-----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, L47tw5mEqeqOKTKEamWwgnnxQYDdNnMH0SaikDD8WNvEVL+lZXBDrt4o/fSIOc8v 2BC1ZdMvVlX6cR0T/hLbMQ== 0000891804-09-000477.txt : 20090206 0000891804-09-000477.hdr.sgml : 20090206 20090206120253 ACCESSION NUMBER: 0000891804-09-000477 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20081130 FILED AS OF DATE: 20090206 DATE AS OF CHANGE: 20090206 EFFECTIVENESS DATE: 20090206 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-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07484 FILM NUMBER: 09575552 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-CSRS 1 file001.txt NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-7484 --------------------- Nuveen Massachusetts Premium Income Municipal Fund ------------------------------------------------------------------------------ (Exact name of registrant as specified in charter) Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------ (Address of principal executive offices) (Zip code) 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: November 30, 2008 ------------------ 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. SEMI-ANNUAL REPORT | Nuveen Investments November 30, 2008 | 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 | [LOGO] IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R) | 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 | www.nuveen.com/accountaccess If you receive your Nuveen Fund OR If you receive your Nuveen dividends and statements from your | Fund dividends and statements financial advisor or brokerage account. directly from Nuveen. [LOGO] NUVEEN Investments Chairman's LETTER TO SHAREHOLDERS [PHOTO OF ROBERT P. BREMNER] | Robert P. Bremner | Chairman of the Board Dear Shareholders, I write this letter in a time of continued uncertainty about the current state of the U.S. financial system and pessimism about the future of the global economy. Many have observed that the conditions that led to the crisis have built up over time and will complicate and extend the course of recovery. At the same time, government officials in the U.S. and abroad have implemented a wide range of programs to restore stability to the financial system and encourage economic recovery. History teaches us that these efforts will moderate the extent of the downturn and hasten the inevitable recovery, even though it is hard to envision that outcome in the current environment. As you will read in this report, the continuing financial and economic problems are weighing heavily on asset values for equities and fixed income, and unfortunately the performance of the Nuveen Funds has been similarly affected. I hope that you will carefully review the Portfolio Managers' Comments, the Common Share Dividend and Share Price Information and the Performance Overview sections of this report. These comments highlight the individual manager's pursuit of investment strategies that depend on thoroughly researched securities, diversified portfolio holdings and well established investment disciplines to achieve your Fund's investment goals. The Fund Board believes that a consistent focus on long term investment goals provides the basis for successful investment over time and we monitor your Fund with that objective in mind. Nuveen continues to work on resolving the auction rate preferred shares situation, but the unsettled conditions in the credit markets have slowed progress. Nuveen is actively pursuing a number of solutions, all with the goal of providing liquidity for preferred shareholders while preserving the potential benefits of leverage for common shareholders. We appreciate the patience you have shown as we have worked through the many issues involved. Please consult the Nuveen website: www.Nuveen.com, for the most recent information. On behalf of myself and the other members of your Fund's Board, we look forward to continuing to earn your trust in the months and years ahead. Sincerely, /s/ Robert P. Bremner - --------------------------------- Robert P. Bremner Chairman of the Nuveen Fund Board January 20, 2009 Portfolio Managers' COMMENTS Nuveen Investments Municipal Closed-End Funds | NTC, NFC, NGK, NGO, NMT, NMB, NGX, NOM Portfolio managers Cathryn Steeves and Scott Romans discuss key investment strategies and the six-month performance of these eight Nuveen Funds. Cathryn, who joined Nuveen in 1996, has managed the Connecticut and Massachusetts Funds since 2006. Scott, who has been with Nuveen since 2000, assumed portfolio management responsibility for NOM in 2003. WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THE SIX-MONTH REPORTING PERIOD ENDED NOVEMBER 30, 2008? During this period, stress in the financial and credit markets led to increased price volatility for many securities, reduced liquidity and a general flight to quality. In this environment, we took a defensive approach to managing these Funds, focusing on preserving and enhancing liquidity, managing duration(1) risk and continuing to invest for the long term. As events unfolded, we carefully watched the municipal bond market for attractive purchase opportunities, using a fundamental approach to discover undervalued sectors and individual credits with the potential to perform well over the long term. One area of the market that we found attractive during this period was higher education and we purchased several issues in this sector for the Connecticut Funds. All of the Connecticut Funds also added general obligation bonds issued by the state. For all eight Funds, a top priority was preserving or enhancing liquidity when we found appropriate opportunities to do so. To provide liquidity for purchases, we monitored the types of credits and bond structures that were attractive to the retail market and took advantage of strong bids to sell such bonds into solid retail demand. This was especially true in Missouri, where a substantial decline in issuance during this period meant fewer bonds available in the primary market. Given the market environment, retail demand was strongest for higher credit quality bonds, especially tax-backed securities (e.g., state and local general obligation bonds) with intermediate maturities. Some of the Funds also selectively sold holdings with shorter durations. As a key dimension of risk management, we employed a disciplined approach to duration positioning as an important component of our overall strategy. As part of this approach, we used inverse floating rate securities(2) in the Connecticut Funds and NOM throughout the six-month period. We also added inverse floaters to all three of the Massachusetts Funds during this period. Inverse floaters typically provide the dual benefit of bringing the Funds' durations closer to our strategic target and enhancing their income-generation capabilities. NMT and NMB also invested in certain types of derivative(3) instruments in an effort to lengthen duration and help us manage common Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein. (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. (2) An inverse floating rate security also known as inverse floaters, 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 this reporting period, are further defined within the Notes to Financial Statements and Glossary of Terms Used in this Report sections of this shareholder report. (3) Each Fund may invest in derivatives instruments such as forwards, futures, option and swap transactions. For additional information on derivative instruments in which each Fund was invested during and at the end of the reporting period, please refer to the Portfolio of Investments, Financial Statements and Notes to Financial Statements sections of this shareholder report. 4 share net asset value (NAV) while trying to minimize any negative impact on income streams or common share dividends over the short term. As of November 30, 2008, we continued to use inverse floaters in all eight of these Funds, while the derivatives had been removed from NMT and NMB 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. Average Annual Total Returns on Common Share Net Asset Value* For periods ended 11/30/08 Six-Month 1-Year 5-Year 10-Year Connecticut Funds NTC -12.29% -11.45% 1.07% 3.81% NFC -11.13% -9.53% 1.88% N/A NGK -10.41% -9.27% 1.71% N/A NGO -11.80% -11.18% 1.18% N/A Massachusetts Funds NMT -14.34% -14.29% 0.74% 3.19% NMB -13.45% -13.76% 0.96% N/A Missouri Fund NOM -13.36% -13.93% 0.31% 3.24% Lipper Other States Municipal Debt Funds Average(4) -14.13% -14.38% 0.64% 3.22% Barclays Capital Municipal Bond Index(5) - 4.98% -3.61% 2.59% 4.14% S&P National Municipal Bond Index(6) -5.48% -4.43% 2.55% N/A Insured Massachusetts Fund NGX -10.62% -10.55% 1.81% N/A Lipper Single-State Insured Municipal Debt Funds Average(7) -15.41% -15.55% 0.23% 3.42% Barclays Capital Insured Municipal Bond Index(5) - 5.66% -4.76% 2.43% 4.15% S&P National Municipal Bond Index(6) -5.48% -4.43% 2.55% N/A * Six-month returns are cumulative; returns for one-year, five-year and ten-year are annualized. Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. For additional information, see the individual Performance Overview for your Fund in this report. (4) 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: 6 months, 46; 1 year, 46; 5 years, 27; and 10 years, 18. The performance of the Lipper Other States Municipal Debt Funds Average represents the overall average of returns for funds from ten different states with a wide variety of municipal market conditions. Fund and Lipper returns assume reinvestment of dividends. (5) The Barclays Capital (formerly Lehman Brothers) Municipal Bond Index is an unleveraged, unmanaged national index comprising a broad range of investment-grade municipal bonds, while the Barclays Capital (formerly 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. (6) The Standard & Poor's National Municipal Bond Index is an unleveraged, market value-weighted index designed to measure the performance of the investment-grade U.S. municipal bond market. (7) The Lipper Single-State Insured Municipal Debt Funds Average is calculated using the returns of all closed-end funds in this category for each period as follows: 6 months, 44; 1 year, 44 funds; 5 years, 44 funds; and 10 years, 24 funds. The performance of the Lipper Single-State Insured Municipal Debt Funds Average represents the overall average of returns for funds from eight different states with a wide variety of municipal market conditions. Fund and Lipper returns assume reinvestment of dividends. 5 For the six months ended November 30, 2008, the cumulative returns on common share NAV for NTC, NFC, NGK, NGO, NMB and NOM exceeded the average return for the Lipper Other State Municipal Debt Funds Average, while NMT trailed this average by a slight margin. At the same time, NGX outperformed the average return for the Lipper Single-State Insured Municipal Debt Funds Average. The seven uninsured Funds underperformed the national Barclays Capital and S&P National Municipal Bond Indexes. NGX lagged the national Barclays Capital Insured Municipal Bond Index and the S&P National Municipal Bond Index. Shareholders should note the Lipper Other States Municipal Debt Funds Average and the Barclay Capital Municipal Bond Index include bonds from states not covered in this report, which may make direct comparisons between the funds and these benchmarks less meaningful. Key management factors that influenced the Funds' returns during this period included duration and yield curve positioning, the use of derivatives, credit exposure and sector allocations. In addition, the use of leverage was an important factor affecting each Fund's performance over this period. The impact of leverage is discussed in more detail on page 7. Over this period, we saw the yield curve steepen, as interest rates at the short end of the curve declined and longer rates rose. Given these changes in the interest rate environment, bonds in the Barclays Capital Municipal Bond Index with maturities of ten years or less generally outperformed the market as a whole, with bonds maturing in two to four years benefiting the most. Because they were less sensitive to interest rate changes, these shorter bonds generally outperformed credits with longer maturities, with the biggest losses posted by bonds with the longest maturities (twenty-two years and longer). In general, the Connecticut and Massachusetts Funds had less exposure to the outperforming short end of the yield curve than the market as a whole, and more exposure to the underperforming longer part of the curve. Although this positioning was a net negative for the performance of these seven Funds, the Funds received positive contributions from their heavier allocation to bonds with intermediate maturities, which performed well. In NOM, duration positioning was a relative positive during this period, due to an underweighting of bonds with the longest maturities (twelve years and longer) and an overweighting in some of the shorter maturity categories, especially in bonds maturing in two to four years, which were the best performers. As mentioned earlier, all of these Funds used inverse floaters to help bring their durations closer to our strategic target and enhance income-generation capabilities. In general, these inverse floaters had a negative impact on performance. This resulted from the fact that the inverse floaters effectively increased the Funds' exposure to longer maturity bonds at a time when shorter maturities were in favor in the market. The derivative instruments used in NMT and NMB were not in place long enough during this period to have a significant impact on performance. 6 Credit exposure was also an important factor in performance during these six months. Because risk-averse investors generally sought higher quality investments as disruptions in the financial markets deepened, bonds with higher credit quality typically performed very well. At the same time, as many investors avoided high-yield securities, bonds rated BBB or below and non-rated bonds generally posted poor returns. Insured bonds with underlying credits that were rated BBB or non-rated, originally purchased because of the higher yields they offered, were disproportionately impacted (compared with bonds with underlying credits rated AA or A) if the insurer backing the bond was downgraded. While exposure to lower-rated credits had a negative impact on the Funds for this period, the six-month performances of NFC, NGK and especially NGX benefited on a relative basis from their overall higher credit quality. During this period, pre-refunded bonds(8), which are backed by U.S. Treasury securities, were one of the top performing segments of the market, due primarily to their shorter effective maturities, higher credit quality and perceived safety. Among these Funds, NGX, NFC and NGK had the largest allocations of pre-refunded bonds as of November 30, 2008. Additional sectors of the market that generally contributed to the Funds' performances included general obligation and other tax-backed bonds and water and sewer, electric utilities and education credits. The Connecticut and Massachusetts Funds, in particular, benefited relatively from their heavier allocations to the education sector. This was offset to some degree by their lower allocations to tax-backed credits as compared to the market as a whole, which lessened the positive contribution from this sector. In general, bonds that were lower rated, regardless of sector, posted weak performance. Revenue bonds as a whole, and the industrial development, health care and housing sectors in particular, underperformed the general municipal market. Next to the industrial development revenue sector, zero coupon bonds were among the worst performing categories in the municipal market. While the Funds had relatively small exposures to the industrial development revenue sector, their performances were hurt by their overexposure to the housing sector. NMT, NMB and NOM also were negatively impacted by their heavier allocations to the health care sector during this period. IMPACT OF THE FUNDS' CAPITAL STRUCTURES AND LEVERAGE STRATEGIES ON PERFORMANCE In addition to the factors previously discussed, one of the primary factors impacting the six-month returns of these Funds relative to the market indexes was the Funds' use of financial leverage. While leverage offers opportunities to generate additional income and total returns for common shareholders, the benefits provided by leveraging are (8) Pre-refundings, also known as advance 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. 7 influenced by the price movements of the bonds in each Fund's portfolio. During this period, as yields on longer-term bonds rose and their prices correspondingly fell, declining valuations had a negative effect on performance that was magnified by the use of leverage. In addition, at various points during the six-month period, the Funds' borrowing costs were relatively high, negatively impacting their total returns. RECENT MARKET DEVELOPMENTS Beginning in October, the nation's financial institutions and financial markets--including the municipal bond market--experienced significant turmoil. Reductions in demand decreased valuations of municipal bonds across all credit ratings, especially those with lower credit ratings, and this generally reduced the Funds' common share net asset values. The municipal market is one in which dealer firms make markets in bonds on a principal basis using their proprietary capital, and during the recent market turmoil these firms' capital was severely constrained. As a result, some firms were unwilling to commit their capital to purchase and to serve as a dealer for municipal bonds. This reduction in dealer involvement in the market was accompanied by significant net selling pressure by investors, particularly with respect to lower-rated municipal bonds, as institutional investors generally removed money from the municipal bond market, at least in part because of their need to reduce the leveraging of their municipal investments. This deleveraging was in part driven by the overall reduction in the amount of financing available for such leverage, the increased costs of such leverage financing, and the need to reduce leverage levels that had recently increased due to the decline in municipal bond prices. Municipal bond prices were further negatively impacted by concerns that the need for further deleveraging and a supply overhang (a large amount of new issues that were postponed) would cause selling pressure to persist for a period of time. In addition to falling prices, the following market conditions resulted in greater price volatility of municipal bonds - wider credit spreads (i.e., lower quality bonds fell in price more than higher quality bonds); significantly reduced liquidity (i.e., the ability to sell bonds at a price close to their carrying value), particularly for lower quality bonds; and a lack of price transparency (i.e., the ability to accurately determine the price at which a bond would likely trade). Reduced liquidity was most pronounced in mid-October, although it improved considerably after that period. RECENT DEVELOPMENTS REGARDING BOND INSURANCE COMPANIES Another factor that had an impact on the performance of these Funds was their position in bonds backed by municipal bond insurers that experienced downgrades in their credit ratings. During the period covered by this report, ACA, AMBAC, 8 FGIC, MBIA, RAAI and SYNCORA (formerly XLCA) experienced one or more rating reductions by at least one or more rating agencies while AGC and FSA received their first rating reductions by at least one rating agency. At the time this report was prepared, at least one rating agency has placed each of these insurers except AGC on "negative outlook" or "negative credit watch," which may presage one or more rating reductions for such insurer or insurers in the future. As concern increased about the balance sheets of these insurers, prices on bonds insured by these companies - especially those bonds with weaker underlying credits - declined, detracting from the Funds' performance. By the end of this period, most insured bonds were being valued according to their fundamentals as if they were uninsured. On the whole, the holdings of all of our Funds continued to be well diversified not only between insured and uninsured bonds, but also within the insured bond category. It is important to note that municipal bonds historically have had a very low rate of default. RECENT DEVELOPMENTS IN THE AUCTION RATE PREFERRED SECURITIES MARKETS Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the auction rate preferred shares issued by these Funds than there were offers to buy. This meant that these auctions "failed to clear" and that many or all auction rate preferred shareholders who wanted to sell their shares in these auctions were unable to do so. This decline in liquidity in auction rate preferred shares did not lower the credit quality of these shares, and auction rate preferred shareholder unable to sell their shares received distributions at the "maximum rate" applicable to failed auctions as calculated in accordance with the pre-established terms of the auction rate preferred shares. At the time this report was prepared, the Funds' managers could not predict when future auctions might succeed in attracting sufficient buyers for the shares offered, if ever. The Funds' managers are working diligently to refund the auction rate preferred shares, and have made progress in these efforts (at least for certain funds), but at present there is no assurance that these efforts will succeed. These developments have generally not affected the portfolio management or investment policies of these Funds. However, one implication of these auction failures for common shareholders is that the Funds' cost of leverage will likely be higher, at least temporarily, than it otherwise would have been had the auctions continued to be successful. As a result, the Funds' future common share earnings may be lower than they otherwise would have been. On June 11, 2008, Nuveen announced the Fund Board's approval of plans to use tender option bonds (TOBs), also known as floating rate securities, to refinance a portion of the municipal Funds' outstanding auction rate preferred shares, for which 9 auctions have been failing for several months. This plan included an initial phase of approximately $1 billion in forty-one Funds. As of November 30, 2008, none of the Funds included in this shareholder report had issued par redemption notices for their auction rate preferred shares. On August 7, 2008, four Nuveen municipal Funds (none of which are included in this shareholder report) issued par redemption notices for all outstanding shares of their auction rate preferred shares totaling $569.9 million. These redemptions were achieved through the issuance of variable rate demand preferred shares (VRDP) in conjunction with the proceeds from the creation of TOBs. For current, up-to-date information, please visit the Nuveen CEF Auction Rate Preferred Resource Center at: http://www.nuveen.com/ResourceCenter/AuctionRatePreferred.aspx. 10 Common Share Dividend and Share Price INFORMATION During the six-month period ended November 30, 2008, there was one dividend increase in each of the following Funds: NTC, NGO, NMT, NMB and NGX. The dividends of NFC, NGK and NOM remained stable throughout the reporting period. 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 Funds NAV. Each Fund will, over time, pay all of its net investment income as dividends to shareholders. As of November 30, 2008, all of the Funds in this report had positive UNII balances, based upon our best estimate, for tax purposes and all of the Fund's in this report except NOM had a negative UNII balances for financial statement purposes. The Funds' Board of Trustees approved an open-market share repurchase program on July 30, 2008, under which each Fund may repurchase up to 10% of its common shares. As of November 30, 2008 the Funds' have not repurchased any of their outstanding common shares. As of November 30, 2008, the Funds' common share prices were trading at premiums or discounts to their common share NAVs as shown in the accompanying chart: 11/30/08 Six-Month Average Discount Premium/Discount NTC -14.98% -5.73% NFC -8.40% +1.19% NGK -8.60% -0.32% NGO -5.27% -4.56% NMT -15.90% -9.26% NMB -8.42% -0.75% NGX -6.91% -0.46% NOM -3.59% +3.60% 11 NTC Performance OVERVIEW | Nuveen Connecticut Premium Income Municipal Fund as of November 30, 2008 FUND SNAPSHOT - -------------------------------------------------------------------------------- Common Share Price $ 10.39 - -------------------------------------------------------------------------------- Common Share Net Asset Value $ 12.22 - -------------------------------------------------------------------------------- Premium/(Discount) to NAV -14.98% - -------------------------------------------------------------------------------- Market Yield 5.77% - -------------------------------------------------------------------------------- Taxable-Equivalent Yield(2) 8.44% - -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $ 65,552 - -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 16.66 - -------------------------------------------------------------------------------- Leverage-Adjusted Duration 13.94 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) - -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------------------------------------- 6-Month (Cumulative) -24.42% -12.29% - -------------------------------------------------------------------------------- 1-Year -18.51% -11.45% - -------------------------------------------------------------------------------- 5-Year -3.52% 1.07% - -------------------------------------------------------------------------------- 10-Year 0.79% 3.81% - -------------------------------------------------------------------------------- INDUSTRIES (as a % of total investments) - -------------------------------------------------------------------------------- Education and Civic Organizations 25.4% - -------------------------------------------------------------------------------- Tax Obligation/General 15.6% - -------------------------------------------------------------------------------- Tax Obligation/Limited 14.7% - -------------------------------------------------------------------------------- Health Care 10.0% - -------------------------------------------------------------------------------- U.S. Guaranteed 9.2% - -------------------------------------------------------------------------------- Water and Sewer 7.7% - -------------------------------------------------------------------------------- Housing/Single Family 4.7% - -------------------------------------------------------------------------------- Other 12.7% - -------------------------------------------------------------------------------- [PIE CHART] Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 42% AA 33% A 11% BBB 13% BB or Lower 1% [BAR CHART] 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) Dec 0.052 Jan 0.052 Feb 0.052 Mar 0.049 Apr 0.049 May 0.049 Jun 0.049 Jul 0.049 Aug 0.049 Sep 0.05 Oct 0.05 Nov 0.05 [LINE CHART] Common Share Price Performance -- Weekly Closing Price 12/01/07 13.53 13.58 13.6 13.55 13.62 13.67 13.56 13.58 13.59 13.59 13.149 13.29 13.02 13.1 13.03 13.06 13.17 13.17 13.33 13.35 13.46 13.81 14.08 14.1 14.14 14.06 13.97 13.9 13.85 13.91 14.003 13.97 13.76 13.93 14.09 13.9601 14.054 14.06 13.99 14.03 13.91 13.87 13.83 13.93 14.03 14.03 14.08 14.14 14.19 13.93 13.53 13.27 13.43 13.39 13.36 13.3 13.452 13.69 13.48 13.44 13.22 13.55 13.65 13.85 13.77 13.86 13.86 13.91 13.82 13.73 13.61 13.22 13.34 13.13 13.1 13.21 13.25 13.33 13.36 13.36 13.29 13.41 13.31 13.38 13.31 13.34 13.33 13.39 13.48 13.4501 13.45 13.37 13.36 13.44 13.41 13.45 13.45 13.52 13.51 13.65 13.58 13.58 13.7 13.97 13.93 14.13 14.17 13.98 13.89 13.95 14.02 14 14.04 14 14.1 14.12 14.13 14.118 14.05 13.95 13.88 13.97 13.97 14.08 14.08 14.06 14.03 14.0899 14.17 14.22 14.156 14.06 13.82 13.5 13.75 13.77 13.68 13.7 13.65 13.68 13.767 13.77 13.63 13.48 13.52 13.54 13.54 13.57 13.572 13.46 13.62 13.66 13.56 13.47 13.46 13.31 13.28 13.33 13.28 13.25 13.33 13.37 13.32 13.32 13.33 13.32 13.35 13.46 13.49 13.4601 13.51 13.56 13.61 13.59 13.8 13.85 13.86 13.87 14.0501 14.04 14.01 13.836 13.76 13.7 13.7 13.82 13.78 13.84 13.84 13.84 13.75 13.74 13.74 13.71 13.77 13.69 13.59 13.48 13.4 13.3 13.17 12.6 12.36 12.67 12.44 12.29 12.45 12.4 12.34 12 11.75 11.74 11.68 11.23 10.51 10.38 10.2 9.18 9.02 10.07 10.22 9.89 9.89 10.25 10.65 10.75 10.99 11.43 11.38 11.4201 11.3 11.6 11.68 11.77 11.59 12.04 12.29 12.15 11.89 11.76 11.85 11.5 11.28 11.072 10.64 10.64 10.95 10.95 10.41 10.45 10.22 10.21 10.39 11/30/08 10.39 (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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. (3) The Fund paid shareholders a capital gains distribution in December 2007 of $0.0288 per share. 