA 1,951,565 Collateralized Revenue Bonds, Neville Communities, Series 2002A, 6.000%, 6/20/44 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 26.9% (17.7% OF TOTAL INVESTMENTS) 1,280 Littleton, Massachusetts, General Obligation Bonds, Series 2003, 1/13 at 101.00 AAA 1,349,760 5.000%, 1/15/21 - FGIC Insured 1,000 Malden, Massachusetts, General Obligation Bonds, Series 2005, No Opt. Call AAA 1,080,280 5.000%, 8/01/16 - FGIC Insured 3,000 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,335,278 Series 2004B, 5.250%, 8/01/21 - FSA Insured 1,025 Maynard, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 Aaa 1,111,213 5.500%, 2/01/19 - MBIA Insured 1,705 North Attleborough, Massachusetts, General Obligation Bonds, 7/14 at 101.00 Aaa 1,831,767 Series 2004, 5.000%, 7/15/15 - FGIC Insured 54 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) $ 1,500 Pittsfield, Massachusetts, General Obligation Bonds, 4/12 at 101.00 AAA $ 1,576,410 Series 2002, 5.000%, 4/15/18 - MBIA Insured 300 Woburn, Massachusetts, General Obligation Bonds, 11/15 at 100.00 Aaa 320,670 Series 2005, 5.000%, 11/15/19 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,810 Total Tax Obligation/General 10,605,378 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 26.9% (17.7% OF TOTAL INVESTMENTS) 3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/13 at 100.00 AAA 3,116,520 Series 2002, 5.000%, 5/01/32 - AMBAC Insured 2,790 Massachusetts College Building Authority, Project Revenue 5/13 at 100.00 AAA 2,944,203 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 1,531,552 1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AAA 1,557,510 1,100 Massachusetts School Building Authority, Dedicated Sales Tax 8/17 at 100.00 AAA 1,125,399 Revenue Bonds, Series 2007A, 4.750%, 8/15/32 - AMBAC Insured 300 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AAA 323,718 Series 2005, 5.000%, 1/01/20 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 10,165 Total Tax Obligation/Limited 10,598,902 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 2.7% (1.8% OF TOTAL INVESTMENTS) 1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 1,039,800 5.000%, 7/01/33 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 40.8% (26.9% OF TOTAL INVESTMENTS) (4) 2,000 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/12 at 100.00 AAA 2,103,800 Revenue Refunding Bonds, Series 2002A, 5.000%, 7/01/27 (Pre-refunded 7/01/12) - FGIC Insured 705 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/07 at 100.00 AAA 904,240 13.000%, 7/01/13 (ETM) 2,000 Massachusetts, General Obligation Bonds, Consolidated Loan, 11/11 at 100.00 AAA 2,089,640 Series 2001D, 5.000%, 11/01/20 (Pre-refunded 11/01/11) - MBIA Insured 2,145 Massachusetts, General Obligation Bonds, Consolidated Loan, 1/13 at 100.00 AAA 2,283,975 Series 2003A, 5.250%, 1/01/18 (Pre-refunded 1/01/13) - AMBAC Insured 1,000 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 AAA 1,071,990 Series 2004, 5.250%, 1/01/21 (Pre-refunded 1/01/14) - FGIC Insured 1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,579,395 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured 500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/12 at 101.00 AAA 534,115 Series 2002II, 5.125%, 7/01/26 (Pre-refunded 7/01/12) - FSA Insured 3,000 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 3,204,900 Series 2003, 5.250%, 1/15/22 (Pre-refunded 1/15/13) - MBIA Insured 2,140 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 2,342,251 Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21 (Pre-refunded 11/01/14) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 14,990 Total U.S. Guaranteed 16,114,306 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 13.5% (8.9% OF TOTAL INVESTMENTS) 1,900 Lynn Water and Sewer Commission, Massachusetts, General 12/13 at 100.00 AAA 1,980,199 Revenue Bonds, Series 2003A, 5.000%, 12/01/32 - MBIA Insured 600 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 580,824 Program Bonds, Series 12, 4.375%, 8/01/31 55 NGX Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) $ 1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA $ 1,104,700 Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured 1,000 Massachusetts Water Resources Authority, General Revenue 8/13 at 100.00 AAA 1,043,010 Bonds, Series 2004D, 5.000%, 8/01/24 - MBIA Insured 125 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 108,236 Bonds, Series 2006A, 4.000%, 8/01/46 495 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 AAA 525,725 General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 5,120 Total Water and Sewer 5,342,694 - ------------------------------------------------------------------------------------------------------------------------------------ $ 56,660 Total Investments (cost $58,097,568) - 151.8% 59,883,803 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 0.2% 74,380 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (52.0)% (20,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 39,458,183 ====================================================================================================================
At least 80% of the Fund's net assets (including net assets attributable to Preferred shares) are invested in municipal securities that are either covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance which ensures the timely payment of principal and interest. Up to 20% of the Fund's net assets (including net assets attributable to Preferred shares) may be invested in municipal securities that are (i) either backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities (also ensuring the timely payment of principal and interest), or (ii) rated, at the time of investment, within the four highest grades (Baa or BBB or better by Moody's, S&P or Fitch) or unrated but judged to be of comparable quality by the Adviser. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 56 NOM Nuveen Missouri Premium Income Municipal Fund Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.3% (2.2% OF TOTAL INVESTMENTS) $ 1,000 Missouri Development Finance Board, Solid Waste Disposal No Opt. Call AA- $ 1,088,460 Revenue Bonds, Procter and Gamble Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 2.7% (1.8% OF TOTAL INVESTMENTS) 500 Missouri Health and Educational Facilities Authority, Revenue 2/08 at 101.00 A3 509,410 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 385,385 Bonds, Webster University, Series 2001, 5.500%, 4/01/18 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 865 Total Education and Civic Organizations 894,795 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 19.0% (12.4% OF TOTAL INVESTMENTS) 710 Cape Girardeau County Industrial Development Authority, Missouri, 6/17 at 100.00 N/R 720,891 Health Facilities Revenue Bonds, Southeast Missouri Hospital Association, Series 2007, 5.000%, 6/01/27 480 Clinton County Industrial Development Authority, Missouri, Revenue 12/17 at 100.00 N/R 477,024 Bonds, Cameron Regional Medical Center, Series 2007, 5.000%, 12/01/37 750 Joplin Industrial Development Authority, Missouri, Health Facilities 2/15 at 102.00 BBB+ 795,975 Revenue Bonds, Freeman Health System, Series 2004, 5.500%, 2/15/29 500 Missouri Health & Educational Facilities Authority, Saint Lukes 6/11 at 101.00 AAA 520,825 Episcopal-Presbyterian Hospitals Revenue Bonds, 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 1,546,500 1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,200,703 425 Missouri Health and Educational Facilities Authority, Revenue 8/07 at 101.00 BBB+ 429,883 Bonds, Lake Regional Health System, Series 1996, 6.500%, 2/15/21 500 Missouri Health and Educational Facilities Authority, Revenue 2/14 at 100.00 BBB+ 529,025 Bonds, Lake Regional Health System, Series 2003, 5.700%, 2/15/34 - ------------------------------------------------------------------------------------------------------------------------------------ 6,020 Total Health Care 6,220,826 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 6.8% (4.5% OF TOTAL INVESTMENTS) 550 Missouri Housing Development Commission, Multifamily Housing 12/11 at 100.00 AA 569,965 Revenue Bonds, Series 2001II, 5.250%, 12/01/16 500 St. Charles County Industrial Development Authority, Missouri, 4/08 at 102.00 AAA 506,965 FHA-Insured Multifamily Housing Revenue Bonds, Ashwood Apartments, Series 1998A, 5.600%, 4/01/30 - FSA Insured (Alternative Minimum Tax) 545 St. Louis County Industrial Development Authority, Missouri, 10/07 at 102.00 AAA 557,263 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, 10/07 at 102.00 AAA 613,524 GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997B, 6.000%, 10/20/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,195 Total Housing/Multifamily 2,247,717 - ------------------------------------------------------------------------------------------------------------------------------------ 57 NOM Nuveen Missouri Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 8.9% (5.8% OF TOTAL INVESTMENTS) $ 50 Missouri Housing Development Commission, Single Family 9/07 at 104.00 AAA $ 50,694 Mortgage Revenue Bonds, Homeownership Loan Program, Series 1995C, 7.250%, 9/01/26 (Alternative Minimum Tax) 110 Missouri Housing Development Commission, Single Family 3/10 at 100.00 AAA 112,028 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax) 750 Missouri Housing Development Commission, Single Family 3/16 at 104.50 AAA 801,195 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2006E-1, 5.600%, 3/01/37 (Alternative Minimum Tax) 1,000 Missouri Housing Development Commission, Single Family 9/16 at 100.00 AAA 978,580 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2007A-1, 4.700%, 9/01/27 (Alternative Minimum Tax) 1,000 Missouri Housing Development Commission, Single Family 3/17 at 100.00 AAA 983,230 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2007C-1, 4.800%, 9/01/38 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,910 Total Housing/Single Family 2,925,727 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 7.0% (4.6% OF TOTAL INVESTMENTS) 1,750 Cole County Industrial Development Authority, Missouri, Revenue 2/14 at 100.00 N/R 1,834,315 Bonds, Lutheran Senior Services - Heisinger Project, Series 2004, 5.500%, 2/01/35 475 Lees Summit Industrial Development Authority, Missouri, Revenue 8/17 at 100.00 N/R 480,990 Bonds, John Knox Village Obligated Group, Series 2007A, 5.125%, 8/15/32 - ------------------------------------------------------------------------------------------------------------------------------------ 2,225 Total Long-Term Care 2,315,305 - ------------------------------------------------------------------------------------------------------------------------------------ MATERIALS - 2.4% (1.6% OF TOTAL INVESTMENTS) 750 Sugar Creek, Missouri, Industrial Development Revenue Bonds, 6/13 at 101.00 BBB 789,938 Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 28.4% (18.5% OF TOTAL INVESTMENTS) 300 Branson Reorganized School District R-4, Taney County, Missouri, 3/15 at 100.00 AAA 314,805 General Obligation Bonds, Series 2005, 5.000%, 3/01/25 - FSA Insured 1,500 Camdenton Reorganized School District R3, Camden County, No Opt. Call AAA 1,610,865 Missouri, General Obligation Bonds, Series 2005, 5.250%, 3/01/24 - FSA Insured 500 Jackson County School District R-7, Lees Summit, Missouri, 3/12 at 100.00 AAA 527,095 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+ 1,695,901 Bonds, Series 2003A, 5.000%, 3/01/23 1,000 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 1,135,740 Series 2001A, 5.500%, 7/01/20 - MBIA Insured 2,020 Ritenour Consolidated School District, St. Louis County, Missouri, No Opt. Call AAA 2,267,793 General Obligation Bonds, Series 1995, 7.375%, 2/01/12 - FGIC Insured 1,405 St. Louis Board of Education, Missouri, General Obligation 4/13 at 100.00 AAA 1,473,283 Refunding Bonds, Series 2003A, 5.000%, 4/01/19 - FSA Insured 270 St. Louis County Pattonville School District R3, Missouri, General 3/14 at 100.00 AAA 288,951 Obligation Bonds, Series 2004, 5.250%, 3/01/20 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 8,625 Total Tax Obligation/General 9,314,433 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 30.3% (19.8% OF TOTAL INVESTMENTS) 600 Chesterfield, Missouri, Certificates of Participation, Series 2005, 12/15 at 100.00 Aaa 629,424 5.000%, 12/01/24 - FGIC Insured 80 Cottleville, Missouri, Certificates of Participation, Series 2006, 8/14 at 100.00 N/R 81,549 5.250%, 8/01/31 490 Fenton, Missouri, Tax Increment Revenue Bonds, Gravois Bluffs 4/14 at 100.00 N/R 490,858 Redevelopment Project, Series 2006, 4.500%, 4/01/21 58 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 315 Fulton, Missouri, Tax Increment Revenue Bonds, Fulton Commons 6/16 at 100.00 N/R $ 307,204 Redevelopment Project, Series 2006, 5.000%, 6/01/28 475 Kansas City Tax Increment Financing District, Missouri, Tax 6/14 at 102.00 N/R 485,697 Increment Revenue Bonds, Briarcliff West Project, Series 2006A, 5.400%, 6/01/24 415 Missouri Development Finance Board, Independence, Infrastructure 3/16 at 100.00 A+ 425,915 Facilities Revenue Bonds, Crackerneck Creek Project, Series 2006C, 5.000%, 3/01/28 360 Missouri Development Finance Board, Infrastructure Facilities 6/15 at 100.00 BBB+ 369,065 Revenue Bonds, Branson Landing Project, Series 2005A, 5.000%, 6/01/35 450 Monarch-Chesterfield Levee District, St. Louis County, Missouri, 3/10 at 101.00 AAA 475,709 Levee District Improvement Bonds, Series 1999, 5.750%, 3/01/19 - MBIA Insured 500 Osage Beach, Missouri, Tax Increment Revenue Bonds, Prewitts 5/12 at 102.00 N/R 495,915 Point Transportation Development District, Series 2006, 5.000%, 5/01/23 1,135 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,382,589 Appropriation Bonds, Series 2002E, 6.000%, 8/01/26 - AGC Insured 200 Riverside Industrial Development Authority, Missouri, Industrial 5/17 at 100.00 A 205,344 Development Revenue Bonds, Riverside Horizon, Series 2007A, 5.000%, 5/01/27 - ACA Insured 600 Riverside, Missouri, L-385 Levee Redevelopment Plan Tax 5/15 at 100.00 BBB 618,582 Increment Revenue Bonds, Series 2004, 5.250%, 5/01/20 1,380 Springfield Center City Development Corporation, Missouri, 11/11 at 100.00 Aaa 1,430,232 Lease Revenue Bonds, Jordan Valley Park Parking Garage, Series 2002D, 5.000%, 11/01/22 - AMBAC Insured 2,000 Springfield Public Building Corporation, Missouri, Lease Revenue 6/10 at 100.00 AAA 2,125,720 Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 - AMBAC Insured 400 St. Joseph Industrial Development Authority, Missouri, Tax 11/14 at 100.00 N/R 408,396 Increment Bonds, Shoppes at North Village Project, Series 2005A, 5.500%, 11/01/27 - ------------------------------------------------------------------------------------------------------------------------------------ 9,400 Total Tax Obligation/Limited 9,932,199 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 4.8% (3.1% OF TOTAL INVESTMENTS) 500 Kansas City, Missouri, Passenger Facility Charge Revenue Bonds, 4/11 at 101.00 AAA 513,965 Kansas City International Airport, Series 2001, 5.000%, 4/01/23 - AMBAC Insured (Alternative Minimum Tax) 1,000 St. Louis Land Clearance Redevelopment Authority, Missouri, 9/09 at 102.00 N/R 1,049,250 Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ 1,500 Total Transportation 1,563,215 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 24.3% (15.8% OF TOTAL INVESTMENTS) (4) 685 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R (4) 757,185 Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2002, 6.125%, 10/01/21 (Pre-refunded 10/01/12) 50 Lees Summit Industrial Development Authority, Missouri, Health 8/09 at 101.00 N/R (4) 52,476 Facilities Revenue Bonds, John Knox Village, Series 1999, 6.000%, 8/15/17 (Pre-refunded 8/15/09) 625 Missouri Health and Educational Facilities Authority, Revenue 6/10 at 100.00 Baa2 (4) 673,988 Bonds, Maryville University of St. Louis, Series 2000, 6.750%, 6/15/30 (Pre-refunded 6/15/10) 2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 2,646,723 Bonds, SSM Healthcare System, Series 2001A, 5.250%, 6/01/28 (Pre-refunded 6/01/11) - AMBAC Insured 1,000 Missouri Health and Educational Facilities Authority, Revenue 12/10 at 101.00 A (4) 1,085,100 Bonds, St. Anthony's Medical Center, Series 2000, 6.250%, 12/01/30 (Pre-refunded 12/01/10) 80 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 86,227 General Obligation Bonds, Series 2004, 5.250%, 3/01/20 (Pre-refunded 3/01/14) - FSA Insured 500 St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue No Opt. Call AAA 546,775 Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) (ETM) 59 NOM Nuveen Missouri Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS as of 5-31-07 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 1,000 St. Louis Municipal Finance Corporation, Missouri, Leasehold 2/12 at 100.00 Aaa $ 1,078,100 Revenue Bonds, Carnahan Courthouse, Series 2002A, 5.750%, 2/15/16 (Pre-refunded 2/15/12) - FGIC Insured 950 Texas County, Missouri, Hospital Revenue Bonds, Texas County 6/10 at 100.00 N/R (4) 1,037,077 Memorial Hospital, Series 2000, 7.250%, 6/15/25 (Pre-refunded 6/15/10) - ------------------------------------------------------------------------------------------------------------------------------------ 7,390 Total U.S. Guaranteed 7,963,651 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 15.2% (9.9% OF TOTAL INVESTMENTS) 640 Metropolitan St. Louis Sewerage District, Missouri, Revenue 5/14 at 100.00 AAA 673,971 Bonds, Wastewater System, Series 2004A, 5.000%, 5/01/20 - MBIA Insured 2,965 Missouri Environmental Improvement and Energy Resources 12/16 at 100.00 AAA 2,884,737 Authority, Water Facility Revenue Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 - AMBAC Insured (Alternative Minimum Tax) (UB) 1,000 Missouri Environmental Improvement and Energy Resources 1/13 at 100.00 Aaa 1,052,440 Authority, Water Pollution Control and Drinking Water Revenue Bonds, Series 2003B, 5.125%, 1/01/21 350 Missouri Environmental Improvement and Energy Resources No Opt. Call Aaa 391,559 Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program - Kansas City Project, Series 1997C, 6.750%, 1/01/12 - ------------------------------------------------------------------------------------------------------------------------------------ 4,955 Total Water and Sewer 5,002,707 - ------------------------------------------------------------------------------------------------------------------------------------ $ 47,835 Total Investments (cost $48,605,748) - 153.1% 50,258,973 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligation - (6.0)% (1,975,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.6% 542,242 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (48.7)% (16,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 32,826,215 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. N/R Not rated. (ETM) Escrowed to maturity. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 60 Statement of ASSETS & LIABILITIES May 31, 2007
