N-CSR/A 1 file001.txt NUVEEN CONNECTICUT 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 811-7606 --------------------- Nuveen Connecticut Premium Income Municipal Fund ------------------------------------------------------------------------------ (Exact name of registrant as specified in charter) Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------ (Address of principal executive offices) (Zip code) Jessica R. Droeger Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------ (Name and address of agent for service) Registrant's telephone number, including area code: (312) 917-7700 ------------------- Date of fiscal year end: May 31 ------------------ Date of reporting period: May 31, 2005 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. ANNUAL REPORT May 31, 2005 Nuveen Investments Municipal Closed-End Exchange-Traded Funds NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND NTC NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND NFC NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 NGK NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 NGO NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND NMT NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND NMB NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND NGX NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND NOM Photo of: Man, woman and child at the beach. Photo of: A child. DEPENDABLE, TAX-FREE INCOME BECAUSE IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R) Logo: NUVEEN Investments Photo of: Woman Photo of: Man and child Photo of: Woman NOW YOU CAN RECEIVE YOUR NUVEEN FUND REPORTS FASTER. NO MORE WAITING. SIGN UP TODAY TO RECEIVE NUVEEN FUND INFORMATION BY E-MAIL. It only takes a minute to sign up for E-Reports. Once enrolled, you'll receive an e-mail as soon as your Nuveen Investments Fund information is ready -- no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report, and save it on your computer if you wish. ------------------ DELIVERY DIRECT TO YOUR E-MAIL INBOX ------------------ IT'S FAST, EASY & FREE: WWW.INVESTORDELIVERY.COM if you get your Nuveen Fund dividends and statements from your financial advisor or brokerage account. OR WWW.NUVEEN.COM/ACCOUNTACCESS if you get your Nuveen Fund dividends and statements directly from Nuveen. (Be sure to have the address sheet that accompanied this report handy. You'll need it to complete the enrollment process.) Logo: NUVEEN Investments Photo of: Timothy R. Schwertfeger Timothy R. Schwertfeger Chairman of the Board Chairman's LETTER TO SHAREHOLDERS Once again, I am pleased to report that over the 12-month period covered by this report your Fund continued to provide you with monthly tax-free income and an attractive total return. For more details about the management strategy and performance of your Fund, please see the Portfolio Managers' Comments and Performance Overview sections of this report. As I noted in my last letter to you, many market observers are wondering whether longer-term interest rates will soon begin to rise substantially, mirroring the rise that has taken place over the past year in shorter-term rates. If longer-term rates do begin to rise significantly, some have suggested that this would be a signal to begin adjusting your holdings of fixed-income investments. Nobody knows what the market will do in the future. But from our experience, we do know that a well-balanced portfolio, structured and carefully monitored with the help of a trusted investment professional, can be an important component in helping you achieve your long-term financial goals. In fact, a well-diversified portfolio may actually help to reduce your overall "IN FACT, A WELL-DIVERSIFIED PORTFOLIO MAY ACTUALLY HELP TO REDUCE YOUR OVERALL INVESTMENT RISK OVER THE LONG TERM." investment risk over the long term. That is one reason why we believe that a municipal bond investment like your Nuveen Fund can be an important building block in a comprehensive investment program designed to perform well in a variety of market conditions. As in past reports, I urge you to consider receiving future Fund reports and other Fund information by e-mail and the Internet. Not only will you be able to receive the information faster, but this also may help lower your Fund's expenses. Sign up is quick and easy - see the inside front cover of this report for instructions. You may have heard that in April, 2005, The St. Paul Travelers Companies, Inc., which owned 79% of Nuveen Investments, Inc. (the parent of your Fund's investment adviser) completed a public offering of a substantial portion of its equity stake in Nuveen. At the same time, St. Paul Travelers also entered into agreements to sell the balance of its shares in Nuveen to us or to others at a future date. These transactions had, and will have, no impact on the investment objectives or management of your Fund. However, taken as a whole they are considered to be an "assignment" of your Fund's investment management agreement. This means that you and your fellow Fund shareholders will be asked to formally approve the continuation of your Fund's management contract with Nuveen. We recently sent you more information about this process. Be sure to read the information carefully and return your completed proxy form by the date indicated. At Nuveen Investments, our mission continues to be to assist you and your financial advisor by offering investment services and products that can help you to secure your financial objectives. We are grateful that you have chosen us as a partner as you pursue your financial goals, and we look forward to continuing to earn your trust in the months and years ahead. Sincerely, /s/ Timothy R. Schwertfeger Timothy R. Schwertfeger Chairman of the Board July 15, 2005 Nuveen Investments Municipal Closed-End Exchange-Traded Funds NTC, NFC, NGK, NGO, NMT, NMB, NGX, NOM Portfolio Managers' COMMENTS Portfolio managers Paul Brennan and Scott Romans review the economic and municipal market environments, key investment strategies, and the annual performance of these eight Nuveen Funds. Paul, who has 14 years of investment experience, including 8 years with Nuveen, has managed NTC since 1999, NFC since 2001, NGK and NGO since 2002, and NMT and NMB since 2003. At the beginning of May 2005, he assumed portfolio management responsibility for NGX. Scott, who joined Nuveen in 2000, has managed NOM since 2003. WHAT FACTORS AFFECTED THE U.S. ECONOMY AND MUNICIPAL MARKET DURING THE ANNUAL REPORTING PERIOD ENDED MAY 31, 2005? During this 12-month reporting period, the Federal Reserve implemented eight separate one-quarter-point increases in the fed funds rate. These increases, which were intended to help control economic growth and head off an increase in the rate of inflation, raised this short-term target rate to 3.00% from 1.00%. (On June 30, 2005, after the close of this reporting period, the fed funds rate was raised another quarter point to 3.25%.) As the Fed raised short-term rates, many market observers expected to see longer-term interest rates increase as well. However, yields on longer-term municipal bonds (as measured by the widely-followed Bond Buyer 25 Revenue Bond Index) actually declined by 61 basis points during this reporting period. This resulted in a flattening of the municipal market yield curve over the 12-month period. The Fed's actions during this period seem to have helped the U. S. maintain a fairly steady economic expansion. After growing at an annualized rate of 3.3% in the second quarter of 2004, the U.S. gross domestic product (GDP) grew by 4.0% in the third quarter of 2004 and by 3.8% in both the fourth quarter of 2004 and the first quarter of 2005. The year-over-year increase in the Consumer Price Index (CPI) as of May 31, 2005, was a modest 2.8%, while unemployment in May 2005 dropped to 5.1% nationally, down from 5.6% in May 2004. HOW ABOUT ECONOMIC AND MARKET CONDITIONS IN