12 NFC Performance OVERVIEW | Nuveen Connecticut Dividend Advantage Municipal Fund as of November 30, 2008 [PIE CHART] Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 51% AA 28% A 10% BBB 9% BB or Lower 2% [BAR CHART] 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) Dec 0.0555 Jan 0.0555 Feb 0.0555 Mar 0.0555 Apr 0.0555 May 0.0555 Jun 0.0555 Jul 0.0555 Aug 0.0555 Sep 0.0555 Oct 0.0555 Nov 0.0555 [LINE CHART] Common Share Price Performance -- Weekly Closing Price 12/01/07 14.03 14.29 14.3 14.3 14.13 14.2 14.26 14.13 14 14.03 13.8 13.82 13.7 13.84 13.72 13.84 13.75 13.85 13.88 14.14 14.14 14.33 14.56 14.61 14.68 14.71 14.68 14.64 14.71 14.81 14.8 14.6701 14.85 14.8 14.85 14.78 14.85 14.81 14.55 14.49 14.48 14.84 14.8 14.83 14.85 14.85 14.85 14.85 14.92 14.87 14.59 14.3 14.37 14.28 14.25 14.25 14.24 14.1 14.05 14.01 14.06 14.14 14.27 14.36 14.36 14.6 14.53 14.51 14.32 14.26 14.28 14.02 14.33 14.3 14.26 14.32 14.2 14.2 14.2 14.25 14.24 14.223 14.49 14.31 14.37 14.3001 14.3001 14.32 14.3101 14.3101 14.19 14.25 14.25 14.41 14.45 14.57 14.57 14.57 14.52 14.52 14.52 14.56 14.56 14.61 14.71 14.83 14.52 14.36 14.41 14.88 14.83 14.79 14.755 14.755 14.67 14.79 15.13 15.26 15.22 15.03 15.11 15.21 15.11 14.93 14.93 14.94 15.65 15.841 16.24 16.2 15.57 15.46 15.3 15.25 15.2 15.27 15.12 15.12 15.04 14.67 14.64 14.64 14.4 14.32 14.32 14.32 14.33 14.33 14.46 14.5 14.5 14.76 15 14.83 14.68 14.55 14.55 14.8 14.7 14.64 14.45 14.6 14.53 14.38 14.35 14.35 14.48 14.64 14.8 14.87 15.06 14.87 15.14 15.14 15.33 15.3 15.24 15.3 15.27 15.27 15.1 15.1 15.04 15.04 14.8 14.8 14.81 14.59 14.4 14.4 14.49 14.53 15.16 14.99 14.89 14.8 14.7 14.51 14.52 14.52 14.63 14.94 14.55 14.65 14.65 14.51 14.2501 14.21 14.13 14.0001 14.35 14 13.82 14.46 13.94 13.46 11.14 10.5 9.6 11.44 14.27 14.27 13.32 12.32 11.93 12.56 11.6 12.315 12.15 12.8 11.94 12 11.74 12.05 12.362 12.49 13.06 12.77 12.9 13.02 12.57 12.53 12.5 12.18 12.1 12.1 11.94 11.69 11.42 11.44 11.45 11.49 11.67 11/30/08 11.67 FUND SNAPSHOT - -------------------------------------------------------------------------------- Common Share Price $ 11.67 - -------------------------------------------------------------------------------- Common Share Net Asset Value $ 12.74 - -------------------------------------------------------------------------------- Premium/(Discount) to NAV -8.40% - -------------------------------------------------------------------------------- Market Yield 5.71% - -------------------------------------------------------------------------------- Taxable-Equivalent Yield(2) 8.35% - -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $ 32,873 - -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 15.86 - -------------------------------------------------------------------------------- Leverage-Adjusted Duration 13.33 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/01) - -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------------------------------------- 6-Month (Cumulative) -19.86% -11.13% - -------------------------------------------------------------------------------- 1-Year -12.84% -9.53% - -------------------------------------------------------------------------------- 5-Year -1.31% 1.88% - -------------------------------------------------------------------------------- Since Inception 2.00% 4.02% - -------------------------------------------------------------------------------- INDUSTRIES (as a % of total investments) - -------------------------------------------------------------------------------- Education and Civic Organizations 24.0% - -------------------------------------------------------------------------------- U.S. Guaranteed 21.5% - -------------------------------------------------------------------------------- Tax Obligation/Limited 17.4% - -------------------------------------------------------------------------------- Water and Sewer 8.3% - -------------------------------------------------------------------------------- Tax Obligation/General 7.4% - -------------------------------------------------------------------------------- Health Care 6.8% - -------------------------------------------------------------------------------- Other 14.6% - -------------------------------------------------------------------------------- (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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. (3) The Fund paid shareholders capital gains and net ordinary income distributions in December 2007 of $0.0664 per share. 13 NGK Performance OVERVIEW | Nuveen Connecticut Dividend Advantage Municipal Fund 2 as of November 30, 2008 FUND SNAPSHOT - -------------------------------------------------------------------------------- Common Share Price $ 11.80 - -------------------------------------------------------------------------------- Common Share Net Asset Value $ 12.91 - -------------------------------------------------------------------------------- Premium/(Discount) to NAV -8.60% - -------------------------------------------------------------------------------- Market Yield 5.59% - -------------------------------------------------------------------------------- Taxable-Equivalent Yield(2) 8.17% - -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $ 29,919 - -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 15.80 - -------------------------------------------------------------------------------- Leverage-Adjusted Duration 13.23 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 3/25/02) - -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------------------------------------- 6-Month (Cumulative) -19.39% -10.41% - -------------------------------------------------------------------------------- 1-Year -12.43% -9.27% - -------------------------------------------------------------------------------- 5-Year 0.01% 1.71% - -------------------------------------------------------------------------------- Since Inception 1.87% 4.07% - -------------------------------------------------------------------------------- INDUSTRIES (as a % of total investments) - -------------------------------------------------------------------------------- Education and Civic Organizations 22.5% - -------------------------------------------------------------------------------- U.S. Guaranteed 20.1% - -------------------------------------------------------------------------------- Tax Obligation/General 14.5% - -------------------------------------------------------------------------------- Tax Obligation/Limited 11.0% - -------------------------------------------------------------------------------- Health Care 8.2% - -------------------------------------------------------------------------------- Water and Sewer 6.6% - -------------------------------------------------------------------------------- Transportation 4.3% - -------------------------------------------------------------------------------- Other 12.8% - -------------------------------------------------------------------------------- [PIE CHART] Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 51% AA 25% A 14% BBB 8% BB or Lower 2% [BAR CHART] 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) Dec 0.055 Jan 0.055 Feb 0.055 Mar 0.055 Apr 0.055 May 0.055 Jun 0.055 Jul 0.055 Aug 0.055 Sep 0.055 Oct 0.055 Nov 0.055 [LINE CHART] Common Share Price Performance -- Weekly Closing Price 12/01/07 14.14 14.1901 14.29 14.13 14.18 14.37 14.28 14.23 14.2 14.24 14.0199 14.039 14.2 14.3 14.082 13.78 13.64 13.72 13.72 13.81 13.98 14.4799 14.46 14.59 14.8 14.79 14.77 14.7 14.9 14.85 14.85 14.82 15 14.8 15.01 14.94 14.78 15.03 14.8 14.8 14.58 14.84 14.92 14.96 14.95 14.95 15.12 15.12 15.07 15.0099 14.4 14.1301 14.43 14.21 14.41 14.41 14.41 14.34 14.3 14.02 13.76 13.82 14.14 14.32 14.21 14.4656 14.71 14.65 14.65 14.7 14.7 14.31 14.22 13.91 13.91 13.91 13.8 13.93 13.93 14.19 14.18 14.17 14.22 14.22 14.21 14.21 14.22 14.28 14.28 14.26 14.26 14.33 14.38 14.4 14.37 14.33 14.41 14.44 14.44 14.44 14.48 14.48 14.52 14.46 14.54 14.72 14.9 14.9 15.08 15.15 14.96 14.89 14.74 14.62 14.62 14.64 15 15 15 14.92 14.92 15.14 15.14 15 15 15.18 15.42 15.78 16.232 16.484 16.18 16.23 16.23 15.64 15.64 15.64 15.24 14.51 14.5079 14.5079 14.45 14.46 14.46 14.401 14.37 14.37 14.78 15.02 15.02 15.02 15.02 15.55 15.8 16.09 15.74 15.47 15.33 15.3 15.3 15.1 15 15.57 15.57 15.32 15.32 15.32 15.32 15.32 15.6 15.42 15.42 15.42 15.9 15.64 15.58 15.47 15.18 15.02 15.02 14.76 14.72 14.76 14.78 14.78 14.82 14.82 14.82 14.97 15 15 14.9301 15.16 15.16 15.03 14.98 14.88 14.82 14.7799 14.7799 14.6 14.82 14.86 14.69 14.69 14.69 14.75 14.75 14.06 13.95 13.2 13 12.6 12.3901 12.06 12.19 11.24 10.83 10.73 8.3 9.45 10.59 10.65 11.08 11.26 11.76 11.9499 12.29 12.29 11.22 11.4 12.1 12.18 12.06 12.06 12.51 12.75 13.23 13.195 12.98 12.88 12.88 12.7899 12.2915 12.29 12.27 12.3 11.69 12.16 11.78 11.51 11.48 11.5 11.8 11/30/08 11.8 (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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. (3) The Fund paid shareholders a capital gains distribution in December 2007 of $0.0738 per share. 14 NGO Performance OVERVIEW | Nuveen Connecticut Dividend Advantage Municipal Fund 3 as of November 30, 2008 [PIE CHART] Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 41% AA 32% A 11% BBB 14% BB or Lower 2% [BAR CHART] 2007-2008 Monthly Tax-Free Dividends Per Common Share Dec 0.0505 Jan 0.0505 Feb 0.0505 Mar 0.0485 Apr 0.0485 May 0.0485 Jun 0.0485 Jul 0.0485 Aug 0.0485 Sep 0.05 Oct 0.05 Nov 0.05 [LINE CHART] Common Share Price Performance -- Weekly Closing Price 12/01/07 13.4899 13.44 13.5 13.52 13.52 13.42 13.52 13.45 13.45 13.35 13.12 13.39 13.22 13.04 12.63 12.8999 12.7501 12.85 13.15 13.22 13.28 13.4999 13.77 13.9 13.95 13.98 13.98 13.95 13.99 13.86 13.86 13.74 13.82 13.7 13.84 13.7501 13.75 13.78 13.6 13.52 13.56 13.52 13.67 13.65 13.76 13.75 13.728 13.72 13.78 13.78 13.25 12.9 13.16 13.16 13.21 13.11 13.08 13.14 13.0401 12.85 12.75 13.35 12.92 13.22 13.2 13.6999 13.31 13.3 13.3 13.2 13.2301 12.96 12.79 12.83 12.7 12.71 12.7899 12.9 12.92 12.9 13.03 13.1 13.2 13.15 13.2199 13.18 13.07 12.91 13.05 13.07 13 13.05 13.07 13.11 13.178 13.22 13.27 13.31 13.32 13.3 13.35 13.22 13.3 13.25 13.13 13.13 13.22 13.22 13.45 13.52 13.48 13.48 13.54 13.49 13.5 13.5 13.46 13.51 13.51 13.48 13.554 13.58 13.61 13.63 13.63 13.66 13.7 13.8 14.01 13.82 14.014 14.11 13.81 14.02 14.04 14.05 13.88 13.55 13.4701 13.43 13.517 13.55 13.4 13.49 13.6 13.6 13.68 13.57 13.34 13.44 13.32 13.32 13.45 13.35 13.4 13.31 13.25 13.4 13.36 13.71 13.58 13.58 13.58 13.17 13.2 13.2 13.29 13.45 13.4 13.38 13.38 13.366 13.592 13.73 13.73 13.88 13.65 13.49 13.32 13.27 13.26 13.199 13.45 13.35 13.5 13.4 13.4 13.3 13.46 13.46 13.29 13.27 13.25 13.23 13.37 13.37 13.2001 13.2 13.2 13.2 12.99 12.81 12.71 13.02 12.67 12.98 12.52 12.66 12.89 12.12 12.01 12 11.82 12 11.4 10.1501 9.8 9.55 8.7 11.47 11.15 11.15 10.93 11.1 11.4 11.4 11.1 11.38 11.7 11.1901 11.14 10.99 11.438 11.5 11.66 11.66 12.1 12 12 11.73 11.9999 11.58 11.02 10.884 10.856 10.65 10.6 10.5 11.05 11.5 11.29 11.25 11.5 11/30/08 11.5 FUND SNAPSHOT - -------------------------------------------------------------------------------- Common Share Price $ 11.50 - -------------------------------------------------------------------------------- Common Share Net Asset Value $ 12.14 - -------------------------------------------------------------------------------- Premium/(Discount) to NAV -5.27% - -------------------------------------------------------------------------------- Market Yield 5.22% - -------------------------------------------------------------------------------- Taxable-Equivalent Yield(2) 7.63% - -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $ 53,004 - -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 16.53 - -------------------------------------------------------------------------------- Leverage-Adjusted Duration 13.50 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 9/26/02) - -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------------------------------------- 6-Month (Cumulative) -13.62% -11.80% - -------------------------------------------------------------------------------- 1-Year -10.24% -11.18% - -------------------------------------------------------------------------------- 5-Year 1.48% 1.18% - -------------------------------------------------------------------------------- Since Inception 0.62% 2.17% - -------------------------------------------------------------------------------- INDUSTRIES (as a % of total investments) - -------------------------------------------------------------------------------- Education and Civic Organizations 18.6% - -------------------------------------------------------------------------------- U.S. Guaranteed 15.5% - -------------------------------------------------------------------------------- Tax Obligation/General 15.1% - -------------------------------------------------------------------------------- Tax Obligation/Limited 14.9% - -------------------------------------------------------------------------------- Water and Sewer 9.8% - -------------------------------------------------------------------------------- Long-Term Care 8.0% - -------------------------------------------------------------------------------- Health Care 6.2% - -------------------------------------------------------------------------------- Other 11.9% - -------------------------------------------------------------------------------- (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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 NMT Performance OVERVIEW | Nuveen Massachusetts Premium Income Municipal Fund as of November 30, 2008 FUND SNAPSHOT - -------------------------------------------------------------------------------- Common Share Price $ 10.00 - -------------------------------------------------------------------------------- Common Share Net Asset Value $ 11.89 - -------------------------------------------------------------------------------- Premium/(Discount) to NAV -15.90% - -------------------------------------------------------------------------------- Market Yield 6.42% - -------------------------------------------------------------------------------- Taxable-Equivalent Yield(2) 9.41% - -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $ 56,640 - -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 15.41 - -------------------------------------------------------------------------------- Leverage-Adjusted Duration 13.22 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 3/18/93) - -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------------------------------------- 6-Month (Cumulative) -24.50% -14.34% - -------------------------------------------------------------------------------- 1-Year -19.71% -14.29% - -------------------------------------------------------------------------------- 5-Year -3.70% 0.74% - -------------------------------------------------------------------------------- 10-Year 0.30% 3.19% - -------------------------------------------------------------------------------- INDUSTRIES (as a % of total investments) - -------------------------------------------------------------------------------- Education and Civic Organizations 20.2% - -------------------------------------------------------------------------------- Health Care 15.1% - -------------------------------------------------------------------------------- U.S. Guaranteed 13.1% - -------------------------------------------------------------------------------- Tax Obligation/General 12.7% - -------------------------------------------------------------------------------- Tax Obligation/Limited 9.6% - -------------------------------------------------------------------------------- Water and Sewer 7.7% - -------------------------------------------------------------------------------- Transportation 6.4% - -------------------------------------------------------------------------------- Housing/Multifamily 5.0% - -------------------------------------------------------------------------------- Other 10.2% - -------------------------------------------------------------------------------- [PIE CHART] Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 44% AA 35% A 7% BBB 10% BB or Lower 1% N/R 3% [BAR CHART] 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) Dec 0.0515 Jan 0.0515 Feb 0.0515 Mar 0.0515 Apr 0.0515 May 0.0515 Jun 0.0515 Jul 0.0515 Aug 0.0515 Sep 0.0535 Oct 0.0535 Nov 0.0535 [LINE CHART] Common Share Price Performance -- Weekly Closing Price 12/01/07 13.17 13.25 13.39 13.44 13.25 13.32 13.17 12.96 13.01 13.04 12.92 13.04 12.78 12.72 12.61 12.7918 12.63 12.61 12.67 12.7999 12.89 13.12 13.47 13.51 13.53 13.7 13.7 13.72 13.74 13.73 13.83 13.75 13.79 13.971 13.87 14 13.78 13.82 13.81 13.81 13.93 13.97 13.94 14 14 14 14.09 14.2 14.14 13.73 13.3 13.04 13.296 13.509 13.45 12.98 13.077 13.35 13.29 13.03 13 13 12.95 13.28 13.06 13.08 13.65 13.73 13.672 13.29 13.12 12.94 13 13.33 13.3 13.75 13.65 13.57 13.5 13.45 13.37 13.5 13.38 13.38 13.28 13.4 13.41 13.41 13.408 13.24 13.19 13.18 13.1 13.06 13.08 13.14 13.18 13.24 13.27 13.25 13.26 13.23 13.13 13.13 13.14 13.15 13.35 13.4 13.35 13.35 13.44 13.335 13.29 13.191 13.12 13.3 13.5 13.46 13.41 13.33 13.6 13.69 13.81 13.61 13.61 13.56 13.754 13.838 13.69 13.58 13.52 13.44 13.2 13.2 13.234 13.24 13.26 13.12 13.11 12.74 12.77 12.7 12.806 12.84 12.85 12.83 12.83 12.89 12.89 13.1 12.97 12.93 13.04 12.96 12.961 12.94 13.26 13.21 13.22 13.1301 12.91 12.9 12.89 12.89 13.08 12.71 12.72 12.75 12.83 12.8799 12.85 12.77 12.617 12.76 12.697 12.8 12.88 12.95 13.124 13.124 13.124 13.124 13.142 13.142 13.35 12.89 12.9 12.99 13.01 13.01 13.05 13.03 12.94 13.07 12.9 12.93 12.96 12.91 12.9 12.8 12.97 12.97 12.596 12.58 12.4701 12.5 12.36 12.409 12.42 11.93 11.8231 11.78 11.57 11.5901 10.47 10.66 9.95 9.538 8.82 10 10.027 9.59 9.46 9.62 9.93 10.05 10.25 10.42 10.39 10.89 10.7 10.85 10.5 10.4 10.59 10.8 10.95 10.82 10.88 11 10.9 10.98 10.6 10.4401 10.48 10.0599 9.85 9.75 9.4 9.77 9.61 9.6 10 11/30/08 10 (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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. (3) The Fund paid shareholders a capital gains distribution in December 2007 of $0.0166 per share. 16 NMB Performance OVERVIEW | Nuveen Massachusetts Dividend Advantage Municipal Fund as of November 30, 2008 [PIE CHART] Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 44% AA 31% A 10% BBB 11% BB or Lower 2% N/R 2% [BAR CHART] 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) Dec 0.0565 Jan 0.0565 Feb 0.0565 Mar 0.0565 Apr 0.0565 May 0.0565 Jun 0.0565 Jul 0.0565 Aug 0.0565 Sep 0.058 Oct 0.058 Nov 0.058 [LINE CHART] Common Share Price Performance -- Weekly Closing Price 12/01/07 13.93 13.95 13.88 13.6499 13.61 13.61 13.66 13.55 13.55 13.5 13.44 13.4 13.37 13.42 13.32 13.31 13.37 13.38 13.48 13.57 13.57 13.77 13.9 13.9 14.07 14.1 14.14 14.24 14.32 14.312 14.37 14.35 14.2799 13.85 14.05 14.04 14.09 14.0399 14.16 14.5 14.48 14.3801 14.38 14.4 14.4 14.4 14.52 14.52 14.48 14.2 13.63 13.5 13.84 13.84 14.03 13.98 13.9899 13.92 13.84 13.81 13.73 13.53 13.5 13.57 13.5999 13.62 13.67 13.93 13.86 14.29 14.29 14.05 13.9185 13.97 14.28 14.28 14.28 14.109 14.109 14.109 14.11 14.21 14.31 14.59 14.5 14.81 14.85 14.85 14.69 14.96 14.96 14.8 14.6 14.7 14.49 14.489 14.489 14.28 14.28 14.2899 14.29 14.39 14.2 14.2 14.16 14.45 14.45 14.42 14.43 14.45 14.38 14.02 14.3 14.15 14.35 14.34 14.15 14.2199 14.11 14.14 14.07 14.25 14.45 14.61 14.61 14.66 14.91 14.91 14.91 14.81 14.81 14.76 14.71 14.71 14.94 14.94 15.15 15 15 14.9563 14.9 14.74 14.74 14.69 14.69 14.36 14.29 14.31 14.31 14.31 14.31 14.21 14.31 14.21 14.21 14.11 14.01 14.01 13.91 14.01 13.95 13.95 14.2 14.25 13.92 13.84 13.84 13.74 13.74 13.71 13.71 13.75 13.59 13.59 13.43 13.48 13.38 13.49 13.45 13.45 13.45 13.5 13.55 13.5 13.51 13.51 13.5 13.5 13.55 13.55 13.5899 13.77 13.67 13.75 13.7 13.89 13.89 13.89 13.81 13.64 13.75 13.6 13.44 13.32 13.3 13.3 13.5 13.5 13.6 12.62 12.86 12.85 12.85 12.85 12.143 12.143 11.83 10.81 8.68 9.32 10.01 10.63 11.8 12.15 11.95 11.95 11.95 12.24 12.24 12.43 12.21 12.43 12.9 12.8 12.8 12.8 12.8 13 13 13.02 13.05 12.94 12.32 13.25 12.55 12.3 11.95 11.01 11 11.01 11.26 11.05 11.0919 11/30/08 11.0919 FUND SNAPSHOT - -------------------------------------------------------------------------------- Common Share Price $ 11.09 - -------------------------------------------------------------------------------- Common Share Net Asset Value $ 12.11 - -------------------------------------------------------------------------------- Premium/(Discount) to NAV -8.42% - -------------------------------------------------------------------------------- Market Yield 6.28% - -------------------------------------------------------------------------------- Taxable-Equivalent Yield(2) 9.21% - -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $ 23,746 - -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 17.49 - -------------------------------------------------------------------------------- Leverage-Adjusted Duration 13.46 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 1/30/01) - -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------------------------------------- 6-Month (Cumulative) -22.05% -13.45% - -------------------------------------------------------------------------------- 1-Year -17.12% -13.76% - -------------------------------------------------------------------------------- 5-Year -1.50% 0.96% - -------------------------------------------------------------------------------- Since Inception 1.76% 3.78% - -------------------------------------------------------------------------------- INDUSTRIES (as a % of total investments) - -------------------------------------------------------------------------------- Education and Civic Organizations 24.6% - ------------------------------------------------------------------------------- Health Care 16.5% - -------------------------------------------------------------------------------- U.S. Guaranteed 10.6% - -------------------------------------------------------------------------------- Tax Obligation/General 9.7% - -------------------------------------------------------------------------------- Water and Sewer 9.7% - -------------------------------------------------------------------------------- Tax Obligation/Limited 8.0% - -------------------------------------------------------------------------------- Housing/Multifamily 7.7% - -------------------------------------------------------------------------------- Other 13.2% - -------------------------------------------------------------------------------- (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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. (3) The Fund paid shareholders a capital gains distribution in December 2007 of $0.0248 per share. 17 NGX Performance OVERVIEW | Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund as of November 30, 2008 FUND SNAPSHOT - -------------------------------------------------------------------------------- Common Share Price $ 11.59 - -------------------------------------------------------------------------------- Common Share Net Asset Value $ 12.45 - -------------------------------------------------------------------------------- Premium/(Discount) to NAV -6.91% - -------------------------------------------------------------------------------- Market Yield 5.75% - -------------------------------------------------------------------------------- Taxable-Equivalent Yield(3) 8.43% - -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $ 33,910 - -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 16.93 - -------------------------------------------------------------------------------- Leverage-Adjusted Duration 14.99 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 11/21/02) - -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------------------------------------- 6-Month (Cumulative) -15.94% -10.62% - -------------------------------------------------------------------------------- 1-Year -12.97% -10.55% - -------------------------------------------------------------------------------- 5-Year -1.24% 1.81% - -------------------------------------------------------------------------------- Since Inception 0.64% 2.74% - -------------------------------------------------------------------------------- INDUSTRIES (as a % of total investments) - -------------------------------------------------------------------------------- U.S. Guaranteed 25.8% - -------------------------------------------------------------------------------- Tax Obligation/Limited 16.9% - -------------------------------------------------------------------------------- Education and Civic Organizations 14.8% - -------------------------------------------------------------------------------- Tax Obligation/General 11.3% - -------------------------------------------------------------------------------- Water and Sewer 11.3% - -------------------------------------------------------------------------------- Health Care 8.4% - -------------------------------------------------------------------------------- Housing/Multifamily 6.1% - -------------------------------------------------------------------------------- Other 5.4% - -------------------------------------------------------------------------------- INSURERS (as a % of total Insured investments) - -------------------------------------------------------------------------------- MBIA 32.9% - -------------------------------------------------------------------------------- AMBAC 21.0% - -------------------------------------------------------------------------------- FGIC 16.3% - -------------------------------------------------------------------------------- FSA 11.4% - -------------------------------------------------------------------------------- AGC 10.2% - -------------------------------------------------------------------------------- SYNCORA 8.2% - -------------------------------------------------------------------------------- [PIE CHART] Credit Quality (as a % of total investments)(1,2) Insured 60% U.S. Guaranteed 26% GNMA Guaranteed 3% AAA (Uninsured) 2% AA (Uninsured) 6% A (Uninsured) 2% BBB (Uninsured) 1% [BAR CHART] 2007-2008 Monthly Tax-Free Dividends Per Common Share Dec 0.0545 Jan 0.0545 Feb 0.0545 Mar 0.0545 Apr 0.0545 May 0.0545 Jun 0.0545 Jul 0.0545 Aug 0.0545 Sep 0.0555 Oct 0.0555 Nov 0.0555 [LINE CHART] Common Share Price Performance -- Weekly Closing Price 12/01/07 13.97 14.05 13.8 13.55 13.74 13.57 13.54 13.3401 13.26 13.26 13.23 13.3 13.35 13.37 13.31 13.43 13.4899 13.46 13.74 13.76 13.75 13.97 14.33 14.2 14.1 14.07 14.08 14.14 14.24 14.3001 14.56 14.85 14.76 14.548 14.6 14.27 14.2 14.24 14.2 14.2 14.26 14.3 14.34 14.29 14.29 14.24 14.28 14.4 14.92 14.66 14.06 14.2 14.01 14.11 14.17 14.2 14.26 14.33 14.57 14.26 13.69 13.6799 13.55 13.7899 13.9896 14.15 14.1501 14.29 14.28 14.3 14.1799 13.87 14.1 14 13.9088 14.1 13.86 13.86 14.05 14.04 13.8801 13.89 13.89 13.8545 13.9154 13.97 13.89 13.93 14.1001 14.25 14.25 14.13 14.13 14.14 14.06 14.06 14.11 14.07 14.1 14.1 14.05 13.99 13.95 13.96 14 13.94 13.95 13.95 14.25 14.09 14.09 14.1 14.2 14.24 14.2 14.34 14.35 14.369 14.32 14.06 14.04 14.08 14.07 14.14 14.14 14.1 14.25 14.25 14.25 14.17 14.3422 14.3 14.26 14.26 14.17 14.17 14.16 13.85 13.7 14.23 14.119 13.86 13.86 14 14 13.9 13.85 14.07 14.1 14 14 14.07 14.1 13.96 14.04 14 14 14.0001 14.37 14.15 14.186 14.1599 13.88 13.9 13.9 13.7699 13.73 13.85 13.44 13.52 13.52 13.4399 13.42 13.49 13.49 13.52 13.66 13.66 13.8099 13.75 13.95 13.78 13.78 13.7401 13.92 13.92 13.92 13.83 14.17 14.17 14.3 14.36 14.46 14.42 14.55 14.32 14.33 14.2 14.4 14.4 14.18 14.14 13.55 13.51 13.5 13.03 12.72 13.15 13.55 12.2 12.7 12.7 12.9 13.65 12.53 12.46 12.024 12.01 11.06 11.99 11.5 11.5 11 11.705 11.9269 11.9269 12.2 13.21 13.45 13.5001 13.85 13.05 13.02 12.81 12.728 12.81 12.6001 12.52 13.41 13 13.3 13.232 13.34 13 13.1 12.26 11.9 11.13 11.4 11.722 11.75 11.55 11.59 11/30/08 11.59 (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) At least 80% of the Fund's net assets (including net assets attributable to Preferred shares) are invested in municipal securities that are covered by insurance or backed by an escrow or trust account containing sufficient U.S. Government or U.S. Government agency securities or U.S. Treasury-issued State and Local Government Series securities to ensure the timely payment of principal and interest. See Notes to Financial Statements, Footnote 1 - Insurance, for more information. (3) 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. 18 NOM Performance OVERVIEW | Nuveen Missouri Premium Income Municipal Fund as of November 30, 2008 [PIE CHART] Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 41% AA 18% A 19% BBB 5% N/R 17% [BAR CHART] 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) Dec 0.0545 Jan 0.0545 Feb 0.0545 Mar 0.0545 Apr 0.0545 May 0.0545 Jun 0.0545 Jul 0.0545 Aug 0.0545 Sep 0.0545 Oct 0.0545 Nov 0.0545 [LINE CHART] Common Share Price Performance -- Weekly Closing Price 12/01/07 14.2 14.17 14.05 14.06 14.04 14 14.19 14.01 13.97 13.9 14.02 13.68 13.62 13.7 13.62 13.75 13.93 14.05 14.1399 14.02 13.96 14.08 14.08 14.2 14.63 14.85 15 15.02 14.95 15 14.83 14.82 14.82 14.82 14.4 14.6 14.6 14.52 14.99 15.08 15.11 15.25 15.35 15.35 15.35 15.35 15.44 15.64 15.64 15.64 15.3 15 15.1 15.1 14.6 14.6 14.08 13.85 13.6 13.35 13.28 13.52 13.44 13.49 13.8 13.65 13.65 13.64 13.5 13.46 13.45 13.44 13.34 13.4 13.5 13.6 13.67 13.67 13.85 13.85 13.77 13.77 13.8 13.8999 13.8999 13.9 13.9 13.9 13.77 13.8 13.8 13.8 13.85 14 14 14 14 14.36 14 13.94 13.95 13.8 13.85 13.85 13.96 14.2 14.04 14.04 13.89 13.82 14.35 14.35 13.96 13.95 13.85 13.98 14.04 14.03 14.3 14.51 14.76 14.92 14.71 14.76 14.76 15.09 14.48 14.48 14.14 14.14 14.15 14.15 13.9 13.99 14.35 14.3 13.91 14.23 14.05 13.59 13.74 13.74 13.74 14 13.9 13.9 13.9 14 14 14 14 13.95 13.95 14 13.7 13.7 13.7 13.7 13.59 13.5 13.5 13.78 13.89 14.09 14.09 13.52 13.55 13.56 13.61 13.7 13.62 13.8 14.3 14.3 14.15 14.4 14.34 14.38 14.16 14.18 13.88 13.88 13.9 13.9 13.9 13.9 13.8799 13.98 13.65 13.65 13.52 13.6 13.7 13.68 13.8 13.8 13.56 13.46 13.46 13.46 13.6501 13.75 13.48 13.8 13.8 13.8 13.8 13 12.2 12.2 12.25 12.3 12.4 12.41 12.252 11.55 11.55 11.55 11.3501 12 12 12 12 11.6 11.25 11.25 11.15 11.29 10.81 12.06 12.07 12.0792 11.52 12.5 12.9 12.7999 12.8 12.3201 12.3201 12.0686 11.7 11.7 11.45 11.6 11.24 11.09 11 10.6 10.5 10.75 10.99 11 11 11/30/08 11 FUND SNAPSHOT - -------------------------------------------------------------------------------- Common Share Price $ 11.00 - -------------------------------------------------------------------------------- Common Share Net Asset Value $ 11.41 - -------------------------------------------------------------------------------- Premium/(Discount) to NAV -3.59% - -------------------------------------------------------------------------------- Market Yield 5.95% - -------------------------------------------------------------------------------- Taxable-Equivalent Yield(2) 8.79% - -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $ 26,328 - -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 13.38 - -------------------------------------------------------------------------------- Leverage-Adjusted Duration 9.05 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) - -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV - -------------------------------------------------------------------------------- 6-Month (Cumulative) -23.50% -13.36% - -------------------------------------------------------------------------------- 1-Year -17.82% -13.93% - -------------------------------------------------------------------------------- 5-Year -3.45% 0.31% - -------------------------------------------------------------------------------- 10-Year 1.97% 3.24% - -------------------------------------------------------------------------------- INDUSTRIES (as a % of total investments) - -------------------------------------------------------------------------------- Tax Obligation/Limited 19.2% - -------------------------------------------------------------------------------- Tax Obligation/General 18.8% - -------------------------------------------------------------------------------- U.S. Guaranteed 18.1% - -------------------------------------------------------------------------------- Health Care 13.5% - -------------------------------------------------------------------------------- Water and Sewer 6.1% - -------------------------------------------------------------------------------- Housing/Multifamily 5.3% - -------------------------------------------------------------------------------- Housing/Single Family 5.2% - -------------------------------------------------------------------------------- Other 13.8% - -------------------------------------------------------------------------------- (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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. (3) The Fund paid shareholders a capital gains distribution in December 2007 of $0.1265 per share. 19 NTC | Nuveen Connecticut Premium Income Municipal Fund | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES - 1.6% (1.0% OF TOTAL INVESTMENTS) $ 1,430 Puerto Rico, The Children's Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 5/12 at 100.00 BBB $ 1,036,750 - ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 39.9% (25.4% OF TOTAL INVESTMENTS) 1,595 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AA 1,461,706 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - MBIA Insured 1,050 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 A3 827,285 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 925 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AA 890,747 Revenue Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 - MBIA Insured 200 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 BBB+ 148,790 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 305 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 A3 249,063 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 725 Connecticut Health and Educational Facilities Authority, 1/09 at 102.00 AA 700,908 Revenue Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 750 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Baa1 729,908 Revenue Bonds, Horace Bushnell Memorial Hall, Series 1999A, 5.625%, 7/01/29 - MBIA Insured 800 Connecticut Health and Educational Facilities Authority, No Opt. Call A2 843,520 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 270 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AA 222,191 Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured 1,375 Connecticut Health and Educational Facilities Authority, 7/14 at 100.00 AA 1,386,275 Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/21 - MBIA Insured 2,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 A3 1,623,100 Revenue Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,500,915 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 1,500 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 1,420,680 Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 3,550 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 3,362,273 Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 6,150 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AAA 5,872,574 Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) 260 Connecticut Higher Education Supplemental Loan Authority, 11/09 at 102.00 AAA 260,816 Revenue Bonds, Family Education Loan Program, Series 1999A, 6.000%, 11/15/18 - AMBAC Insured (Alternative Minimum Tax) 635 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 A2 595,484 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax) 1,000 University of Connecticut, General Obligation Bonds, Series 1/14 at 100.00 AA 1,029,550 2004A, 5.000%, 1/15/18 - MBIA Insured