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at value (cost $111,190,476, $55,218,349, $49,452,258 and $91,413,059, respectively) $113,931,700 $56,953,452 $51,196,511 $93,052,319 Cash 159,574 -- 225,975 395,881 Receivables: Interest 1,691,539 764,214 656,198 1,336,064 Investments sold 145,000 70,000 -- -- Other assets 8,643 7,713 216 4,535 - ------------------------------------------------------------------------------------------------------------------------------------ Total assets 115,936,456 57,795,379 52,078,900 94,788,799 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft -- 34,749 -- -- Floating rate obligations -- -- -- -- Payable for investments purchased 317,224 156,012 140,411 395,469 Unrealized depreciation on forward swaps 47,886 37,677 28,258 3,949 Accrued expenses: Management fees 62,352 21,242 16,944 25,168 Other 35,006 18,782 25,906 31,655 Preferred share dividends payable 22,766 2,672 1,438 7,893 - ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 485,234 271,134 212,957 464,134 - ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 77,151,222 $38,024,245 $34,365,943 $62,324,665 ==================================================================================================================================== Common shares outstanding 5,360,061 2,576,013 2,314,714 4,359,370 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.39 $ 14.76 $ 14.85 $ 14.30 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 53,601 $ 25,760 $ 23,147 $ 43,594 Paid-in surplus 74,471,105 36,539,270 32,777,468 61,520,563 Undistributed (Over-distribution of) net investment income (13,624) (44,395) (33,086) (183,233) Accumulated net realized gain (loss) from investments and derivative transactions (53,198) (193,816) (117,581) (691,570) Net unrealized appreciation (depreciation) of investments and derivative transactions 2,693,338 1,697,426 1,715,995 1,635,311 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 77,151,222 $38,024,245 $34,365,943 $62,324,665 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 61 Statement of ASSETS & LIABILITIES (continued) May 31, 2007
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at value (cost $99,814,892, $41,590,201, $58,097,568 and $48,605,748, respectively) $103,069,672 $42,907,585 $59,883,803 $50,258,973 Cash 311,281 240,649 -- -- Receivables: Interest 1,556,346 698,413 905,797 745,871 Investments sold 90,000 840,000 75,000 -- Other assets 6,633 7,664 6,101 2,812 - ------------------------------------------------------------------------------------------------------------------------------------ Total assets 105,033,932 44,694,311 60,870,701 51,007,656 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft -- -- 97,727 147,956 Floating rate obligations -- -- -- 1,975,000 Payable for investments purchased 1,570,792 570,988 776,343 -- Unrealized depreciation on forward swaps 39,197 15,679 -- -- Accrued expenses: Management fees 55,789 16,275 16,006 26,392 Other 31,616 17,284 20,336 20,368 Preferred share dividends payable 13,042 2,300 2,106 11,725 - ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 1,710,436 622,526 912,518 2,181,441 - ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 69,323,496 $29,071,785 $39,458,183 $32,826,215 ==================================================================================================================================== Common shares outstanding 4,762,396 1,958,685 2,722,095 2,300,050 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.56 $ 14.84 $ 14.50 $ 14.27 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 47,624 $ 19,587 $ 27,221 $ 23,001 Paid-in surplus 66,129,814 27,733,890 38,358,608 30,836,066 Undistributed (Over-distribution of) net investment income (55,735) (33,440) (49,118) (29,959) Accumulated net realized gain (loss) from investments and derivative transactions (13,790) 50,043 (664,763) 343,882 Net unrealized appreciation (depreciation) of investments and derivative transactions 3,215,583 1,301,705 1,786,235 1,653,225 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 69,323,496 $29,071,785 $39,458,183 $32,826,215 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 62 Statement of OPERATIONS Year Ended May 31, 2007
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $ 5,397,200 $2,716,928 $2,404,565 $4,210,842 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 739,815 367,813 332,100 602,555 Preferred shares -- auction fees 95,750 48,749 43,749 80,001 Preferred shares -- dividend disbursing agent fees 10,000 10,000 10,000 10,000 Shareholders' servicing agent fees and expenses 11,642 1,483 1,317 1,262 Floating rate obligations interest expense and fees -- -- -- -- Custodian's fees and expenses 34,730 23,010 26,469 38,154 Trustees' fees and expenses 2,780 1,424 1,303 2,298 Professional fees 13,893 11,672 11,470 12,941 Shareholders' reports -- printing and mailing expenses 17,968 10,032 10,636 19,635 Stock exchange listing fees 9,791 219 197 371 Investor relations expense 15,979 7,525 6,911 12,359 Other expenses 15,776 13,553 12,370 13,447 - ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 968,124 495,480 456,522 793,023 Custodian fee credit (18,847) (8,337) (7,395) (11,697) Expense reimbursement -- (135,231) (152,487) (303,560) - ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 949,277 351,912 296,640 477,766 - ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 4,447,923 2,365,016 2,107,925 3,733,076 - ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from investments 72,769 124,379 144,586 (42,201) Net realized gain (loss) from forward swaps -- -- -- -- Net realized gain (loss) from futures 28,706 (18,408) (2,992) (14,700) Change in net unrealized appreciation (depreciation) of investments 346,705 38,540 36,334 617,398 Change in net unrealized appreciation (depreciation) of forward swaps (47,886) (37,677) (28,258) (3,949) - ------------------------------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain (loss) 400,294 106,834 149,670 556,548 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (1,082,148) (569,903) (499,055) (992,233) From accumulated net realized gains (74,762) -- (18,854) -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (1,156,910) (569,903) (517,909) (992,233) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations $ 3,691,307 $1,901,947 $1,739,686 $3,297,391 ====================================================================================================================================
See accompanying notes to financial statements. 63 Statement of OPERATIONS (continued) Year Ended May 31, 2007
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $ 5,041,884 $2,106,403 $2,768,508 $2,513,392 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 660,465 281,997 383,427 313,236 Preferred shares -- auction fees 85,001 37,500 51,250 40,000 Preferred shares -- dividend disbursing agent fees 10,000 10,000 10,000 10,000 Shareholders' servicing agent fees and expenses 6,810 547 340 4,115 Floating rate obligations interest expense and fees -- -- -- 32,332 Custodian's fees and expenses 30,669 18,999 19,287 21,026 Trustees' fees and expenses 2,595 1,209 1,561 1,219 Professional fees 13,639 11,318 11,830 11,417 Shareholders' reports -- printing and mailing expenses 18,363 9,484 12,598 11,098 Stock exchange listing fees 9,791 166 231 194 Investor relations expense 14,190 5,712 7,816 6,918 Other expenses 14,221 12,673 11,145 12,855 - ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 865,744 389,605 509,485 464,410 Custodian fee credit (6,084) (6,673) (7,938) (8,606) Expense reimbursement -- (103,678) (193,166) -- - ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 859,660 279,254 308,381 455,804 - ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 4,182,224 1,827,149 2,460,127 2,057,588 - ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from investments (13,789) 55,772 27,964 352,272 Net realized gain (loss) from forward swaps -- -- 27,938 -- Net realized gain (loss) from futures -- -- -- -- Change in net unrealized appreciation (depreciation) of investments 713,731 86,124 246,559 (540,979) Change in net unrealized appreciation (depreciation) of forward swaps (39,197) (15,679) (117,661) -- - ------------------------------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain (loss) 660,745 126,217 184,800 (188,707) - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (1,116,532) (479,691) (671,046) (524,016) From accumulated net realized gains (5,552) -- -- (2,414) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (1,122,084) (479,691) (671,046) (526,430) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations $ 3,720,885 $1,473,675 $1,973,881 $1,342,451 ====================================================================================================================================
See accompanying notes to financial statements. 64 Statement of CHANGES in NET ASSETS
CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK) ----------------------------- ---------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/07 5/31/06 5/31/07 5/31/06 5/31/07 5/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 4,447,923 $ 4,510,683 $ 2,365,016 $ 2,376,879 $ 2,107,925 $ 2,100,792 Net realized gain (loss) from investments 72,769 1,038,893 124,379 162,050 144,586 168,414 Net realized gain (loss) from forward swaps -- -- -- (31,610) -- (54,360) Net realized gain (loss) from futures 28,706 -- (18,408) -- (2,992) -- Change in net unrealized appreciation (depreciation) of investments 346,705 (3,933,261) 38,540 (1,588,460) 36,334 (1,580,479) Change in net unrealized appreciation (depreciation) of forward swaps (47,886) -- (37,677) 33,381 (28,258) 74,208 Distributions to Preferred Shareholders: From net investment income (1,082,148) (768,349) (569,903) (435,046) (499,055) (388,712) From accumulated net realized gains (74,762) (136,473) -- -- (18,854) (21,427) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 3,691,307 711,493 1,901,947 517,194 1,739,686 298,436 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (3,464,778) (3,998,729) (1,872,256) (2,175,963) (1,683,074) (1,906,258) From accumulated net realized gains (372,181) (1,198,895) -- -- (85,757) (191,089) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (3,836,959) (5,197,624) (1,872,256) (2,175,963) (1,768,831) (2,097,347) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions 18,479 235,372 89,571 99,657 43,271 45,455 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions 18,479 235,372 89,571 99,657 43,271 45,455 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (127,173) (4,250,759) 119,262 (1,559,112) 14,126 (1,753,456) Net assets applicable to Common shares at the beginning of year 77,278,395 81,529,154 37,904,983 39,464,095 34,351,817 36,105,273 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of year $77,151,222 $77,278,395 $38,024,245 $37,904,983 $34,365,943 $34,351,817 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of year $ (13,624) $ 86,674 $ (44,395) $ 32,924 $ (33,086) $ 41,113 ====================================================================================================================================
See accompanying notes to financial statements. 65 Statement of CHANGES in NET ASSETS (continued)
CONNECTICUT MASSACHUSETTS PREMIUM MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) INCOME (NMT) DIVIDEND ADVANTAGE (NMB) ----------------------------- ---------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/07 5/31/06 5/31/07 5/31/06 5/31/07 5/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 3,733,076 $ 3,661,633 $ 4,182,224 $ 4,204,930 $ 1,827,149 $ 1,857,558 Net realized gain (loss) from investments (42,201) 142,433 (13,789) 555,694 55,772 339,371 Net realized gain (loss) from forward swaps -- (181,623) -- -- -- (71,318) Net realized gain (loss) from futures (14,700) -- -- -- -- -- Change in net unrealized appreciation (depreciation) of investments 617,398 (2,545,916) 713,731 (2,946,941) 86,124 (1,392,484) Change in net unrealized appreciation (depreciation) of forward swaps (3,949) 233,665 (39,197) -- (15,679) 70,423 Distributions to Preferred Shareholders: From net investment income (992,233) (798,637) (1,116,532) (838,696) (479,691) (323,165) From accumulated net realized gains -- -- (5,552) (21,978) -- (37,056) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 3,297,391 511,555 3,720,885 953,009 1,473,675 443,329 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (2,798,715) (3,135,629) (3,183,927) (3,856,188) (1,459,044) (1,664,118) From accumulated net realized gains -- -- (23,558) (211,089) -- (379,860) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (2,798,715) (3,135,629) (3,207,485) (4,067,277) (1,459,044) (2,043,978) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions -- 125,585 33,601 243,110 52,919 65,523 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions -- 125,585 33,601 243,110 52,919 65,523 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 498,676 (2,498,489) 547,001 (2,871,158) 67,550 (1,535,126) Net assets applicable to Common shares at the beginning of year 61,825,989 64,324,478 68,776,495 71,647,653 29,004,235 30,539,361 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of year $62,324,665 $61,825,989 $69,323,496 $68,776,495 $29,071,785 $29,004,235 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of year $ (183,233) $ (125,361) $ (55,735) $ 62,905 $ (33,440) $ 78,410 ====================================================================================================================================
See accompanying notes to financial statements. 66
INSURED MASSACHUSETTS MISSOURI PREMIUM TAX-FREE ADVANTAGE (NGX) INCOME (NOM) ---------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/07 5/31/06 5/31/07 5/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 2,460,127 $ 2,456,151 $ 2,057,588 $ 2,085,068 Net realized gain (loss) from investments 27,964 143,049 352,272 65,625 Net realized gain (loss) from forward swaps 27,938 (256,863) -- -- Net realized gain (loss) from futures -- -- -- -- Change in net unrealized appreciation (depreciation) of investments 246,559 (1,806,995) (540,979) (1,267,962) Change in net unrealized appreciation (depreciation) of forward swaps (117,661) 477,230 -- -- Distributions to Preferred Shareholders: From net investment income (671,046) (544,231) (524,016) (388,654) From accumulated net realized gains -- -- (2,414) (26,592) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 1,973,881 468,341 1,342,451 467,485 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,694,504) (1,943,091) (1,656,219) (1,919,195) From accumulated net realized gains -- -- (11,028) (220,543) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,694,504) (1,943,091) (1,667,247) (2,139,738) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions -- 42,322 216,543 387,418 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions -- 42,322 216,545 387,418 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 279,377 (1,432,428) (108,253) (1,284,835) Net assets applicable to Common shares at the beginning of year 39,178,806 40,611,234 32,934,468 34,219,303 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of year $39,458,183 $39,178,806 $32,826,215 $32,934,468 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of year $ (49,118) $ (143,695) $ (29,959) $ 92,688 ====================================================================================================================================