CONNECTICUT, MASSACHUSETTS AND MISSOURI? Connecticut is a highly developed, urbanized state with a diverse economy led by manufacturing, financial services, education and healthcare. The defense industry also plays an important role in Connecticut's economy, as 25% of the state's manufacturing 4 jobs are concentrated in defense, and Connecticut currently ranks fifth among the states in terms of total defense dollars awarded. Over the 12-month period, the Connecticut economy has continued to recover. However, the recently released plan for military base closures and realignments, if implemented, could have a negative effect. As of May 2005, unemployment in the state was 5.3%, up from 5.0% in May 2004. In May 2005, Moody's reconfirmed its rating of Connecticut debt at Aa3 with a stable outlook, and Standard & Poor's reconfirmed its AA rating just after the close of this reporting period (June 1, 2005). For the 12 months ended May 31, 2005, Connecticut issuers offered $5.0 billion of new municipal bonds, down 22% from the previous 12-month period. The Massachusetts economy also continued its recovery over this period, although the commonwealth lags the nation in that respect. However, Massachusetts benefited from a well-educated population, relatively high income levels and a diverse economy driven by healthcare, education, financial services and technology. In May 2005, unemployment in Massachusetts was 4.8%, down from 5.2% in May 2004. In March 2005, S&P cited a strengthening financial picture in its upgrade of Massachusetts general obligation bonds to AA from AA-. In the same month, Moody's confirmed its rating at Aa2, having revised its outlook for the commonwealth to stable from negative in December 2004. During this 12-month reporting period, Massachusetts issuers offered $10.8 billion in new bonds, down 6% from the previous 12 months. During the 12-month period, economic recovery in Missouri outpaced that of the Midwest region as a whole, with robust job creation following a deep manufacturing-led recession that had cost the state thousands of jobs. In addition to its central location, relatively low cost of living and highly skilled workforce, Missouri benefited from a large and industrially diverse economy that included construction, wholesale trade, transportation, communications and utilities. However, the auto sector continued to suffer as motor vehicle manufacturing employment declined 16% over the year. Overall, unemployment in Missouri was 5.6% in May 2005, on par with the number for May 2004. The state's long-standing Aaa/AAA/AAA ratings from Moody's, S&P, and Fitch, respectively, reflect its long history of effective fiscal management and sound financial operations. Over the 5 12 months ended May 31, 2005, Missouri issued $4.0 billion in new debt, a decrease of 30% from the previous 12 months. WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THE 12 MONTHS ENDED MAY 31, 2005? With many market participants anticipating higher interest rates throughout this reporting period, our focus continued to be on finding bonds that we believed would add immediate value to the Funds' portfolios while also offering the potential to perform well under a variety of future market scenarios. Overall, our purchase activity in these Funds emphasized bonds in the intermediate part of the yield curve, that is, bonds that mature in 10 to 20 years. We believed that in these states this part of the curve generally offered the most attractive opportunities and the best values during this period. However, we also purchased bonds with maturities longer than 20 years when we saw an opportunity to improve a Fund's yield curve positioning. This was especially true for NMT, which had developed a relatively short average effective maturity as many of its older bonds got closer to maturity or were pre-refunded to early call dates. We also placed an emphasis on purchasing premium bonds, which are bonds that at the time of purchase were trading above their par values because their coupons were higher than current interest rate levels. These bonds have been in great demand recently, since historically they have held their value better than current coupon bonds when interest rates rise. The majority of our new purchases over this period included insured or highly rated bonds, reflecting the overall high credit quality of new issue supply. While we sought to balance these purchases with lower quality bonds, the municipal markets in these states did not provide many opportunities to purchase non-rated or lower-rated bonds during this period. Lower-rated bonds were generally among the best performers over this time period. Often, the additions we did make to these Funds were financed with the proceeds from sales of older pre-refunded bonds and bonds with shorter maturities, which tended to underperform in the interest rate environment of the 12-month period. 6 As discussed in our last shareholder report, in late 2004 we began using forward interest rate swaps, a type of derivative financial instrument, in an attempt to reduce some of the interest rate risk in NFC, NGK, NGO, NMB and NGX. It is important to note that we did not use these hedges in an attempt to profit from correctly predicting the timing and direction of interest rate movements. Instead, our sole objective was to reduce these Funds' durations (and therefore their price sensitivity to interest rate changes) without having a negative impact on their income streams or common share dividends over the short term. The gain or loss from each Fund's hedging activity is reflected as an addition or subtraction to the Fund's net asset value (NAV) as the market value of the hedge fluctuates. The hedges were effective in helping to reduce the NAV volatility of all of these Funds over the course of this reporting period. This was especially important in the Connecticut Funds, as the sharp decline in supply in the Connecticut municipal market during this period would have increased the difficulty of achieving this objective through portfolio trading. However, they had negative impacts on each Fund's total return over this period because declining long-term interest rates caused the value of the hedges to decline as the value of each Fund's portfolio rose. HOW DID THE FUNDS PERFORM? Individual results for these Funds, as well as for relevant indexes and benchmarks, are presented in the accompanying table. TOTAL RETURNS ON NET ASSET VALUE* For periods ended 5/31/05 1-YEAR 5-YEAR 10-YEAR -------------------------------------------------------------------------------- CONNECTICUT FUNDS -------------------------------------------------------------------------------- NTC 10.82% 9.60% 7.46% -------------------------------------------------------------------------------- NFC 12.06% NA NA -------------------------------------------------------------------------------- NGK 10.70% NA NA -------------------------------------------------------------------------------- NGO 11.60% NA NA -------------------------------------------------------------------------------- 7 1-YEAR 5-YEAR 10-YEAR -------------------------------------------------------------------------------- MASSACHUSETTS FUNDS -------------------------------------------------------------------------------- NMT 11.74% 8.96% 7.03% -------------------------------------------------------------------------------- NMB 12.76% NA NA -------------------------------------------------------------------------------- MISSOURI FUND -------------------------------------------------------------------------------- NOM 11.54% 9.52% 7.01% -------------------------------------------------------------------------------- Lehman Brothers Municipal Bond Index1 7.96% 7.30% 6.22% -------------------------------------------------------------------------------- INSURED MASSACHUSETTS FUND -------------------------------------------------------------------------------- NGX 