20
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS (continued) $ 1,220 University of Connecticut, General Obligation Bonds, Series 2/15 at 100.00 AAA $ 1,284,135 2005A, 5.000%, 2/15/17 - FSA Insured 685 University of Connecticut, General Obligation Bonds, Series 2/16 at 100.00 AA 691,932 2006A, 5.000%, 2/15/23 - FGIC Insured 1,000 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AA 1,032,120 Series 2002A, 5.250%, 11/15/19 - FGIC Insured - ---------------------------------------------------------------------------------------------------------------------------------- 27,495 Total Education and Civic Organizations 26,133,972 - ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 15.7% (10.0% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B: 500 5.500%, 7/01/21 - RAAI Insured 7/12 at 101.00 BBB+ 460,855 700 5.500%, 7/01/32 - RAAI Insured 7/12 at 101.00 BBB+ 535,136 645 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 BBB+ 541,871 Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 800 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 A3 717,432 500 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 A3 426,800 385 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 A3 265,908 Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured 2,620 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aa3 2,367,851 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Baa1 1,548,540 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,395 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AA 1,143,900 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured 3,000 Connecticut Health and Educational Facilities Authority, 1/09 at 100.50 A3 2,268,150 Revenue Refunding Bonds, Middlesex Health Services, Series 1997H, 5.125%, 7/01/27 - MBIA Insured - ---------------------------------------------------------------------------------------------------------------------------------- 12,545 Total Health Care 10,276,443 - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 2.6% (1.6% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage Finance 12/09 at 100.00 AAA 894,000 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 784,140 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- 2,000 Total Housing/Multifamily 1,678,140 - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 7.3% (4.7% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C: 1,000 5.300%, 11/15/33 (Alternative Minimum Tax) 11/10 at 100.00 AAA 811,740 500 5.450%, 11/15/43 (Alternative Minimum Tax) 11/10 at 100.00 AAA 396,575 1,675 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/13 at 100.00 AAA 1,460,952 Program Bonds, Series 2004-A5, 5.050%, 11/15/34 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 159,841 220 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 163,123 2,100 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 1,807,911 Program Bonds, Series 2006D, 4.650%, 11/15/27 - ---------------------------------------------------------------------------------------------------------------------------------- 5,700 Total Housing/Single Family 4,800,142 - ----------------------------------------------------------------------------------------------------------------------------------
21 NTC | Nuveen Connecticut Premium Income Municipal Fund (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS - 2.2% (1.4% OF TOTAL INVESTMENTS) $ 1,750 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Ba1 $ 1,458,345 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 6.3% (4.0% OF TOTAL INVESTMENTS) 615 Connecticut Development Authority, First Mortgage Gross Revenue 4/09 at 100.00 BBB- 610,990 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 BBB+ 570,044 Refunding Healthcare Bonds, Connecticut Baptist Homes Inc., Series 1999, 5.500%, 9/01/15 - RAAI Insured Connecticut Development Authority, Revenue Refunding Bonds, Duncaster Inc., Series 1999A: 1,000 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 BBB+ 958,510 1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 BBB+ 901,700 1,300 Connecticut Health and Educational Facilities Authority, 2/09 at 102.00 AA 1,104,324 FHA-Insured Mortgage Revenue Bonds, Hebrew Home and Hospital, Series 1999B, 5.200%, 8/01/38 - ---------------------------------------------------------------------------------------------------------------------------------- 4,530 Total Long-Term Care 4,145,568 - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 24.6% (15.6% OF TOTAL INVESTMENTS) 8/12 at 100.00 Baa1 755,198 750 Bridgeport, Connecticut, General Obligation Refunding Bonds, Series 2002A, 5.375%, 8/15/19 - FGIC Insured 760 Capitol Region Education Council, Connecticut, Revenue Bonds, 4/09 at 100.00 BBB 761,254 Series 1995, 6.700%, 10/15/10 1,110 Connecticut State, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AA 1,119,135 5.000%, 4/01/23 - FGIC Insured 2,000 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 1,958,180 4.750%, 12/15/24 1,300 Connecticut State, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 1,315,899 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 787,695 525 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 461,438 500 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 A 520,585 5.000%, 11/01/17 - AMBAC Insured 500 North Haven, Connecticut, General Obligation Bonds, Series No Opt. Call Aa2 505,935 2006, 5.000%, 7/15/24 1,860 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AA 1,711,479 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 Aa3 363,353 350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aa3 363,906 350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aa3 364,371 1,420 Regional School District 16, Connecticut, General Obligation 3/13 at 101.00 A3 1,518,221 Bonds, Series 2003, 5.000%, 3/15/16 - AMBAC Insured Suffield, Connecticut, General Obligation Bonds, Series 2005: 465 5.000%, 6/15/17 No Opt. Call AA 505,567 460 5.000%, 6/15/19 No Opt. Call AA 487,747 1,000 5.000%, 6/15/21 No Opt. Call AA 1,034,120 1,500 West Hartford, Connecticut, General Obligation Bonds, Series 10/15 at 100.00 AAA 1,585,245 2005B, 5.000%, 10/01/18 - ---------------------------------------------------------------------------------------------------------------------------------- 15,975 Total Tax Obligation/General 16,119,328 - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 23.1% (14.7% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F: 1,300 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA 1,171,404 1,000 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 881,770 1,945 Connecticut Health and Educational Facilities Authority, 7/09 at 102.00 A 1,892,893 Revenue Bonds, Child Care Facilities Program, Series 1999C, 5.625%, 7/01/29 - AMBAC Insured
22
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED (continued) Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: $ 2,000 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AA $ 2,004,300 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AA 980,330 500 Connecticut, Special Tax Obligation Transportation 1/14 at 100.00 AA 495,985 Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 1,750 Connecticut, Special Tax Obligation Transportation 8/17 at 100.00 AA 1,716,558 Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: 960 0.000%, 7/01/32 - FGIC Insured No Opt. Call BBB+ 169,046 2,615 0.000%, 7/01/33 - FGIC Insured No Opt. Call BBB+ 426,167 2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 5.250%, 8/12 at 100.00 AAA 1,931,460 8/01/21 - FSA Insured 2,400 Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/15 at 100.00 AAA 2,445,360 8/01/16 - FSA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/14 at 100.00 AAA 1,037,050 Loan Note, Series 2003, 5.250%, 10/01/19 - FSA Insured - ---------------------------------------------------------------------------------------------------------------------------------- 18,470 Total Tax Obligation/Limited 15,152,323 - ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 0.9% (0.6% OF TOTAL INVESTMENTS) 750 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AA 580,868 International Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 14.5% (9.2% OF TOTAL INVESTMENTS) (4) 50 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 BBB+ (4) 53,819 Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 650 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 N/R (4) 712,556 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 40 Connecticut, General Obligation Bonds, Series 1993E, 6.000%, No Opt. Call AA (4) 44,694 3/15/12 (ETM) 1,500 Connecticut, General Obligation Bonds, Series 2002B, 5.500%, 6/12 at 100.00 AA (4) 1,660,650 6/15/21 (Pre-refunded 6/15/12) 600 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 (4) 647,226 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 1,000 Hartford, Connecticut, Parking System Revenue Bonds, Series 7/10 at 100.00 Baa2 (4) 1,072,250 2000A, 6.400%, 7/01/20 (Pre-refunded 7/01/10) 400 Northern Mariana Islands, General Obligation Bonds, Series 6/10 at 100.00 AAA 425,412 2000A, 6.000%, 6/01/20 (Pre-refunded 6/01/10) - ACA Insured 1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 993,970 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 485 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 506,325 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded 7/01/10) 1,100 University of Connecticut, General Obligation Bonds, Series 2/13 at 100.00 AA (4) 1,212,453 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) - MBIA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ (4) 1,094,890 Loan 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 1,098,500 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured - ---------------------------------------------------------------------------------------------------------------------------------- 8,825 Total U.S. Guaranteed 9,522,745 - ----------------------------------------------------------------------------------------------------------------------------------
23 NTC | Nuveen Connecticut Premium Income Municipal Fund (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - --------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 6.4% (4.1% OF TOTAL INVESTMENTS) $ 1,150 Bristol Resource Recovery Facility Operating Committee, No Opt. Call AA $ 1,209,099 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 4/09 at 102.00 Baa1 844,810 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 1,070 Connecticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 816,999 Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 355 5.500%, 1/01/14 (Alternative Minimum Tax) 1/09 at 100.00 BBB 318,648 1,290 5.500%, 1/01/20 (Alternative Minimum Tax) 1/09 at 100.00 BBB 994,538 - --------------------------------------------------------------------------------------------------------------------------------- 4,865 Total Utilities 4,184,094 - --------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 12.1% (7.7% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 BBB- 350,025 Bonds, Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - SYNCORA GTY Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,250,779 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 1,520 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AA 1,370,037 2,260 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AA 1,968,867 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 AA 998,700 1,075 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AA 971,940 1,100 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 1,021,702 Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 - --------------------------------------------------------------------------------------------------------------------------------- 8,640 Total Water and Sewer 7,932,050 - --------------------------------------------------------------------------------------------------------------------------------- $ 112,975 Total Investments (cost $112,526,520) - 157.2% 103,020,768 =================---------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (4.7)% (3,075,000) ---------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 5.9% 3,906,611 ---------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (58.4)% (5) (38,300,000) ---------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 65,552,379 ================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (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) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 37.2%. 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. 24 NFC | Nuveen Connecticut Dividend Advantage Municipal Fund | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 38.2% (24.0% OF TOTAL INVESTMENTS) $ 795 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AA $ 728,562 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - MBIA Insured 500 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 A3 393,945 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 100 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 BBB+ 74,395 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 150 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 A3 122,490 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 440 Connecticut Health and Educational Facilities Authority, No Opt. Call A2 471,126 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/18 - AMBAC Insured 130 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AA 106,981 Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured 50 Connecticut Health and Educational Facilities Authority, 1/09 at 101.00 A3 40,356 Revenue Bonds, Sacred Heart University, Series 1998E, 5.000%, 7/01/28 - RAAI Insured 350 Connecticut Health and Educational Facilities Authority, 7/14 at 100.00 AA 362,383 Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 A3 811,550 Revenue Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,000,610 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 500 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 473,560 Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 1,800 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,704,816 Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 3,050 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AAA 2,912,415 Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) 500 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 A2 468,885 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax) Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999: 125 5.375%, 2/01/19 2/09 at 101.00 BBB- 105,878 270 5.375%, 2/01/29 2/09 at 101.00 BBB- 195,018 University of Connecticut, General Obligation Bonds, Series 2001A: 1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,007,560 1,000 4.750%, 4/01/21 - MBIA Insured 4/11 at 101.00 AA 1,003,400 585 University of Connecticut, General Obligation Bonds, Series 2/16 at 100.00 AA 590,920 2006A, 5.000%, 2/15/23 - FGIC Insured - ---------------------------------------------------------------------------------------------------------------------------------- 13,345 Total Education and Civic Organizations 12,574,850 - ----------------------------------------------------------------------------------------------------------------------------------
25 NFC | Nuveen Connecticut Dividend Advantage Municipal Fund (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 10.8% (6.8% OF TOTAL INVESTMENTS) $ 1,400 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 BBB+ $ 1,070,272 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 - RAAI Insured 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 A3 448,395 250 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 A3 213,400 185 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 A3 127,774 Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured 60 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aa3 54,226 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 125 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Baa1 96,784 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,870 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AA 1,533,400 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ----------------------------------------------------------------------------------------------------------------------------------- 4,390 Total Health Care 3,544,251 - ----------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 1.2% (0.7% OF TOTAL INVESTMENTS) 500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 392,070 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) - ----------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 7.0% (4.4% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C: 1,000 5.300%, 11/15/33 (Alternative Minimum Tax) 11/10 at 100.00 AAA 811,740 250 5.450%, 11/15/43 (Alternative Minimum Tax) 11/10 at 100.00 AAA 198,288 800 Connecticut Housing Finance Authority, Housing Mortgage 5/13 at 100.00 AAA 697,768 Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34 700 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 602,637 Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 - ----------------------------------------------------------------------------------------------------------------------------------- 2,750 Total Housing/Single Family 2,310,433 - ----------------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS - 2.5% (1.6% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) 12/11 at 102.00 Ba1 833,340 - ----------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 1.6% (1.0% OF TOTAL INVESTMENTS) 300 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 248,817 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 110 Connecticut Development Authority, First Mortgage Gross 4/09 at 100.00 BBB- 99,240 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.800%, 4/01/21 250 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 168,345 Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 - ----------------------------------------------------------------------------------------------------------------------------------- 660 Total Long-Term Care 516,402 - ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 11.9% (7.4% OF TOTAL INVESTMENTS) 560 Connecticut State, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AA 564,609 5.000%, 4/01/23 - FGIC Insured 700 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 685,363 4.750%, 12/15/24 100 Connecticut State, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 101,223 5.000%, 6/01/23 - FSA Insured
26
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL (continued) Hartford, Connecticut, General Obligation Bonds, Series 2005A: $ 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA $ 363,229 240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 210,943 400 North Haven, Connecticut, General Obligation Bonds, Series No Opt. Call Aa2 404,748 2006, 5.000%, 7/15/24 Suffield, Connecticut, General Obligation Bonds, Series 2005: 335 5.000%, 6/15/17 No Opt. Call AA 364,225 335 5.000%, 6/15/19 No Opt. Call AA 355,207 810 West Hartford, Connecticut, General Obligation Bonds, Series 10/15 at 100.00 AAA 856,032 2005B, 5.000%, 10/01/18 - ----------------------------------------------------------------------------------------------------------------------------------- 3,840 Total Tax Obligation/General 3,905,579 - ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 27.7% (17.4% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F: 650 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA 585,702 500 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 440,885 1,000 Connecticut Health and Educational Facilities Authority, Revenue Bonds, New Opportunities for Waterbury Inc., Series 1/09 at 105.00 A 1,015,240 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- 605,298 1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 935,340 1,475 Connecticut, Special Tax Obligation Transportation No Opt. Call AAA 1,624,904 Infrastructure Purpose Bonds, Series 1998B, 5.500%, 11/01/12 - FSA Insured 900 Connecticut, Special Tax Obligation Transportation 8/17 at 100.00 AA 882,801 Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured 600 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call A 469,776 Revenue Bonds, Series 2007N, 5.250%, 7/01/31 - AMBAC Insured 470 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call BBB+ 82,762 Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured 1,200 Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/15 at 100.00 AAA 1,222,680 8/01/16 - FSA Insured 750 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 758,048 Loan Note, Series 1999A, 6.375%, 10/01/19 500 Virgin Islands Public Finance Authority, Senior Lien Revenue 4/09 at 101.00 A 486,820 Refunding Bonds, Matching Fund Loan Note, Series 1998A, 5.500%, 10/01/18 - RAAI Insured - ----------------------------------------------------------------------------------------------------------------------------------- 9,645 Total Tax Obligation/Limited 9,110,256 - ----------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 5.9% (3.7% OF TOTAL INVESTMENTS) 2,500 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AA 1,936,225 International Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured (Alternative Minimum Tax) - ----------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 34.3% (21.5% OF TOTAL INVESTMENTS) (4) 1,000 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 N/R (4) 1,096,240 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 2,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 2,188,597 5.500%, 10/01/20 (Pre-refunded 10/01/11) 500 Connecticut, General Obligation Bonds, Series 2002B, 5.500%, 6/12 at 100.00 AA (4) 553,550 6/15/21 (Pre-refunded 6/15/12) 500 East Lyme, Connecticut, General Obligation Bonds, Series 2001, 7/11 at 102.00 Aa3 (4) 548,645 5.125%, 7/15/20 (Pre-refunded 7/15/11) - FGIC Insured
27 NFC | Nuveen Connecticut Dividend Advantage Municipal Fund (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED (4) (continued) Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001A: $ 25 5.000%, 5/15/22 (Pre-refunded 5/15/11) 5/11 at 100.00 Baa3 (4) $ 26,620 500 5.400%, 5/15/31 (Pre-refunded 5/15/11) 5/11 at 100.00 Baa3 (4) 537,165 1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 (4) 1,369,962 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 220 New Haven, Connecticut, General Obligation Bonds, Series 11/11 at 100.00 A- (4) 234,003 2001A, 5.000%, 11/01/20 (Pre-refunded 11/01/11) - FGIC Insured 250 Northern Mariana Islands, General Obligation Bonds, Series 6/10 at 100.00 AAA 265,883 2000A, 6.000%, 6/01/20 (Pre-refunded 6/01/10) - ACA Insured Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,425 5.500%, 10/01/32 10/10 at 101.00 AAA 1,424,886 1,300 5.500%, 10/01/40 10/10 at 101.00 AAA 1,292,161 235 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 245,333 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded 7/01/10) 1,000 Waterbury, Connecticut, General Obligation Bonds, Series 4/12 at 100.00 AAA 1,098,500 2002A, 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) 379,076 5.000%, 7/15/20 (Pre-refunded 7/15/09) - ----------------------------------------------------------------------------------------------------------------------------------- 10,595 Total U.S. Guaranteed 11,260,621 - ----------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 5.0% (3.2% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control Revenue 4/09 at 102.00 Baa1 422,405 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 560 Connecticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 427,588 Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) 900 Eastern Connecticut Resource Recovery Authority, Solid Waste 1/09 at 100.00 BBB 807,840 Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax) - ----------------------------------------------------------------------------------------------------------------------------------- 1,960 Total Utilities 1,657,833 - ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 13.2% (8.3% OF TOTAL INVESTMENTS) 255 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 BBB- 178,513 Bonds, Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - SYNCORA GTY Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,250,779 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 720 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AA 648,965 1,110 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AA 967,010
28
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER (continued) $ 140 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 $ 110,568 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 AA 749,025 470 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AA 424,941 - ----------------------------------------------------------------------------------------------------------------------------------- 4,630 Total Water and Sewer 4,329,801 - ----------------------------------------------------------------------------------------------------------------------------------- $ 55,815 Total Investments (cost $56,432,776) - 159.3% 52,371,661 =================------------------------------------------------------------------------------------------------------------------ Floating Rate Obligations - (4.6)% (1,525,000) ------------------------------------------------------------------------------------------------------------------ Other Assets Less Liabilities - 4.6% 1,526,623 ------------------------------------------------------------------------------------------------------------------ Preferred Shares, at Liquidation Value - (59.3)% (5) (19,500,000) ------------------------------------------------------------------------------------------------------------------ Net Assets Applicable to Common Shares - 100% $ 32,873,284 ==================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (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) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 37.2%. N/R Not rated. (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. 29 NGK | Nuveen Connecticut Dividend Advantage Municipal Fund 2 | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES - 1.7% (1.1% OF TOTAL INVESTMENTS) $ 720 Puerto Rico, The Children's Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 5/12 at 100.00 BBB $ 522,000 - ----------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 35.7% (22.5% OF TOTAL INVESTMENTS) 715 Connecticut Health and Education Facilities Authority, 7/17 at 100.00 AA 655,247 Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - MBIA Insured 500 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 A3 393,945 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 100 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 BBB+ 74,395 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 135 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 A3 110,241 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 95 Connecticut Health and Educational Facilities Authority, 1/09 at 102.00 AA 91,843 Revenue Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 500 Connecticut Health and Educational Facilities Authority, 7/09 at 100.50 A 496,075 Revenue Bonds, Hopkins School, Series 1998A, 5.000%, 7/01/20 - AMBAC Insured 310 Connecticut Health and Educational Facilities Authority, No Opt. Call A2 326,864 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 120 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AA 98,752 Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - 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 A3 542,487 1,000 5.250%, 7/01/32 - RAAI Insured 7/12 at 101.00 A3 811,550 1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,000,610 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 500 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 473,560 Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 1,600 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,515,392 Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 2,750 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AAA 2,625,948 Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) University of Connecticut, General Obligation Bonds, Series 2006A: 450 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AA 469,926 490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AA 494,959 500 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AA 506,585 Bonds, Series 2002A, 5.250%, 11/15/22 - FGIC Insured - ----------------------------------------------------------------------------------------------------------------------------------- 11,355 Total Education and Civic Organizations 10,688,379 - -----------------------------------------------------------------------------------------------------------------------------------