See accompanying notes to financial statements. 67 Notes to FINANCIAL STATEMENTS 1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES The funds (the "Funds") covered in this report and their corresponding Common share stock exchange symbols are Nuveen Connecticut Premium Income Municipal Fund (NTC), Nuveen Connecticut Dividend Advantage Municipal Fund (NFC), Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK), Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO), Nuveen Massachusetts Premium Income Municipal Fund (NMT), Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB), Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) and Nuveen Missouri Premium Income Municipal Fund (NOM). Common shares of Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are traded on the New York Stock Exchange while Common shares of Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB), Insured Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM) are traded on the American Stock Exchange. The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies. Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX) the alternative minimum tax applicable to individuals, by investing primarily in a diversified portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles. Investment Valuation The prices of municipal bonds in each Fund's investment portfolio are provided by a pricing service approved by the Fund's Board of Trustees. When market price quotes are not readily available (which is usually the case for municipal securities), the pricing service may establish fair value based on yields or prices of municipal bonds of comparable quality, type of issue, coupon, maturity and rating, indications of value from securities dealers, evaluations of anticipated cash flows or collateral and general market conditions. Prices of forward swap contracts are also provided by an independent pricing service approved by each Fund's Board of Trustees. Futures contracts are valued using the closing settlement price, or, in the absence of such a price, at the mean of the bid and asked prices. If the pricing service is unable to supply a price for a municipal bond, forward swap contract or futures contract, each Fund may use a market price or fair market value quote provided by a major broker/dealer in such investments. If it is determined that the market price or fair market value for an investment is unavailable or inappropriate, the Board of Trustees of the Funds, or its designee, may establish a fair value for the investment. Temporary investments in securities that have variable rate and demand features qualifying them as short-term investments are valued at amortized cost, which approximates market value. Investment Transactions Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At May 31, 2007, Connecticut Premium Income (NTC), Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Premium Income (NMT), Massachusetts Dividend Advantage (NMB) and Insured Massachusetts Tax-Free Advantage (NGX) had outstanding when-issued/delayed delivery purchase commitments of $317,224, $156,012, $140,411, $260,020, $1,337,314, $570,988 and $776,343, respectively. There were no such outstanding purchase commitments in Missouri Premium Income (NOM) at May 31, 2007. 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. 68 Income Taxes Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, each Fund intends to satisfy conditions which will enable interest from municipal securities, which is exempt from regular federal and designated state income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX) the alternative minimum tax applicable to individuals, to retain such tax-exempt status when distributed to shareholders of the Funds. Net realized capital gains and ordinary income distributions paid by the Funds are subject to federal taxation. Dividends and Distributions to Common Shareholders Dividends from tax-exempt net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders not less frequently than annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards. Distributions to Common shareholders of tax-exempt net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. Preferred Shares The Funds have issued and outstanding Preferred shares, $25,000 stated value per share, as a means of effecting financial leverage. Each Fund's Preferred shares are issued in one Series. The dividend rate paid by the Funds on each Series is determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and is payable at the end of each rate period. The number of Preferred shares outstanding for each Fund is as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ===================================================================================================================== Number of shares: Series T -- 780 -- -- Series W -- -- 700 -- Series TH 1,532 -- -- -- Series F -- -- -- 1,280 ===================================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ===================================================================================================================== Number of shares: Series T -- 600 -- -- Series W -- -- 820 -- Series TH 1,360 -- -- 640 Series F -- -- -- -- =====================================================================================================================
Insurance Insured Massachusetts Tax-Free Advantage (NGX) invests at least 80% of its net assets (including net assets attributable to Preferred shares) in municipal securities that are covered by insurance. The Fund may also invest up to 20% of its net assets (including net assets attributable to Preferred shares) in municipal securities which are either (i) backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, or (ii) rated, at the time of investment, within the four highest grades (Baa or BBB or better by Moody's, S&P or Fitch) or unrated but judged to be of comparable quality by Nuveen Asset Management (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 69 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. Inverse Floating Rate Securities Each Fund may invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. In turn, this trust (a) issues floating rate certificates, in face amounts equal to some fraction of the deposited bond's par amount or market value, that typically pay short-term tax-exempt interest rates to third parties, and (b) issues to a long-term investor (such as one of the Funds) an inverse floating rate certificate (sometimes referred to as an "inverse floater") that represents all remaining or residual interest in the trust. The income received by the inverse floater holder varies inversely with the short-term rate paid to the floating rate certificates' holders, and in most circumstances the inverse floater holder bears substantially all of the underlying bond's downside investment risk and also benefits disproportionately from any potential appreciation of the underlying bond's value. The price of an inverse floating rate security will be more volatile than that of the underlying bond because the interest rate is dependent on not only the fixed coupon rate of the underlying bond but also on the short-term interest paid on the floating rate certificates, and because the inverse floating rate security essentially bears the risk of loss of the greater face value of the underlying bond. A Fund may purchase an inverse floating rate security in a secondary market transaction without first owning the underlying bond (referred to as an "externally-deposited inverse floater"), or instead by first selling a fixed-rate bond to a broker-dealer deposit into the special purpose trust and receiving in turn the residual interest in the trust (referred to as a "self-deposited inverse floater"). An investment in an externally-deposited inverse floater is identified in the Portfolio of Investments as an "Inverse floating rate investment". An investment in a self-deposited inverse floater is accounted for as a financing transaction in accordance with Statement of Financial Accounting Standards (SFAS) No. 140 "Accounting for Transfers and Servicing of Financial Assets and Extinguishment of Liabilities". In such instances, a fixed-rate bond deposited into a special purpose trust is identified in the Portfolio of Investments as an "Underlying bond of an inverse floating rate trust", with the Fund accounting for the short-term floating rate certificates issued by the trust as "Floating rate obligations" on the Statement of Assets and Liabilities. In addition, the Fund reflects in Investment Income the entire earnings of the underlying bond and accounts for the related interest paid to the holders of the short-term floating rate certificates as "Floating rate obligations interest expense and fees" in the Statement of Operations. During the fiscal year ended May 31, 2007, Missouri Premium Income (NOM) invested in externally deposited inverse floaters and/or self-deposited inverse floaters. None of the other Funds invested in such instruments during the fiscal year ended May 31, 2007. The average floating rate obligations outstanding and average annual interest rate and fees related to self-deposited inverse floaters during the fiscal year ended May 31, 2007, were as follows: MISSOURI PREMIUM INCOME (NOM) ================================================================================ Average floating rate obligations $838,699 Average annual interest rate and fees 3.86% ================================================================================ Forward Swap Transactions The Funds are authorized to invest in certain derivative financial instruments. Each Funds' use of forward interest rate swap transactions is intended to help the Fund manage its overall interest rate sensitivity, either shorter or longer, generally to more closely align the Fund's interest rate sensitivity with that of the broader municipal market. Forward interest rate swap transactions involve each Fund's agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the "effective date"). The amount of the payment obligation is based on the notional amount of the forward swap contract and the termination date of the swap (which is akin to a bond's maturity). The value of the Fund's swap commitment would increase or decrease based primarily on the extent to which long-term interest rates for bonds having a maturity of the swap's termination date increases or decreases. The Funds may terminate a swap contract prior to the effective date, at which point a realized gain or loss is recognized. When a forward swap is terminated, it ordinarily does not involve the delivery of securities or other underlying assets or principal, but rather is settled in cash on a net basis. Each Fund intends, but is not obligated, to terminate its forward swaps before the effective date. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the credit risk associated with a counterparty failing to honor its commitment to pay any realized gain to the Fund upon termination. To reduce such credit risk, all counterparties are required to pledge collateral daily (based on the daily valuation of each swap) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when any of the Funds have an unrealized loss on a swap contract, the Funds have instructed the 70 custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate, either up or down, by at least the predetermined threshold amount. Futures Contracts The Funds are authorized to invest in futures contracts. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect the changes in market value of the contract. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into. Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized in the Statement of Assets and Liabilities. Additionally, the Statement of Assets and Liabilities reflects a receivable or payable for the variation margin when applicable. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices. Custodian Fee Credit Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by credits earned on each Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Indemnifications Under the Funds' organizational documents, their Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates. 2. FUND SHARES Transactions in Common shares were as follows:
CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK) --------------------- -------------------- -------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED 5/31/07 5/31/06 5/31/07 5/31/06 5/31/07 5/31/06 ================================================================================================================== Common shares issued to shareholders due to reinvestment of distributions 1,268 14,913 5,695 6,035 2,746 2,780 ================================================================================================================== CONNECTICUT DIVIDEND MASSACHUSETTS MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) ADVANTAGE (NMB) --------------------- -------------------- -------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED 5/31/07 5/31/06 5/31/07 5/31/06 5/31/07 5/31/06 ================================================================================================================== Common shares issued to shareholders due to reinvestment of distributions -- 8,575 2,282 15,179 3,459 3,933 ================================================================================================================== INSURED MASSACHUSETTS TAX-FREE MISSOURI ADVANTAGE (NGX) PREMIUM INCOME (NOM) -------------------- -------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED 5/31/07 5/31/06 5/31/07 5/31/06 ================================================================================================================== Common shares issued to shareholders due to reinvestment of distributions -- 2,688 13,593 22,403 ==================================================================================================================
71 3. INVESTMENT TRANSACTIONS Purchases and sales (including maturities but excluding short-term investments and derivative transactions) during the fiscal year ended May 31, 2007, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ===================================================================================================================== Purchases $11,961,808 $5,312,943 $6,061,657 $13,777,695 Sales and maturities 9,546,768 4,953,092 6,190,277 13,606,914 ===================================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ===================================================================================================================== Purchases $ 9,064,550 $3,941,414 $4,819,956 $10,152,081 Sales and maturities 10,686,705 4,366,348 3,381,197 7,802,739 =====================================================================================================================
4. INCOME TAX INFORMATION The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate transactions subject to SFAS No. 140. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds. At May 31, 2007, 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 $111,166,801 $55,242,601 $49,580,711 $91,498,794 ===================================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ===================================================================================================================== Cost of investments $99,742,640 $41,571,231 $58,249,635 $46,616,539 =====================================================================================================================
Gross unrealized appreciation and gross unrealized depreciation of investments at May 31, 2007, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ===================================================================================================================== Gross unrealized: Appreciation $3,040,478 $1,856,798 $1,859,212 $1,938,448 Depreciation (275,579) (145,947) (243,412) (384,923) - --------------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $2,764,899 $1,710,851 $1,615,800 $1,553,525 ===================================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ===================================================================================================================== Gross unrealized: Appreciation $3,614,438 $1,466,130 $1,899,580 $1,833,407 Depreciation (287,406) (129,776) (265,412) (166,108) - --------------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $3,327,032 $1,336,354 $1,634,168 $1,667,299 =====================================================================================================================
72 The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at May 31, 2007, the Funds' tax year end, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ===================================================================================================================== Undistributed net tax-exempt income* $264,190 $67,363 $76,195 $23,467 Undistributed net ordinary income ** 564 136 -- 102 Undistributed net long-term capital gains -- -- 37,281 -- - --------------------------------------------------------------------------------------------------------------------- INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ===================================================================================================================== Undistributed net tax-exempt income* $139,845 $60,434 $95,820 $99,945 Undistributed net ordinary income ** -- -- -- -- Undistributed net long-term capital gains -- 56,036 -- 343,882 =====================================================================================================================
* Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on May 1, 2007, paid on June 1, 2007. ** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. The tax character of distributions paid during the tax years ended May 31, 2007 and May 31, 2006, was designated for purposes of the dividends paid deduction as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 2007 (NTC) (NFC) (NGK) (NGO) ===================================================================================================================== Distributions from net tax-exempt income *** $4,570,640 $2,466,418 $2,210,985 $3,816,478 Distributions from net ordinary income ** 41,683 -- 82 -- Distributions from net long-term capital gains **** 405,561 -- 104,613 -- ===================================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME 2007 (NMT) (NMB) (NGX) (NOM) ===================================================================================================================== Distributions from net tax-exempt income *** $4,336,292 $1,953,268 $2,384,976 $2,195,931 Distributions from net ordinary income ** 15,666 -- -- 7 Distributions from net long-term capital gains **** 28,705 -- -- 13,435 =====================================================================================================================
73
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 2006 (NTC) (NFC) (NGK) (NGO) ===================================================================================================================== Distributions from net tax-exempt income $4,827,926 $2,623,472 $2,298,314 $3,958,800 Distributions from net ordinary income ** 775 -- 27,100 -- Distributions from net long-term capital gains 1,335,368 -- 185,416 -- - --------------------------------------------------------------------------------------------------------------------- INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME 2006 (NMT) (NMB) (NGX) (NOM) ===================================================================================================================== Distributions from net tax-exempt income $4,681,999 $2,003,840 $2,512,850 $2,310,010 Distributions from net ordinary income ** 37,794 -- -- 8,293 Distributions from net long-term capital gains 233,067 409,848 -- 247,249 =====================================================================================================================
** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. *** The Funds hereby designate these amounts paid during the fiscal year ended May 31, 2007, as Exempt Interest Dividends. **** The Funds hereby designate these amounts paid during the fiscal year ended May 31, 2007, as long-term capital gain dividends pursuant to Internal Revenue Code Section 852(b)(3). At May 31, 2007, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows: INSURED CONNECTICUT CONNECTICUT MASSACHUSETTS MASSACHUSETTS DIVIDEND DIVIDEND PREMIUM TAX-FREE ADVANTAGE ADVANTAGE 3 INCOME ADVANTAGE (NFC) (NGO) (NMT) (NGX) ================================================================================ Expiration year: 2011 $ -- $ 69,710 $ -- $ -- 2012 76,491 106,107 -- -- 2013 44,122 79,696 -- 85,485 2014 -- 111,331 -- 427,135 2015 -- 211,213 13,790 -- - -------------------------------------------------------------------------------- Total $120,613 $578,057 $13,790 $512,620 ================================================================================ The following Funds have elected to defer net realized losses from investments incurred from November 1, 2006 through May 31, 2007 ("post-October losses") in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the following taxable year. CONNECTICUT CONNECTICUT PREMIUM DIVIDEND INCOME ADVANTAGE (NTC) (NFC) ================================================================================ $53,762 $8,607 ================================================================================ 74 5. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES Each Fund's management fee is separated into two components - a complex-level component, based on the aggregate amount of all fund assets managed by the Adviser, a wholly owned subsidiary of Nuveen Investments, Inc. ("Nuveen"), and a specific fund-level component, based only on the amount of assets within each individual fund. This pricing structure enables Nuveen fund shareholders to benefit from growth in the assets within each individual fund as well as from growth in the amount of complex-wide assets managed by the Adviser. The annual fund-level fee, payable monthly, for each Fund is based upon the average daily net assets (including net assets attributable to Preferred shares) of each Fund as follows: CONNECTICUT PREMIUM INCOME (NTC) AVERAGE DAILY NET ASSETS MASSACHUSETTS PREMIUM INCOME (NMT) (INCLUDING NET ASSETS MISSOURI PREMIUM INCOME (NOM) ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE ================================================================================ For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For the next $3 billion .3875 For net assets over $5 billion .3750 ================================================================================ CONNECTICUT DIVIDEND ADVANTAGE (NFC) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) AVERAGE DAILY NET ASSETS MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) (INCLUDING NET ASSETS INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE ================================================================================ For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For net assets over $2 billion .3750 ================================================================================ The annual complex-level fee, payable monthly, which is additive to the fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the aggregate amount of total fund assets managed as stated in the table below. As of May 31, 2007, the complex-level fee rate was .1824%. COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE ================================================================================ For the first $55 billion .2000% For the next $1 billion .1800 For the next $1 billion .1600 For the next $3 billion .1425 For the next $3 billion .1325 For the next $3 billion .1250 For the next $5 billion .1200 For the next $5 billion .1175 For the next $15 billion .1150 For Managed Assets over $91 billion (2) .1400 ================================================================================ (1) The complex-level fee component of the management fee for the funds is calculated based upon the aggregate Managed Assets ("Managed Assets" means the average daily net assets of each fund including assets attributable to preferred stock issued by or borrowings 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. 75 The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Funds pay no compensation directly to those of its Trustees who are affiliated with the Adviser or to its Officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds. For the first ten years of Connecticut Dividend Advantage's (NFC) and Massachusetts Dividend Advantage's (NMB) operations, the Adviser has agreed to reimburse the Funds, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING JANUARY 31, JANUARY 31, ================================================================================ 2001* .30% 2007 .25% 2002 .30 2008 .20 2003 .30 2009 .15 2004 .30 2010 .10 2005 .30 2011 .05 2006 .30 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage (NFC) and Massachusetts Dividend Advantage (NMB) for any portion of its fees and expenses beyond January 31, 2011. For the first ten years of Connecticut Dividend Advantage 2's (NGK) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING MARCH 31, MARCH 31, ================================================================================ 2002* .30% 2008 .25% 2003 .30 2009 .20 2004 .30 2010 .15 2005 .30 2011 .10 2006 .30 2012 .05 2007 .30 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage 2 (NGK) for any portion of its fees and expenses beyond March 31, 2012. For the first eight years of Connecticut Dividend Advantage 3's (NGO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING SEPTEMBER 30, SEPTEMBER 30, ================================================================================ 2002* .32% 2007 .32% 2003 .32 2008 .24 2004 .32 2009 .16 2005 .32 2010 .08 2006 .32 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage 3 (NGO) for any portion of its fees and expenses beyond September 30, 2010. 76 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. 6. NEW ACCOUNTING PRONOUNCEMENTS Financial Accounting Standards Board Interpretation No. 48 On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006, and is to be applied to all open tax years as of the effective date. Recent SEC guidance allows funds to delay implementing FIN 48 into NAV calculations until the fund's last NAV calculation in the first required financial statement reporting period. As a result, the Funds must begin to incorporate FIN 48 into their NAV calculations by November 30, 2007. At this time, management is continuing to evaluate the implications of FIN 48 and does not expect the adoption of FIN 48 will have a significant impact on the net assets or results of operations of the Funds. Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157 In September 2006, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this standard relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of May 31, 2007, the Funds do not believe the adoption of SFAS No. 157 will impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements included within the Statement of Operations for the period. 77 7. SUBSEQUENT EVENTS Distributions to Common Shareholders The Funds declared Common share dividend distributions from their tax-exempt net investment income which were paid on July 2, 2007, to shareholders of record on June 15, 2007, as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ===================================================================================================================== Dividend per share $.0520 $.0555 $.0580 $.0520 ===================================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ===================================================================================================================== Dividend per share $.0515 $.0565 $.0525 $.0545 =====================================================================================================================
Agreement and Plan of Merger On June 20, 2007, Nuveen Investments announced that it had entered into a definitive Agreement and Plan of Merger ("Merger Agreement") with an investor group majority-led by Madison Dearborn Partners, LLC. Madison Dearborn Partners, LLC is a private equity investment firm based in Chicago, Illinois. The investor group includes affiliates of Merrill Lynch, Wachovia, Citigroup, Deutsche Bank and Morgan Stanley. It is anticipated that Merrill Lynch and its affiliates will be indirect "affiliated persons" (as that term is defined in the Investment Company Act of 1940) of the Funds. Under the terms of the merger, each outstanding share of Nuveen Investments' common stock (other than dissenting shares) will be converted into the right to receive a specified amount of cash, without interest. The merger is expected to be completed by the end of the year, subject to customary conditions, including obtaining the approval of Nuveen Investments shareholders, obtaining necessary fund and client consents sufficient to satisfy the terms of the Merger Agreement, and expiration of certain regulatory waiting periods. The obligations of Madison Dearborn Partners, LLC to consummate the merger are not conditioned on its obtaining financing. The Merger Agreement includes a "go shop" provision through July 19, 2007, during which Nuveen Investments may actively solicit and negotiate competing takeover proposals. The consummation of the merger will be deemed to be an "assignment" (as defined in the 1940 Act) of the investment management agreement between each Fund and the Adviser, and will result in the automatic termination of each Fund's agreement. Prior to the consummation of the merger, it is anticipated that the Board of Trustees of each Fund will consider a new investment management agreement with the Adviser. If approved by the Board, the new agreement would be presented to the Fund's shareholders for approval, and, if so approved by shareholders, would take effect upon consummation of the merger. There can be no assurance that the merger described above will be consummated as contemplated or that necessary shareholder approvals will be obtained. 78 Financial HIGHLIGHTS 79 Financial HIGHLIGHTS Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions ----------------------------------------------------------------- ---------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total ==================================================================================================================================== CONNECTICUT PREMIUM INCOME (NTC) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 $14.42 $ .83 $ .07 $(.20) $(.01) $ .69 $(.65) $(.07) $(.72) 2006 15.26 .84 (.54) (.14) (.03) .13 (.75) (.22) (.97) 2005 14.60 .88 .75 (.09) -- 1.54 (.87) (.01) (.88) 2004 15.56 .93 (.96) (.05) -- (.08) (.88) -- (.88) 2003 14.46 .98 1.07 (.07) -- 1.98 (.88) -- (.88) CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 14.75 .92 .04 (.22) -- .74 (.73) -- (.73) 2006 15.39 .93 (.55) (.17) -- .21 (.85) -- (.85) 2005 14.56 .95 .86 (.09) -- 1.72 (.89) -- (.89) 2004 15.53 .97 (1.00) (.05) -- (.08) (.89) -- (.89) 2003 14.24 1.00 1.19 (.07) -- 2.12 (.84) -- (.84) ==================================================================================================================================== Total Returns ---------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Net Asset Market Market Asset Discounts Value Value Value* Value* ========================================================================================== CONNECTICUT PREMIUM INCOME (NTC) - ------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 $ -- $14.39 $14.91 12.33% 4.79% 2006 -- 14.42 13.95 (6.00) .88 2005 -- 15.26 15.81 15.61 10.82 2004 -- 14.60 14.47 (10.80) (.51) 2003 -- 15.56 17.14 12.63 14.08 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 -- 14.76 16.37 5.46 5.05 2006 -- 14.75 16.26 8.79 1.38 2005 -- 15.39 15.73 17.89 12.06 2004 -- 14.56 14.12 (8.64) (.56) 2003 .01 15.53 16.35 9.19 15.38 ========================================================================================== Ratios/Supplemental Data ------------------------------------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement After Credit/Reimbursement** -------------------------------------------- ------------------------------------------- Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate ==================================================================================================================================== CONNECTICUT PREMIUM INCOME (NTC) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 $77,151 1.24% 1.24% 5.67% 1.21% 1.21% 5.69% 8% 2006 77,278 1.25 1.25 5.66 1.23 1.23 5.68 16 2005 81,529 1.24 1.24 5.81 1.24 1.24 5.82 12 2004 77,725 1.23 1.23 6.16 1.23 1.23 6.16 15 2003 82,492 1.27 1.27 6.57 1.26 1.26 6.58 23 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 38,024 1.29 1.29 5.78 .92 .92 6.16 9 2006 37,905 1.29 1.29 5.70 .84 .84 6.14 14 2005 39,464 1.29 1.29 5.81 .83 .83 6.27 9 2004 37,238 1.26 1.26 5.97 .80 .80 6.44 4 2003 39,625 1.27 1.27 6.29 .81 .81 6.76 7 ====================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period -------------------------------------- -------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ CONNECTICUT PREMIUM INCOME (NTC) - -------------------------------------------------------------------------------- Year Ended 5/31: 2007 $38,300 $25,000 $75,360 $ -- $ -- 2006 38,300 25,000 75,443 -- -- 2005 38,300 25,000 78,217 -- -- 2004 38,300 25,000 75,734 -- -- 2003 38,300 25,000 78,846 -- -- CONNECTICUT DIVIDEND ADVANTAGE (NFC) - -------------------------------------------------------------------------------- Year Ended 5/31: 2007 19,500 25,000 73,749 -- -- 2006 19,500 25,000 73,596 -- -- 2005 19,500 25,000 75,595 -- -- 2004 19,500 25,000 72,740 -- -- 2003 19,500 25,000 75,801 -- -- ================================================================================ * Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. ** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. See accompanying notes to financial statements. 81-82 spread Financial HIGHLIGHTS (continued) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions ----------------------------------------------------------------- ---------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total ==================================================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 $14.86 $.91 $ .08 $(.22) $(.01) $ .76 $(.73) $(.04) $(.77) 2006 15.64 .91 (.60) (.17) (.01) .13 (.83) (.08) (.91) 2005 15.01 .92 .74 (.09) -- 1.57 (.87) (.07) (.94) 2004 16.23 .96 (1.13) (.04) (.01) (.22) (.87) (.12) (.99) 2003 14.48 .98 1.74 (.07) (.01) 2.64 (.83) (.06) (.89) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 14.18 .86 .13 (.23) -- .76 (.64) -- (.64) 2006 14.78 .84 (.54) (.18) -- .12 (.72) -- (.72) 2005 13.97 .86 .83 (.10) -- 1.59 (.78) -- (.78) 2004 15.06 .88 (1.14) (.05) -- (.31) (.78) -- (.78) 2003(b) 14.33 .51 .93 (.04) -- 1.40 (.46) -- (.46) ==================================================================================================================================== Total Returns ---------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Net Asset Market Market Asset Discounts Value Value Value** Value** ============================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ---------------------------------------------------------------------------------------------- Year Ended 5/31: 2007 $ -- $14.85 $16.38 3.58% 5.13% 2006 -- 14.86 16.60 9.78 .84 2005 -- 15.64 15.98 19.92 10.70 2004 (.01) 15.01 14.14 (4.65) (1.48) 2003 -- 16.23 15.80 11.16 18.77 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ---------------------------------------------------------------------------------------------- Year Ended 5/31: 2007 -- 14.30 14.70 9.15 5.42 2006 -- 14.18 14.09 1.84 .83 2005 -- 14.78 14.54 18.17 11.60 2004 -- 13.97 13.00 (8.92) (2.08) 2003(b) (.21) 15.06 15.09 3.71 8.46 ============================================================================================== Ratios/Supplemental Data ------------------------------------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement After Credit/Reimbursement*** -------------------------------------------- ------------------------------------------ Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate ==================================================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 $34,366 1.31% 1.31% 5.60% .85% .85% 6.06% 12% 2006 34,352 1.29 1.29 5.51 .83 .83 5.97 11 2005 36,105 1.28 1.28 5.52 .82 .82 5.98 12 2004 34,646 1.25 1.25 5.73 .80 .80 6.18 10 2003 37,441 1.31 1.31 5.94 .82 .82 6.43 13 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 62,325 1.26 1.26 5.44 .76 .76 5.94 15 2006 61,826 1.24 1.24 5.30 .74 .74 5.80 9 2005 64,324 1.24 1.24 5.40 .76 .76 5.89 9 2004 60,774 1.24 1.24 5.58 .74 .74 6.08 14 2003(b) 65,324 1.19* 1.19* 4.72* .71* .71* 5.20* 18 ====================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period -------------------------------------- -------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - -------------------------------------------------------------------------------- Year Ended 5/31: 2007 $17,500 $25,000 $74,094 $ -- $ -- 2006 17,500 25,000 74,074 -- -- 2005 17,500 25,000 76,579 -- -- 2004 17,500 25,000 74,495 -- -- 2003 17,500 25,000 78,487 -- -- CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - -------------------------------------------------------------------------------- Year Ended 5/31: 2007 32,000 25,000 73,691 -- -- 2006 32,000 25,000 73,302 -- -- 2005 32,000 25,000 75,253 -- -- 2004 32,000 25,000 72,480 -- -- 2003(b) 32,000 25,000 76,034 -- -- ================================================================================ * Annualized. ** Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. (b) For the period September 26, 2002 (commencement of operations) through May 31, 2003. See accompanying notes to financial statements. 