12.62% NA NA -------------------------------------------------------------------------------- Lehman Brothers Insured Municipal Bond Index1 8.34% 7.79% 6.42% -------------------------------------------------------------------------------- Lipper Other States Municipal Debt Funds Average2 12.61% 9.88% 7.10% -------------------------------------------------------------------------------- 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. For the 12 months ended May 31, 2005, the total returns on NAV for all seven of the noninsured Funds in this report outperformed the return on the Lehman Brothers Municipal Bond Index. Over the same period, NGX outperformed the Lehman Brothers Insured Municipal Bond Index. NMB and NGX also outperformed the average return for the Lipper Other States peer group, while the other Funds trailed the group average. Please keep in mind that the Lipper Other States average represents the overall average of returns for funds from 10 different states displaying a variety of economic and municipal market conditions. We believe that makes direct comparisons between the returns of specific state funds with a multi-state group average less meaningful. One of the primary factors benefiting the 12-month performance of these Funds relative to that of the unleveraged, unmanaged Lehman Brothers index was the Funds' use of financial leverage. While leveraging can add volatility to a Fund's NAV and share price, especially during periods when interest rates rise, this strategy also can provide opportunities for additional income and total return for common shareholders when short-term interest rates remain relatively low and long-term rates fall. As noted earlier, over most of this reporting period, longer-term rates tended to fall while shorter-term interest rates rose. As a result, the prices of bonds with longer maturities generally performed better than those of securities with shorter maturities. This 1 The Lehman Brothers Municipal Bond Index is an unleveraged, unmanaged national index comprising a broad range of investment-grade municipal bonds, while the Lehman Brothers Insured Municipal Bond Index is an unleveraged, unmanaged national index containing a broad range of insured municipal bonds. Results for the Lehman indexes do not reflect any expenses. 2 The Lipper Other States Municipal Debt Funds category average is calculated using the returns of all closed-end exchange-traded funds in this category for each period as follows: 1 year, 44 funds; 5 years, 19 funds; and 10 years, 17 funds. Fund and Lipper returns assume reinvestment of dividends. 8 hampered the performance of NMT, which had more exposure to the short end of the yield curve than the other Funds shown in this report. All of these Funds benefited during this period from their allocations to non-rated bonds, or to bonds rated BBB or lower. These bonds generally outperformed higher rated securities as the economy improved. However, NMT and NMB held small positions (under 2% of their total portfolios) in Crosstown Center Project bonds issued by the Boston Industrial Development Financing Authority. These bonds were downgraded to BB from BBB during this period based on the underperformance of the project hotel. We believed this situation was temporary, and we continued to hold these bonds, which--despite the downgrade--provided positive performance to both Funds over this period. Some of the sectors with larger concentrations of these lower quality bonds that made positive contributions to the Funds' 12-month returns were healthcare (including hospitals and lifecare facilities) and higher education. In addition, bonds backed by the 1998 master tobacco settlement agreement also produced solid performance during this period for the Connecticut Funds, as the litigation environment improved. NMT added a small tobacco bond position toward the end of the reporting period, too late to affect the Fund's reported performance. Neither of the other Massachusetts Funds nor NOM held any tobacco credits during these 12 months. The performance of each of these Funds during this period also was boosted to some extent by several advance refundings of their holdings, which resulted in price appreciation as well as enhanced credit quality. At the same time, however, their holdings of older pre-refunded bonds tended to underperform the general municipal market, due primarily to the shorter effective maturities of these bonds. Housing, especially single family housing, was another sector of the market that tended to underperform during this period, due largely to the increased risk of prepayments and bond calls in the current interest rate environment. While all of the Connecticut Funds had modest weightings in housing bonds as of May 2005, NGK entered the reporting period with a larger allocation to single family housing bonds than the other Funds and these bonds acted as a drag on NGK's performance for the full period even though all of these bonds were sold by May 31, 2005. Although the performance of the housing sector in general had a negative impact during this period, these holdings continued to serve as a good source of core income for the Funds. 9 Some of the disparity in performance among the Funds can be attributed to the fact that each Fund's portfolio is different. While we tended to purchase bonds with similar maturities and similar characteristics for each Fund, some Funds may perform better than others over time. This happens for a variety of reasons. For example, some Funds may hold bonds that may be advance refunded while other are not, or some issuers might be perceived to have greater financial strength than others which effects the value of their bonds in the marketplace. Even though the overall management strategy was the same across all the Funds, the execution of that strategy sometimes created situations or conditions that led to the performance differentials shown in the performance chart. HOW WERE THE FUNDS POSITIONED IN TERMS OF CREDIT QUALITY AND BOND CALLS AS OF MAY 31, 2005? We continued to believe that, given the current geopolitical and economic climate, maintaining strong credit quality was an important requirement. As of May 31, 2005, all these Funds continued to offer excellent credit quality, with allocations of bonds rated AAA/U.S. guaranteed and AA in the Connecticut Funds ranging from 82% in NFC to 86% in NGO, 87% in NGK, and 89% in NTC. In the Massachusetts Funds, NMT and NMB had AAA/AA allocations of 82% and 87%, respectively, while NGX, which can invest up to 20% of its assets in uninsured investment-grade quality securities, held 86% of its portfolio in AAA rated bonds as of May 31, 2005. NOM's allocation of AAA/U.S. guaranteed and AA bonds accounted for 78% of its portfolio. At the end of May 2005, potential call exposure for the period June 2005 through the end of 2007 ranged from 2% in NMB and NGX, to 4% in NGK and NGO, 5% in NFC, 8% in NOM, 12% in NMT and 17% in NTC. The number of actual bond calls in all of these Funds depends largely on future market interest rates. 