30
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 12.9% (8.2% OF TOTAL INVESTMENTS) $ 300 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 BBB+ $ 229,344 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 - RAAI Insured 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 BBB+ 18,087 65 6.000%, 7/01/25 - RAAI Insured 7/10 at 101.00 BBB+ 54,607 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 A3 269,037 300 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 A3 256,080 170 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 A3 117,414 Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured 1,190 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aa3 1,075,474 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 BBB+ 864,690 Revenue Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 - RAAI Insured 25 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Baa1 21,970 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 1,170 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AA 959,400 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ----------------------------------------------------------------------------------------------------------------------------------- 4,540 Total Health Care 3,866,103 - ----------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 1.4% (0.9% OF TOTAL INVESTMENTS) 500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 392,070 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) - ----------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 6.0% (3.8% OF TOTAL INVESTMENTS) 250 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 198,288 Finance Program Bonds, Series 2001C, 5.450%, 11/15/43 (Alternative Minimum Tax) 700 Connecticut Housing Finance Authority, Housing Mortgage 5/13 at 100.00 AAA 610,547 Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34 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 237,812 330 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 244,685 600 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 516,546 Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 - ----------------------------------------------------------------------------------------------------------------------------------- 2,185 Total Housing/Single Family 1,807,878 - ----------------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS - 2.8% (1.8% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Ba1 833,340 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax) - ----------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 3.6% (2.3% OF TOTAL INVESTMENTS) 320 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 265,405 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 265 Connecticut Development Authority, First Mortgage Gross 4/09 at 100.00 BBB- 263,272 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12
31 NGK | Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE (continued) $ 450 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 A $ 386,010 Revenue Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/19 - AMBAC Insured 250 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 168,345 Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 - ----------------------------------------------------------------------------------------------------------------------------------- 1,285 Total Long-Term Care 1,083,032 - ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 23.0% (14.5% OF TOTAL INVESTMENTS) 600 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 587,454 4.750%, 12/15/24 400 Connecticut State, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 404,892 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 1,023,660 1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,462,238 1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ 1,310,377 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 363,229 140 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 123,050 650 New Haven, Connecticut, General Obligation Bonds, Series 11/16 at 100.00 A 676,761 2006, 5.000%, 11/01/17 - AMBAC Insured 400 Suffield, Connecticut, General Obligation Bonds, Series No Opt. Call AA 413,648 2005, 5.000%, 6/15/21 500 West Hartford, Connecticut, General Obligation Bonds, Series 10/15 at 100.00 AAA 530,720 2005B, 5.000%, 10/01/17 - ----------------------------------------------------------------------------------------------------------------------------------- 6,805 Total Tax Obligation/General 6,896,029 - ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 17.4% (11.0% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F: 575 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA 518,121 500 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 440,885 500 Connecticut, Special Tax Obligation Transportation 10/11 at 100.00 AAA 529,335 Infrastructure Purpose Bonds, Series 2001B, 5.375%, 10/01/13 - FSA Insured 1,625 Connecticut, Special Tax Obligation Transportation 7/12 at 100.00 AAA 1,662,407 Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured 850 Connecticut, Special Tax Obligation Transportation 8/17 at 100.00 AA 833,757 Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured 500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call A 391,480 Revenue Bonds, Series 2007N, 5.250%, 7/01/31 - AMBAC Insured 430 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call BBB+ 75,719 Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured 750 Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/15 at 100.00 AAA 764,175 8/01/16 - FSA Insured - ----------------------------------------------------------------------------------------------------------------------------------- 5,730 Total Tax Obligation/Limited 5,215,879 - ----------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 6.9% (4.3% OF TOTAL INVESTMENTS) 1,950 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call A 2,057,581 Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured - -----------------------------------------------------------------------------------------------------------------------------------
32
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 31.9% (20.1% OF TOTAL INVESTMENTS) (4) $ 2,250 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA $ 2,434,882 Revenue 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 BBB+ (4) 107,899 30 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 BBB+ (4) 32,350 5 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 BBB+ (4) 5,382 400 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 430,236 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 (Pre-refunded 3/01/11) - FSA Insured 250 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 (4) 269,678 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,065,310 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,000 5.500%, 10/01/32 10/10 at 101.00 AAA 999,920 2,000 5.500%, 10/01/40 10/10 at 101.00 AAA 1,987,939 1,535 Regional School District 8, Andover, Hebron and Marlborough, 5/11 at 101.00 Aa3 (4) 1,657,124 Connecticut, General Obligation Bonds, Series 2002, 5.000%, 5/01/22 (Pre-refunded 5/01/11) - FSA Insured 500 Waterbury, Connecticut, General Obligation Bonds, Series 4/12 at 100.00 AAA 549,250 2002A, 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured - ----------------------------------------------------------------------------------------------------------------------------------- 9,070 Total U.S. Guaranteed 9,539,970 - ----------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 4.7% (2.9% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control Revenue 4/09 at 102.00 Baa1 422,405 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 470 Connecticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 358,869 Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 250 5.500%, 1/01/15 (Alternative Minimum Tax) 1/09 at 100.00 BBB 218,823 510 5.500%, 1/01/20 (Alternative Minimum Tax) 1/09 at 100.00 BBB 393,190 - ----------------------------------------------------------------------------------------------------------------------------------- 1,730 Total Utilities 1,393,287 - ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 10.4% (6.6% OF TOTAL INVESTMENTS) 220 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 BBB- 154,011 Bonds, Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - SYNCORA GTY Insured (Alternative Minimum Tax) 785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 828,575 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 690 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AA 621,925 320 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AA 278,778 130 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 102,670 System Revenue Bonds, Series 2005, 6.000%, 7/01/25
33 NGK | Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER (continued) South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: $ 750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AA $ 749,025 410 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AA 370,693 - ------------------------------------------------------------------------------------------------------------------------------------ 3,305 Total Water and Sewer 3,105,677 - ------------------------------------------------------------------------------------------------------------------------------------ $ 50,175 Total Investments (cost $50,635,027) - 158.4% 47,401,225 =================------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (4.6)% (1,375,000) ------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 4.7% 1,393,085 ------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (58.5)% (5) (17,500,000) ------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 29,919,310 ===================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (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) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 36.9%. N/R Not rated. (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. 34 NGO | Nuveen Connecticut Dividend Advantage Municipal Fund 3 | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES - 3.1% (2.0% OF TOTAL INVESTMENTS) $ 2,295 Puerto Rico, The Children's Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 5/12 at 100.00 BBB $ 1,663,875 - ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 28.6% (18.6% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AA 789,230 Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 - MBIA Insured 1,300 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AA 1,191,359 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - MBIA Insured 650 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 A3 512,129 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 150 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 BBB+ 111,593 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 250 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 A3 204,150 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 400 Connecticut Health and Educational Facilities Authority, No Opt. Call A2 421,760 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 215 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AA 176,930 Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured 750 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 A3 689,603 Revenue Bonds, University of Hartford, Series 2002E, 5.500%, 7/01/22 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,500,915 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 3,000 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 2,841,359 Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 5,050 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AAA 4,822,195 Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) University of Connecticut, General Obligation Bonds, Series 2006A: 850 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AA 887,638 490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AA 494,959 500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AA 506,585 Series 2002A, 5.250%, 11/15/22 - FGIC Insured - ---------------------------------------------------------------------------------------------------------------------------------- 16,105 Total Education and Civic Organizations 15,150,405 - ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 9.5% (6.2% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B: 500 5.500%, 7/01/21 - RAAI Insured 7/12 at 101.00 BBB+ 460,855 600 5.500%, 7/01/32 - RAAI Insured 7/12 at 101.00 BBB+ 458,688 800 Connecticut Health and Educational Facilities Authority, 7/15 at 100.00 A3 717,432 Revenue Bonds, Griffin Hospital, Series 2005B, 5.000%, 7/01/20 - RAAI Insured 310 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 A3 214,108 Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured
35 NGO | Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE (continued) $ 2,130 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aa3 $ 1,925,009 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 200 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Baa1 175,760 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 1,325 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AA 1,086,500 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ---------------------------------------------------------------------------------------------------------------------------------- 5,865 Total Health Care 5,038,352 - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 1.5% (1.0% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 784,140 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 5.5% (3.6% OF TOTAL INVESTMENTS) 750 Connecticut Housing Finance Authority, Housing Mortgage Finance 11/10 at 100.00 AAA 594,863 Program Bonds, Series 2001C, 5.450%, 11/15/43 (Alternative Minimum Tax) 1,300 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/13 at 100.00 AAA 1,133,873 Program Bonds, Series 2004-A5, 5.050%, 11/15/34 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 339,174 465 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 344,784 600 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 516,546 Program Bonds, Series 2006D, 4.650%, 11/15/27 - ---------------------------------------------------------------------------------------------------------------------------------- 3,550 Total Housing/Single Family 2,929,240 - ---------------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS - 3.1% (2.0% OF TOTAL INVESTMENTS) 2,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Ba1 1,666,680 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 12.3% (8.0% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 414,695 Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 495 Connecticut Development Authority, First Mortgage Gross Revenue 4/09 at 100.00 BBB- 491,773 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 BBB+ 584,201 1,025 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 BBB+ 777,873 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 A 377,884 475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 A 396,725 260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 A 204,766 1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 A 697,940 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 A 944,440 1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 A 1,271,190 500 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 336,690 Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 - ---------------------------------------------------------------------------------------------------------------------------------- 7,835 Total Long-Term Care 6,498,177 - ----------------------------------------------------------------------------------------------------------------------------------
36
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 23.2% (15.1% OF TOTAL INVESTMENTS) Bethel, Connecticut, General Obligation Bonds, Series 2002: $ 525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aa3 $ 537,175 525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aa3 533,951 525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aa3 530,754 525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aa3 528,134 525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aa3 522,375 1,200 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 1,174,908 4.750%, 12/15/24 450 Farmington, Connecticut, General Obligation Bonds, Series 2002, 9/12 at 101.00 Aa1 460,647 5.000%, 9/15/20 600 Hartford, Connecticut, General Obligation Bonds, Series 2005A, 8/15 at 100.00 AAA 605,382 5.000%, 8/01/21 - FSA Insured New Canaan, Connecticut, General Obligation Bonds, Series 2002A: 950 4.500%, 5/01/19 5/11 at 100.00 Aaa 956,631 900 4.600%, 5/01/20 5/11 at 100.00 Aaa 903,924 500 4.700%, 5/01/21 5/11 at 100.00 Aaa 501,540 1,000 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 A 1,041,170 5.000%, 11/01/17 - AMBAC Insured Southbury, Connecticut, General Obligation Bonds, Series 2002: 500 4.875%, 12/15/20 12/11 at 101.00 Aa3 506,745 500 4.875%, 12/15/21 12/11 at 101.00 Aa3 504,315 500 5.000%, 12/15/22 12/11 at 101.00 Aa3 500,170 Stratford, Connecticut, General Obligation Bonds, Series 2002: 1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,350,154 630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 612,039 500 West Hartford, Connecticut, General Obligation Bonds, Series 10/15 at 100.00 AAA 528,415 2005B, 5.000%, 10/01/18 - ---------------------------------------------------------------------------------------------------------------------------------- 12,230 Total Tax Obligation/General 12,298,429 - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 23.0% (14.9% OF TOTAL INVESTMENTS) 930 Connecticut Health and Educational Facilities Authority, Child 7/16 at 100.00 AAA 820,046 Care Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 - AGC Insured 60 Connecticut, Special Tax Obligation Transportation No Opt. Call AA 65,170 Infrastructure 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 AA 2,816,041 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AA 980,330 1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AA 972,520 500 Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - 1/14 at 100.00 AA 495,985 FGIC Insured 1,500 Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/17 at 100.00 AA 1,471,335 8/01/27 - AMBAC Insured 1,000 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call A 782,960 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 BBB+ 137,350 2,120 0.000%, 7/01/33 - FGIC Insured No Opt. Call BBB+ 345,496 Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G: 890 5.250%, 7/01/17 7/12 at 100.00 BBB- 839,368 1,000 5.250%, 7/01/20 7/12 at 100.00 BBB- 900,000 1,045 5.250%, 7/01/21 7/12 at 100.00 BBB- 928,420 750 Virgin Islands Public Finance Authority, Senior Lien Revenue 4/09 at 101.00 BBB 642,000 Refunding Bonds, Matching Fund Loan Note, Series 1998A, 5.500%, 10/01/22 - ---------------------------------------------------------------------------------------------------------------------------------- 15,385 Total Tax Obligation/Limited 12,197,021 - ----------------------------------------------------------------------------------------------------------------------------------
37 NGO | Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 0.8% (0.5% OF TOTAL INVESTMENTS) $ 415 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call A $ 437,896 Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured - ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 23.8% (15.5% OF TOTAL INVESTMENTS) (4) 500 Bridgeport, Connecticut, General Obligation Bonds, Series 9/13 at 100.00 AAA 558,900 2003A, 5.250%, 9/15/23 (Pre-refunded9/15/13) - FSA Insured 3,100 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A (4) 3,359,438 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21 (Pre-refunded 7/01/11) - AMBAC Insured 40 New Haven, Connecticut, General Obligation Bonds, Series 2002A, 11/11 at 101.00 A (4) 42,711 5.250%, 11/01/17 - AMBAC Insured (ETM) 3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA 7/10 at 101.00 AAA 3,249,195 Insured 3,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 2,981,909 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 1,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,018,615 Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 - AMBAC Insured (ETM) 195 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 AAA 211,362 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 (Pre-refunded 2/01/12) 1,100 University of Connecticut, General Obligation Bonds, Series 2/13 at 100.00 AA (4) 1,212,453 2003A, 5.125%, 2/15/21(Pre-refunded 2/15/13) - MBIA Insured - ---------------------------------------------------------------------------------------------------------------------------------- 11,995 Total U.S. Guaranteed 12,634,583 - ---------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 4.4% (2.8% OF TOTAL INVESTMENTS) 720 Connecticut Development Authority, Pollution Control Revenue 4/09 at 102.00 Baa1 608,263 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 860 Connecticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 656,653 Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 900 5.500%, 1/01/14 (Alternative Minimum Tax) 1/09 at 100.00 BBB 807,840 305 5.500%, 1/01/20 (Alternative Minimum Tax) 1/09 at 100.00 BBB 235,143 - ---------------------------------------------------------------------------------------------------------------------------------- 2,785 Total Utilities 2,307,899 - ---------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 15.1% (9.8% OF TOTAL INVESTMENTS) 400 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 BBB- 280,020 Bonds, Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - SYNCORA GTY Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, Series 10/13 at 100.00 AAA 1,250,779 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 1,230 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AA 1,108,648 640 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AA 557,555 230 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 181,647 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 AA 2,047,335 590 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AA 533,437
38
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER (continued) $ 1,840 South Central Connecticut Regional Water Authority, Water 8/16 at 100.00 AA $ 1,693,591 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+ 325,087 Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 - ----------------------------------------------------------------------------------------------------------------------------------- 8,515 Total Water and Sewer 7,978,099 - ----------------------------------------------------------------------------------------------------------------------------------- $ 89,975 Total Investments (cost $89,652,224) - 153.9% 81,584,796 =================------------------------------------------------------------------------------------------------------------------ Floating Rate Obligations - (4.8)% (2,525,000) ------------------------------------------------------------------------------------------------------------------ Other Assets Less Liabilities - 11.3% 5,944,697 ------------------------------------------------------------------------------------------------------------------ Preferred Shares, at Liquidation Value - (60.4)% (5) (32,000,000) ------------------------------------------------------------------------------------------------------------------ Net Assets Applicable to Common Shares - 100% $ 53,004,493 ==================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (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) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 39.2%. 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. 39 NMT | Nuveen Massachusetts Premium Income Municipal Fund | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 1.8% (1.1% OF TOTAL INVESTMENTS) $ 1,445 Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) 9/12 at 102.00 N/R $ 992,657 - ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 32.5% (20.2% OF TOTAL INVESTMENTS) 1,045 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 AA 915,441 Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 - MBIA Insured 890 Massachusetts Development Finance Authority, Revenue Bonds, 3/09 at 101.00 BBB 815,827 Curry College, Series 2000A, 6.000%, 3/01/20 - ACA Insured 1,745 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 1,646,059 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- 772,523 Milton Academy, Series 2003A, 5.000%, 9/01/19 4,900 Massachusetts Development Finance Authority, Revenue Bonds, WGBH 1/18 at 100.00 AAA 4,371,829 Educational Foundation, Series 2008A, 5.000%, 1/01/42 - AGC Insured (UB) 1,090 Massachusetts Development Finance Authority, Revenue Refunding No Opt. Call A2 1,104,116 Bonds, Boston University, Series 1999P, 6.000%, 5/15/29 1,550 Massachusetts Educational Finance Authority, Educational Loan 1/12 at 100.00 AA 1,546,249 Revenue Bonds, Series 2002E, 5.000%, 1/01/13 - AMBAC Insured (Alternative Minimum Tax) 2,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,072,959 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 500 Massachusetts Health and Educational Facilities Authority, 3/09 at 100.00 AA 421,685 Revenue Bonds, Hebrew College, Series 1999A,, 4.000%, 7/01/31 (4) 500 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 Aaa 500,790 Revenue Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26 555 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AAA 562,465 Revenue Bonds, Williams College, Series 2003H, 5.000%, 7/01/21 1,380 Massachusetts Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,339,925 Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 A 431,790 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured 1,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 1/09 at 100.00 Aa1 1,595,765 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- 317,633 Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999, 5.375%, 2/01/19 - ---------------------------------------------------------------------------------------------------------------------------------- 19,425 Total Education and Civic Organizations 18,415,056 - ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 24.3% (15.1% OF TOTAL INVESTMENTS) 1,250 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 1,088,213 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 BBB+ 683,540 Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 - RAAI Insured
40
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE (continued) Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset Program, Series 1998B-1: $ 1,800 5.375%, 2/01/26 - MBIA Insured 8/18 at 100.00 AAA $ 1,427,202 770 5.375%, 2/01/28 - MBIA Insured 8/18 at 100.00 AAA 594,248 1,500 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 AAA 1,173,270 Revenue Bonds, Capital Asset Program, Series 1998B-2, 5.375%, 2/01/27 - MBIA Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 887,120 Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 935 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 BBB+ 634,594 Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 - RAAI Insured 1,000 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AA 859,940 Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured 2,000 Massachusetts Health and Educational Facilities Authority, 8/17 at 100.00 A 1,703,460 Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28 585 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 369,609 Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 1,000 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 692,890 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 750 Massachusetts Health and Educational Facilities Authority, 1/09 at 100.00 AAA 611,108 Revenue Bonds, New England Medical Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured 75 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA 70,532 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 375 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 322,751 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 1,445 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 926,187 Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 2,000 Massachusetts State, Health and Educational Facilities 7/17 at 100.00 AA 1,696,800 Authority, Partners HealthCare System Inc., Series 2007G, 5.000%, 7/01/32 - ---------------------------------------------------------------------------------------------------------------------------------- 17,485 Total Health Care 13,741,464 - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 8.1% (5.0% OF TOTAL INVESTMENTS) 1,335 Massachusetts Development Finance Authority, Multifamily Housing 7/17 at 100.00 AAA 1,030,927 Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 1,830 Massachusetts Development Financing Authority, Assisted Living 12/09 at 102.00 N/R 1,560,276 Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31 335 Massachusetts Housing Finance Agency, Housing Bonds, Series 6/15 at 100.00 AA- 255,756 2006A, 5.100%, 12/01/37(Alternative Minimum Tax) 500 Massachusetts Housing Finance Agency, Housing Revenue Bonds, 6/13 at 100.00 AA- 421,610 Series 2003S, 5.050%, 12/01/23(Alternative Minimum Tax) 355 Massachusetts Housing Finance Agency, Rental Housing Mortgage 7/10 at 101.00 A 361,042 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 963,530 Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 - ---------------------------------------------------------------------------------------------------------------------------------- 5,355 Total Housing/Multifamily 4,593,141 - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 3.1% (2.0% OF TOTAL INVESTMENTS) 1,500 Massachusetts Housing Finance Agency, Single Family Housing 6/16 at 100.00 AA 1,069,200 Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax) 985 Massachusetts Housing Finance Agency, Single Family Housing 6/18 at 100.00 AA 708,048 Revenue Bonds, Series 2008, Trust3145, 12.452%, 12/01/28 (IF) - ---------------------------------------------------------------------------------------------------------------------------------- 2,485 Total Housing/Single Family 1,777,248 - ----------------------------------------------------------------------------------------------------------------------------------