82-83 spread Financial HIGHLIGHTS (continued) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions ----------------------------------------------------------------- ---------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total ==================================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 $14.45 $ .88 $ .13 $(.23) $ --* $ .78 $(.67) $ --* $ (.67) 2006 15.10 .88 (.50) (.18) -- .20 (.81) (.04) (.85) 2005 14.34 .91 .81 (.08) -- 1.64 (.88) -- (.88) 2004 15.30 .94 (.97) (.05) -- (.08) (.88) -- (.88) 2003 14.48 .98 .78 (.07) -- 1.69 (.87) -- (.87) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 14.83 .93 .08 (.25) -- .76 (.75) -- (.75) 2006 15.65 .95 (.54) (.17) (.02) .22 (.85) (.19) (1.04) 2005 14.84 .97 .95 (.08) -- 1.84 (.92) (.11) (1.03) 2004 16.00 1.00 (1.11) (.04) (.01) (.16) (.92) (.08) (1.00) 2003 14.16 1.04 1.74 (.07) -- 2.71 (.88) -- (.88) ==================================================================================================================================== Total Returns ---------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Net Asset Market Market Asset Discounts Value Value Value** Value** ========================================================================================= MASSACHUSETTS PREMIUM INCOME (NMT) - ----------------------------------------------------------------------------------------- Year Ended 5/31: 2007 $ -- $14.56 $14.33 4.60% 5.47% 2006 -- 14.45 14.35 (6.14) 1.41 2005 -- 15.10 16.14 18.97 11.74 2004 -- 14.34 14.35 (9.51) (.51) 2003 -- 15.30 16.80 12.98 12.02 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ----------------------------------------------------------------------------------------- Year Ended 5/31: 2007 -- 14.84 16.28 10.04 5.14 2006 -- 14.83 15.53 (5.23) 1.49 2005 -- 15.65 17.45 24.96 12.76 2004 -- 14.84 14.88 (3.74) (1.03) 2003 .01 16.00 16.45 8.76 19.74 ========================================================================================= Ratios/Supplemental Data -------------------------------------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement After Credit/Reimbursement*** ------------------------------------------- ------------------------------------------- Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate ==================================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 $69,323 1.24% 1.24% 5.97% 1.23% 1.23% 5.98% 9% 2006 68,776 1.25 1.25 5.98 1.24 1.24 6.00 13 2005 71,648 1.24 1.24 6.15 1.24 1.24 6.16 18 2004 67,806 1.24 1.24 6.37 1.23 1.23 6.38 22 2003 72,003 1.28 1.28 6.61 1.27 1.27 6.63 18 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 29,072 1.33 1.33 5.84 .95 .95 6.21 9 2006 29,004 1.29 1.29 5.79 .83 .83 6.24 13 2005 30,539 1.31 1.31 5.83 .86 .86 6.28 12 2004 28,904 1.27 1.27 6.05 .81 .81 6.51 26 2003 31,134 1.29 1.29 6.49 .83 .83 6.95 8 ====================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period -------------------------------------- -------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ MASSACHUSETTS PREMIUM INCOME (NMT) - -------------------------------------------------------------------------------- Year Ended 5/31: 2007 $34,000 $25,000 $75,973 $ -- $ -- 2006 34,000 25,000 75,571 -- -- 2005 34,000 25,000 77,682 -- -- 2004 34,000 25,000 74,857 -- -- 2003 34,000 25,000 77,943 -- -- MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - -------------------------------------------------------------------------------- Year Ended 5/31: 2007 15,000 25,000 73,453 -- -- 2006 15,000 25,000 73,340 -- -- 2005 15,000 25,000 75,899 -- -- 2004 15,000 25,000 73,173 -- -- 2003 15,000 25,000 76,891 -- -- ================================================================================ * Per share Distributions from Capital Gains to Preferred Shareholders and Distributions from Capital Gains to Common Shareholders round to less than $.01 per share. ** Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. See accompanying notes to financial statements. 84-85 spread Financial HIGHLIGHTS (continued) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions ----------------------------------------------------------------- ---------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total ==================================================================================================================================== INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 $14.39 $ .90 $ .08 $(.25) $ -- $ .73 $(.62) $ -- $(.62) 2006 14.93 .90 (.53) (.20) -- .17 (.71) -- (.71) 2005 14.04 .92 .90 (.09) -- 1.73 (.84) -- (.84) 2004 15.25 .94 (1.22) (.06) -- (.34) (.86) (.01) (.87) 2003(b) 14.33 .35 1.21 (.03) -- 1.53 (.37) -- (.37) MISSOURI PREMIUM INCOME (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 14.40 .90 (.08) (.23) --* .59 (.72) --* (.72) 2006 15.11 .92 (.51) (.17) (.01) .23 (.84) (.10) (.94) 2005 14.37 .94 .77 (.09) -- 1.62 (.88) -- (.88) 2004 15.40 .96 (1.05) (.06) -- (.15) (.88) -- (.88) 2003 14.35 .97 1.02 (.07) -- 1.92 (.87) -- (.87) ==================================================================================================================================== Total Returns ---------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Net Asset Market Market Asset Discounts Value Value Value** Value** =========================================================================================== INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - ------------------------------------------------------------------------------------------- Year Ended 5/31: 2007 $ -- $14.50 $14.45 12.49% 5.12% 2006 -- 14.39 13.43 (11.62) 1.20 2005 -- 14.93 15.94 20.95 12.62 2004 -- 14.04 13.90 (6.83) (2.18) 2003(b) (.24) 15.25 15.78 7.69 9.07 MISSOURI PREMIUM INCOME (NOM) - ------------------------------------------------------------------------------------------- Year Ended 5/31: 2007 -- 14.27 16.56 5.98 4.17 2006 -- 14.40 16.35 (3.53) 1.57 2005 -- 15.11 17.90 24.38 11.54 2004 -- 14.37 15.15 (5.35) (1.00) 2003 -- 15.40 16.87 15.39 13.75 =========================================================================================== Ratios/Supplemental Data ------------------------------------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement After Credit/Reimbursement*** ------------------------------------------ ------------------------------------------- Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate ==================================================================================================================================== INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 $39,458 1.28% 1.28% 5.67% .77% .77% 6.17% 6% 2006 39,179 1.29 1.29 5.66 .79 .79 6.16 5 2005 40,611 1.27 1.27 5.83 .79 .79 6.31 2 2004 38,121 1.28 1.28 5.94 .75 .75 6.46 97 2003(b) 41,297 1.14* 1.14* 4.17* .68* .68* 4.64* 19 MISSOURI PREMIUM INCOME (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2007 32,826 1.39 1.30 6.15 1.37 1.27 6.18 16 2006 32,934 1.29 1.29 6.20 1.27 1.27 6.22 9 2005 34,219 1.29 1.29 6.29 1.28 1.28 6.30 17 2004 32,231 1.27 1.27 6.44 1.26 1.26 6.45 24 2003 34,228 1.34 1.34 6.56 1.32 1.32 6.58 15 ====================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period -------------------------------------- -------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - -------------------------------------------------------------------------------- Year Ended 5/31: 2007 $20,500 $25,000 $73,120 $ -- $ -- 2006 20,500 25,000 72,779 -- -- 2005 20,500 25,000 74,526 -- -- 2004 20,500 25,000 71,489 -- -- 2003(b) 20,500 25,000 75,362 -- -- MISSOURI PREMIUM INCOME (NOM) - -------------------------------------------------------------------------------- Year Ended 5/31: 2007 16,000 25,000 76,291 1,975 25,722 2006 16,000 25,000 76,460 -- -- 2005 16,000 25,000 78,468 -- -- 2004 16,000 25,000 75,360 -- -- 2003 16,000 25,000 78,481 -- -- ================================================================================ * Per share Distributions from Capital Gains to Preferred Shareholders and Distributions from Capital Gains to Common Shareholders round to less than $.01 per share. ** Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. (b) For the period November 21, 2002 (commencement of operations) through May 31, 2003. See accompanying notes to financial statements. 86-87 spread Board Members & OFFICERS The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board Members of the Funds. The number of board members of the Fund is currently set at nine. None of the board members who are not "interested" persons of the Funds has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the board members and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S) & ADDRESS APPOINTED IN FUND COMPLEX INCLUDING OTHER AND TERM(2) OVERSEEN BY DIRECTORSHIPS BOARD MEMBER DURING PAST 5 YEARS BOARD MEMBER WHO IS AN INTERESTED PERSON OF THE FUNDS: o TIMOTHY R. SCHWERTFEGER(1) Director (since 1996) and Non-executive 3/28/49 Chairman of 1994 Chairman (since July 1, 2007) formerly, 333 W. Wacker Drive the Board ANNUAL 176 Chairman (1996-June 30, 2007) of Nuveen Chicago, IL 60606 and Board Member Investments, Inc., Nuveen Investments, LLC; Chairman and Director (since 1997) of Nuveen Asset Management; Chairman and Director of Rittenhouse Asset Management, Inc. (since 1999); Chairman of Nuveen Investments Advisers Inc. (since 2002); formerly, Chairman and Director (1996-2004) Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.(3); formerly, Director (1996-2006) of Institutional Capital Corporation. BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS: o ROBERT P. BREMNER Private Investor and Management Consultant. 8/22/40 Lead 1997 333 W. Wacker Drive Independent CLASS III 176 Chicago, IL 60606 Board member o JACK B. EVANS President, The Hall-Perrine Foundation, a 10/22/48 1999 private philanthropic corporation (since 333 W. Wacker Drive Board member CLASS III 176 1996); Director and Vice Chairman, United Chicago, IL 60606 Fire Group, a publicly held company; Member of the Board of Regents for the State of Iowa University System; Director, Gazette Companies; Life Trustee of Coe College and Iowa College Foundation; Member of the Advisory Council of the Department of Finance in the Tippie College of Business, University of Iowa; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm. o WILLIAM C. HUNTER Dean, Tippie College of Business, University 3/6/48 2004 of Iowa (since July 2006); formerly, Dean 333 W. Wacker Drive Board member CLASS II 176 and Distinguished Professor of Finance, Chicago, IL 60606 School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); Director (since 1997), Credit Research Center at Georgetown University; Director (since 2004) of Xerox Corporation; Director, SS&C Technologies, Inc. (May 2005-October 2005). 88 NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S) & ADDRESS APPOINTED IN FUND COMPLEX INCLUDING OTHER AND TERM(2) OVERSEEN BY DIRECTORSHIPS BOARD MEMBER DURING PAST 5 YEARS BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS: o DAVID J. KUNDERT Director, Northwestern Mutual Wealth 10/28/42 2005 Management Company; Retired (since 2004) as 333 W. Wacker Drive Board member CLASS II 174 Chairman, JPMorgan Fleming Asset Management, Chicago, IL 60606 President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Board of Regents, Luther College; member of the Wisconsin Bar Association; member of Board of Directors, Friends of Boerner Botanical Gardens; member of Board of Directors, Milwaukee Repertory Theater. o WILLIAM J. SCHNEIDER Chairman of Miller-Valentine Partners Ltd., 9/24/44 1997 a real estate investment company; formerly, 333 W. Wacker Drive Board member ANNUAL 176 Senior Partner and Chief Operating Officer Chicago, IL 60606 (retired, 2004) of Miller-Valentine Group; formerly, Vice President, Miller-Valentine Realty; Board Member, Chair of the Finance Committee and member of the Audit Committee of Premier Health Partners, the not-for-profit company of Miami Valley Hospital; Vice President, Dayton Philharmonic Orchestra Association; Board Member, Regional Leaders Forum, which promotes cooperation on economic development issues; Director, Dayton Development Coalition; formerly, Member, Community Advisory Board, National City Bank, Dayton, Ohio and Business Advisory Council, Cleveland Federal Reserve Bank. o JUDITH M. STOCKDALE Executive Director, Gaylord and Dorothy 12/29/47 1997 Donnelley Foundation (since 1994); prior 333 W. Wacker Drive Board member CLASS I 176 thereto, Executive Director, Great Lakes Chicago, IL 60606 Protection Fund (from 1990 to 1994). o CAROLE E. STONE Director, Chicago Board Options Exchange 6/28/47 2007 (since 2006); Chair New York Racing 333 West Wacker Drive Board member CLASS I 176 Association Oversight Board (since 2005); Chicago, IL 60606 Commissioner, New York State Commission on Public Authority Reform (since 2005); formerly Director, New York State Division of the Budget (2000-2004), Chair, Public Authorities Control Board (2000-2004) and Director, Local Government Assistance Corporation (2000-2004). o EUGENE S. SUNSHINE Senior Vice President for Business and 1/22/50 2005 Finance, Northwestern University (since 333 W. Wacker Drive Board member CLASS II 176 1997); Director (since 2003), Chicago Board Chicago, IL 60606 Options Exchange; Chairman (since 1997), Board of Directors, Rubicon, a pure captive insurance company owned by Northwestern University; Director (since 1997), Evanston Chamber of Commerce and Evanston Inventure, a business development organization; Director (since 2006), Pathways, a provider of therapy and related information for physically disabled infants and young children; formerly, Director (2003-2006), National Mentor Holdings, a privately-held, national provider of home and community-based services. 89 NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S) AND ADDRESS APPOINTED(4) IN FUND COMPLEX DURING PAST 5 YEARS OVERSEEN BY OFFICER OFFICERS OF THE FUND: o GIFFORD R. ZIMMERMAN Managing Director (since 2002), Assistant 9/9/56 Chief Secretary and Associate General Counsel, 333 W. Wacker Drive Administrative 1988 176 formerly, Vice President and Assistant Chicago, IL 60606 Officer General Counsel, of Nuveen Investments, LLC; Managing Director (since 2002) and Assistant Secretary and Associate General Counsel, formerly, Vice President (since 1997), of Nuveen Asset Management; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Assistant Secretary of NWQ Investment Management Company, LLC. (since 2002); Vice President and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002); Managing Director, Associate General Counsel Assistant Secretary of Rittenhouse Asset Management, Inc., Symphony Asset Management LLC (since 2003), Tradewinds Global Investors, LLC and Santa Barbara Asset Management, LLC; (since 2006); formerly, Managing Director (2002-2004), General Counsel (1998-2004) and Assistant Secretary, formerly, Vice President of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.(3); Chartered Financial Analyst. o WILLIAMS ADAMS IV Executive Vice President, U.S. Structured 6/9/55 Products of Nuveen Investments, LLC, (since 333 West Wacker Drive Vice President 2007 119 1999), prior thereto, Managing Director of Chicago, IL 60606 Structured Investments. o JULIA L. ANTONATOS Managing Director (since 2005), formerly 9/22/63 Vice President (since 2002) of Nuveen 333 W. Wacker Drive Vice President 2004 176 Investments, LLC; Chartered Financial Chicago, IL 60606 Analyst. o CEDRIC H. ANTOSIEWICZ Managing Director, (since 2004) previously, 1/11/62 Vice President (1993-2004) of Nuveen 333 W. Wacker Drive Vice President 2007 119 Investments, LLC. Chicago, IL 60606 o MICHAEL T. ATKINSON Vice President (since 2002) of Nuveen 2/3/66 Vice President Investments, LLC. 333 W. Wacker Drive and Assistant 2000 176 Chicago, IL 60606 Secretary o PETER H. D'ARRIGO Vice President and Treasurer of Nuveen 11/28/67 Investments, LLC and of Nuveen Investments, 333 W. Wacker Drive Vice President 1999 176 Inc. (since 1999); Vice President and Chicago, IL 60606 Treasurer of Nuveen Asset Management (since 2002) and of Nuveen Investments Advisers Inc. (since 2002); Assistant Treasurer of NWQ Investment Management Company, LLC. (since 2002); Vice President and Treasurer of Nuveen Rittenhouse Asset Management, Inc. (since 2003); Treasurer of Symphony Asset Management LLC (since 2003) and Santa Barbara Asset Management, LLC (since 2006); Assistant Treasurer, Tradewinds Global Investors, LLC (since 2006); formerly, Vice President and Treasurer (1999-2004) of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.(3); Chartered Financial Analyst. o LORNA C. FERGUSON Managing Director (since 2004), formerly, 10/24/45 Vice President of Nuveen Investments, LLC, 333 W. Wacker Drive Vice President 1998 176 Managing Director (2004) formerly, Vice Chicago, IL 60606 President (1998-2004) of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.(3); Managing Director (since 2005) of Nuveen Asset Management. 90 NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S) AND ADDRESS APPOINTED(4) IN FUND COMPLEX DURING PAST 5 YEARS OVERSEEN BY OFFICER OFFICERS OF THE FUND: o WILLIAM M. FITZGERALD Managing Director (since 2002), formerly, 3/2/64 Vice President of Nuveen Investments, LLC; 333 W. Wacker Drive Vice President 1995 176 Managing Director (1997-2004) of Nuveen Chicago, IL 60606 Advisory Corp. and Nuveen Institutional Advisory Corp.(3); Managing Director (since 2001) of Nuveen Asset Management; Vice President (since 2002) of Nuveen Investments Advisers Inc.; Chartered Financial Analyst. o STEPHEN D. FOY Vice President (since 1993) and Funds 5/31/54 Vice President Controller (since 1998) of Nuveen 333 W. Wacker Drive and Controller 1998 176 Investments, LLC; formerly, Vice President Chicago, IL 60606 and Funds Controller (1998-2004) of Nuveen Investments, Inc.; Certified Public Accountant. o WALTER M. KELLY Assistant Vice President and Assistant 2/24/70 Chief Compliance Secretary of the Nuveen Funds (2003-2006); 333 West Wacker Drive Officer and 2003 176 Vice President (since 2006) formerly, Chicago, IL 60606 Vice President Assistant Vice President and Assistant General Counsel (2003-2006) of Nuveen Investments, LLC; previously, Associate (2001-2003) at the law firm of Vedder, Price, Kaufman & Kammholz. o DAVID J. LAMB Vice President (since 2000) of Nuveen 3/22/63 Investments, LLC; Certified Public 333 W. Wacker Drive Vice President 2000 176 Accountant. Chicago, IL 60606 o TINA M. LAZAR Vice President of Nuveen Investments, LLC 8/27/61 (since 1999). 333 W. Wacker Drive Vice President 2002 176 Chicago, IL 60606 o LARRY W. MARTIN Vice President, Assistant Secretary and 7/27/51 Vice President Assistant General Counsel of Nuveen 333 W. Wacker Drive and Assistant 1988 176 Investments, LLC; formerly, Vice President Chicago, IL 60606 Secretary and Assistant Secretary of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.(3); Vice President (since 2005) and Assistant Secretary of Nuveen Investments, Inc.; Vice President (since 2005) and Assistant Secretary (since 1997) of Nuveen Asset Management; Vice President (since 2000), Assistant Secretary and Assistant General Counsel (since 1998) of Rittenhouse Asset Management, Inc.; Vice President and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002); Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Symphony Asset Management LLC (since 2003) and Tradewinds Global Investors, LLC and Santa Barbara Asset Management, LLC (since 2006). o KEVIN J. MCCARTHY Vice President and Assistant General 3/26/66 Vice President Counsel, Nuveen Investments, LLC (since 333 W. Wacker Drive and Secretary 2007 176 2007); prior thereto, Partner, Bell, Boyd & Chicago, IL 60606 Lloyd LLP (1997-2007) o JOHN V. MILLER Managing Director (since 2007), formerly, 4/10/67 Vice President (2002-2007) of Nuveen 333 W. Wacker Drive Vice President 2007 176 Investments, LLC; Chartered Financial Chicago, IL 60606 Analyst.