10 Dividend and Share Price INFORMATION All eight of the Funds in this report use leverage to enhance opportunities for additional income for common shareholders. The extent of this benefit is tied in part to the short-term rates the Funds pay their MuniPreferred(R) shareholders. During periods of low short-term rates, leveraged Funds generally pay lower dividends to MuniPreferred shareholders, which can leave more earnings to support common share dividends. However, when short-term interest rates rise, as they did during this reporting period, the Funds' borrowing costs also rise. While leveraging still provided benefits for common shareholders, the extent of the benefit was reduced. As a result, NTC, NFC, NGK, NMT and NMB experienced a single dividend cut over the 12-month period ended May 31, 2005, while NGX's dividend was reduced twice. The dividends of NGO and NOM remained stable during this period. In addition, due to capital gains generated by normal portfolio activity, common shareholders of the following Funds received capital gains and/or net ordinary income distributions at the end of December 2004 as follows: LONG-TERM CAPITAL GAINS ORDINARY INCOME (PER SHARE) (PER SHARE) -------------------------------------------------------------------------------- NTC $0.0114 -- -------------------------------------------------------------------------------- NGK $0.0657 $0.0006 -------------------------------------------------------------------------------- NMT -- $0.0107 -------------------------------------------------------------------------------- NMB $0.1149 $0.0028 -------------------------------------------------------------------------------- All of the Funds in this report seek to pay stable dividends at rates that reflect each Fund's past results and projected future performance. During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund's NAV. Each Fund will, over time, pay all of its net investment income as dividends to shareholders. As of May 31, 2005, all of the Funds in this report except NGX had positive UNII balances for both financial statement and tax purposes. NGX had a negative UNII balance for financial statement purposes and a positive UNII balance for tax purposes. 11 At the end of the reporting period, the Funds' share prices were trading at premiums or discounts to their NAVs as shown in the accompanying chart: 5/31/05 12-MONTH AVERAGE PREMIUM/DISCOUNT PREMIUM/DISCOUNT -------------------------------------------------------------------------------- NTC +3.60% +4.01% -------------------------------------------------------------------------------- NFC +2.21% +3.16% -------------------------------------------------------------------------------- NGK +2.17% +1.30% -------------------------------------------------------------------------------- NGO -1.62% -3.37% -------------------------------------------------------------------------------- NMT +6.89% +4.35% -------------------------------------------------------------------------------- NMB +11.50% +4.65% -------------------------------------------------------------------------------- NGX +6.76% +7.43% -------------------------------------------------------------------------------- NOM +18.46% +14.06% -------------------------------------------------------------------------------- 12 Nuveen Connecticut Premium Income Municipal Fund NTC Performance OVERVIEW As of May 31, 2005 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 81% AA 8% A 1% BBB 9% N/R 1% Bar Chart: 2004-2005 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Jun 0.0735 Jul 0.0735 Aug 0.0735 Sep 0.0735 Oct 0.0735 Nov 0.0735 Dec 0.0735 Jan 0.0735 Feb 0.0735 Mar 0.0705 Apr 0.0705 May 0.0705 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/04 14.41 14.4 14.38 14.32 14.3 14.32 14.42 14.47 14.45 14.16 14.27 14.36 14.45 14.4 14.57 14.57 14.74 14.76 14.8 14.61 14.72 14.45 14.87 14.71 14.76 14.96 15.2 15.1 15.14 14.95 15.1 15 15.11 15.05 14.93 15.04 14.97 14.99 14.8 14.92 15.25 15.3 15.3 15.25 15.47 15.62 15.47 15.68 16.09 15.91 15.61 15.8 15.98 15.98 15.98 15.99 15.95 15.8 15.81 15.76 16.18 16.04 16.19 16.22 16.17 16.23 16.24 16.1 16.13 16.12 16.17 16.39 16.27 16.5 16.49 15.99 16 16.1 15.99 15.99 16 15.94 15.94 15.99 16.05 15.98 15.97 16 15.89 15.59 15.62 15.64 15.84 15.83 15.72 15.94 15.86 15.88 15.89 15.91 15.98 16 16.25 16.55 16.55 16.83 16.9 16.62 16.61 16.6 16.57 16.4 16.13 15.9 15.94 15.91 16.01 15.75 15.71 15.91 15.99 15.91 16.08 15.95 15.85 16 15.59 15.54 15.64 15.7 15.63 15.62 15.62 15.61 15.74 15.67 15.72 15.84 15.96 15.85 15.58 15.6 15.58 15.52 15.5 15.41 15.2 15.16 15.1 15.21 15.45 15.45 15.45 15.56 15.74 15.69 15.7 15.41 15.62 15.7 15.53 15.55 15.36 15.49 15.5 15.52 15.41 15.43 15.39 15.44 15.47 15.51 15.55 15.61 15.71 15.61 15.97 15.85 16 16.11 16.5 16.36 16.39 16.15 16.08 16.3 16.37 16.39 16.4 16.4 16.45 16.52 16.41 16.33 16.48 16.13 16.05 15.92 16.2 15.73 15.75 16.22 16.49 15.93 15.65 15.64 15.85 15.33 15 14.9 15.35 15.35 15.66 15.64 15.75 15.96 15.76 15.75 15.51 15.45 15.7 15.85 15.66 15.7 15.55 15.6 16 15.83 15.68 15.78 15.7 15.69 15.69 15.58 15.55 15.61 15.67 15.86 16 15.82 15.81 15.81 15.79 15.91 16 15.92 16.19 15.92 15.96 15.89 15.86 15.74 15.81 5/31/05 15.81 (Sidebar) FUND SNAPSHOT ------------------------------------ Common Share Price $15.81 ------------------------------------ Common Share Net Asset Value $15.26 ------------------------------------ Premium/(Discount) to NAV 3.60% ------------------------------------ Market Yield 5.35% ------------------------------------ Taxable-Equivalent Yield1 7.81% ------------------------------------ Net Assets Applicable to Common Shares ($000) $81,529 ------------------------------------ Average Effective Maturity on Securities (Years) 16.06 ------------------------------------ Leverage-Adjusted Duration 7.17 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 1-Year 15.61% 10.82% ------------------------------------ 5-Year 8.96% 9.60% ------------------------------------ 10-Year 7.92% 7.46% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Education and Civic Organizations 27.0% ------------------------------------ Tax Obligation/General 15.7% ------------------------------------ U.S. Guaranteed 13.6% ------------------------------------ Tax Obligation/Limited 11.1% ------------------------------------ Healthcare 8.1% ------------------------------------ Water and Sewer 8.0% ------------------------------------ Long-Term Care 5.1% ------------------------------------ Other 11.4% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. When comparing this Fund to investments that generate qualified dividend income, the taxable-equivalent yield is lower. 2 The Fund also paid shareholders a capital gains distribution in December 2004 of $0.0114 per share. 13 Nuveen Connecticut Dividend Advantage Municipal Fund NFC Performance OVERVIEW As of May 31, 2005 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 67% AA 15% A 4% BBB 13% N/R 1% Bar Chart: 2004-2005 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.0745 Jul 0.0745 Aug 0.0745 Sep 0.0745 Oct 0.0745 Nov 0.0745 Dec 0.0745 Jan 0.0745 Feb 0.0745 Mar 0.0715 Apr 0.0715 May 0.0715 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/04 14.12 14.14 13.99 13.87 13.9 13.85 13.93 14 13.96 14.49 14.42 14.7 14.25 14.27 14.09 14.1 14.26 14.5 14.53 14.59 14.46 14.55 14.56 14.86 14.93 14.93 14.87 15.15 15 15.1 15.2 15.06 15 15 14.96 14.9 14.96 14.96 14.96 14.91 15.16 15.44 15.44 15.05 15.06 15.06 15.14 15.5 15.25 15.33 15.22 15.27 15.27 15.34 15.31 15.45 15.45 15.45 15.45 15.4 15.44 15.49 15.35 15.5 15.6 15.42 15.64 15.64 15.59 15.67 15.6 15.35 15.42 15.55 15.45 15.43 15.42 15.49 15.39 15.51 15.5 15.46 15.41 15.53 15.55 15.5 15.45 15.5 15.41 15.55 15.6 15.6 15.6 15.84 15.84 15.8 15.66 15.66 15.66 15.66 15.7 15.98 15.9 16.15 16.2 16.45 16.71 16.75 16.75 16.5 16.5 15.96 15.67 15.67 15.65 15.61 16 15.8 15.66 15.62 15.64 15.62 15.67 15.67 15.65 15.72 15.39 15.32 15.34 15.49 15.43 15.44 15.57 15.72 15.56 15.64 15.54 15.45 15.32 15.29 15.1 15.19 15.25 15.26 15.36 15.33 15 15.19 15.59 15.83 15.82 15.85 15.75 15.75 15.75 16.71 16.3 16.07 16.39 16.18 16.18 15.93 15.69 15.7 15.75 15.52 15.52 15.6 15.53 15.61 15.66 15.89 15.89 15.89 15.82 15.85 15.85 16.1 15.91 16.04 16.36 16.48 16.48 16.45 16.47 16.28 16.22 16.35 16.45 16.27 16.26 16.39 16.44 16.78 16.8 16.74 16.16 15.88 16.36 16.2 16.48 16.82 16.52 16.29 16.18 16.1 16.1 16.02 15.59 15.47 15.5 15.56 15.44 15.44 15.7 15.6 15.8 15.73 15.54 15.69 15.6 15.9 15.61 15.65 15.65 15.5 16.11 15.93 15.77 15.94 15.9 15.87 15.87 16 15.94 16 16.1 16.15 16.15 16.25 16.04 15.83 15.83 15.96 16.35 16.69 15.91 16 15.71 15.81 15.8 15.61 15.65 5/31/05 15.73 (Sidebar) FUND SNAPSHOT ------------------------------------ Common Share Price $15.73 ------------------------------------ Common Share Net Asset Value $15.39 ------------------------------------ Premium/(Discount) to NAV 2.21% ------------------------------------ Market Yield 5.45% ------------------------------------ Taxable-Equivalent Yield1 7.96% ------------------------------------ Net Assets Applicable to Common Shares ($000) $39,464 ------------------------------------ Average Effective Maturity on Securities (Years) 15.43 ------------------------------------ Leverage-Adjusted Duration 7.16 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/01) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 1-Year 17.89% 12.06% ------------------------------------ Since Inception 6.69% 7.61% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ U.S. Guaranteed 28.6% ------------------------------------ Education and Civic Organizations 20.9% ------------------------------------ Tax Obligation/Limited 11.3% ------------------------------------ Tax Obligation/General 10.4% ------------------------------------ Utilities 6.3% ------------------------------------ Water and Sewer 5.9% ------------------------------------ Transportation 4.5% ------------------------------------ Other 12.1% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. When comparing this Fund to investments that generate qualified dividend income, the taxable-equivalent yield is lower. 14 Nuveen Connecticut Dividend Advantage Municipal Fund 2 NGK Performance OVERVIEW As of May 31, 2005 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 67% AA 20% A 3% BBB 10% Bar Chart: 2004-2005 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Jun 0.0735 Jul 0.0735 Aug 0.0735 Sep 0.0735 Oct 0.0735 Nov 0.0735 Dec 0.0735 Jan 0.0735 Feb 0.0735 Mar 0.0705 Apr 0.0705 May 0.0705 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/04 14.1 14.1 14.21 14.45 14.45 14.6 14.5 14.54 14.51 14.85 14.71 14.74 14.72 14.5 14.73 14.74 14.83 14.79 14.85 14.84 14.9 14.9 15.05 15.13 15.13 15.13 15 15.3 15.31 15.11 14.94 14.98 14.98 15 14.79 14.66 14.68 14.71 14.78 14.67 15.23 15.33 15.33 15.46 15.25 15.42 15.46 15.55 15.55 15.52 15.37 15.44 15.34 15.4 15.49 15.6 15.49 15.49 15.45 15.45 15.45 15.49 15.53 15.6 15.58 15.59 15.68 15.7 15.68 15.53 15.69 15.82 15.69 15.65 15.5 15.56 15.8 15.59 15.59 15.59 15.46 15.57 15.57 15.69 15.9 15.9 15.94 15.94 15.7 15.68 15.68 15.7 15.85 16.05 16.05 16 16 16 16 16 16.05 16.05 16.04 16.29 16.29 16.22 16.59 16.64 16.65 16.79 16.72 16.22 16.05 15.66 15.8 15.8 15.75 15.75 15.89 15.72 15.76 15.85 15.61 15.65 15.6 15.65 15.5 15.7 15.62 15.75 15.84 15.84 15.84 15.91 16.1 16.11 15.8 15.5 15.36 15.52 15.34 15.28 15.32 15.32 15.36 15.38 15.27 15.28 15.4 15.7 15.76 15.9 15.89 16.05 16.08 16.28 16.28 16.12 16.06 15.91 16 15.97 15.75 15.76 15.68 15.68 15.4 15.39 15.4 15.43 15.64 15.8 15.83 15.83 15.77 15.86 15.9 15.9 15.85 15.75 15.8 15.73 15.73 15.62 15.67 15.66 15.76 15.74 15.8 15.9 16.2 16.01 16.16 16.45 16.28 16.43 15.8 15.69 16.21 16.49 16.55 16.49 16.49 16.14 16 15.62 15.65 15.65 16.1 15.85 15.9 16 16 15.82 16.2 16.19 16.07 16.19 16.19 16.15 16.09 15.98 15.91 15.91 15.91 15.45 15.48 15.48 15.83 15.83 15.72 15.95 15.95 15.82 15.82 16 15.86 15.86 15.94 16.07 16.07 16.15 16.15 16.31 16.31 16.2 16.2 16.38 16.18 16.18 16.09 15.97 15.97 5/31/05 15.98 (Sidebar) FUND SNAPSHOT ------------------------------------ Common Share Price $15.98 ------------------------------------ Common Share Net Asset Value $15.64 ------------------------------------ Premium/(Discount) to NAV 2.17% ------------------------------------ Market Yield 5.29% ------------------------------------ Taxable-Equivalent Yield1 7.72% ------------------------------------ Net Assets Applicable to Common Shares ($000) $36,105 ------------------------------------ Average Effective Maturity on Securities (Years) 15.31 ------------------------------------ Leverage-Adjusted Duration 7.45 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/25/02) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 1-Year 19.92% 10.70% ------------------------------------ Since Inception 8.08% 8.98% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Education and Civic Organizations 24.4% ------------------------------------ U.S. Guaranteed 22.3% ------------------------------------ Tax Obligation/General 21.7% ------------------------------------ Water and Sewer 6.7% ------------------------------------ Tax Obligation/Limited 5.7% ------------------------------------ Utilities 4.5% ------------------------------------ Transportation 4.2% ------------------------------------ Other 10.5% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. When comparing this Fund to investments that generate qualified dividend income, the taxable-equivalent yield is lower. 2 The Fund also paid shareholders capital gains and net ordinary income distributions in December 2004 of $0.0663 per share. 15 Nuveen Connecticut Dividend Advantage Municipal Fund 3 NGO Performance OVERVIEW As of May 31, 2005 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 72% AA 14% A 1% BBB 13% Bar Chart: 2004-2005 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.065 Jul 0.065 Aug 0.065 Sep 0.065 Oct 0.065 Nov 0.065 Dec 0.065 Jan 0.065 Feb 0.065 Mar 0.065 Apr 0.065 May 0.065 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/04 12.88 12.95 13.4 13.25 13.25 13.25 13.34 13.5 13.22 13.2 13.35 13.35 13.44 12.92 12.82 13.08 13.1 13.24 13.23 13.45 13.52 13.56 13.82 13.83 13.83 13.92 14.04 14 14.03 14.1 14.17 14.17 13.88 13.95 13.75 13.94 13.79 13.76 13.85 13.7 13.8 13.86 13.86 14.06 14.06 13.95 14 14.02 13.98 14.03 13.98 13.99 14.29 14.01 14.05 14.03 14.1 14.1 14.13 14.16 14.35 14.15 13.97 14.08 14.2 14.2 14.37 14.34 14.21 14.18 14.18 14.11 13.99 14.11 14.07 14.07 13.93 14 13.94 13.88 13.85 13.82 13.85 13.91 13.88 13.86 13.85 13.98 13.93 13.88 13.98 14.17 14.25 14.32 14.41 14.41 14.4 14.28 14.3 14.29 14.02 14.04 13.94 14.02 13.89 13.99 14 14.27 14.39 14.48 14.56 14.27 14.12 14.37 14.28 14.26 14.23 14.06 13.84 14.07 14.2 13.9 13.9 13.99 13.83 13.92 13.66 13.52 13.55 13.48 13.66 13.7 13.73 13.79 13.79 13.79 13.8 13.71 13.78 13.71 13.56 13.53 13.58 13.55 13.66 13.46 13.46 13.44 13.47 13.63 13.69 13.74 13.73 13.94 13.99 14.01 14.03 13.97 13.92 13.84 13.81 13.79 13.89 13.89 13.9 13.94 13.92 13.87 13.97 13.9 14.24 14.24 14.23 14.57 14.52 14.38 14.3 14.35 14.32 14.34 14.38 14.41 14.41 14.41 14.57 14.25 14.46 14.53 14.6 14.81 14.87 14.73 14.6 14.65 14.72 14.71 14.45 14.38 14.53 14.63 14.57 14.55 14.45 14.51 14.61 14.45 14.49 14.5 14.6 14.35 14.13 14.17 14.29 14.28 14.54 14.5 14.4 14.45 14.35 14.31 14.44 14.64 14.85 14.58 14.3 14.39 14.39 14.18 14.1 14.35 14.4 14.29 14.29 14.25 14.26 14.37 14.37 14.2 14.2 14.18 14.15 14.3 14.38 14.65 14.67 15.01 14.91 14.85 14.75 14.71 14.35 14.32 14.35 5/31/05 14.54 (Sidebar) FUND SNAPSHOT ------------------------------------ Common Share Price $14.54 ------------------------------------ Common Share Net Asset Value $14.78 ------------------------------------ Premium/(Discount) to NAV -1.62% ------------------------------------ Market Yield 5.36% ------------------------------------ Taxable-Equivalent Yield1 7.82% ------------------------------------ Net Assets Applicable to Common Shares ($000) $64,324 ------------------------------------ Average Effective Maturity on Securities (Years) 15.84 ------------------------------------ Leverage-Adjusted Duration 6.81 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 9/26/02) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 1-Year 18.17% 11.60% ------------------------------------ Since Inception 4.19% 6.55% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Tax Obligation/General 24.1% ------------------------------------ Tax Obligation/Limited 16.9% ------------------------------------ U.S. Guaranteed 14.0% ------------------------------------ Education and Civic Organizations 13.4% ------------------------------------ Water and Sewer 8.4% ------------------------------------ Long-Term Care 8.2% ------------------------------------ Utilities 5.7% ------------------------------------ Other 9.3% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.5%. When comparing this Fund to investments that generate qualified dividend income, the taxable-equivalent yield is lower. 