41 NMT | Nuveen Massachusetts Premium Income Municipal Fund (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS - 1.2% (0.7% OF TOTAL INVESTMENTS) $ 345 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R $ 297,945 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 350,644 Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 - ---------------------------------------------------------------------------------------------------------------------------------- 745 Total Industrials 648,589 - ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 7.1% (4.4% OF TOTAL INVESTMENTS) 1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, 4/09 at 105.00 AAA 1,276,985 Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31 1,685 Massachusetts Development Finance Agency, Revenue Bonds, Orchard 10/12 at 102.00 BB- 1,093,279 Cove, Series 2007, 5.250%, 10/01/26 1,500 Massachusetts Development Finance Authority, GNMA Collateralized 3/12 at 105.00 AAA 1,247,745 Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 75 Massachusetts Industrial Finance Agency, FHA-Insured Project 2/09 at 100.00 AAA 75,000 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- 340,396 Bonds, Berkshire Retirement Community, Series 1994B, 4.750%, 7/01/17 - ---------------------------------------------------------------------------------------------------------------------------------- 4,930 Total Long-Term Care 4,033,405 - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 20.3% (12.7% OF TOTAL INVESTMENTS) 500 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 A1 512,255 5.250%, 5/15/23 - AMBAC Insured 1,250 Boston, Massachusetts, General Obligation Bonds, Series 2005A, 1/15 at 100.00 AA+ 1,322,488 5.000%, 1/01/17 1,000 Fall River, Massachusetts, General Obligation Bonds, Series 2/13 at 101.00 AAA 1,014,950 2003, 5.000%, 2/01/21 - FSA Insured 2,500 Massachusetts Bay Transportation Authority, General Obligation No Opt. Call AAA 2,907,099 Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 1,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AA 1,435,816 Series 2001D, 6.000%, 11/01/13 - MBIA Insured 980 Monson, Massachusetts, General Obligation Bonds, Series 2002, 5/12 at 101.00 A3 990,172 5.250%, 5/15/22 - AMBAC Insured 1,260 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AA+ 1,281,105 5.000%, 11/15/20 - FGIC Insured 1,000 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call Baa3 849,160 Series 2001A, 5.500%, 7/01/29 - FGIC Insured 1,220 Worcester, Massachusetts, General Obligation Bonds, Series 7/15 at 100.00 AA 1,188,634 2005A, 5.000%, 7/01/19 - FGIC Insured - ---------------------------------------------------------------------------------------------------------------------------------- 10,985 Total Tax Obligation/General 11,501,679 - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 15.4% (9.6% OF TOTAL INVESTMENTS) 210 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 A 209,750 Series 2004, 5.000%, 5/01/26 - AMBAC Insured 385 Massachusetts Bay Transportation Authority, Senior Lien Sales No Opt. Call AAA 403,815 Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21 975 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/18 at 100.00 AAA 967,073 Revenue Bonds, Series 2006, 5.000%, 7/01/26 550 Massachusetts College Building Authority, Project Revenue Bonds, 5/14 at 100.00 AA 560,967 Series 2004A, 5.000%,5/01/19 - MBIA Insured 325 Massachusetts College Building Authority, Project Revenue Bonds, 5/16 at 100.00 AA 294,863 Series 2006A, 5.000%,5/01/31 - AMBAC Insured 1,200 Massachusetts College Building Authority, Project Revenue Bonds, 5/18 at 100.00 AAA 1,101,756 Series 2008A, 5.000%,5/01/33 - AGC Insured 1,000 Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 5.375%, 5/01/23 - SYNCORA GTY No Opt. Call A1 1,004,140 Insured
42
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 $ 1,325,818 Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 540 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AA 539,973 Series 2005, 5.000%, 1/01/20 - FGIC Insured 1,000 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aa3 1,082,100 Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 240 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call A 18,660 Revenue Bonds, Series 2005A, 0.000%, 7/01/43 - AMBAC Insured 1,300 Puerto Rico, Highway Revenue Bonds, Highway and Transportation No Opt. Call AA 1,220,895 Authority, Series 2003AA, 5.500%, 7/01/19 - MBIA Insured - ---------------------------------------------------------------------------------------------------------------------------------- 9,025 Total Tax Obligation/Limited 8,729,810 - ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 10.3% (6.4% OF TOTAL INVESTMENTS) 2,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AA 1,801,300 5.000%, 7/01/33 - MBIA Insured 1,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 7/17 at 100.00 AA 719,680 BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 - FGIC Insured (Alternative Minimum Tax) 225 Massachusetts Port Authority, Special Facilities Revenue Bonds, 1/11 at 101.00 A 123,255 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, 3/09 at 100.00 AA 3,215,878 US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 - MBIA Insured (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- 7,225 Total Transportation 5,860,113 - ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 21.1% (13.1% OF TOTAL INVESTMENTS) (5) 550 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 (5) 593,291 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 25 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/18 at 100.00 Aa2 (5) 27,214 Revenue Bonds, Series 2006, 5.000%, 7/01/26 (Pre-refunded 7/01/18) 2,500 Massachusetts Development Finance Authority, GNMA Collateralized 10/11 at 105.00 AAA 2,946,649 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 (5) 547,585 Belmont Hills School, Series 2001, 5.375%, 9/01/23 (Pre-refunded 9/01/11) 1,000 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A- (5) 1,145,070 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13) 410 Massachusetts Health and Educational Facilities Authority, 7/21 at 100.00 AAA 425,326 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) - MBIA Insured 600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 N/R (5) 654,408 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.375%, 5/15/19 (Pre-refunded 5/15/12) - FGIC Insured 1,925 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AAA 2,117,730 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11) 1,000 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 A+ (5) 1,082,250 Revenue Bonds, University of Massachusetts - Worcester Campus, Series 2001B, 5.250%, 10/01/31 (Pre-refunded 10/01/11) - FGIC Insured 620 Massachusetts Port Authority, Revenue Bonds, Series 1982, 1/09 at 100.00 AAA 786,160 13.000%, 7/01/13 (ETM) 1,500 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 A (5) 1,633,440 Series 2004, 5.250%, 1/01/25(Pre-refunded 1/01/14) - FGIC Insured - ---------------------------------------------------------------------------------------------------------------------------------- 10,630 Total U.S. Guaranteed 11,959,123 - ----------------------------------------------------------------------------------------------------------------------------------
43 NMT | Nuveen Massachusetts Premium Income Municipal Fund (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 3.2% (2.0% OF TOTAL INVESTMENTS) $ 1,000 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AA $ 956,030 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 846,970 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) - ----------------------------------------------------------------------------------------------------------------------------------- 2,000 Total Utilities 1,803,000 - ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 12.3% (7.7% OF TOTAL INVESTMENTS) 2,000 Boston Water and Sewerage Commission, Massachusetts, General 11/14 at 100.00 AA 2,008,060 Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 60 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 AAA 60,538 Program Bonds, Series 2003-9, 5.000%, 8/01/22 285 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/14 at 100.00 AAA 282,669 Program Bonds, Series 2004-10, 5.000%, 8/01/26 750 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 656,573 Program Bonds, Series 2005-11, 4.500%, 8/01/29 1,000 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 825,270 Program Bonds, Series 2006-12, 4.375%, 8/01/31 1,250 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 1,280,800 MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 1,500 Massachusetts Water Resources Authority, General Revenue Bonds, 8/17 at 100.00 AA 1,440,015 Series 2005A, 5.000%,8/01/28 - MBIA Insured 625 Massachusetts Water Resources Authority, General Revenue Bonds, 8/16 at 100.00 AA 432,500 Series 2006A, 4.000%, 8/01/46 - ----------------------------------------------------------------------------------------------------------------------------------- 7,470 Total Water and Sewer 6,986,425 - ----------------------------------------------------------------------------------------------------------------------------------- $ 99,205 Total Investments (cost $100,871,010) - 160.7% 91,041,710 =================------------------------------------------------------------------------------------------------------------------ Floating Rate Obligations - (4.3)% (2,450,000) ------------------------------------------------------------------------------------------------------------------ Other Assets Less Liabilities - 3.6% 2,048,649 ------------------------------------------------------------------------------------------------------------------ Preferred Shares, at Liquidation Value - (60.0)% (6) (34,000,000) ------------------------------------------------------------------------------------------------------------------ Net Assets Applicable to Common Shares - 100% $ 56,640,359 ==================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. (5) 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. (6) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 37.3%. N/R Not rated. (ETM) Escrowed to maturity. (IF) Inverse floating rate investment. (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. 44 NMB | Nuveen Massachusetts Dividend Advantage Municipal Fund | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 1.4% (0.9% OF TOTAL INVESTMENTS) $ 485 Boston Industrial Development Financing Authority, 9/12 at 102.00 N/R $ 333,176 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 40.3% (24.6% OF TOTAL INVESTMENTS) 450 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 AA 394,209 Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 - MBIA Insured 495 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 466,934 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- 515,015 Milton Academy, Series 2003A, 5.000%, 9/01/19 2,100 Massachusetts Development Finance Authority, Revenue Bonds, WGBH 1/18 at 100.00 AAA 1,873,641 Educational Foundation, Series 2008A, 5.000%, 1/01/42 - AGC Insured (UB) 1,000 Massachusetts Development Finance Authority, Revenue Refunding 5/29 at 105.00 A2 960,290 Bonds, Boston University, Series 1999P, 6.000%, 5/15/59 990 Massachusetts Educational Finance Authority, Educational Loan 7/10 at 100.00 AA 959,538 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- 1,036,480 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 1,000 Massachusetts Health and Educational Facilities Authority, 3/09 at 100.00 AA 843,371 Revenue Bonds, Hebrew College, Series 1999A,, 4.000%, 7/01/31 (4) 2,000 Massachusetts Health and Educational Facilities Authority, 2/11 at 100.00 Aa2 1,950,239 Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36 590 Massachusetts Health and Educational Facilities Authority, 7/16 at 100.00 AAA 572,866 Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 - ---------------------------------------------------------------------------------------------------------------------------------- 10,125 Total Education and Civic Organizations 9,572,583 - ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 27.0% (16.5% OF TOTAL INVESTMENTS) 500 Massachusetts Health and Educational Facilities Authority 1/18 at 100.00 N/R 371,930 Revenue Bonds, Quincy Medical Center Issue, Series A (2008), 6.500%, 1/15/38 500 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 435,285 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 775 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 AAA 614,490 Revenue Bonds, Capital Asset Program, Series 1998B-1, 5.375%, 2/01/26 - MBIA Insured 500 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 AAA 391,090 Revenue Bonds, Capital Asset Program, Series 1998B-2, 5.375%, 2/01/27 - MBIA Insured 250 Massachusetts Health and Educational Facilities Authority, 1/09 at 101.00 BBB 216,458 Revenue Bonds, Caritas Christi Obligated Group, Series 1999A, 5.625%, 7/01/20 295 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A 269,674 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 BBB+ 213,794 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 AA 515,964 Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured
45 NMB | Nuveen Massachusetts Dividend Advantage Municipal Fund (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE (continued) $ 1,000 Massachusetts Health and Educational Facilities Authority, 8/17 at 100.00 A $ 851,730 Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28 290 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 183,225 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- 346,445 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 373,965 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 985,110 Revenue Bonds, Partners HealthCare System Inc., Series 1999B, 5.125%, 7/01/19 35 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA 32,915 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 430,335 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 285 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 182,674 Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 - ---------------------------------------------------------------------------------------------------------------------------------- 7,845 Total Health Care 6,415,084 - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 12.5% (7.7% OF TOTAL INVESTMENTS) 570 Massachusetts Development Finance Authority, Multifamily Housing 7/17 at 100.00 AAA 440,171 Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 135 Massachusetts Housing Finance Agency, Housing Bonds, Series 6/15 at 100.00 AA- 103,066 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax) 500 Massachusetts Housing Finance Agency, Housing Revenue Bonds, 6/13 at 100.00 AA- 421,610 Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 1,215 Massachusetts Housing Finance Agency, Rental Housing Mortgage 1/11 at 100.00 A 1,044,742 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 963,530 Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 - ---------------------------------------------------------------------------------------------------------------------------------- 3,420 Total Housing/Multifamily 2,973,119 - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 3.4% (2.1% OF TOTAL INVESTMENTS) 650 Massachusetts Housing 4.625%, 6/01/32 (Alternative Minimum Tax) 6/16 at 100.00 AA 463,320 Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126, 480 Massachusetts Housing Finance Agency, Single Family Housing 6/18 at 100.00 AA 335,093 Revenue Bonds, Series 2008, Trust 3145, 13.437%, 12/01/33 (IF) - ---------------------------------------------------------------------------------------------------------------------------------- 1,130 Total Housing/Single Family 798,413 - ---------------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS - 1.3% (0.8% OF TOTAL INVESTMENTS) 160 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 138,178 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 175,322 Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 - ---------------------------------------------------------------------------------------------------------------------------------- 360 Total Industrials 313,500 - ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 8.1% (4.9% OF TOTAL INVESTMENTS) 725 Massachusetts Development Finance Agency, Revenue Bonds, Orchard 10/12 at 102.00 BB- 470,402 Cove, Series 2007, 5.250%, 10/01/26 655 Massachusetts Development Finance Authority, First Mortgage 7/11 at 102.00 BBB- 613,087 Revenue Bonds, Berkshire Retirement Community - Edgecombe Project, Series 2001A, 6.750%, 7/01/21
46
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE (continued) $ 1,000 Massachusetts Development Finance Authority, GNMA Collateralized 3/12 at 105.00 AAA $ 831,830 Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- 2,380 Total Long-Term Care 1,915,319 - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 16.0% (9.7% OF TOTAL INVESTMENTS) 310 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 A1 317,598 5.250%, 5/15/23 - AMBAC Insured 2,000 Brookline, Massachusetts, General Obligation Bonds, Series 2000, 4/10 at 101.00 Aaa 2,093,076 5.375%, 4/01/17 440 Fall River, Massachusetts, General Obligation Bonds, Series 2/13 at 101.00 AAA 446,578 2003, 5.000%, 2/01/21 - FSA Insured 500 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AA+ 508,375 5.000%, 11/15/20 - FGIC Insured 500 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call Baa3 424,580 Series 2001A, 5.500%, 7/01/29 - FGIC Insured - ---------------------------------------------------------------------------------------------------------------------------------- 3,750 Total Tax Obligation/General 3,790,207 - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 13.0% (8.0% OF TOTAL INVESTMENTS) 395 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 A 394,530 Series 2004, 5.000%, 5/01/26 - AMBAC Insured 85 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/10 at 100.00 AAA 82,121 Series 2000A, 5.250%, 7/01/30 385 Massachusetts Bay Transportation Authority, Senior Lien Sales No Opt. Call AAA 403,815 Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21 230 Massachusetts College Building Authority, Project Revenue Bonds, 5/14 at 100.00 AA 234,586 Series 2004A, 5.000%, 5/01/19 - MBIA Insured 250 Massachusetts College Building Authority, Project Revenue Bonds, 5/16 at 100.00 AA 226,818 Series 2006A, 5.000%, 5/01/31 - AMBAC Insured 550 Massachusetts College Building Authority, Project Revenue Bonds, 5/18 at 100.00 AAA 504,972 Series 2008A, 5.000%, 5/01/33 - AGC Insured 500 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA 509,930 Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 230 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AA 229,989 Series 2005, 5.000%, 1/01/20 - FGIC Insured 500 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 505,365 Loan Note, Series 1999A, 6.375%, 10/01/19 - ---------------------------------------------------------------------------------------------------------------------------------- 3,125 Total Tax Obligation/Limited 3,092,126 - ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 1.2% (0.7% OF TOTAL INVESTMENTS) 400 Massachusetts Port Authority, Special Facilities Revenue Bonds, 7/17 at 100.00 AA 287,872 BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 - FGIC Insured (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 17.3% (10.6% OF TOTAL INVESTMENTS) (5) 1,000 Boston, Massachusetts, General Obligation Bonds, Series 2001A, 2/11 at 100.00 AA+ (5) 1,062,719 5.000%, 2/01/20(Pre-refunded 2/01/11) 1,675 Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 2/11 at 100.00 Aa3 (5) 1,780,055 5.000%, 2/01/21 (Pre-refunded 2/01/11) - AMBAC Insured 125 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/10 at 100.00 Aa1 (5) 131,988 Series 2000A, 5.250%, 7/01/30 (Pre-refunded 7/01/10) 80 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A (5) 89,414 Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 (Pre-refunded 1/01/12) 215 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AAA 236,526 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11)
47 NMB | Nuveen Massachusetts Dividend Advantage Municipal Fund (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED (5) (continued) $ 750 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 A (5) $ 816,720 Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) - FGIC Insured - ----------------------------------------------------------------------------------------------------------------------------------- 3,845 Total U.S. Guaranteed 4,117,422 - ----------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 6.2% (3.8% OF TOTAL INVESTMENTS) 1,070 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AA 1,052,784 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 423,485 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) - ----------------------------------------------------------------------------------------------------------------------------------- 1,570 Total Utilities 1,476,269 - ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 15.8% (9.7% OF TOTAL INVESTMENTS) 530 Boston Water and Sewerage Commission, Massachusetts, General 11/14 at 100.00 AA 532,136 Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 125 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 98,721 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 500 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 437,715 Program Bonds, Series 2005-11, 4.500%, 8/01/29 400 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 330,108 Program Bonds, Series 2006-12, 4.375%, 8/01/31 500 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 512,320 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 1,427,718 MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29 250 Massachusetts Water Resources Authority, General Revenue Bonds, 8/17 at 100.00 AA 240,003 Series 2005A, 5.000%, 8/01/28 - MBIA Insured 250 Massachusetts Water Resources Authority, General Revenue Bonds, 8/16 at 100.00 AA 173,000 Series 2006A, 4.000%, 8/01/46 - ----------------------------------------------------------------------------------------------------------------------------------- 3,960 Total Water and Sewer 3,751,721 - ----------------------------------------------------------------------------------------------------------------------------------- $ 42,395 Total Investments (cost $42,904,821) - 163.5% 38,836,811 =================------------------------------------------------------------------------------------------------------------------ Floating Rate Obligations - (4.4)% (1,050,000) ------------------------------------------------------------------------------------------------------------------ Other Assets Less Liabilities - 4.1% 959,641 -------------------------------------------------------------------------------------===-------------------------- Preferred Shares, at Liquidation Value - (63.2)% (6) (15,000,000) ------------------------------------------------------------------------------------------------------------------ Net Assets Applicable to Common Shares - 100% $ 23,746,452 ==================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. (5) 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. (6) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 38.6%. N/R Not rated. (IF) Inverse floating rate investment. (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. 48 NGX | Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 24.0% (14.8% OF TOTAL INVESTMENTS) $ 1,135 Massachusetts Development Finance Agency, Revenue Bonds, Boston 10/15 at 100.00 A $ 944,331 University, Series 2005T-1, 5.000%, 10/01/39 - AMBAC Insured 600 Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 9/17 at 100.00 AA 525,612 - MBIA Insured 1,250 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 A1 1,101,450 Middlesex School, Series 2003, 5.000%, 9/01/33 3,000 Massachusetts Development Finance Authority, Revenue Bonds, WGBH 1/18 at 100.00 AAA 2,676,630 Educational Foundation, Series 2008A, 5.000%, 1/01/42 - AGC Insured (UB) 1,750 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,611,330 Revenue Bonds, Boston College, Series 2003N, 5.125%, 6/01/37 1,500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 A 1,295,370 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured - ---------------------------------------------------------------------------------------------------------------------------------- 9,235 Total Education and Civic Organizations 8,154,723 - ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 13.6% (8.4% OF TOTAL INVESTMENTS) 600 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 AAA 469,308 Revenue Bonds, Capital Asset Program, Series 1998B-1, 5.375%, 2/01/27 - MBIA Insured 1,500 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 AAA 1,157,625 Revenue Bonds, Capital Asset Program, Series 1998B-2, 5.375%, 2/01/28 - MBIA Insured 455 Massachusetts Health and Educational Facilities Authority, 1/09 at 102.00 AA 372,085 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 - MBIA Insured 585 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 369,609 Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 200 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 138,578 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 2,400 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 N/R 1,930,104 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 - FGIC Insured 250 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 160,240 Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 - ---------------------------------------------------------------------------------------------------------------------------------- 5,990 Total Health Care 4,597,549 - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 10.0% (6.1% OF TOTAL INVESTMENTS) 775 Massachusetts Development Finance Authority, Multifamily Housing 7/17 at 100.00 AAA 598,478 Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 2,000 Massachusetts Housing Finance Agency, Housing Bonds, Series 12/12 at 100.00 AA- 1,690,420 2003H, 5.125%, 6/01/43 1,265 Massachusetts Housing Finance Agency, Rental Housing Mortgage 7/12 at 100.00 AAA 1,087,128 Revenue Bonds, Series 2002H, 5.200%, 7/01/42 - FSA Insured - ---------------------------------------------------------------------------------------------------------------------------------- 4,040 Total Housing/Multifamily 3,376,026 - ----------------------------------------------------------------------------------------------------------------------------------
49 NGX | Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 5.0% (3.1% OF TOTAL INVESTMENTS) $ 1,750 Massachusetts Development Finance Authority, GNMA 12/12 at 105.00 AAA $ 1,709,960 Collateralized Revenue Bonds, Neville Communities, Series 2002A, 6.000%, 6/20/44 - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 18.4% (11.3% OF TOTAL INVESTMENTS) 1,280 Littleton, Massachusetts, General Obligation Bonds, Series 1/13 at 101.00 AA 1,268,454 2003, 5.000%, 1/15/21 - FGIC Insured 1,500 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 1,581,975 Series 2004B, 5.250%, 8/01/21 - FSA Insured 1,705 North Attleborough, Massachusetts, General Obligation Bonds, 7/14 at 101.00 A1 1,859,132 Series 2004, 5.000%, 7/15/15 - FGIC Insured 1,500 Pittsfield, Massachusetts, General Obligation Bonds, Series 4/12 at 101.00 AA 1,515,420 2002, 5.000%, 4/15/18 - MBIA Insured - ---------------------------------------------------------------------------------------------------------------------------------- 5,985 Total Tax Obligation/General 6,224,981 - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 27.4% (16.9% OF TOTAL INVESTMENTS) 3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/13 at 100.00 A 2,895,540 Series 2002, 5.000%, 5/01/32 - AMBAC Insured 750 Massachusetts College Building Authority, Project Revenue 5/18 at 100.00 AAA 688,598 Bonds, Series 2008A, 5.000%, 5/01/33 - AGC Insured 2,790 Massachusetts College Building Authority, Project Revenue 5/13 at 100.00 A1 2,706,244 Refunding Bonds, Series 2003A, 5.250%, 5/01/22 - SYNCORA GTY 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 AA 1,354,094 1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AA 1,334,055 300 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AA 299,985 Series 2005, 5.000%, 1/01/20 - FGIC Insured - ---------------------------------------------------------------------------------------------------------------------------------- 9,815 Total Tax Obligation/Limited 9,278,516 - ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 3.7% (2.3% OF TOTAL INVESTMENTS) 1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AA 900,650 5.000%, 7/01/33 - MBIA Insured 500 Massachusetts Turnpike Authority, Metropolitan Highway System 1/09 at 101.00 AA 368,985 Revenue Bonds, Subordinate Series 1999A, 5.000%, 1/01/39 - AMBAC Insured - ---------------------------------------------------------------------------------------------------------------------------------- 1,500 Total Transportation 1,269,635 - ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 41.9% (25.8% OF TOTAL INVESTMENTS) (4) 2,000 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/12 at 100.00 AAA 2,179,680 Revenue Refunding Bonds, Series 2002A, 5.000%, 7/01/27 (Pre-refunded 7/01/12) - FGIC Insured 500 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A- (4) 585,980 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 (Pre-refunded 7/01/13) 100 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 N/R (4) 108,352 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 (Pre-refunded 5/15/12) - FGIC Insured 620 Massachusetts Port Authority, Revenue Bonds, Series 1982, 1/09 at 100.00 AAA 786,160 13.000%, 7/01/13 (ETM) 2,000 Massachusetts, General Obligation Bonds, Consolidated Loan, 11/11 at 100.00 AA (4) 2,127,980 Series 2001D, 5.000%, 11/01/20 (Pre-refunded 11/01/11) - MBIA Insured 1,000 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 A (4) 1,088,960 Series 2004, 5.250%, 1/01/21 (Pre-refunded 1/01/14) - FGIC Insured
50