(1) Mr. Schwertfeger is an "interested person" of the Funds, as defined in the Investment Company Act of 1940, because he is an officer and board member of the Adviser. (2) Board Members serve three year terms, except for two board members who are elected by the holders of Preferred Shares. The Board of Trustees is divided into three classes, Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders' meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed, except two board members are elected by the holders of Preferred Shares to serve until the next annual shareholders' meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The first year elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex. (3) Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. were reorganized into Nuveen Asset Management, effective January 1, 2005. (4) Officers serve one year terms through July of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex. 91 Annual Investment Management Agreement APPROVAL PROCESS The Board of Trustees is responsible for overseeing the performance of the investment adviser to the Funds and determining whether to continue the advisory arrangements. At a meeting held on May 21-23, 2007 (the "May Meeting"), the Board of Trustees of the Funds, including the independent Trustees, unanimously approved the continuance of the Investment Management Agreement between each Fund and NAM (the "Fund Adviser"). THE APPROVAL PROCESS During the course of the year, the Board received a wide variety of materials relating to the services provided by the Fund Adviser and the performance of the Funds. At each of its quarterly meetings, the Board reviews investment performance and various matters relating to the respective Fund's operations, including the Fund's compliance program, shareholder services, valuation, custody, distribution and other information relating to the nature, extent and quality of services provided by the Fund Adviser. Between the regularly scheduled quarterly meetings, the Trustees received information on particular matters as the need arose. In considering whether to renew the respective advisory contract with the Fund Adviser at the May Meeting, the independent Trustees also received extensive materials well in advance of their meeting which outlined, among other things: o the nature, extent and quality of services provided by the Fund Adviser; o the organization and business operations of the Fund Adviser, including the responsibilities of various departments and key personnel; o the Fund's past performance as well as the Fund's performance compared to funds with similar investment objectives based on data and information provided by an independent third party and to customized benchmarks; o the profitability of the Fund Adviser and certain industry profitability analyses for unaffiliated advisers; o the expenses of the Fund Adviser in providing the various services; o the advisory fees and total expense ratios of the Fund, including comparisons of such fees and expenses with those of comparable, unaffiliated funds based on information and data provided by an independent third party (the "Peer Universe") as well as compared to a subset of funds within the Peer Universe (the "Peer Group") of the respective Fund (as applicable); o the advisory fees the Fund Adviser assesses to other types of investment products or clients; o the soft dollar practices of the Fund Adviser, if any; and o from independent legal counsel, a legal memorandum describing among other things, applicable laws, regulations and duties in reviewing and approving advisory contracts. At the May Meeting, the Fund Adviser made a presentation to and responded to questions from the Board. Prior to and after the presentations and reviewing the written materials, the independent Trustees met privately with their legal counsel to review the Board's duties in reviewing advisory contracts and consider the renewal of the advisory contracts. The independent Trustees, in consultation with independent counsel, reviewed the factors set out in judicial decisions and SEC directives relating to the renewal of advisory contracts. As outlined in more detail below, the Trustees considered all factors they believed relevant with respect to each Fund, including, but not limited to, the following: (a) the nature, extent and quality of the services to be provided by the Fund Adviser; (b) the investment performance of the Fund and the Fund Adviser; (c) the costs of the services to be provided and profits to be realized by the Fund Adviser and its affiliates; (d) the extent to which economies of scale would be realized; and (e) whether fee levels reflect these economies of scale for the benefit of Fund investors. In addition, as noted, the Trustees met regularly throughout the year to oversee the Funds. In evaluating the advisory contracts, the Trustees also relied upon 92 their knowledge resulting from their meetings and other interactions throughout the year of the Fund Adviser, its services and the Funds. It is with this background that the Trustees considered each advisory contract. A. NATURE, EXTENT AND QUALITY OF SERVICES In reviewing the Fund Adviser, the Trustees considered the nature, extent and quality of the Fund Adviser's services. The Trustees reviewed materials outlining, among other things, the Fund Adviser's organization and business; the types of services that the Fund Adviser or its affiliates provide and are expected to provide to the Funds; the performance record of the applicable Fund (as described in further detail below); and any initiatives Nuveen has taken for the municipal fund product line. As noted, the Trustees are already familiar with the organization, operations and personnel of the Fund Adviser due to the Trustees' experience in governing the respective Fund and working with NAM on matters relating to the Funds. With respect to personnel, the Trustees recognized NAM's investment in additional qualified personnel throughout the various groups in the organization and recommended to NAM that it continue to review staffing needs as necessary. In addition, with respect to the municipal funds advised by NAM, the Trustees reviewed materials describing the current status and, in particular, the developments in 2006 with respect to NAM's investment process, investment strategies (including additional tools used in executing such strategies), personnel (including portfolio management and research teams), trading process, hedging team, risk management team (e.g., reviewing credit quality, duration limits, derivative use, as applicable), and investment operations (such as, enhancements to trading procedures, pricing procedures, and client services). The Trustees recognized NAM's investment of resources and efforts to continue to enhance and refine its investment process. In addition to advisory services, the independent Trustees considered the quality of any administrative or non-advisory services provided. With respect to NAM, NAM provides the Funds with a wide variety of services and officers and other personnel as are necessary for the operations of the respective Fund, including, o product management; o fund administration; o oversight of shareholder services and other fund service providers; o administration of Board relations; o regulatory and portfolio compliance; and o legal support services. As the Funds operate in a highly regulated industry and given the importance of compliance, the Trustees considered, in particular, NAM's compliance activities for the Funds and enhancements thereto. In this regard, the Trustees recognized the quality of NAM's compliance team. The Trustees further noted NAM's negotiations with other service providers and the corresponding reduction in certain service providers' fees. With respect to closed-end funds, in addition to the foregoing services, the Trustees also noted the additional services that NAM or its affiliates provide to closed-end funds, including, in particular, its secondary market support activities. The Trustees recognized Nuveen's continued commitment to supporting the secondary market for the common shares of its closed-end funds through a variety of programs designed to raise investor and analyst awareness and understanding of closed-end funds. These efforts include: o maintaining shareholder communications; o providing advertising for closed-end funds; o maintaining its closed-end fund website; o continual contact with financial advisers; o providing educational symposia; o conducting research with investors and financial analysis regarding closed-end funds; and o evaluating secondary market performance. 93 With respect to Funds that utilize leverage through the issuance of preferred shares, the Trustees noted Nuveen's continued support for the preferred shares by, among other things: o maintaining an in-house trading desk; o maintaining a product manager for the preferred shares; o developing distribution for preferred shares with new market participants; o maintaining an orderly auction process; o managing leverage and risk management of leverage; and o maintaining systems necessary to test compliance with rating agency criteria. Based on their review, the Trustees found that, overall, the nature, extent and quality of services provided (and expected to be provided) to the respective Funds under the Investment Management Agreements were satisfactory. B. THE INVESTMENT PERFORMANCE OF THE FUNDS AND FUND ADVISER The Board considered the investment performance for each Fund, including the Fund's historic performance as well as its performance compared to funds with similar investment objectives (the "Performance Peer Group") based on data provided by an independent third party (as described below). With respect to municipal funds, the Trustees reviewed portfolio level performance against customized benchmarks, as described in further detail below. In evaluating the performance information, in certain instances, the Trustees noted that the closest Performance Peer Group for a Fund may not adequately reflect such Fund's investment objectives and strategies, thereby limiting the usefulness of the comparisons of such Fund's performance with that of the Performance Peer Group. With respect to state specific municipal funds, the Trustees also recognized that certain state municipal funds do not have a corresponding state specific Performance Peer Group in which case their performance is measured against a more general municipal category for various states. With respect to municipal closed-end funds, municipal funds that do not have corresponding state-specific Performance Peer Groups are from all states other than New York, California, Florida, New Jersey, Michigan, and Pennsylvania. However, with respect to Funds based on Florida, New Jersey, Michigan and Pennsylvania, the peer group may be so small or the Nuveen Funds may dominate the category to such an extent that performance information for such Funds was also compared to the more general category for all states (other than New York and California). With respect to municipal funds, the Trustees reviewed performance information including, among other things, total return information compared with the Fund's Performance Peer Group for the one-, three- and five-year periods (as applicable) ending December 31, 2006. The Trustees also reviewed the Fund's portfolio level performance (which does not reflect fund level fees and expenses) compared to customized portfolio-level benchmarks for the one- and three-year periods ending December 31, 2006 (as applicable). This analysis is designed to assess the efficacy of investment decisions against appropriate measures of risk and total return, within specific market segments. This information supplements the Fund performance information provided to the Board at each of its quarterly meetings. Based on their review, the Trustees determined that the respective Fund's absolute and relative investment performance over time had been satisfactory, subject to the following. With respect to various municipal closed-end funds, the Trustees have noted the relative total return underperformance in recent years compared to peers. The Trustees reviewed materials and discussed with the Fund Adviser the factors contributing to the shift in performance including, among other things, the degree of risk undertaken by peers compared to the Funds (such as through the increased use of leverage or taking concentrated positions in high risk credits). In addition, the Trustees also considered a Fund's dividend performance and the extent of any secondary market discounts. The Trustees noted NAM's efforts to evaluate the factors affecting performance and determine whether modification to a Fund's investment strategy is necessary or appropriate and are satisfied with the steps being taken. 94 C. FEES, EXPENSES AND PROFITABILITY 1. FEES AND EXPENSES In evaluating the management fees and expenses of a Fund, the Board reviewed, among other things, the Fund's advisory fees (net and gross management fees) and total expense ratios (before and after expense reimbursements and/or waivers) in absolute terms as well as comparisons to the gross management fees (before waivers), net management fees (after waivers) and total expense ratios (before and after waivers) of comparable funds in the Peer Universe and the Peer Group. In reviewing the fee schedule for a Fund, the Trustees considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and reimbursements provided by Nuveen (applicable, in particular, for certain Funds launched since 1999). The Trustees further reviewed data regarding the construction of Peer Groups as well as the methods of measurement for the fee and expense analysis and the performance analysis. In certain cases, due to the small number of peers in the Peer Universe, the Peer Universe and Peer Group may be the same. In reviewing the comparison of fee and expense information, the Trustees recognized that in certain cases, the Fund size relative to peers, the small size and odd composition of the Peer Group (including differences in objectives and strategies), expense anomalies, timing of information used or other factors impact the comparisons thereby limiting some of their usefulness. With respect to municipal closed-end funds, the Trustees also considered the differences in the use of leverage. Based on their review of the fee and expense information provided, the Trustees determined that each Fund's net total expense ratio was within an acceptable range compared to peers. 