16 Nuveen Massachusetts Premium Income Municipal Fund NMT Performance OVERVIEW As of May 31, 2005 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 68% AA 14% A 9% BBB 6% BB or Lower 1% N/R 2% Bar Chart: 2004-2005 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Jun 0.0735 Jul 0.0735 Aug 0.0735 Sep 0.0735 Oct 0.0735 Nov 0.0735 Dec 0.0735 Jan 0.0735 Feb 0.0735 Mar 0.0705 Apr 0.0705 May 0.0705 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/04 14.45 14.24 14.23 14.29 14.25 14.23 14.21 14.16 14 14.07 14.04 13.9 14 14 13.99 13.93 13.95 14.04 13.99 13.89 14.06 14.13 14.15 14.35 14.47 14.62 14.42 14.47 14.39 14.5 14.69 14.81 14.7 14.62 14.52 14.61 14.61 14.66 14.39 14.8 14.65 14.85 14.85 14.92 14.89 14.86 14.85 15 14.85 14.82 14.69 14.63 14.79 14.79 14.79 14.74 14.86 14.88 14.8 14.73 14.87 15.1 15.25 15.11 15 15.21 15.15 15.15 15.17 15.21 15.27 15.28 15.28 15.19 15.27 15.15 15.19 15.28 15.42 15.49 15.42 15.39 15.48 15.39 15.28 15.38 15.34 15.34 15.16 15.17 15.28 15.38 15.5 15.6 15.6 15.56 15.61 15.5 15.56 15.42 15.7 15.44 15.72 15.7 15.9 16.05 16.28 16.25 16.11 16.12 16.34 16.11 15.76 15.51 15.7 15.99 15.9 15.93 15.91 15.93 16 16.3 16.2 16.21 16.45 16.21 15.98 16.14 16 15.63 15.84 15.8 15.79 15.89 15.64 15.69 15.61 15.49 15.5 15.5 15.53 15.45 15.45 15.55 15.58 15.58 15.5 15.55 15.69 15.82 15.99 15.89 15.89 16.1 16.18 16.18 15.86 15.76 15.72 15.77 16.15 16.5 16.45 16.73 16.9 16.9 17.04 16.7 16.69 16.54 16.34 16.27 16.33 16.37 16.18 16.27 16.25 16.36 16.66 17.25 17.29 17.15 17.2 17.2 17.05 16.9 17.18 16.9 16.86 16.84 16.73 16.44 16.3 16.41 16.41 16.1 15.9 15.6 15.51 15.34 15.25 15.21 15.16 15.06 14.88 14.75 14.57 14.7 14.89 15 15.61 15.75 15.51 15.33 15.25 15.25 15.25 15.17 15.21 15.26 15.09 15.08 15.06 15.15 15.15 15.06 15.1 15.38 15.27 15.46 15.69 15.45 15.45 15.57 16.25 15.74 16.16 15.92 15.6 15.67 15.76 16.03 15.93 15.88 15.85 16 16.24 16.45 16.31 16.5 16.4 16.41 16.15 5/31/05 16.14 (Sidebar) FUND SNAPSHOT ------------------------------------ Common Share Price $16.14 ------------------------------------ Common Share Net Asset Value $15.10 ------------------------------------ Premium/(Discount) to NAV 6.89% ------------------------------------ Market Yield 5.24% ------------------------------------ Taxable-Equivalent Yield1 7.71% ------------------------------------ Net Assets Applicable to Common Shares ($000) $71,648 ------------------------------------ Average Effective Maturity on Securities (Years) 16.86 ------------------------------------ Leverage-Adjusted Duration 8.66 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/18/93) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 1-Year 18.97% 11.74% ------------------------------------ 5-Year 8.74% 8.96% ------------------------------------ 10-Year 7.73% 7.03% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Education and Civic Organizations 25.8% ------------------------------------ Tax Obligation/General 18.2% ------------------------------------ Healthcare 9.5% ------------------------------------ Tax Obligation/Limited 8.8% ------------------------------------ Housing/Multifamily 8.1% ------------------------------------ Water and Sewer 8.0% ------------------------------------ Transportation 8.0% ------------------------------------ U.S. Guaranteed 7.3% ------------------------------------ Other 6.3% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. When comparing this Fund to investments that generate qualified dividend income, the taxable-equivalent yield is lower. 2 The Fund also paid shareholders a net ordinary income distribution in December 2004 of $0.0107 per share. 17 Nuveen Massachusetts Dividend Advantage Municipal Fund NMB Performance OVERVIEW As of May 31, 2005 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 67% AA 20% A 4% BBB 7% BB or Lower 2% Bar Chart: 2004-2005 MONTHLY TAX-FREE DIVIDENDS PER SHARE2 Jun 0.0775 Jul 0.0775 Aug 0.0775 Sep 0.0775 Oct 0.0775 Nov 0.0775 Dec 0.0775 Jan 0.0775 Feb 0.0775 Mar 0.0745 Apr 0.0745 May 0.0745 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/04 14.87 14.87 14.99 14.98 14.88 14.88 14.88 14.65 14.65 14.6 14.66 14.66 14.66 14.65 14.65 14.7 14.67 14.68 14.54 14.54 14.73 14.8 15 14.99 15 14.97 15.04 15.05 15.05 15 15.12 15.07 15 15 15.02 15.05 15.09 15.14 15.25 15.25 15.25 15.3 15.3 15.35 15.41 15.41 15.41 15.6 15.6 15.33 15.21 15.21 15.21 15.21 15.42 15.56 15.64 15.71 15.77 15.77 15.77 15.85 15.88 15.95 15.96 16.05 16 16 15.94 15.95 15.95 16.1 16.05 16.05 16.07 16.07 16.12 16.1 16.15 16.15 16.15 16.15 16.02 16.14 16.14 16.12 16.02 15.79 15.72 15.77 15.81 15.85 15.85 15.87 15.87 15.87 15.87 16 16.01 16.04 16.07 16.09 16.15 16.2 16.09 16.07 16 16.2 16.26 16.28 16.35 16.11 15.91 15.97 16.1 16.15 16.15 16.25 16.28 16.15 16.15 16.25 16.35 16.1 16.2 16.2 16.2 16 16 16.08 16.06 16.05 15.98 16.08 15.93 16.11 15.8 15.6 15.55 15.73 15.7 15.8 15.81 15.89 15.94 15.94 16.04 16.05 16.08 16.14 16.1 16.32 16.05 16.06 16.08 16.05 16.2 16.25 16.39 16.47 16.56 16.97 17.15 17.2 17.21 17.18 17.4 17.38 17.41 17.41 17.4 17.16 17.16 17.35 17.35 17.35 17.35 17.23 17.15 17.49 17.33 17.33 17.37 17.28 17.6 17.8 18.11 18.08 17.78 17.4 17.45 17.06 16.87 17.17 16.75 16.83 16.45 16.54 16.54 16.95 17.03 17.03 16.85 16.5 16.42 16.41 15.47 15.42 15.41 16 16.43 16.5 16.5 16.72 16.25 16.4 16.4 16.36 16.31 16.06 15.78 16.38 16.37 16.37 16.37 16.38 16.38 16.6 16.6 16.55 16.55 16.8 16.8 17 18.3 17.35 17.35 17.7 17.7 17.85 17.65 18 17.9 17.68 17.55 17.55 17.5 17.5 17.5 17.5 17.29 17.26 17.23 5/31/05 17.45 (Sidebar) FUND SNAPSHOT ------------------------------------ Common Share Price $17.45 ------------------------------------ Common Share Net Asset Value $15.65 ------------------------------------ Premium/(Discount) to NAV 11.50% ------------------------------------ Market Yield 5.12% ------------------------------------ Taxable-Equivalent Yield1 7.53% ------------------------------------ Net Assets Applicable to Common Shares ($000) $30,539 ------------------------------------ Average Effective Maturity on Securities (Years) 17.83 ------------------------------------ Leverage-Adjusted Duration 8.02 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/30/01) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 1-Year 24.96% 12.76% ------------------------------------ Since Inception 9.73% 8.53% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Tax Obligation/General 22.7% ------------------------------------ Education and Civic Organizations 21.9% ------------------------------------ Tax Obligation/Limited 11.6% ------------------------------------ Healthcare 9.3% ------------------------------------ Housing/Multifamily 8.9% ------------------------------------ U.S. Guaranteed 6.4% ------------------------------------ Water and Sewer 5.9% ------------------------------------ Transportation 4.3% ------------------------------------ Other 9.0% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. When comparing this Fund to investments that generate qualified dividend income, the taxable-equivalent yield is lower. 2 The Fund also paid shareholders capital gains and net ordinary income distributions in December 2004 of $0.1177 per share. 