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED (4) (continued) $ 1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA $ 1,597,965 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured 3,000 Springfield, Massachusetts, General Obligation Bonds, Series 1/13 at 100.00 AA (4) 3,318,031 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 A (4) 2,431,618 Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21 (Pre-refunded 11/01/14) - AMBAC Insured - ----------------------------------------------------------------------------------------------------------------------------------- 12,860 Total U.S. Guaranteed 14,224,726 - ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 18.3% (11.3% OF TOTAL INVESTMENTS) 1,900 Lynn Water and Sewer Commission, Massachusetts, General Revenue 12/13 at 100.00 AA 1,640,479 Bonds, Series 2003A, 5.000%, 12/01/32 - MBIA Insured 600 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 495,162 Program Bonds, Series 2006-12, 4.375%, 8/01/31 1,000 Massachusetts Water Resources Authority, General Revenue Bonds, No Opt. Call AAA 1,074,460 Series 2002J, 5.250%, 8/01/19 - FSA Insured 1,000 Massachusetts Water Resources Authority, General Revenue Bonds, 8/13 at 100.00 AA 986,040 Series 2004D, 5.000%, 8/01/24 - MBIA Insured Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A: 1,500 5.000%, 8/01/31 - AMBAC Insured 8/16 at 100.00 AA 1,405,215 125 4.000%, 8/01/46 8/16 at 100.00 AA 86,500 495 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 AA 513,662 General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 - MBIA Insured - ----------------------------------------------------------------------------------------------------------------------------------- 6,620 Total Water and Sewer 6,201,518 - ----------------------------------------------------------------------------------------------------------------------------------- $ 57,795 Total Investments (cost $58,781,914) - 162.3% 55,037,634 =================------------------------------------------------------------------------------------------------------------------ Floating Rate Obligations - (4.4)% (1,500,000) ------------------------------------------------------------------------------------------------------------------ Other Assets Less Liabilities - 2.6% 872,478 ------------------------------------------------------------------------------------------------------------------ Preferred Shares, at Liquidation Value - (60.5)% (5) (20,500,000) ------------------------------------------------------------------------------------------------------------------ Net Assets Applicable to Common Shares - 100% $ 33,910,112 ==================================================================================================================
At least 80% of the Fund's net assets (including net assets attributable to Preferred shares) are invested in municipal securities that are covered by insurance or backed by an escrow or trust account containing sufficient U.S. Government or U.S. Government agency securities or U.S. Treasury-issued State and Local Government Series securities to ensure the timely payment of principal and interest. See Notes to Financial Statements, Footnote 1 - Insurance, for more information. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (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) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 37.2%. 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. 51 NOM | Nuveen Missouri Premium Income Municipal Fund | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
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 Revenue No Opt. Call AA- $ 880,180 Bonds, Procter and Gamble Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 4.1% (2.6% OF TOTAL INVESTMENTS) 250 Lincoln University, Missouri, Auxillary System Revenue Bonds, 6/17 at 100.00 AAA 215,443 Series 2007, 5.125%, 6/01/37 - AGC Insured 500 Missouri Health and Educational Facilities Authority, Revenue 2/09 at 100.00 A3 485,265 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 Baa1 368,960 Bonds, Webster University, Series 2001, 5.500%, 4/01/18 - MBIA Insured - ---------------------------------------------------------------------------------------------------------------------------------- 1,115 Total Education and Civic Organizations 1,069,668 - ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 20.7% (13.5% OF TOTAL INVESTMENTS) 710 Cape Girardeau County Industrial Development Authority, 6/17 at 100.00 N/R 521,687 Missouri, Health Facilities Revenue Bonds, Southeast Missouri Hospital Association, Series 2007, 5.000%, 6/01/27 480 Cass County, Missouri, Hospital Revenue Bonds, Series 2007, 11/16 at 100.00 N/R 322,512 5.625%, 5/01/38 480 Clinton County Industrial Development Authority, Missouri, 12/17 at 100.00 N/R 275,616 Revenue Bonds, Cameron Regional Medical Center, Series 2007, 5.000%, 12/01/37 750 Joplin Industrial Development Authority, Missouri, Health 2/15 at 102.00 BBB+ 594,075 Facilities 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 490,300 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 1,427,085 1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,054,781 425 Missouri Health and Educational Facilities Authority, Revenue 2/09 at 100.00 N/R 380,843 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+ 394,880 Bonds, Lake Regional Health System, Series 2003, 5.700%, 2/15/34 - ---------------------------------------------------------------------------------------------------------------------------------- 6,500 Total Health Care 5,461,779 - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 8.1% (5.3% OF TOTAL INVESTMENTS) 405 Jefferson County Industrial Development Authority, Missouri, 12/11 at 100.00 N/R 355,594 Multifamily Housing Revenue Bonds, Lakewood Apartments Project, Series 2001B, 5.750%, 11/01/34 (Mandatory put 11/01/16) (Alternative Minimum Tax) 295 Missouri Housing Development Commission, Multifamily Housing 12/11 at 100.00 AA 299,319 Revenue Bonds, Series 2001II, 5.250%, 12/01/16 500 St. Charles County Industrial Development Authority, Missouri, 4/09 at 101.00 AAA 430,880 FHA-Insured Multifamily Housing Revenue Bonds, Ashwood Apartments, Series 1998A, 5.600%, 4/01/30 - FSA Insured (Alternative Minimum Tax)
52
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY (continued) $ 445 St. Louis County Industrial Development Authority, Missouri, 4/09 at 100.00 AAA $ 451,230 GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997A, 5.950%, 4/20/17 600 St. Louis County Industrial Development Authority, Missouri, 4/09 at 100.00 AAA 608,418 GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997B, 6.000%, 10/20/15 (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- 2,245 Total Housing/Multifamily 2,145,441 - ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 8.0% (5.2% OF TOTAL INVESTMENTS) 85 Missouri Housing Development Commission, Single Family Mortgage 3/10 at 100.00 AAA 85,028 Revenue Bonds, Homeownership Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax) 675 Missouri Housing Development Commission, Single Family Mortgage 3/16 at 104.50 AAA 585,664 Revenue Bonds, Homeownership Loan Program, Series 2006E-1, 5.600%, 3/01/37 (Alternative Minimum Tax) 955 Missouri Housing Development Commission, Single Family Mortgage 9/16 at 100.00 AAA 734,042 Revenue Bonds, Homeownership Loan Program, Series 2007A-1, 4.700%, 9/01/27 (Alternative Minimum Tax) 1,000 Missouri Housing Development Commission, Single Family Mortgage 3/17 at 100.00 AAA 702,740 Revenue Bonds, Homeownership Loan Program, Series 2007C-1, 4.800%, 9/01/38 (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- 2,715 Total Housing/Single Family 2,107,474 - ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 7.2% (4.6% OF TOTAL INVESTMENTS) 1,750 Cole County Industrial Development Authority, Missouri, Revenue 2/14 at 100.00 N/R 1,193,255 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 314,464 Bonds, John Knox Village Obligated Group, Series 2007A, 5.125%, 8/15/32 500 St. Louis County Industrial Development Authority, Missouri, 9/17 at 100.00 N/R 377,050 Revenue Bonds, Friendship Village of West County, Series 2007A, 5.500%, 9/01/28 - ---------------------------------------------------------------------------------------------------------------------------------- 2,725 Total Long-Term Care 1,884,769 - ---------------------------------------------------------------------------------------------------------------------------------- MATERIALS - 2.0% (1.2% OF TOTAL INVESTMENTS) 750 Sugar Creek, Missouri, Industrial Development Revenue Bonds, 6/13 at 101.00 BBB 500,378 Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax) - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 29.0% (18.8% OF TOTAL INVESTMENTS) 1,500 Camdenton Reorganized School District R3, Camden County, No Opt. Call AAA 1,510,200 Missouri, General Obligation Bonds, Series 2005, 5.250%, 3/01/24 - FSA Insured 500 Jackson County School District R-7, Lees Summit, Missouri, 3/12 at 100.00 AAA 537,015 General Obligation Refunding and Improvement Bonds, Series 2002, 5.250%, 3/01/18 - FSA Insured 500 Missouri School Boards Association, Lease Participation 3/17 at 100.00 AAA 496,475 Certificates, Clay County School District 53 Liberty, Series 2007, 5.250%, 3/01/27 - FSA Insured 1,630 North Kansas City School District, Missouri, General Obligation 3/13 at 100.00 AA+ 1,632,347 Bonds, Series 2003A, 5.000%, 3/01/23 1,000 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AA 920,150 Series 2001A, 5.500%, 7/01/20 - MBIA Insured 2,020 Ritenour Consolidated School District, St. Louis County, No Opt. Call A1 2,250,623 Missouri, General Obligation Bonds, Series 1995, 7.375%, 2/01/12 - FGIC Insured 270 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 276,953 General Obligation Bonds, Series 2004, 5.250%, 3/01/20 - FSA Insured - ---------------------------------------------------------------------------------------------------------------------------------- 7,420 Total Tax Obligation/General 7,623,763 - ----------------------------------------------------------------------------------------------------------------------------------
53 NOM | Nuveen Missouri Premium Income Municipal Fund (continued) | Portfolio of INVESTMENTS November 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 29.6% (19.2% OF TOTAL INVESTMENTS) $ 600 Chesterfield, Missouri, Certificates of Participation, Series 12/15 at 100.00 Aa1 $ 541,098 2005, 5.000%, 12/01/24 - FGIC Insured 80 Cottleville, Missouri, Certificates of Participation, Series 8/14 at 100.00 N/R 63,431 2006, 5.250%, 8/01/31 450 Fenton, Missouri, Tax Increment Revenue Bonds, Gravois Bluffs 4/14 at 100.00 N/R 443,111 Redevelopment Project, Series 2006, 4.500%, 4/01/21 315 Fulton, Missouri, Tax Increment Revenue Bonds, Fulton Commons 6/16 at 100.00 N/R 211,642 Redevelopment Project, Series2006, 5.000%, 6/01/28 475 Kansas City Tax Increment Financing District, Missouri, Tax 6/14 at 102.00 N/R 354,877 Increment Revenue Bonds, Briarcliff West Project, Series 2006A, 5.400%, 6/01/24 415 Missouri Development Finance Board, Independence, 3/16 at 100.00 A+ 355,053 Infrastructure Facilities Revenue Bonds, Crackerneck Creek Project, Series 2006C, 5.000%, 3/01/28 360 Missouri Development Finance Board, Infrastructure Facilities 6/15 at 100.00 BBB+ 233,305 Revenue Bonds, Branson Landing Project, Series 2005A, 5.000%, 6/01/35 450 Monarch-Chesterfield Levee District, St. Louis County, 3/10 at 101.00 AA 465,278 Missouri, 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 343,415 Point Transportation Development District, Series 2006, 5.000%, 5/01/23 600 Riverside, Missouri, L-385 Levee Redevelopment Plan Tax 5/15 at 100.00 A 521,730 Increment Revenue Bonds, Series 2004, 5.250%, 5/01/20 1,380 Springfield Center City Development Corporation, Missouri, 11/11 at 100.00 A1 1,486,715 Lease Revenue Bonds, Jordan Valley Park Parking Garage, Series 2002D, 5.000%, 11/01/22 - AMBAC Insured 2,000 Springfield Public Building Corporation, Missouri, Lease 6/10 at 100.00 A 2,072,900 Revenue Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 - AMBAC Insured St. Joseph Industrial Development Authority, Missouri, Tax Increment Bonds, Shoppes at North Village Project, Series 2005A: 340 5.375%, 11/01/24 11/14 at 100.00 N/R 257,023 400 5.500%, 11/01/27 11/14 at 100.00 N/R 293,232 200 St. Joseph Industrial Development Authority, Missouri, Tax 11/14 at 100.00 N/R 146,616 Increment Bonds, Shoppes at North Village Project, Series 2005B, 5.500%, 11/01/27 - ---------------------------------------------------------------------------------------------------------------------------------- 8,565 Total Tax Obligation/Limited 7,789,426 - ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 4.9% (3.2% OF TOTAL INVESTMENTS) 500 Kansas City, Missouri, Passenger Facility Charge Revenue Bonds, 4/11 at 101.00 A 400,850 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 896,390 Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19 - ---------------------------------------------------------------------------------------------------------------------------------- 1,500 Total Transportation 1,297,240 - ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 27.8% (18.1% OF TOTAL INVESTMENTS) (4) 685 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R (4) 772,844 Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2002, 6.125%, 10/01/21 (Pre-refunded 10/01/12) 2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AA- (4) 2,708,424 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) 1,093,650 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 89,137 General Obligation Bonds, Series 2004, 5.250%, 3/01/20 (Pre-refunded 3/01/14) - FSA Insured
54
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED (4) (continued) $ 500 St. Louis County, Missouri, GNMA Collateralized Mortgage No Opt. Call N/R (4) $ 530,565 Revenue Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) (ETM) 1,000 St. Louis Municipal Finance Corporation, Missouri, Leasehold 2/12 at 100.00 N/R (4) 1,105,760 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) 1,026,209 Memorial Hospital, Series 2000, 7.250%, 6/15/25 (Pre-refunded 6/15/10) - ---------------------------------------------------------------------------------------------------------------------------------- 6,715 Total U.S. Guaranteed 7,326,589 - ---------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 9.4% (6.1% OF TOTAL INVESTMENTS) 2,965 Missouri Environmental Improvement and Energy Resources 12/16 at 100.00 Aaa 2,087,864 Authority, Water Facility Revenue Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 - AMBAC Insured (Alternative Minimum Tax) (UB) 350 Missouri Environmental Improvement and Energy Resources No Opt. Call Aaa 389,452 Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program - Kansas City Project, Series 1997C, 6.750%, 1/01/12 - ----------------------------------------------------------------------------------------------------------------------------------- 3,315 Total Water and Sewer 2,477,316 - ----------------------------------------------------------------------------------------------------------------------------------- $ 44,565 Total Investments (cost $44,964,658) - 154.1% 40,564,023 =================------------------------------------------------------------------------------------------------------------------ Floating Rate Obligations - (8.5)% (2,225,000) ------------------------------------------------------------------------------------------------------------------ Other Assets Less Liabilities - 15.2% 3,988,611 ------------------------------------------------------------------------------------------------------------------ Preferred Shares, at Liquidation Value - (60.8)% (5) (16,000,000) ------------------------------------------------------------------------------------------------------------------ Net Assets Applicable to Common Shares - 100% $ 26,327,634 ==================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, FGIC, FSA, MBIA, RAAI and SYNCORA as of November 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (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) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 39.4%. 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. 55 | Statement of ASSETS & LIABILITIES November 30, 2008 (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - --------------------------------------------------------------------------------------------------------------------------- ASSETS Investments, at value (cost $112,526,520, $56,432,776, $50,635,027 and $89,652,224, respectively) $ 103,020,768 $ 52,371,661 $ 47,401,225 $ 81,584,796 Cash 2,484,196 146,104 315,875 4,086,344 Receivables: Interest 1,747,352 790,053 721,989 1,378,659 Investments sold -- 766,427 510,951 750,000 Other assets 9,029 3,060 4,729 687 - --------------------------------------------------------------------------------------------------------------------------- Total assets 107,261,345 54,077,305 48,954,769 87,800,486 - --------------------------------------------------------------------------------------------------------------------------- LIABILITIES Floating rate obligations 3,075,000 1,525,000 1,375,000 2,525,000 Payables: Common share dividends 237,452 131,797 120,287 195,767 Preferred share dividends 5,030 4,229 3,798 9,626 Accrued expenses: Management fees 56,039 21,714 17,667 34,555 Other 35,445 21,281 18,707 31,045 - --------------------------------------------------------------------------------------------------------------------------- Total liabilities 3,408,966 1,704,021 1,535,459 2,795,993 - --------------------------------------------------------------------------------------------------------------------------- Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000 - --------------------------------------------------------------------------------------------------------------------------- Net assets applicable to Common shares $ 65,552,379 $ 32,873,284 $ 29,919,310 $ 53,004,493 =========================================================================================================================== Common shares outstanding 5,363,976 2,580,654 2,317,030 4,365,873 =========================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 12.22 $ 12.74 $ 12.91 $ 12.14 =========================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - --------------------------------------------------------------------------------------------------------------------------- Common shares, $.01 par value per share $ 53,640 $ 25,807 $ 23,170 $ 43,659 Paid-in surplus 74,527,397 36,606,145 32,811,427 61,611,909 Undistributed (Over-distribution of) net investment income (59,542) (60,823) (45,282) (146,085) Accumulated net realized gain (loss) from investments and derivative transactions 536,636 363,270 363,797 (437,562) Net unrealized appreciation (depreciation) of investments and derivative transactions (9,505,752) (4,061,115) (3,233,802) (8,067,428) - --------------------------------------------------------------------------------------------------------------------------- Net assets applicable to Common shares $ 65,552,379 $ 32,873,284 $ 29,919,310 $ 53,004,493 =========================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ===========================================================================================================================
See accompanying notes to financial statements. 56
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ----------------------------------------------------------------------------------------------------------------------------- ASSETS Investments, at value (cost $100,871,010, $42,904,821, $58,781,914 and $44,964,658, respectively) $ 91,041,710 $ 38,836,811 $ 55,037,634 $ 40,564,023 Cash 707,414 402,767 166,026 3,410,545 Receivables: Interest 1,634,617 699,529 896,897 725,196 Investments sold 15,000 -- -- -- Other assets 7,330 2,983 1,443 8,028 - ----------------------------------------------------------------------------------------------------------------------------- Total assets 93,406,071 39,942,090 56,102,000 44,707,792 - ----------------------------------------------------------------------------------------------------------------------------- LIABILITIES Floating rate obligations 2,450,000 1,050,000 1,500,000 2,225,000 Payables: Common share dividends 228,662 108,310 145,677 113,438 Preferred share dividends 4,465 3,253 4,449 2,101 Accrued expenses: Management fees 49,059 16,110 18,508 22,850 Other 33,526 17,965 23,254 16,769 - ----------------------------------------------------------------------------------------------------------------------------- Total liabilities 2,765,712 1,195,638 1,691,888 2,380,158 - ----------------------------------------------------------------------------------------------------------------------------- Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000 - ----------------------------------------------------------------------------------------------------------------------------- Net assets applicable to Common shares $ 56,640,359 $ 23,746,452 $ 33,910,112 $ 26,327,634 ============================================================================================================================= Common shares outstanding 4,763,486 1,961,035 2,723,844 2,308,195 ============================================================================================================================= Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 11.89 $ 12.11 $ 12.45 $ 11.41 ============================================================================================================================= NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - ----------------------------------------------------------------------------------------------------------------------------- Common shares, $.01 par value per share $ 47,635 $ 19,610 $ 27,238 $ 23,082 Paid-in surplus 66,145,494 27,766,804 38,382,235 30,946,728 Undistributed (Over-distribution of) net investment income (691) (41,058) (93,661) 19,442 Accumulated net realized gain (loss) from investments and derivative transactions 277,221 69,106 (661,420) (260,983) Net unrealized appreciation (depreciation) of investments and derivative transactions (9,829,300) (4,068,010) (3,744,280) (4,400,635) - ----------------------------------------------------------------------------------------------------------------------------- Net assets applicable to Common shares $ 56,640,359 $ 23,746,452 $ 33,910,112 $ 26,327,634 ============================================================================================================================= Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited =============================================================================================================================
See accompanying notes to financial statements. 57 | Statement of OPERATIONS Six Months Ended November 30, 2008 (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ----------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME $ 2,798,352 $ 1,416,162 $ 1,250,866 $ 2,200,837 - ----------------------------------------------------------------------------------------------------------------------------- EXPENSES Management fees 353,911 177,320 159,882 288,855 Preferred shares -- auction fees 47,960 24,418 21,914 40,072 Preferred shares -- dividend disbursing agent fees 5,007 5,014 5,014 5,002 Shareholders' servicing agent fees and expenses 4,394 707 620 661 Interest expense on floating rate obligations 56,569 28,046 25,287 46,452 Custodian's fees and expenses 13,579 8,076 7,687 10,977 Trustees' fees and expenses 1,219 639 580 979 Professional fees 7,538 6,395 6,222 7,465 Shareholders' reports -- printing and mailing expenses 13,855 7,552 6,488 10,543 Stock exchange listing fees 4,619 182 164 309 Investor relations expense 7,399 3,632 3,323 5,952 Other expenses 7,676 7,670 6,534 7,275 - ----------------------------------------------------------------------------------------------------------------------------- Total expenses before custodian fee credit and expense reimbursement 523,726 269,651 243,715 424,542 Custodian fee credit (2,279) (1,023) (3,991) (6,920) Expense reimbursement -- (41,504) (49,896) (96,760) - ----------------------------------------------------------------------------------------------------------------------------- Net expenses 521,447 227,124 189,828 320,862 - ----------------------------------------------------------------------------------------------------------------------------- Net investment income 2,276,905 1,189,038 1,061,038 1,879,975 - ----------------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from: Investments 7,147 (7,045) (11,440) (59,506) Forward swaps -- -- -- -- Futures -- -- -- -- Change in net unrealized appreciation (depreciation) of: Investments (10,881,468) (5,000,070) (4,249,925) (8,419,238) Forward swaps -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) (10,874,321) (5,007,115) (4,261,365) (8,478,744) - ----------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (698,367) (351,172) (319,002) (583,096) - ----------------------------------------------------------------------------------------------------------------------------- Decrease in net assets applicable to Common shares from (698,367) (351,172) (319,002) (583,096) distributions to Preferred shareholders - ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets applicable to Common shares from operations $ (9,295,783) $ (4,169,249) $ (3,519,329) $ (7,181,865) =============================================================================================================================
See accompanying notes to financial statements. 58
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ----------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME $ 2,593,495 $ 1,116,871 $ 1,462,706 $ 1,241,022 - ----------------------------------------------------------------------------------------------------------------------------- EXPENSES Management fees 312,739 132,844 183,946 145,263 Preferred shares -- auction fees 42,576 18,784 25,671 20,036 Preferred shares -- dividend disbursing agent fees 5,011 5,014 5,000 5,007 Shareholders' servicing agent fees and expenses 2,658 318 312 1,761 Interest expense on floating rate obligations 45,187 19,362 27,660 27,732 Custodian's fees and expenses 13,709 8,430 13,167 6,047 Trustees' fees and expenses 999 420 621 444 Professional fees 7,229 5,978 6,204 5,581 Shareholders' reports -- printing and mailing expenses 12,613 6,698 8,329 7,657 Stock exchange listing fees 4,612 139 193 163 Investor relations expense 6,802 2,874 3,919 3,233 Other expenses 7,351 7,456 7,595 6,534 - ----------------------------------------------------------------------------------------------------------------------------- Total expenses before custodian fee credit and expense reimbursement 461,486 208,317 282,617 229,458 Custodian fee credit (8,298) (2,310) (188) (3,557) Expense reimbursement -- (31,095) (68,889) -- - ----------------------------------------------------------------------------------------------------------------------------- Net expenses 453,188 174,912 213,540 225,901 - ----------------------------------------------------------------------------------------------------------------------------- Net investment income 2,140,307 941,959 1,249,166 1,015,121 - ----------------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from: Investments 159,000 42,447 (150,701) (244,519) Forward swaps 101,206 62,818 -- -- Futures (44,426) (13,669) -- -- Change in net unrealized appreciation (depreciation) of: Investments (11,223,556) (4,439,791) (4,801,016) (4,595,010) Forward swaps (92,080) (57,153) -- -- - ----------------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) (11,099,856) (4,405,348) (4,951,717) (4,839,529) - ----------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (619,960) (270,132) (373,688) (291,746) - ----------------------------------------------------------------------------------------------------------------------------- Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (619,960) (270,132) (373,688) (291,746) - ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets applicable to Common shares from operations $ (9,579,509) $ (3,733,521) $ (4,076,239) $ (4,116,154) =============================================================================================================================
See accompanying notes to financial statements. 59 | Statement of CHANGES in NET ASSETS(Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK) -------------------------- -------------------------- --------------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/08 5/31/08 11/30/08 5/31/08 11/30/08 5/31/08 - ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 2,276,905 $ 4,463,982 $ 1,189,038 $ 2,343,257 $ 1,061,038 $ 2,107,281 Net realized gain (loss) from: Investments 7,147 298,858 (7,045) 433,225 (11,440) 442,376 Forward swaps -- 487,864 -- 348,636 -- 273,468 Futures -- -- -- -- -- -- Change in net unrealized appreciation (depreciation) of: Investments (10,881,468) (1,365,508) (5,000,070) (796,148) (4,249,925) (728,130) Forward swaps -- 47,886 -- 37,677 -- 28,258 Distributions to Preferred shareholders: From net investment income (698,367) (1,196,691) (351,172) (617,335) (319,002) (540,900) From accumulated net realized gains -- (49,238) -- (51,129) -- (52,122) - ------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations (9,295,783) 2,687,153 (4,169,249) 1,698,183 (3,519,329) 1,530,231 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,593,101) (3,298,641) (859,136) (1,721,069) (764,503) (1,556,110) From accumulated net realized gains -- (154,483) -- (167,071) -- (170,904) - ------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,593,101) (3,453,124) (859,136) (1,888,140) (764,503) (1,727,014) - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions -- 56,012 27,967 39,414 15,125 18,857 - ------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions -- 56,012 27,967 39,414 15,125 18,857 - ------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (10,888,884) (709,959) (5,000,418) (150,543) (4,268,707) (177,926) Net assets applicable to Common shares at the beginning of period 76,441,263 77,151,222 37,873,702 38,024,245 34,188,017 34,365,943 - ------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $ 65,552,379 $ 76,441,263 $ 32,873,284 $ 37,873,702 $ 29,919,310 $ 34,188,017 ============================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ (59,542) $ (44,979) $ (60,823) $ (39,553) $ (45,282) $ (22,815) ==============================================================================================================================
See accompanying notes to financial statements. 60
CONNECTICUT MASSACHUSETTS PREMIUM MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) INCOME (NMT) DIVIDEND ADVANTAGE (NMB) -------------------------- -------------------------- --------------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/08 5/31/08 11/30/08 5/31/08 11/30/08 5/31/08 - ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 1,879,975 $ 3,774,921 $ 2,140,307 $ 4,178,667 $ 941,959 $ 1,833,775 Net realized gain (loss) from: Investments (59,506) 142,304 159,000 $55,351 42,447 (51,170) Forward swaps -- 171,871 101,206 113,292 62,818 43,595 Futures -- -- (44,426) -- (13,669) -- Change in net unrealized appreciation (depreciation) of: Investments (8,419,238) (1,287,450) (11,223,556) (1,860,524) (4,439,791) (945,603) Forward swaps -- 3,949 (92,080) 131,277 (57,153) 72,832 Distributions to Preferred shareholders: From net investment income (583,096) (1,099,727) (619,960) (1,186,015) (270,132) (511,186) From accumulated net realized gains -- -- -- (28,016) -- (16,392) - ------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations (7,181,865) 1,705,868 (9,579,509) 1,404,032 (3,733,521) 425,851 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,290,116) (2,644,809) (1,500,498) (2,943,779) (673,414) (1,328,586) From accumulated net realized gains -- -- -- (79,074) -- (48,600) - ------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,290,116) (2,644,809) (1,500,498) (3,022,853) (673,414) (1,377,186) - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions -- 90,750 -- 15,691 18,078 14,859 - ------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions -- 90,750 -- 15,691 18,078 14,859 - ------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (8,471,981) (848,191) (11,080,007) (1,603,130) (4,388,857) (936,476) Net assets applicable to Common shares at the beginning of period 61,476,474 62,324,665 67,720,366 69,323,496 28,135,309 29,071,785 - ------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $ 53,004,493 $ 61,476,474 $ 56,640,359 $ 67,720,366 $ 23,746,452 $ 28,135,309 ============================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ (146,085) $ (152,848) $ (691) $ (20,540) $ (41,058) $ (39,471) ==============================================================================================================================