2. COMPARISONS WITH THE FEES OF OTHER CLIENTS The Trustees further reviewed data comparing the advisory fees of NAM with fees NAM charges to other clients. With respect to municipal funds, such other clients include municipal managed accounts. In general, the advisory fees charged for separate accounts are somewhat lower than the advisory fees assessed to the Funds. The Trustees considered the differences in the product types, including, but not limited to, the services provided, the structure and operations, product distribution and costs thereof, portfolio investment policies, investor profiles, account sizes and regulatory requirements. The Trustees noted, in particular, that the range of services provided to the Funds (as discussed above) is more extensive than that provided to separately managed accounts. As described in further detail above, such additional services include, but are not limited to, providing: product management, fund administration, oversight of third party service providers, administration of Board relations, and legal support. Funds further operate in a highly regulated industry requiring extensive compliance functions compared to the other investment products. Given the inherent differences in the products, particularly the extensive services provided to the Funds, the Trustees believe such facts justify the different levels of fees. 3. PROFITABILITY OF FUND ADVISERS In conjunction with its review of fees, the Trustees also considered the profitability of Nuveen for its advisory activities (which incorporated Nuveen's wholly-owned affiliated sub-advisers) and its financial condition. The Trustees reviewed the revenues and expenses of Nuveen's advisory activities for the last three years, the allocation methodology used in preparing the profitability data as well as the 2006 Annual Report for Nuveen. The Trustees noted this information supplements the profitability information requested and received during the year to help keep them apprised of developments affecting profitability (such as changes in fee waivers and expense reimbursement commitments). In this regard, the Trustees noted the enhanced dialogue and information regarding profitability with NAM during the year, including more frequent meetings and updates from Nuveen's corporate finance group. The Trustees also reviewed data comparing Nuveen's profitability with other fund sponsors prepared by three independent third party service providers as well as comparisons of the revenues, expenses and profit margins of various unaffiliated management firms with similar amounts of assets under management prepared by Nuveen. In reviewing profitability, the Trustees have recognized the subjective nature in determining profitability which may be affected by numerous factors, including, the allocation of expenses. Further, the Trustees 95 have recognized the difficulties in making comparisons as the profitability of other advisers generally is not publicly available and the profitability information that is available for certain advisers or management firms may not be representative of the industry and may be affected by, among other things, the adviser's particular business mix, capital costs, types of funds managed and expense allocations. Notwithstanding the foregoing, the Trustees reviewed Nuveen's methodology and assumptions for allocating expenses across product lines to determine profitability. Last year, the Trustees also designated an independent Trustee as a point person for the Board to review the methodology determinations during the year and any refinements thereto and report back to them. The Trustees also reviewed the comparisons of Nuveen's profitability margins (including pre- and post-marketing profit margins) with the profitability of various unaffiliated management firms. In reviewing profitability, the Trustees recognized Nuveen's increased investment into its fund business. Based on its review, the Trustees concluded that they were satisfied that Nuveen's level of profitability for its advisory activities was reasonable in light of the services provided. In evaluating the reasonableness of the compensation, the Trustees also considered any other revenues paid to the Fund Adviser as well as any indirect benefits (such as soft dollar arrangements, if any) the Fund Adviser and its affiliates are expected to receive that are directly attributable to their management of the Funds, if any. See Section E below for additional information. Based on their review of the overall fee arrangements of the applicable Fund, the Trustees determined that the advisory fees and expenses of the respective Fund were reasonable. D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE With respect to economies of scale, the Trustees recognized the potential benefits resulting from the costs of a Fund being spread over a larger asset base. To help ensure the shareholders share in these benefits, the Trustees have reviewed and considered the breakpoints in the advisory fee schedules that reduce advisory fees. In addition to advisory fee breakpoints, the Board also approved in 2004 a complex-wide fee arrangement. Pursuant to the complex-wide fee arrangement, the fees of the funds in the Nuveen complex, including the Funds, are reduced as the assets in the fund complex reach certain levels. In evaluating the complex-wide fee arrangement, the Trustees noted that the last breakpoint for the complex-wide fee schedule is at the $91 billion level and anticipate further review and/or negotiations prior to the assets of the Nuveen complex reaching such threshold. Based on their review, the Trustees concluded that the breakpoint schedule and complex-wide fee arrangement currently was acceptable and desirable in providing benefits from economies of scale to shareholders subject to further evaluation of the complex-wide fee schedule as assets in the complex increase. E. INDIRECT BENEFITS In evaluating fees, the Trustees also considered any indirect benefits or profits the Fund Adviser or its affiliates may receive as a result of its relationship with each Fund. With respect to closed-end funds, the Trustees considered revenues received by affiliates of NAM for serving as agent at Nuveen's preferred trading desk and for serving as a co-manager in the initial public offering of new closed-end exchange traded funds. In addition to the above, the Trustees considered whether the Fund Adviser received any benefits from soft dollar arrangements whereby a portion of the commissions paid by a Fund for brokerage may be used to acquire research that may be useful to the Fund Adviser in managing the assets of the Fund and other clients. With respect to NAM, the Trustees noted that NAM does not currently have any soft dollar arrangements; however, to the extent certain bona fide agency transactions that occur on markets that traditionally trade on a principal basis and riskless principal transactions are considered as generating "commissions," NAM intends to comply with the applicable safe harbor provisions. F. OTHER CONSIDERATIONS The Trustees did not identify any single factor discussed previously as all-important or controlling. The Trustees, including the independent Trustees, unanimously concluded that the terms of the NAM Investment Management Agreements are fair and reasonable, that the Fund Adviser's fees are reasonable in light of the services provided to each Fund and that the renewal of the NAM Investment Management Agreements should be approved. 96 Reinvest Automatically EASILY and CONVENIENTLY NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET UP YOUR REINVESTMENT ACCOUNT. NUVEEN CLOSED-END FUNDS DIVIDEND REINVESTMENT PLAN Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or capital gains distributions in additional Fund shares. By choosing to reinvest, you'll be able to invest money regularly and automatically, and watch your investment grow through the power of tax-free compounding. Just like dividends or distributions in cash, there may be times when income or capital gains taxes may be payable on dividends or distributions that are reinvested. It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market. EASY AND CONVENIENT To make recordkeeping easy and convenient, each month you'll receive a statement showing your total dividends and distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own. HOW SHARES ARE PURCHASED The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of 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. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund's shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares' net asset value or 95% of the shares' market value on the last business day immediately prior to the purchase date. Dividends and distributions received to purchase shares in the open market will normally be invested shortly after the dividend payment date. No interest will be paid on dividends and distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the dividend or distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions. 97 FLEXIBLE You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. Should you withdraw, you can receive a certificate for all whole shares credited to your reinvestment account and cash payment for fractional shares, or cash payment for all reinvestment account shares, less brokerage commissions and a $2.50 service fee. You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan. The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time. CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787. 98 Other Useful INFORMATION QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION Each Fund's (i) quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the 12-month period ended June 30, 2006, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities are available without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com. You may also obtain this and other Fund information directly from the Securities and Exchange Commission ("SEC"). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public References Section at 450 Fifth Street NW, Washington, D.C. 20549. CEO CERTIFICATION DISCLOSURE For Funds listed on the New York Stock Exchange, each Fund's Chief Executive Officer has submitted to the Exchange the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the Securities and Exchange Commission the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act. INVESTMENT POLICY CHANGE In February 2007, the Board of Trustees voted to remove investment policy restrictions that limited the territorial bond holdings of these Funds to a maximum of 10 percent of net assets. This change will give the Funds' portfolio managers greater flexibility to achieve its investment objectives. GLOSSARY OF TERMS USED IN THIS REPORT o 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. o AVERAGE EFFECTIVE MATURITY: The average of the number of years to maturity of the bonds in a Fund's portfolio, computed by weighting each bond's time to maturity (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 unless an escrow account has been established to redeem the bond before maturity. The market value weighting for an investment in an inverse floating rate security is the value of the portfolio's residual interest in the inverse floating rate trust, and does not include the value of the floating rate securities issued by the trust. o INVERSE FLOATERS: Inverse floating rate securities are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond's par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an "inverse floater") to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates' holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond's downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond's value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis. o LEVERAGE-ADJUSTED DURATION: Duration is a measure of the expected period over which a bond's principal and interest will be paid, and consequently is a measure of the sensitivity of a bond's or bond Fund's value to changes when market interest rates change. Generally, the longer a bond's or Fund's duration, the more the price of the bond or Fund will change as interest rates change. Leverage-adjusted duration takes into account the leveraging process for a Fund and therefore is longer than the duration of the Fund's portfolio of bonds. o MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An investment's current annualized dividend divided by its current market price. o 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. o 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 Jack B. Evans William C. Hunter David J. Kundert William J. Schneider Timothy R. Schwertfeger Judith M. Stockdale Carol E. Stone Eugene S. Sunshine FUND MANAGER Nuveen Asset Management 333 West Wacker Drive Chicago, IL 60606 CUSTODIAN State Street Bank & Trust Company Boston, MA TRANSFER AGENT AND SHAREHOLDER SERVICES State Street Bank & Trust Company Nuveen Funds P.O. Box 43071 Providence, RI 02940-3071 (800) 257-8787 LEGAL COUNSEL Chapman and Cutler LLP Chicago, IL INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Chicago, IL Each Fund intends to repurchase shares of its own common or preferred stock in the future at such times and in such amounts as is deemed advisable. No shares were repurchased during the period covered by this report. Any future repurchases will be reported to shareholders in the next annual or semiannual report. 99 Nuveen Investments: - ------------------- SERVING INVESTORS FOR GENERATIONS Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions. For the past century, Nuveen Investments has adhered to the belief that the best approach to investing is to apply conservative risk-management principles to help minimize volatility. Building on this tradition, we today offer a range of high quality equity and fixed-income solutions that are integral to a well-diversified core portfolio. Our clients have come to appreciate this diversity, as well as our continued adherence to proven, long-term investing principles. We offer many different investing solutions for our clients' different needs. Managing $166 billion in assets, as of March 31, 2007, 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 six distinct brands: NWQ, specializing in value-style equities; Nuveen, managing fixed-income investments; Santa Barbara, committed to growth equities; Tradewinds, specializing in global value equities; Rittenhouse, focused on "blue-chip" growth equities; and Symphony, with expertise in alternative investments as well as equity and income portfolios. Find out how we can help you reach your financial goals. To learn more about the products and services Nuveen Investments offers, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Be sure to obtain a prospectus, where applicable. Investors should consider the investment objective and policies, risk considerations, charges and expenses of the Fund carefully before investing. The prospectus contains this and other information relevant to an investment in the Fund. For a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money. Learn more about Nuveen Funds at: www.nuveen.com/etf Share prices Fund details Daily financial news Investor education Interactive planning tools EAN-B-0507D ITEM 2. CODE OF ETHICS. As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the Code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/etf. (To view the code, click on the Investor Resources drop down menu box, click on Fund Governance and then click on Code of Conduct.) ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The registrant's Board of Directors or Trustees determined that the registrant has at least one "audit committee financial expert" (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant's audit committee financial expert is Jack B. Evans, Chairman of the Audit Committee, who is "independent" for purposes of Item 3 of Form N-CSR. Mr. Evans was formerly President and Chief Operating Officer of SCI Financial Group, Inc., a full service registered broker-dealer and registered investment adviser ("SCI"). As part of his role as President and Chief Operating Officer, Mr. Evans actively supervised the Chief Financial Officer (the "CFO") and actively supervised the CFO's preparation of financial statements and other filings with various regulatory authorities. In such capacity, Mr. Evans was actively involved in the preparation of SCI's financial statements and the resolution of issues raised in connection therewith. Mr. Evans has also served on the audit committee of various reporting companies. At such companies, Mr. Evans was involved in the oversight of audits, audit plans, and the preparation of financial statements. Mr. Evans also formerly chaired the audit committee of the Federal Reserve Bank of Chicago. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Nuveen Massachusetts Premium Income Municipal Fund The following tables show the amount of fees that Ernst & Young LLP, the Fund's auditor, billed to the Fund during the Fund's last two full fiscal years. For engagements with Ernst & Young LLP the Audit Committee approved in advance all audit services and non-audit services that Ernst & Young LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the "pre-approval exception"). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee's attention, and the Committee (or its delegate) approves the services before the audit is completed. The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee). SERVICES THAT THE FUND'S AUDITOR BILLED TO THE FUND
AUDIT FEES BILLED AUDIT-RELATED FEES TAX FEES ALL OTHER FEES FISCAL YEAR ENDED TO FUND (1) BILLED TO FUND (2) BILLED TO FUND (3) BILLED TO FUND (4) - -------------------------------------------------------------------------------------------------------------------------- May 31, 2007 $ 9,097 $ 0 $ 0 $ 2,250 - -------------------------------------------------------------------------------------------------------------------------- Percentage approved 0% 0% 0% 0% pursuant to pre-approval exception - -------------------------------------------------------------------------------------------------------------------------- May 31, 2006 $ 8,626 $ 0 $404 $ 2,850 - -------------------------------------------------------------------------------------------------------------------------- Percentage approved 0% 0% 0% 0% pursuant to pre-approval exception - --------------------------------------------------------------------------------------------------------------------------
(1) "Audit Fees" are the aggregate fees billed for professional services for the audit of the Fund's annual financial statements and services provided in connection with statutory and regulatory filings or engagements. (2) "Audit Related Fees" are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements and are not reported under "Audit Fees". (3) "Tax Fees" are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. (4) "All Other Fees" are the aggregate fees billed for products and services other than "Audit Fees", "Audit Related Fees", and "Tax Fees". SERVICES THAT THE FUND'S AUDITOR BILLED TO THE ADVISER AND AFFILIATED FUND SERVICE PROVIDERS The following tables show the amount of fees billed by Ernst & Young LLP to Nuveen Asset Management ("NAM" or the "Adviser"), and any entity controlling, controlled by or under common control with NAM ("Control Affiliate") that provides ongoing services to the Fund ("Affiliated Fund Service Provider"), for engagements directly related to the Fund's operations and financial reporting, during the Fund's last two full fiscal years. The tables also show the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee's attention, and the Committee (or its delegate) approves the services before the Fund's audit is completed.