18 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund NGX Performance OVERVIEW As of May 31, 2005 Pie Chart: CREDIT QUALITY (as a % of total investments) Insured 81% AAA (Uninsured) 5% AA (Uninsured) 9% A (Uninsured) 4% BBB (Uninsured) 1% Bar Chart: 2004-2005 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.072 Jul 0.072 Aug 0.072 Sep 0.072 Oct 0.072 Nov 0.072 Dec 0.0695 Jan 0.0695 Feb 0.0695 Mar 0.0665 Apr 0.0665 May 0.0665 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/04 13.96 13.83 13.8 13.85 14.17 14.04 13.72 13.82 13.74 13.94 14.05 14.15 14.1 13.86 13.89 13.93 14.1 14.2 14.25 14.4 14.41 14.48 14.48 14.46 14.65 14.55 14.51 14.55 14.65 14.76 14.81 14.81 14.95 14.92 14.8 14.81 14.8 14.67 14.37 14.44 14.48 14.49 14.49 14.53 14.87 14.9 14.95 14.87 14.95 14.95 14.52 14.58 14.59 14.62 15.14 15.09 15.08 15.25 15.16 15.19 15.2 15.31 15.25 15.38 15.63 15.64 15.55 15.7 15.7 15.9 16.15 16.3 15.95 16.26 16.15 16.15 15.85 15.61 15.94 16.04 16.25 16.15 16.23 16.1 16.1 15.82 15.88 15.67 15.77 15.39 15.4 15.7 15.76 15.76 15.87 15.87 15.87 15.9 15.82 15.85 16.09 15.74 15.9 16.01 16.15 16.26 16.31 16.5 16.47 16.56 16.63 16.48 15.95 15.55 15.84 15.84 15.87 15.94 16 15.91 15.97 16 16 16.07 16.29 16.3 16.28 16.33 16.32 16.34 16.22 16.1 16.23 16.09 16.48 16.9 16.73 16.73 16.65 16.6 16.6 16.3 16.25 16.23 16.1 15.66 15.41 15.56 15.57 15.61 15.62 16.39 16.25 16.32 16.45 16.45 16.32 15.66 15.88 15.85 15.85 16.09 16.1 16.25 16.5 16.85 16.32 16.31 16.3 16.4 16.42 16.24 16.24 16.31 16.4 16.5 16.7 16.6 16.7 16.74 16.72 16.5 16.52 16.52 16.7 16.75 16.81 16.5 16.5 16.3 16.28 16 16.16 16.17 16.28 16.04 15.82 15.83 15.78 15.7 15.65 15.65 15.66 15.6 15.69 15.61 15.61 15.78 15.65 15.95 15.74 15.6 15.65 15.74 15.75 15.75 15.7 15.6 15.61 15.6 15.6 15.8 15.64 15.64 15.73 15.61 15.7 15.67 15.7 15.96 15.8 15.9 15.9 15.89 15.89 16.25 16.25 16.01 15.95 16.55 16.45 16.95 17 16.87 16.68 16.62 16.15 16.3 15.85 15.83 15.83 15.82 15.86 5/31/05 15.94 (Sidebar) FUND SNAPSHOT ------------------------------------ Common Share Price $15.94 ------------------------------------ Common Share Net Asset Value $14.93 ------------------------------------ Premium/(Discount) to NAV 6.76% ------------------------------------ Market Yield 5.01% ------------------------------------ Taxable-Equivalent Yield1 7.37% ------------------------------------ Net Assets Applicable to Common Shares ($000) $40,611 ------------------------------------ Average Effective Maturity on Securities (Years) 20.03 ------------------------------------ Leverage-Adjusted Duration 7.03 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 11/21/02) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 1-Year 20.95% 12.62% ------------------------------------ Since Inception 7.97% 7.54% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Tax Obligation/General 21.2% ------------------------------------ Tax Obligation/Limited 17.2% ------------------------------------ U.S. Guaranteed 16.8% ------------------------------------ Education and Civic Organizations 16.6% ------------------------------------ Housing/Multifamily 8.8% ------------------------------------ Water and Sewer 7.9% ------------------------------------ Healthcare 6.1% ------------------------------------ Other 5.4% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32%. When comparing this Fund to investments that generate qualified dividend income, the taxable-equivalent yield is lower. 19 Nuveen Missouri Premium Income Municipal Fund NOM Performance OVERVIEW As of May 31, 2005 Pie Chart: CREDIT QUALITY (as a % of total investments) AAA/U.S. Guaranteed 61% AA 17% A 3% BBB 8% N/R 11% Bar Chart: 2004-2005 MONTHLY TAX-FREE DIVIDENDS PER SHARE Jun 0.0735 Jul 0.0735 Aug 0.0735 Sep 0.0735 Oct 0.0735 Nov 0.0735 Dec 0.0735 Jan 0.0735 Feb 0.0735 Mar 0.0735 Apr 0.0735 May 0.0735 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 6/1/04 15.2 15.39 15.5 15.6 15.5 15.64 15.58 15.55 15.55 15.43 15.44 15.2 15.2 15.28 15.25 15.19 15.19 15.17 15.17 15.17 15.27 15.26 15.55 15.47 15.46 15.47 15.54 15.76 15.76 15.76 15.95 15.95 16.05 16.2 16.19 16 16 16.2 16.2 16.2 16.2 16.2 16.2 16.35 16.6 16.7 16.88 16.95 16.99 16.98 16.9 16.85 16.85 16.87 17.02 17.02 17.02 17.15 17.15 17.13 17.21 17.21 17.21 17.25 17.2 17.42 17.49 17.49 17.25 17 17 17.23 16.99 17 17 17.03 17.05 17.04 17.05 16.9 16.92 17 16.99 16.84 16.75 16.75 16.72 16.64 16.6 16.59 16.59 16.7 16.7 16.7 16.79 17.05 17.07 17.07 17.07 17.07 17.14 17.2 17.2 17.2 17.3 17.4 17.4 17.42 17.55 17.65 17.65 17.35 17.12 16.84 16.92 16.92 17.5 17.4 17.4 17.4 17.52 17.52 17.52 17.4 17.57 17.85 17.84 17.85 17.7 17.69 17.7 17.7 17.65 17.59 17.54 17.45 17.8 17.57 17.64 17.75 17.87 17.95 17.95 17.95 18.5 18.56 18.66 18.66 18.95 19 18.8 18.6 18.45 18.2 18 17.58 17.25 17.18 17.15 17 17.05 17.05 17.35 17.4 17.4 17.3 17.3 17.3 17.3 17.24 17.16 17.15 17.05 17.04 17.08 17.2 17.11 16.96 16.85 16.85 16.85 16.95 16.86 16.92 16.95 16.91 16.67 16.74 16.8 16.9 16.95 16.99 16.82 17.25 17.15 17 16.84 16.84 16.8 16.72 16.72 16.51 16.5 16.63 16.76 16.75 16.8 16.8 16.8 16.8 16.8 16.8 16.9 16.9 16.95 17.2 17.3 17.3 17.3 17.07 17.02 17.1 17.18 17.06 17.38 17.3 17.1 17.3 17.65 17.65 17.49 17.42 17.42 17.52 17.7 17.54 17.54 17.42 17.42 17.63 17.81 17.98 17.94 17.82 17.79 17.99 17.99 17.99 17.82 17.67 17.67 17.9 17.88 5/31/05 17.9 (Sidebar) FUND SNAPSHOT ------------------------------------ Common Share Price $17.90 ------------------------------------ Common Share Net Asset Value $15.11 ------------------------------------ Premium/(Discount) to NAV 18.46% ------------------------------------ Market Yield 4.93% ------------------------------------ Taxable-Equivalent Yield1 7.30% ------------------------------------ Net Assets Applicable to Common Shares ($000) $34,219 ------------------------------------ Average Effective Maturity on Securities (Years) 16.55 ------------------------------------ Leverage-Adjusted Duration 7.70 ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) ------------------------------------ ON SHARE PRICE ON NAV ------------------------------------ 1-Year 24.38% 11.54% ------------------------------------ 5-Year 12.73% 9.52% ------------------------------------ 10-Year 9.82% 7.01% ------------------------------------ SECTORS (as a % of total investments) ------------------------------------ Tax Obligation/Limited 23.9% ------------------------------------ Healthcare 21.8% ------------------------------------ Tax Obligation/General 21.5% ------------------------------------ U.S. Guaranteed 5.1% ------------------------------------ Housing/Multifamily 4.8% ------------------------------------ Education and Civic Organizations 4.3% ------------------------------------ Utilities 3.9% ------------------------------------ Long-Term Care 3.8% ------------------------------------ Other 10.9% ------------------------------------ 1 Taxable-equivalent yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32.5%. When comparing this Fund to investments that generate qualified dividend income, the taxable-equivalent yield is lower. 20 Report of INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM THE BOARD OF TRUSTEES AND SHAREHOLDERS NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund and Nuveen Missouri Premium Income Municipal Fund as of May 31, 2005, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds' internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of May 31, 2005, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund and Nuveen Missouri Premium Income Municipal Fund at May 31, 2005, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles. /s/ Ernst & Young LLP Chicago, Illinois July 14, 2005 21 Nuveen Connecticut Premium Income Municipal Fund (NTC) Portfolio of INVESTMENTS May 31, 2005