See accompanying notes to financial statements. 61 | Statement of CHANGES in NET ASSETS (continued) (Unaudited)
INSURED MASSACHUSETTS MISSOURI PREMIUM TAX-FREE ADVANTAGE (NGX) INCOME (NOM) -------------------------- --------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED 11/30/08 5/31/08 11/30/08 5/31/08 - ------------------------------------------------------------------------------------------------------------------- OPERATIONS Net investment income $ 1,249,166 $ 2,451,685 $ 1,015,121 $ 2,051,885 Net realized gain (loss) from: Investments (150,701) 112,230 (244,519) $23,306 Forward swaps -- 41,813 -- -- Futures -- -- -- -- Change in net unrealized appreciation (depreciation) of: Investments (4,801,016) (729,499) (4,595,010) (1,458,850) Forward swaps -- -- -- -- Distributions to Preferred shareholders: From net investment income (373,688) (703,413) (291,746) (465,017) From accumulated net realized gains -- -- -- (93,600) - ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets applicable to Common shares from operations (4,076,239) 1,172,816 (4,116,154) 57,724 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (898,704) (1,769,589) (754,472) (1,506,279) From accumulated net realized gains -- -- -- (291,322) - ------------------------------------------------------------------------------------------------------------------- Decrease in net assets applicable to Common shares from distributions to Common shareholders (898,704) (1,769,589) (754,472) (1,797,601) - ------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions 11,623 12,022 28,389 83,533 - ------------------------------------------------------------------------------------------------------------------- Net increase in net assets applicable to Common shares from capital share transactions 11,623 12,022 28,389 83,533 - ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets applicable to Common shares (4,963,320) (584,751) (4,842,237) (1,656,344) Net assets applicable to Common shares at the beginning of period 38,873,432 39,458,183 31,169,871 32,826,215 - ------------------------------------------------------------------------------------------------------------------- Net assets applicable to Common shares at the end of period $ 33,910,112 $ 38,873,432 $ 26,327,634 $ 31,169,871 =================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ (93,661) $ (70,435) $ 19,442 $ 50,539 ===================================================================================================================
See accompanying notes to financial statements. 62 | Notes to FINANCIAL STATEMENTS (Unaudited) 1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES The state 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) (collectively, the "Funds"). 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 an investment or derivative instrument, each Fund may use market quotes provided by major broker/dealers in such investments. If it is determined that the market price for an investment or derivative instrument is unavailable or inappropriate, the Board of Trustees of the Funds, or its designee, may establish fair value in accordance with procedures established in good faith by the Board of Trustees. Temporary investments in securities that have variable rate and demand features qualifying them as short-term investments are valued at amortized cost, which approximates 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 November 30, 2008, there were no such outstanding purchase commitments in any of the Funds. 63 | Notes to FINANCIAL STATEMENTS (continued) (Unaudited) Investment Income Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also includes paydown gains and losses, if any. Income Taxes Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its 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. Effective November 30, 2007, the Funds adopted Financial Accounting Standards Board (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 affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether it is "more-likely-than-not" (i.e., a greater than 50-percent likelihood) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax expense in the current year. Implementation of FIN 48 required management of the Funds to analyze all open tax years, as defined by the statute of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). The Funds have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds has reviewed all tax positions taken or expected to be taken in the preparation of the Funds' tax returns and concluded the adoption of FIN 48 resulted in no impact to the Funds' net assets or results of operations as of and during the six months ended November 30, 2008. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 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 at least 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. 64 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. As of November 30, 2008, 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 -- -- -- -- ================================================================================ Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the Preferred shares issued by the Funds than there were offers to buy. This meant that these auctions "failed to clear," and that many Preferred shareholders who wanted to sell their shares in these auctions were unable to do so. Preferred shareholders unable to sell their shares received distributions at the "maximum rate" applicable to failed auctions as calculated in accordance with the pre-established terms of the Preferred shares. These developments have generally not affected the portfolio management or investment policies of these Funds. However, one implication of these auction failures for Common shareholders is that the Funds' cost of leverage will likely be higher, at least temporarily, than it otherwise would have been had the auctions continued to be successful. As a result, the Funds' future Common share earnings may be lower than they otherwise would have been. On June 11, 2008, Nuveen Investments, Inc. ("Nuveen") announced the Fund Board's approval of plans to use tender option bonds (TOBs), also known as "floaters" or floating rate obligations, to refinance a portion of the municipal funds' outstanding Preferred shares, whose auctions have been failing for several months. The plan included an initial phase of approximately $1 billion in forty-one funds. As of November 30, 2008, the Funds had not redeem any of their outstanding Preferred shares. Insurance Under normal circumstances, Insured Massachusetts Tax-Free Advantage (NGX) will invest at least 80% of its net assets (including net assets attributable to Preferred shares) in municipal securities that are covered by insurance guaranteeing the timely payment of principal and interest. For purposes of this 80% test, insurers must have a claims paying ability rated at least "A" at the time of purchase by at least one independent rating agency. In addition, the Fund will invest at least 80% of its net assets (including net assets attributable to Preferred shares) in municipal securities that are rated at least "AA" at the time of purchase (based on the higher of the rating of the insurer, if any, or the underlying security) by at least one independent rating agency, or are unrated but judged to be of similar credit quality by Nuveen Asset Management (the "Adviser"), a wholly-owned subsidiary of Nuveen, or municipal bonds backed by an escrow or trust account containing sufficient U.S. government or U.S. government agency securities or U.S. Treasury-issued State and Local Government Series securities to ensure timely payment of principal and interest. The Fund may also invest up to 20% of its net assets (including net assets attributable to Preferred shares) in municipal securities rated below "AA" (based on the higher rating of the insurer, if any, or the underlying bond) or are unrated but judged to be of comparable quality by the Adviser. 65 | Notes to FINANCIAL STATEMENTS (continued) (Unaudited) Each insured municipal security is covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance. Such insurance does not guarantee the market value of the municipal securities or the value of the Fund's Common shares. Original Issue Insurance and Secondary Market Insurance remain in effect as long as the municipal securities covered thereby remain outstanding and the insurer remains in business, regardless of whether the Fund ultimately disposes of such municipal securities. Consequently, the market value of the municipal securities covered by Original Issue Insurance or Secondary Market Insurance may reflect value attributable to the insurance. Portfolio Insurance, in contrast, is effective only while the municipal securities are held by the Fund. Accordingly, neither the prices used in determining the market value of the underlying municipal securities nor the Common share net asset value of the Fund include 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 is authorized to 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 for deposit into the special purpose trust and receiving in turn the residual interest in the trust (referred to as a "self-deposited inverse floater"). The inverse floater held by a Fund gives the Fund the right (a) to cause the holders of the floating rate certificates to tender their notes at par, and (b) to have the broker transfer the fixed-rate bond held by the trust to the Fund, thereby collapsing the trust. 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 No. 140 (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 the related interest paid to the holders of the short-term floating rate certificates is included as "Interest expense on floating rate obligations" on the Statement of Operations. During the six months ended November 30, 2008, each Fund invested in externally-deposited inverse floaters and/or self-deposited inverse floaters. Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a "recourse trust" or "credit recovery swap") (such agreements referred to herein as "Recourse Trusts") with a broker-dealer by which a Fund agrees to reimburse the broker-dealer, in certain circumstances, for the difference between the liquidation value of the fixed-rate bond held by the trust and the liquidation value of the floating rate certificates issued by the trust plus any shortfalls in interest cash flows. Under these agreements, a Fund's potential exposure to losses related to or on inverse floaters may increase beyond the value of 66 a Fund's inverse floater investments as a Fund may potentially be liable to fulfill all amounts owed to holders of the floating rate certificates. At period end, any such shortfall is included as "Unrealized depreciation on Recourse Trusts" on the Statement of Assets and Liabilities. At November 30, 2008, the Funds were not invested in any externally-deposited Recourse Trusts.
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - --------------------------------------------------------------------------------------------------------- Maximum exposure $ -- $ -- $ -- $ -- =========================================================================================================
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - --------------------------------------------------------------------------------------------------------- Maximum exposure $ -- $ -- $ -- $ -- =========================================================================================================
The average floating rate obligations outstanding and average annual interest rate and fees related to self-deposited inverse floaters during the six months ended November 30, 2008, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - --------------------------------------------------------------------------------------------------------- Average floating rate obligations $ 4,268,421 $ 2,116,279 $ 1,908,082 $ 3,505,033 Average annual interest rate and fees 2.64% 2.64% 2.64% 2.64% =========================================================================================================
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - --------------------------------------------------------------------------------------------------------- Average floating rate obligations $ 3,273,743 $ 1,402,869 $ 2,004,098 $ 2,225,000 Average annual interest rate and fees 2.75% 2.75% 2.75% 2.49% =========================================================================================================
Forward Swap Transactions Each Fund is authorized to invest in forward interest rate swap transactions. Each Fund's 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 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. Massachusetts Premium Income (NMT) and Massachusetts Dividend Advantage (NMB) were the only Funds invested in forward interest rate swap transactions during the six months ended November 30, 2008. 67 | Notes to | FINANCIAL STATEMENTS (continued) (Unaudited) Futures Contracts Each Fund is 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 on the Statement of Assets and Liabilities. Additionally, the Statement of Assets and Liabilities reflects a receivable or payable for the variation margin, when applicable. Massachusetts Premium Income (NMT) and Massachusetts Dividend Advantage (NMB) were the only Funds invested in futures contracts during the six months ended November 30, 2008. 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. Zero Coupon Securities Each Fund is authorized to 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 Portfolios of Investments with a 0.000% 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. Custodian Fee Credit Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank. 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. 68 2. FAIR VALUE MEASUREMENTS During the current fiscal period, the Funds adopted the provisions of Statement of Financial Accounting Standards No. 157 (SFAS No. 157) "Fair Value Measurements." SFAS No. 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosure about fair value measurements. In determining the value of each Fund's investments various inputs are used. These inputs are summarized in the three broad levels listed below: Level 1 - Quoted prices in active markets for identical securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 - Significant unobservable inputs (including management's assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of each Fund's fair value measurements as of November 30, 2008:
CONNECTICUT PREMIUM INCOME (NTC) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------ Investments $ -- $ 103,020,768 $ -- $ 103,020,768 ======================================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE (NFC) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------ Investments $ -- $ 52,371,661 $ -- $ 52,371,661 ======================================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------ Investments $ -- $ 47,401,225 $ -- $ 47,401,225 ======================================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------ Investments $ -- $ 81,584,796 $ -- $ 81,584,796 ======================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------ Investments $ -- $ 90,620,025 $ 421,685 $ 91,041,710 ======================================================================================================================== MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------ Investments $ -- $ 37,993,440 $ 843,371 $ 38,836,811 ======================================================================================================================== INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------ Investments $ -- $ 55,037,634 $ -- $ 55,037,634 ======================================================================================================================== MISSOURI PREMIUM INCOME (NOM) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------------------------------------------------------------------------------------------ Investments $ -- $ 40,564,023 $ -- $ 40,564,023 ========================================================================================================================
The following is a reconciliation of each Fund's Level 3 investments held at the beginning and end of the measurement period:
MASSACHUSETTS MASSACHUSETTS PREMIUM DIVIDEND INCOME ADVANTAGE (NMT) (NMB) LEVEL 3 LEVEL 3 INVESTMENTS INVESTMENTS - ----------------------------------------------------------------------------------------------- Balance as of May 31, 2008 $ 389,384 $ 778,768 Gains (losses): Net realized gains (losses) -- -- Net change in unrealized appreciation (depreciation) 32,301 64,603 Net purchases at cost (sales at proceeds) -- -- Net discounts (premiums) -- -- Net transfers in to (out of) at end of period fair value -- -- - ----------------------------------------------------------------------------------------------- Balance as of November 30, 2008 $ 421,685 $ 843,371 ===============================================================================================
69 | Notes to | FINANCIAL STATEMENTS (continued) (Unaudited) 3. FUND SHARES Common Shares On July 30, 2008, the Funds' Board of Trustees approved an open-market share repurchase program under which each Fund may repurchase an aggregate of up to approximately 10% of its outstanding Common shares. The Funds did not repurchase any of their Common shares during the six months ended November 30, 2008. Transactions in Common shares were as follows:
CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK) ----------------------------- ------------------------------ ----------------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/08 5/31/08 11/30/08 5/31/08 11/30/08 5/31/08 - ----------------------------------------------------------------------------------------------------------------------------------- Common shares issued to shareholders due to reinvestment of -- 3,915 1,966 2,675 1,051 1,265 distributions ===================================================================================================================================
CONNECTICUT DIVIDEND MASSACHUSETTS MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) ADVANTAGE (NMB) ----------------------------- ------------------------------ ----------------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/08 5/31/08 11/30/08 5/31/08 11/30/08 5/31/08 - ----------------------------------------------------------------------------------------------------------------------------------- Common shares issued to shareholders due to reinvestment of -- 6,503 -- 1,090 1,346 1,004 distributions ===================================================================================================================================
INSURED MASSACHUSETTS TAX-FREE MISSOURI ADVANTAGE (NGX) PREMIUM INCOME (NOM) ------------------------------ ----------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED 11/30/08 5/31/08 11/30/08 5/31/08 - ----------------------------------------------------------------------------------------------------------------------------------- Common shares issued to shareholders due to reinvestment of 886 863 2,175 5,970 distributions ===================================================================================================================================
4. INVESTMENT TRANSACTIONS Purchases and sales (including maturities but excluding short-term investments and derivative transactions) during the six months ended November 30, 2008, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ----------------------------------------------------------------------------------------------------------------------------------- Purchases $ -- $ -- $ -- $ -- Sales and maturities 4,280,153 1,526,595 1,033,520 4,651,580 ===================================================================================================================================
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ----------------------------------------------------------------------------------------------------------------------------------- Purchases $ 985,653 $ 480,326 $ -- $ 551,075 Sales and maturities 4,229,900 1,685,103 2,626,756 3,249,850 ===================================================================================================================================
70 5. INCOME TAX INFORMATION The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing 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 November 30, 2008, 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 $ 109,440,499 $ 54,871,840 $ 49,237,278 $ 87,108,115 ====================================================================================================================================
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ Cost of investments $ 98,346,006 $ 41,821,226 $ 57,281,817 $ 42,723,508 ====================================================================================================================================
Gross unrealized appreciation and gross unrealized depreciation of investments at November 30, 2008, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ Gross unrealized: Appreciation $ 776,964 $ 792,311 $ 685,012 $ 680,159 Depreciation (10,271,511) (4,817,399) (3,895,983) (8,728,327) - ------------------------------------------------------------------------------------------------------------------------------------ Net unrealized appreciation (depreciation) of investments $ (9,494,547) $ (4,025,088) $ (3,210,971) $ (8,048,168) ====================================================================================================================================
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ Gross unrealized: Appreciation $ 1,657,033 $ 421,854 $ 1,113,346 $ 1,200,995 Depreciation (11,411,304) (4,456,258) (4,857,514) (5,584,016) - ------------------------------------------------------------------------------------------------------------------------------------ Net unrealized appreciation (depreciation) of investments $ (9,754,271) $ (4,034,404) $ (3,744,168) $ (4,383,021) ====================================================================================================================================
71 | Notes to | FINANCIAL STATEMENTS (continued) (Unaudited) The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at May 31, 2008, the Funds' last tax year end, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ----------------------------------------------------------------------------------------------------------------------------------- Undistributed net tax-exempt income* $ 194,231 $ 68,567 $ 75,481 $ 35,434 Undistributed net ordinary income ** 488,906 226,061 275,669 -- Undistributed net long-term capital gains 60,678 147,900 112,806 -- ===================================================================================================================================
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ----------------------------------------------------------------------------------------------------------------------------------- Undistributed net tax-exempt income* $ 160,328 $ 45,010 $ 82,161 $ 162,256 Undistributed net ordinary income ** 39,566 -- -- -- Undistributed net long-term capital gains 69,077 -- -- -- ===================================================================================================================================
* Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on May 1, 2008, paid on June 2, 2008. ** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. The tax character of distributions paid during the Funds' last tax year ended May 31, 2008, was designated for purposes of the dividends paid deduction as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ----------------------------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $ 4,528,844 $ 2,336,458 $ 2,101,642 $ 3,755,918 Distributions from net ordinary income ** -- 5,381 -- 102 Distributions from net long-term capital gains 203,721 218,200 223,026 -- ===================================================================================================================================
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ----------------------------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $ 4,147,682 $ 1,843,671 $ 2,465,317 $ 1,987,482 Distributions from net ordinary income ** -- -- -- -- Distributions from net long-term capital gains 107,090 64,958 -- 384,860 ===================================================================================================================================
** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. 72 At May 31, 2008, the Funds' last tax year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
INSURED CONNECTICUT MASSACHUSETTS DIVIDEND TAX-FREE ADVANTAGE 3 ADVANTAGE (NGO) (NGX) - ------------------------------------------------------------------------------------------------------------------------------------ Expiration: May 31, 2013 $ 35,642 $ 18,655 May 31, 2014 111,331 427,135 May 31, 2015 211,213 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total $ 358,186 $ 445,790 ====================================================================================================================================
The following Funds have elected to defer net realized losses from investments incurred from November 1, 2007 through May 31, 2008, the Funds' last tax year end, ("post-October losses") in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the current fiscal year:
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ Post-October capital losses $ 47,203 $ 22,492 $ 64,928 $ 16,463 ====================================================================================================================================
6. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES Each Fund's management fee is separated into two components - a complex-level component, based on the aggregate amount of all fund assets managed by the Adviser, 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) MASSACHUSETTS PREMIUM INCOME (NMT) MISSOURI PREMIUM INCOME (NOM) AVERAGE DAILY NET ASSETS (INCLUDING NET ASSETS 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) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) AVERAGE DAILY NET ASSETS (INCLUDING NET ASSETS 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 following table. As of November 30, 2008, the complex-level fee rate was .2000%. 73 | Notes to | FINANCIAL STATEMENTS (continued) (Unaudited) The complex-level fee schedule is as follows:
COMPLEX-LEVEL ASSET BREAKPOINT LEVEL (1) EFFECTIVE RATE AT BREAKPOINT LEVEL - ------------------------------------------------------------------------------------- $55 billion .2000% $56 billion .1996 $57 billion .1989 $60 billion .1961 $63 billion .1931 $66 billion .1900 $71 billion .1851 $76 billion .1806 $80 billion .1773 $91 billion .1691 $125 billion .1599 $200 billion .1505 $250 billion .1469 $300 billion .1445 =====================================================================================
(1) The complex-level fee component of the management fee for the funds is calculated based upon the aggregate daily net assets of all Nuveen funds, with such daily net assets to include assets attributable to preferred stock issued by or borrowings by such funds but to exclude assets attributable to investments in other Nuveen funds. 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 their fees and expenses beyond January 31, 2011. 74 For the first ten years of Connecticut Dividend Advantage 2's (NGK) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING MARCH 31, MARCH 31, - ----------------------------------------------------- 2002* .30% 2008 .25% 2003 .30 2009 .20 2004 .30 2010 .15 2005 .30 2011 .10 2006 .30 2012 .05 2007 .30 ===================================================== * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage 2 (NGK) for any portion of its fees and expenses beyond March 31, 2012. For the first eight years of Connecticut Dividend Advantage 3's (NGO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING SEPTEMBER 30, SEPTEMBER 30, - ----------------------------------------------------- 2002* .32% 2007 .32% 2003 .32 2008 .24 2004 .32 2009 .16 2005 .32 2010 .08 2006 .32 ===================================================== * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage 3 (NGO) for any portion of its fees and expenses beyond September 30, 2010. For the first eight years of Insured Massachusetts Tax-Free Advantage's (NGX) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING NOVEMBER 30, NOVEMBER 30, - ----------------------------------------------------- 2002* .32% 2007 .32% 2003 .32 2008 .24 2004 .32 2009 .16 2005 .32 2010 .08 2006 .32 ===================================================== * From the commencement of operations. The Adviser has not agreed to reimburse Insured Massachusetts Tax-Free Advantage (NGX) for any portion of its fees and expenses beyond November 30, 2010. 7. NEW ACCOUNTING PRONOUNCEMENT Financial Accounting Standards Board Statement of Financial Accounting Standards No. 161 (SFAS No. 161) In March 2008, the FASB issued SFAS No. 161, "Disclosures about Derivative Instruments and Hedging Activities." This standard is intended to enhance financial statement disclosures for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative instruments, b) how derivative instruments and related hedge items are accounted for, and c) how derivative instruments and related hedge items affect a fund's financial position, results of operations and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. As of November 30, 2008, management does not believe the adoption of SFAS No. 161 will impact the financial statement amounts; however, additional footnote disclosures may be required about the use of derivative instruments and hedging items. 75 | Notes to | FINANCIAL STATEMENTS (continued) (Unaudited) 8. SUBSEQUENT EVENTS Distributions to Common Shareholders The Funds declared Common share dividend distributions from their tax-exempt net investment income which were paid on December 31, 2008, to shareholders of record on December 15, 2008, as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ----------------------------------------------------------------------------------------------------------------------------------- Dividend per share $ .0500 $ .0555 $ .0550 $ .0500 ===================================================================================================================================