FISCAL YEAR ENDED AUDIT-RELATED FEES TAX FEES BILLED TO ALL OTHER FEES BILLED TO ADVISER AND ADVISER AND BILLED TO ADVISER AFFILIATED FUND AFFILIATED FUND AND AFFILIATED FUND SERVICE PROVIDERS SERVICE PROVIDERS (1) SERVICE PROVIDERS - -------------------------------------------------------------------------------------------------------------- May 31, 2007 $ 0 $ 0 $ 0 - -------------------------------------------------------------------------------------------------------------- Percentage approved 0% 0% 0% pursuant to pre-approval exception - -------------------------------------------------------------------------------------------------------------- May 31, 2006 $ 0 $ 2,400 $ 0 - -------------------------------------------------------------------------------------------------------------- Percentage approved 0% 0% 0% pursuant to pre-approval exception - --------------------------------------------------------------------------------------------------------------
(1) The amounts reported for the Fund under the column heading "Tax Fees" represents amounts billed to the Adviser exclusively for the preparation for the Fund's tax return, the cost of which is borne by the Adviser. In the aggregate, for all Nuveen funds for which Ernst & Young LLP serves as independent registered public accounting firm, these fees amounted to $161,400 in 2006. Beginning with fund fiscal years ending August 31, 2006, Ernst & Young LLP will no longer prepare the fund tax returns. NON-AUDIT SERVICES The following table shows the amount of fees that Ernst & Young LLP billed during the Fund's last two full fiscal years for non-audit services. The Audit Committee is required to pre-approve non-audit services that Ernst & Young LLP provides to the Adviser and any Affiliated Fund Services Provider, if the engagement related directly to the Fund's operations and financial reporting (except for those subject to the de minimis exception described above). The Audit Committee requested and received information from Ernst & Young LLP about any non-audit services that Ernst & Young LLP rendered during the Fund's last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating Ernst & Young LLP's independence.
FISCAL YEAR ENDED TOTAL NON-AUDIT FEES BILLED TO ADVISER AND AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES PROVIDERS (ENGAGEMENTS BILLED TO ADVISER AND RELATED DIRECTLY TO THE AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES OPERATIONS AND FINANCIAL PROVIDERS (ALL OTHER BILLED TO FUND REPORTING OF THE FUND) ENGAGEMENTS) TOTAL - ------------------------------------------------------------------------------------------------------------------------------------ May 31, 2007 $ 2,250 $ 0 $ 0 $ 2,250 May 31, 2006 $ 3,254 $ 2,400 $ 0 $ 5,654
"Non-Audit Fees billed to Adviser" for both fiscal year ends represent "Tax Fees" billed to Adviser in their respective amounts from the previous table. Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Fund by the Fund's independent accountants and (ii) all audit and non-audit services to be performed by the Fund's independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. The registrant's Board of Directors or Trustees has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The members of the audit committee are Robert P. Bremner, Jack B. Evans, William J. Schneider, Eugene S. Sunshine and David J. Kundert. ITEM 6. SCHEDULE OF INVESTMENTS. See Portfolio of Investments in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. The registrant invests its assets primarily in municipal bonds and cash management securities. On rare occasions the registrant may acquire, directly or through a special purpose vehicle, equity securities of a municipal bond issuer whose bonds the registrant already owns when such bonds have deteriorated or are expected shortly to deteriorate significantly in credit quality. The purpose of acquiring equity securities generally will be to acquire control of the municipal bond issuer and to seek to prevent the credit deterioration or facilitate the liquidation or other workout of the distressed issuer's credit problem. In the course of exercising control of a distressed municipal issuer, NAM may pursue the registrant's interests in a variety of ways, which may entail negotiating and executing consents, agreements and other arrangements, and otherwise influencing the management of the issuer. NAM does not consider such activities proxy voting for purposes of Rule 206(4)-6 under the 1940 Act, but nevertheless provides reports to the registrant's Board of Trustees on its control activities on a quarterly basis. In the rare event that a municipal issuer were to issue a proxy or that the registrant were to receive a proxy issued by a cash management security, NAM would either engage an independent third party to determine how the proxy should be voted or vote the proxy with the consent, or based on the instructions, of the registrant's Board of Trustees or its representative. A member of NAM's legal department would oversee the administration of the voting, and ensure that records were maintained in accordance with Rule 206(4)-6, reports were filed with the SEC on Form N-PX, and the results provided to the registrant's Board of Trustees and made available to shareholders as required by applicable rules. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. THE PORTFOLIO MANAGER The following individual has primary responsibility for the day-to-day implementation of the registrant's investment strategies: NAME FUND CATHRYN P. STEEVES Nuveen Massachusetts Premium Income Municipal Fund Other Accounts Managed. In addition to managing the registrant, the portfolio manager is also primarily responsible for the day-to-day portfolio management of the following accounts:
TYPE OF ACCOUNT NUMBER OF PORTFOLIO MANAGER MANAGED ACCOUNTS ASSETS - --------------------------------------------------------------------------------------------------------------------------- Cathryn P. Steeves Registered Investment Company 41 $8.242 billion Other Pooled Investment Vehicles -0- $0 Other Accounts -0- $0
* Assets are as of May 31, 2007. None of the assets in these accounts are subject to an advisory fee based on performance. Compensation. Each portfolio manager's compensation consists of three basic elements--base salary, cash bonus and long-term incentive compensation. The compensation strategy is to annually compare overall compensation, including these three elements, to the market in order to create a compensation structure that is competitive and consistent with similar financial services companies. As discussed below, several factors are considered in determining each portfolio manager's total compensation. In any year these factors may include, among others, the effectiveness of the investment strategies recommended by the portfolio manager's investment team, the investment performance of the accounts managed by the portfolio manager, and the overall performance of Nuveen Investments, Inc. (the parent company of NAM). Although investment performance is a factor in determining the portfolio manager's compensation, it is not necessarily a decisive factor. The portfolio manager's performance is evaluated in part by comparing manager's performance against a specified investment benchmark. This fund-specific benchmark is a customized subset (limited to bonds in each Fund's specific state and with certain maturity parameters) of the S&P/Investortools Municipal Bond index, an index comprised of bonds held by managed municipal bond fund customers of Standard & Poor's Securities Pricing, Inc. that are priced daily and whose fund holdings aggregate at least $2 million. As of April 30, 2007, the S&P/Investortools Municipal Bond index was comprised of 50,300 securities with an aggregate current market value of $985.260 billion. Base salary. Each portfolio manager is paid a base salary that is set at a level determined by NAM in accordance with its overall compensation strategy discussed above. NAM is not under any current contractual obligation to increase a portfolio manager's base salary. Cash bonus. Each portfolio manager is also eligible to receive an annual cash bonus. The level of this bonus is based upon evaluations and determinations made by each portfolio manager's supervisors, along with reviews submitted by his peers. These reviews and evaluations often take into account a number of factors, including the effectiveness of the investment strategies recommended to the NAM's investment team, the performance of the accounts for which he serves as portfolio manager relative to any benchmarks established for those accounts, his effectiveness in communicating investment performance to stockholders and their representatives, and his contribution to the NAM's investment process and to the execution of investment strategies. The cash bonus component is also impacted by the overall performance of Nuveen Investments, Inc. in achieving its business objectives. Long-term incentive compensation. Each portfolio manager is eligible to receive bonus compensation in the form of equity-based awards issued in securities issued by Nuveen Investments, Inc. The amount of such compensation is dependent upon the same factors articulated for cash bonus awards but also factors in his long-term potential with the firm. Material Conflicts of Interest. Each portfolio manager's simultaneous management of the registrant and the other accounts noted above may present actual or apparent conflicts of interest with respect to the allocation and aggregation of securities orders placed on behalf of the Registrant and the other account. NAM, however, believes that such potential conflicts are mitigated by the fact that the NAM has adopted several policies that address potential conflicts of interest, including best execution and trade allocation policies that are designed to ensure (1) that portfolio management is seeking the best price for portfolio securities under the circumstances, (2) fair and equitable allocation of investment opportunities among accounts over time and (3) compliance with applicable regulatory requirements. All accounts are to be treated in a non-preferential manner, such that allocations are not based upon account performance, fee structure or preference of the portfolio manager. In addition, NAM has adopted a Code of Conduct that sets forth policies regarding conflicts of interest. Beneficial Ownership of Securities. As of the May 31, 2007, the portfolio manager beneficially owned the following dollar range of equity securities issued by the Registrant and other Nuveen Funds managed by NAM's municipal investment team.
- -------------------------- ---------------------------------------------- ----------------- ---------------------- DOLLAR RANGE OF EQUITY SECURITIES DOLLAR RANGE OF BENEFICIALLY OWNED EQUITY IN THE REMAINDER OF SECURITIES NUVEEN FUNDS MANAGED BENEFICIALLY BY NAM'S MUNICIPAL NAME OF PORTFOLIO MANAGER FUND OWNED IN FUND INVESTMENT TEAM - -------------------------- ---------------------------------------------- ----------------- ---------------------- Cathryn Steeves Nuveen Massachusetts Premium Income $0 $10,000-$50,000 Municipal Fund - -------------------------- ---------------------------------------------- ----------------- ----------------------
PORTFOLIO MANAGER BIO: Cathryn Steeves, PhD is currently a portfolio manager for 42 state-specific municipal bond funds. She joined Nuveen in 1996 and worked as a senior analyst in the healthcare sector. Cathryn has an undergraduate degree from Wake Forest University, an MA, MPhil and a PhD from Columbia University. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrants Board implemented after the registrant last provided disclosure in response to this item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the "Exchange Act") (17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant's website at www.nuveen.com/etf and there were no amendments during the period covered by this report. (To view the code, click on the Investor Resources drop down menu box, click on Fund Governance and then Code of Conduct.) (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/ Kevin J. McCarthy ---------------------------------------------- Kevin J. McCarthy Vice President and Secretary Date: August 8, 2007 ------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Gifford R. Zimmerman ---------------------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) Date: August 8, 2007 ------------------------------------------------------------------- By (Signature and Title)* /s/ Stephen D. Foy ---------------------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) Date: August 8, 2007 ------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 file002.txt CERTIFICATIONS CERTIFICATION I, Gifford R. Zimmerman, certify that: 1. I have reviewed this report on Form N-CSR of Nuveen Massachusetts Premium Income Municipal Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 8, 2007 /s/ Gifford R. Zimmerman ------------------------- -------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) CERTIFICATION I, Stephen D. Foy, certify that: 1. I have reviewed this report on Form N-CSR of Nuveen Massachusetts Premium Income Municipal Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 8, 2007 /s/ Stephen D. Foy ------------------------- -------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) EX-99.906CERT 3 file003.txt CERTIFICATIONS Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002; provided by the Chief Executive Officer and Chief Financial Officer, based on each such officer's knowledge and belief. The undersigned officers of Nuveen Massachusetts Premium Income Municipal Fund (the "Fund"), certify that, to the best of each such officer's knowledge and belief: 1. The Form N-CSR of the Fund for the period ended May 31, 2007 (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. Date: August 8, 2007 ----------------------- /s/ Gifford R. Zimmerman --------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) /s/ Stephen D. Foy --------------------------------- Stephen D. Foy Vice President, Controller (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----