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ----------------------------------------------------------------------------------------------------------------------------------- Dividend per share $ .0535 $ .0580 $ .0555 $ .0545 ===================================================================================================================================
At the same time, the following Funds declared capital gains and/or ordinary income distributions as follows:
CONNECTICUT CONNECTICUT CONNECTICUT MASSACHUSETTS PREMIUM DIVIDEND DIVIDEND PREMIUM INCOME ADVANTAGE ADVANTAGE 2 INCOME (NTC) (NFC) (NGK) (NMT) - ----------------------------------------------------------------------------------------------------------------------------------- Capital gains distribution per share $ .0083 $ .0422 $ .0362 $ .0230 Ordinary income distribution per share* .0664 .0637 .0884 .0184 ===================================================================================================================================
* Ordinary income consist of taxable market discount income and net short-term capital gains, if any. 76 | Financial | HIGHLIGHTS(Unaudited) 77 | Financial | HIGHLIGHTS(Unaudited) Selected data for a Common share outstanding throughout each period:
Investment Operations ------------------------------------------------------------------ Distributions Distributions from Net from Beginning Investment Capital Common Net Income to Gains to Share Net Realized/ Preferred Preferred Net Asset Investment Unrealized Share- Share- Value Income Gain (Loss) holders+ holders+ Total - --------------------------------------------------------------------------------------------------------------------- CONNECTICUT PREMIUM INCOME (NTC) - --------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ 14.25 $ .42 $ (2.02) $ (.13) $ -- $ (1.73) 2008 14.39 .83 (.09) (.22) (.01) .51 2007 14.42 .83 .07 (.20) (.01) .69 2006 15.26 .84 (.54) (.14) (.03) .13 2005 14.60 .88 .75 (.09) -- 1.54 2004 15.56 .93 (.96) (.05) -- (.08) CONNECTICUT DIVIDEND ADVANTAGE (NFC) - --------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 14.69 .46 (1.94) (.14) -- (1.62) 2008 14.76 .91 .01 (.24) (.02) .66 2007 14.75 .92 .04 (.22) -- .74 2006 15.39 .93 (.55) (.17) -- .21 2005 14.56 .95 .86 (.09) -- 1.72 2004 15.53 .97 (1.00) (.05) -- (.08) ===================================================================================================================== Less Distributions ------------------------------ Net Offering Investment Capital Costs and Ending Income to Gains to Preferred Common Common Common Share Share Ending Share- Share- Underwriting Net Asset Market holders holders Total Discounts Value Value - ---------------------------------------------------------------------------------------------------------- CONNECTICUT PREMIUM INCOME (NTC) - ---------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ (.30) $ -- $ (.30) $ -- $ 12.22 $ 10.39 2008 (.62) (.03) (.65) -- 14.25 14.08 2007 (.65) (.07) (.72) -- 14.39 14.91 2006 (.75) (.22) (.97) -- 14.42 13.95 2005 (.87) (.01) (.88) -- 15.26 15.81 2004 (.88) -- (.88) -- 14.60 14.47 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ---------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (.33) -- (.33) -- 12.74 11.67 2008 (.67) (.06) (.73) -- 14.69 14.93 2007 (.73) -- (.73) -- 14.76 16.37 2006 (.85) -- (.85) -- 14.75 16.26 2005 (.89) -- (.89) -- 15.39 15.73 2004 (.89) -- (.89) -- 14.56 14.12 ========================================================================================================== Ratios/Supplemental Data ------------------------------------------------------------- Ratios to Average Net Assets Applicable to Common Shares Total Returns Before Credit/Reimbursement ------------------ ---------------------------------------------- Based Ending on Net Based Common Assets on Share Net Applicable Expenses Expenses Net Market Asset to Common Including Excluding Investment Value* Value* Shares (000) Interest++(a) Interest++(a) Income++ - ------------------------------------------------------------------------------------------------------------------------------- CONNECTICUT PREMIUM INCOME (NTC) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (24.42)% (12.29)% $ 65,552 1.46*** 1.30%*** 6.32%*** 2008 (1.08) 3.60 76,441 1.30 1.27 5.82 2007 12.33 4.79 77,151 1.24 1.24 5.67 2006 (6.00) .88 77,278 1.25 1.25 5.66 2005 15.61 10.82 81,529 1.24 1.24 5.81 2004 (10.80) (.51) 77,725 1.23 1.23 6.16 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (19.86) (11.13) 32,873 1.51*** 1.35*** 6.41*** 2008 (4.10) 4.62 37,874 1.33 1.31 5.90 2007 5.46 5.05 38,024 1.29 1.29 5.78 2006 8.79 1.38 37,905 1.29 1.29 5.70 2005 17.89 12.06 39,464 1.29 1.29 5.81 2004 (8.64) (.56) 37,238 1.26 1.26 5.97 =============================================================================================================================== Ratios/Supplemental Data ------------------------------------------------------------ Ratios to Average Net Assets Applicable to Common Shares After Credit/Reimbursement** ---------------------------------------------- Expenses Expenses Net Portfolio Including Excluding Investment Turnover Interest++(a) Interest++(a) Income++ Rate - ---------------------------------------------------------------------------------------------------- CONNECTICUT PREMIUM INCOME (NTC) - ---------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 1.45*** 1.29%*** 6.33%*** --% 2008 1.28 1.26 5.84 22 2007 1.21 1.21 5.69 8 2006 1.23 1.23 5.68 16 2005 1.24 1.24 5.82 12 2004 1.23 1.23 6.16 15 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ---------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 1.27*** 1.11*** 6.65*** -- 2008 1.03 1.01 6.20 20 2007 .92 .92 6.16 9 2006 .84 .84 6.14 14 2005 .83 .83 6.27 9 2004 .80 .80 6.44 4 ====================================================================================================
Preferred Shares at End of Period ------------------------------------- Aggregate Liquidation Amount and Market Asset Outstanding Value Coverage (000) Per Share Per Share - -------------------------------------------------------------------------------- CONNECTICUT PREMIUM INCOME (NTC) - -------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ 38,300 $ 25,000 $ 67,789 2008 38,300 25,000 74,896 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 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - -------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 19,500 25,000 67,145 2008 19,500 25,000 73,556 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 ================================================================================ * 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. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. 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. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After custodian fee credit and expense reimbursement, where applicable. *** Annualized. + 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 six months ended November 30, 2008. See accompanying notes to financial statements. 78-79 spread | Financial | HIGHLIGHTS (continued) (Unaudited) Selected data for a Common share outstanding throughout each period:
Investment Operations -------------------------------------------------------------------- Distributions Distributions from Net from Beginning Investment Capital Common Net Income to Gains to Share Net Realized/ Preferred Preferred Net Asset Investment Unrealized Share- Share- Value Income Gain (Loss) holders+ holders+ Total - ------------------------------------------------------------------------------------------------------------------------- CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ 14.76 $ .46 $ (1.84) $ (.14) $ -- $ (1.52) 2008 14.85 .91 (.01) (.23) (.02) .65 2007 14.86 .91 .08 (.22) (.01) .76 2006 15.64 .91 (.60) (.17) (.01) .13 2005 15.01 .92 .74 (.09) -- 1.57 2004 16.23 .96 (1.13) (.04) (.01) (.22) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 14.08 .43 (1.94) (.13) -- (1.64) 2008 14.30 .87 (.23) (.25) -- .39 2007 14.18 .86 .13 (.23) -- .76 2006 14.78 .84 (.54) (.18) -- .12 2005 13.97 .86 .83 (.10) -- 1.59 2004 15.06 .88 (1.14) (.05) -- (.31) ========================================================================================================================= Less Distributions ------------------------------ Net Offering Investment Capital Costs and Ending Income to Gains to Preferred Common Common Common Share Share Ending Share- Share- Underwriting Net Asset Market holders holders Total Discounts Value Value - ------------------------------------------------------------------------------------------------------------ CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2009(b) $ (.33) $ -- $ (.33) $ -- $ 12.91 $ 11.80 2008 (.67) (.07) (.74) -- 14.76 15.00 2007 (.73) (.04) (.77) -- 14.85 16.38 2006 (.83) (.08) (.91) -- 14.86 16.60 2005 (.87) (.07) (.94) -- 15.64 15.98 2004 (.87) (.12) (.99) (.01) 15.01 14.14 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2009(b) (.30) -- (.30) -- 12.14 11.50 2008 (.61) -- (.61) -- 14.08 13.63 2007 (.64) -- (.64) -- 14.30 14.70 2006 (.72) -- (.72) -- 14.18 14.09 2005 (.78) -- (.78) -- 14.78 14.54 2004 (.78) -- (.78) -- 13.97 13.00 ============================================================================================================ Ratios/Supplemental Data ------------------------------------------------------------- Ratios to Average Net Assets Applicable to Common Shares Total Returns Before Credit/Reimbursement -------------------- ---------------------------------------------- Based Ending on Net Based Common Assets on Share Net Applicable Expenses Expenses Net Market Asset to Common Including Excluding Investment Value* Value* Shares (000) Interest++(a) Interest++(a) Income++ - -------------------------------------------------------------------------------------------------------------------------------- CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - -------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (19.39)% (10.41)% $ 29,919 1.51*** 1.35%*** 6.23%*** 2008 (3.63) 4.54 34,188 1.36 1.33 5.79 2007 3.58 5.13 34,366 1.31 1.31 5.60 2006 9.78 .84 34,352 1.29 1.29 5.51 2005 19.92 10.70 36,105 1.28 1.28 5.52 2004 (4.65) (1.48) 34,646 1.25 1.25 5.73 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - -------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (13.62) (11.80) 53,004 1.46*** 1.30*** 6.12*** 2008 (3.07) 2.79 61,476 1.29 1.27 5.70 2007 9.15 5.42 62,325 1.26 1.26 5.44 2006 1.84 .83 61,826 1.24 1.24 5.30 2005 18.17 11.60 64,324 1.24 1.24 5.40 2004 (8.92) (2.08) 60,774 1.24 1.24 5.58 ================================================================================================================================ Ratios/Supplemental Data ------------------------------------------------------------ Ratios to Average Net Assets Applicable to Common Shares After Credit/Reimbursement** ---------------------------------------------- Expenses Expenses Net Portfolio Including Excluding Investment Turnover Interest++(a) Interest++(a) Income++ Rate - ------------------------------------------------------------------------------------------------------ CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2009(b) 1.17*** 1.02%*** 6.57%*** --% 2008 .98 .95 6.17 23 2007 .85 .85 6.06 12 2006 .83 .83 5.97 11 2005 .82 .82 5.98 12 2004 .80 .80 6.18 10 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ----------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 1.11*** .95*** 6.48*** -- 2008 .86 .84 6.13 24 2007 .76 .76 5.94 15 2006 .74 .74 5.80 9 2005 .76 .76 5.89 9 2004 .74 .74 6.08 14 ======================================================================================================
Preferred Shares at End of Period -------------------------------------- Aggregate Liquidation Amount and Market Asset Outstanding Value Coverage (000) Per Share Per Share - -------------------------------------------------------------------------------- CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - -------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ 17,500 $ 25,000 $ 67,742 2008 17,500 25,000 73,840 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 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - -------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 32,000 25,000 66,410 2008 32,000 25,000 73,028 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 ================================================================================ * 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. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. 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. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After custodian fee credit and expense reimbursement, where applicable. *** Annualized. + 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 six months ended November 30, 2008. See accompanying notes to financial statements. 80-81 spread | Financial HIGHLIGHTS (continued) (Unaudited) Selected data for a Common share outstanding throughout each period:
Investment Operations --------------------------------------------------------------------- Distributions Distributions from Net from Beginning Investment Capital Common Net Income to Gains to Share Net Realized/ Preferred Preferred Net Asset Investment Unrealized Share- Share- Value Income Gain (Loss) holders+ holders+ Total - -------------------------------------------------------------------------------------------------------------------------- MASSACHUSETTS PREMIUM INCOME (NMT) - -------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ 14.22 $ .45 $ (2.33) $ (.13) $ -- $ (2.01) 2008 14.56 .88 (.32) (.25) (.01) .30 2007 14.45 .88 .13 (.23) --*** .78 2006 15.10 .88 (.50) (.18) -- .20 2005 14.34 .91 .81 (.08) -- 1.64 2004 15.30 .94 (.97) (.05) -- (.08) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - -------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 14.36 .48 (2.25) (.14) -- (1.91) 2008 14.84 .94 (.45) (.26) (.01) .22 2007 14.83 .93 .08 (.25) -- .76 2006 15.65 .95 (.54) (.17) (.02) .22 2005 14.84 .97 .95 (.08) -- 1.84 2004 16.00 1.00 (1.11) (.04) (.01) (.16) ========================================================================================================================== Less Distributions -------------------------------- Net Offering Investment Capital Costs and Ending Income to Gains to Preferred Common Common Common Share Share Ending Share- Share- Underwriting Net Asset Market holders holders Total Discounts Value Value - ---------------------------------------------------------------------------------------------------------------- MASSACHUSETTS PREMIUM INCOME (NMT) - ---------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ (.32) $ -- $ (.32) $ -- $ 11.89 $ 10.00 2008 (.62) (.02) (.64) -- 14.22 13.61 2007 (.67) --*** (.67) -- 14.56 14.33 2006 (.81) (.04) (.85) -- 14.45 14.35 2005 (.88) -- (.88) -- 15.10 16.14 2004 (.88) -- (.88) -- 14.34 14.35 - ---------------------------------------------------------------------------------------------------------------- MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ---------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (.34) -- (.34) -- 12.11 11.09 2008 (.68) (.02) (.70) -- 14.36 14.61 2007 (.75) -- (.75) -- 14.84 16.28 2006 (.85) (.19) (1.04) -- 14.83 15.53 2005 (.92) (.11) (1.03) -- 15.65 17.45 2004 (.92) (.08) (1.00) -- 14.84 14.88 ================================================================================================================ Ratios/Supplemental Data ---------------------------------------------------------------- Ratios to Average Net Assets Applicable to Common Shares Total Returns Before Credit/Reimbursement ------------------------------ ------------------------------------------------ Ending Net Based on Assets Common Applicable Expenses Expenses Net Based on Share Net to Common Including Excluding Investment Market Value* Asset Value* Shares (000) Interest++(a) Interest++(a) Income++ - ----------------------------------------------------------------------------------------------------------------------------------- MASSACHUSETTS PREMIUM INCOME (NMT) - ----------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (24.50)% (14.34)% $ 56,640 1.46**** 1.31%**** 6.72%**** 2008 (.48) 2.08 67,720 1.26 1.26 6.09 2007 4.60 5.47 69,323 1.24 1.24 5.97 2006 (6.14) 1.41 68,776 1.25 1.25 5.98 2005 18.97 11.74 71,648 1.24 1.24 6.15 2004 (9.51) (.51) 67,806 1.24 1.24 6.37 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ----------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (22.05) (13.45) 23,746 1.58**** 1.43**** 6.89**** 2008 (5.73) 1.55 28,135 1.32 1.32 6.11 2007 10.04 5.14 29,072 1.33 1.33 5.84 2006 (5.23) 1.49 29,004 1.29 1.29 5.79 2005 24.96 12.76 30,539 1.31 1.31 5.83 2004 (3.74) (1.03) 28,904 1.27 1.27 6.05 =================================================================================================================================== Ratios/Supplemental Data --------------------------------------------------------------------- Ratios to Average Net Assets Applicable to Common Shares After Credit/Reimbursement** -------------------------------------------------- Expenses Expenses Net Portfolio Including Excluding Investment Turnover Interest++(a) Interest++(a) Income++ Rate - ----------------------------------------------------------------------------------------------------------------------------- MASSACHUSETTS PREMIUM INCOME (NMT) - ----------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 1.43**** 1.29%**** 6.75%**** 1% 2009(b) 1.24 1.24 6.11 14 2008 1.23 1.23 5.98 9 2007 1.24 1.24 6.00 13 2006 1.24 1.24 6.16 18 2005 1.23 1.23 6.38 22 2004 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ----------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 1.33**** 1.18**** 7.14**** 1 2008 1.02 1.02 6.42 15 2007 .95 .95 6.21 9 2006 .83 .83 6.24 13 2005 .86 .86 6.28 12 2004 .81 .81 6.51 26 =============================================================================================================================
Preferred Shares at End of Period ------------------------------------- Aggregate Liquidation Amount and Market Asset Outstanding Value Coverage (000) Per Share Per Share - ------------------------------------------------------------------------------- MASSACHUSETTS PREMIUM INCOME (NMT) - ------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ 34,000 $ 25,000 $ 66,647 2008 34,000 25,000 74,794 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 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 15,000 25,000 64,577 2008 15,000 25,000 71,892 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 =============================================================================== * 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. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. 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. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After custodian fee credit and expense reimbursement, where applicable. *** Rounds to less than $.01 per share. **** Annualized. + 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 six months ended November 30, 2008. See accompanying notes to financial statements. 82-83 spread Financial HIGHLIGHTS (continued) (Unaudited) Selected data for a Common share outstanding throughout each period:
Investment Operations ---------------------------------------------------------------------------- Distribution Distributio from Net from Beginning Investment Capital Common Net Income to Gains to Share Net Realized/ Preferred Preferred Net Asset Investment Unrealized Share- Share- Value Income Gain (Loss) holders+ holders+ Total - ---------------------------------------------------------------------------------------------------------------------------- INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - ---------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ 14.28 $ .46 $ (1.82) $ (.14) $ -- $ (1.50) 2008 14.50 .90 (.21) (.26) -- .43 2007 14.39 .90 .08 (.25) -- .73 2006 14.93 .90 (.53) (.20) -- .17 2005 14.04 .92 .90 (.09) -- 1.73 2004 15.25 .94 (1.22) (.06) -- (.34) MISSOURI PREMIUM INCOME (NOM) - ---------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 13.52 .44 (2.09) (.13) -- (1.78) 2008 14.27 .89 (.62) (.20) (.04) .03 2007 14.40 .90 (.08) (.23) --*** .59 2006 15.11 .92 (.51) (.17) (.01) .23 2005 14.37 .94 .77 (.09) -- 1.62 2004 15.40 .96 (1.05) (.06) -- (.15) ============================================================================================================================ Less Distributions ------------------------------------------- Net Offering Investment Capital Costs and Ending Income to Gains to Preferred Common Common Common Share Share Ending Share- Share- Underwriting Net Asset Market holders holders Total Discounts Value Value - ----------------------------------------------------------------------------------------------------------------------------------- INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - ----------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ (.33) $ -- $ (.33) $ -- $ 12.45 $ 11.59 2008 (.65) -- (.65) -- 14.28 14.14 2007 (.62) -- (.62) -- 14.50 14.45 2006 (.71) -- (.71) -- 14.39 13.43 2005 (.84) -- (.84) -- 14.93 15.94 2004 (.86) (.01) (.87) -- 14.04 13.90 - ----------------------------------------------------------------------------------------------------------------------------------- MISSOURI PREMIUM INCOME (NOM) - ----------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (.33) -- (.33) -- 11.41 11.00 2008 (.65) (.13) (.78) -- 13.52 14.76 2007 (.72) (.72) -- 14.27 16.56 2006 (.84) (.10) (.94) -- 14.40 16.35 2005 (.88) -- (.88) -- 15.11 17.90 2004 (.88) -- (.88) -- 14.37 15.15 =================================================================================================================================== Ratios/Supplemental Data -------------------------------------------------------------------- Ratios to Average Net Assets Applicable to Common Shares Total Returns Before Credit/Reimbursement --------------------- ----------------------------------------------------- Based Ending on Net Based Common Assets on Share Net Applicable Expenses Expenses Net Market Asset to Common Including Excluding Investment Value* Value* Shares (000) Interest++(a) Interest++(a) Income++ - --------------------------------------------------------------------------------------------------------------------------------- INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (15.94)% (10.62)% $ 33,910 1.54**** 1.38%**** 6.41%**** 2008 2.49 3.04 38,873 1.29 1.29% 5.82 2007 12.49 5.12 39,458 1.28 1.28 5.67 2006 (11.62) 1.20 39,179 1.29 1.29 5.66 2005 20.95 12.62 40,611 1.27 1.27 5.83 2004 (6.83) (2.18) 38,121 1.28 1.28 5.94 MISSOURI PREMIUM INCOME (NOM) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) (23.50) (13.36) 26,328 1.57**** 1.38**** 6.91**** 2008 (5.74) .26 31,170 1.52 1.31 6.43 2007 5.98 4.17 32,826 1.39 1.30 6.15 2006 (3.53) 1.57 32,934 1.29 1.29 6.20 2005 24.38 11.54 34,219 1.29 1.29 6.29 2004 (5.35) (1.00) 32,231 1.27 1.27 6.44 ================================================================================================================================= Ratios/Supplemental Data ----------------------------------------------------------------- Ratios to Average Net Assets Applicable to Common Shares After Credit/Reimbursement** -------------------------------------------------- Expenses Expenses Net Portfolio Including Excluding Investment Turnover Interest++(a) Interest++(a) Income++ Rate - ---------------------------------------------------------------------------------------------------------------------- INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - ---------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 1.16**** 1.01%**** 6.79%**** --% 2008 .84 .84 6.26 13 2007 .77 .77 6.17 6 2006 .79 .79 6.16 5 2005 .79 .79 6.31 2 2004 .75 .75 6.46 97 MISSOURI PREMIUM INCOME (NOM) - ---------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 1.54**** 1.35**** 6.94**** 1 2008 1.51 1.30 6.44 5 2007 1.37 1.27 6.18 16 2006 1.27 1.27 6.22 9 2005 1.28 1.28 6.30 17 2004 1.26 1.26 6.45 24 ======================================================================================================================
Preferred Shares at End of Period -------------------------------------------------------- Aggregate Liquidation Amount and Market Asset Outstanding Value Coverage (000) Per Share Per Share - -------------------------------------------------------------------------------------------------- INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - -------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) $ 20,500 $ 25,000 $ 66,354 2008 20,500 25,000 72,407 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 - -------------------------------------------------------------------------------------------------- MISSOURI PREMIUM INCOME (NOM) - -------------------------------------------------------------------------------------------------- Year Ended 5/31: 2009(b) 16,000 25,000 66,137 2008 16,000 25,000 73,703 2007 16,000 25,000 76,291 2006 16,000 25,000 76,460 2005 16,000 25,000 78,468 2004 16,000 25,000 75,360 ==================================================================================================
* 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. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. 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. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After custodian fee credit and expense reimbursement, where applicable. *** Rounds to less than $.01 per share. **** Annualized. + 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 six months ended November 30, 2008. See accompanying notes to financial statements. 84-85 spread 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. 86 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. 87 NOTES 88 NOTES 89 Glossary of TERMS USED in this REPORT o AUCTION RATE BOND: An auction rate bond is a security whose interest payments are adjusted periodically through an auction process, which process typically also serves as a means for buying and selling the bond. Auctions that fail to attract enough buyers for all the shares offered for sale are deemed to have "failed", with current holders receiving a formula-based interest rate until the next scheduled auction. 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 NAV per common share is calculated by subtracting the liabilities of the Fund (including any Preferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of common 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. o ZERO COUPON BOND: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Tax-exempt income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically. 90 Other Useful INFORMATION QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION You may obtain (i) each Fund's quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the twelve-month period ended June 30, 2008, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities 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 (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 100 F Street NE, Washington, D.C. 20549. CEO CERTIFICATION DISCLOSURE Each Fund's Chief Executive Officer has submitted to the New York Stock Exchange (NYSE) 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. BOARD OF TRUSTEES John P. Amboian Robert P. Bremner Jack B. Evans William C. Hunter David J. Kundert William J. Schneider Judith M. Stockdale Carole E. Stone Terence J. Toth 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 and/or redeem shares of its own common or auction rate preferred stock in the future at such times and in such amounts as is deemed advisable. No shares were repurchased or redeemed during the period covered by this report. Any future repurchases and/or redemptions will be reported to shareholders in the next annual or semi-annual report. 91 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. Nuveen Investments is a global investment management firm that seeks to help secure the long-term goals of institutions and high net worth investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets its growing range of specialized investment solutions under the high-quality brands of HydePark, NWQ, Nuveen, Rittenhouse, Santa Barbara, Symphony and Tradewinds. In total, the Company managed $134 billion of assets on September 30, 2008. 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 ESA-B-1108D ITEM 2. CODE OF ETHICS. Not applicable to this filing. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to this filing. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to this filing. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to this filing. ITEM 6. SCHEDULE OF INVESTMENTS. See Portfolio of Investments in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's Board implemented after the registrant last provided disclosure in response to this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the "Exchange Act")(17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. File the exhibits listed below as part of this Form. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: See 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: See 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: February 6, 2009 ------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Gifford R. Zimmerman ---------------------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) Date: February 6, 2009 ------------------------------------------------------------------- By (Signature and Title) /s/ Stephen D. Foy ---------------------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) Date: February 6, 2009 ------------------------------------------------------------------- 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: February 6, 2009 /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: February 6, 2009 /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 November 30, 2008 (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. Date: February 6, 2009 ----------------------- /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-----