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 2.7% (1.9% OF TOTAL INVESTMENTS) $ 1,580 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 1,598,865 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 600 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 603,582 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 38.8% (27.0% OF TOTAL INVESTMENTS) Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education Loan Program, Series 1996A: 745 5.800%, 11/15/14 (Alternative Minimum Tax) - AMBAC Insured 11/06 at 102.00 AAA 746,959 470 5.875%, 11/15/17 (Alternative Minimum Tax) - AMBAC Insured 11/06 at 102.00 AAA 471,278 415 Connecticut Higher Education Supplemental Loan Authority, 11/09 at 102.00 AAA 418,934 Revenue Bonds, Family Education Loan Program, Series 1999A, 6.000%, 11/15/18 (Alternative Minimum Tax) - AMBAC Insured 900 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 953,712 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 (Alternative Minimum Tax) - MBIA Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 AAA 1,552,125 Revenue Bonds, Loomis Chaffee School, Series 1996C, 5.500%, 7/01/16 - MBIA Insured 1,900 Connecticut Health and Educational Facilities Authority, 7/08 at 102.00 AAA 2,018,427 Revenue Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 2,920 Connecticut Health and Educational Facilities Authority, 7/07 at 102.00 AAA 3,103,376 Revenue Bonds, Connecticut College, Series 1997C-1, 5.500%, 7/01/20 - MBIA Insured 2,525 Connecticut Health and Educational Facilities Authority, 11/12 at 100.00 AAA 2,776,515 Revenue Bonds, Connecticut State University System, Series 2003E, 5.000%, 11/01/15 - FGIC Insured 1,250 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 AAA 1,340,850 Revenue Bonds, Fairfield University, Series 1999I, 5.250%, 7/01/25 - MBIA Insured 750 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 818,430 Revenue Bonds, Horace Bushnell Memorial Hall, Series 1999A, 5.625%, 7/01/29 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, No Opt. Call AAA 1,116,620 Revenue Bonds, Connecticut State University System, Series 2003F, 5.000%, 11/01/13 - FSA Insured 500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 527,210 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 - AMBAC Insured 650 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 710,034 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 1,375 Connecticut Health and Educational Facilities Authority, 7/14 at 100.00 AAA 1,488,066 Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/21 - MBIA Insured 450 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 472,963 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 2,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 2,126,540 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 1,586,685 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 1,577,700 Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 925 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 979,473 Revenue Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 - MBIA Insured 1,000 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 1,123,420 Bonds, Series 2002A, 5.250%, 11/15/19 - FGIC Insured 22 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS (continued) $ 1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA $ 1,201,882 Series 2003A, 5.125%, 2/15/21 - MBIA Insured University of Connecticut, General Obligation Bonds, Series 2004A: 1,000 5.000%, 1/15/18 - MBIA Insured 1/14 at 100.00 AAA 1,094,020 2,000 5.000%, 1/15/19 - MBIA Insured 1/14 at 100.00 AAA 2,180,340 1,220 University of Connecticut, General Obligation Bonds, 2/15 at 100.00 AAA 1,349,845 Series 2005A, 5.000%, 2/15/17 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 11.7% (8.1% OF TOTAL INVESTMENTS) 2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 2,084,680 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/07 at 102.00 AAA 1,067,060 Revenue Bonds, William W. Backus Hospital, Series 1997D, 5.750%, 7/01/27 - AMBAC Insured 3,000 Connecticut Health and Educational Facilities Authority, 7/07 at 101.00 Aaa 3,084,630 Revenue Refunding Bonds, Middlesex Health Services, Series 1997H, 5.125%, 7/01/27 - MBIA Insured 2,000 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 AA 2,221,520 Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 - RAAI Insured 500 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 549,625 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/21 - RAAI Insured 500 Connecticut Health and Educational Facilities Authority, 7/15 at 100.00 Aa3 530,900 Revenue Bonds, Griffin Hospital, Series 2005B, 5.000%, 7/01/23 - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 3.7% (2.6% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 12/09 at 100.00 AAA 1,048,860 Finance Program Bonds, Series 1999D-2, 6.200%, 11/15/41 (Alternative Minimum Tax) 1,865 Williamantic Housing Authority, Connecticut, GNMA 10/05 at 105.00 AAA 1,970,876 Collateralized Multifamily Housing Mortgage Revenue Bonds, Village Heights Apartments, Series 1995A, 8.000%, 10/20/30 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 1.3% (0.9% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,027,730 Finance Program Bonds, Series 2001C, 5.300%, 11/15/33 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.2% (1.5% OF TOTAL INVESTMENTS) 1,750 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,817,603 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 7.3% (5.1% OF TOTAL INVESTMENTS) 1,300 Connecticut Health and Educational Facilities Authority, 8/08 at 102.00 AAA 1,360,229 FHA-Insured Mortgage Revenue Bonds, Hebrew Home and Hospital, Series 1999B, 5.200%, 8/01/38 750 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 761,003 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 615 Connecticut Development Authority, First Mortgage Gross 9/09 at 102.00 AA 664,729 Revenue Refunding Healthcare Bonds, Connecticut Baptist Homes Inc., Series 1999, 5.500%, 9/01/15 - RAAI Insured Connecticut Development Authority, Revenue Refunding Bonds, Duncaster Inc., Series 1999A: 1,000 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 AA 1,065,410 1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 1,069,920 1,000 Connecticut Development Authority, Health Facilities Revenue 8/05 at 101.00 N/R 1,005,690 Refunding Bonds, Alzheimer's Resource Center of Connecticut Inc., Series 1994A, 7.000%, 8/15/09 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 22.1% (15.4% OF TOTAL INVESTMENTS) 500 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 565,385 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 750 Bridgeport, Connecticut, General Obligation Refunding Bonds, 8/12 at 100.00 Aaa 835,050 Series 2002A, 5.375%, 8/15/19 - FGIC Insured 23 Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued) Portfolio of INVESTMENTS May 31, 2005 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) $ 1,000 Bridgeport, Connecticut, General Obligation Bonds, 9/13 at 100.00 AAA $ 1,105,960 Series 2003A, 5.250%, 9/15/23 - FSA Insured 1,110 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 1,197,435 5.000%, 4/01/23 - FGIC Insured 820 Connecticut, General Obligation Bonds, Series 2004D, No Opt. Call Aaa 916,145 5.000%, 12/01/13 - MBIA Insured 1,385 Danbury, Connecticut, General Obligation Bonds, Series 2004, No Opt. Call AAA 1,551,491 5.000%, 8/01/14 - FGIC Insured Hartford, Connecticut, General Obligation Bonds, Series 2005A: 775 5.000%, 8/01/20 - FSA Insured 8/15 at 100.00 AAA 846,967 525 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 531,647 500 Hartford, Connecticut, General Obligation Bonds, No Opt. Call AAA 562,220 Series 2005C, 5.000%, 9/01/17 (WI, settling 6/02/05) - MBIA Insured 400 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 A 428,168 Series 2000A, 6.000%, 6/01/20 - ACA Insured 1,500 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 1,787,790 Series 2001A, 5.500%, 7/01/20 - MBIA Insured Regional School District 16, Beacon Falls and Prospect, Connecticut, General Obligation Bonds, Series 2000: 350 5.500%, 3/15/18 - FSA Insured 3/10 at 101.00 Aaa 385,599 350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 388,006 350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aaa 388,259 1,420 Regional School District 16, Connecticut, General Obligation 3/13 at 101.00 Aaa 1,568,234 Bonds, Series 2003, 5.000%, 3/15/16 - AMBAC Insured 2,105 Stratford, Connecticut, General Obligation Bonds, Series 2002, 2/12 at 100.00 AAA 2,168,613 4.000%, 2/15/15 - FSA Insured 1,000 Waterbury, Connecticut, General Obligation Bonds, No Opt. Call AAA 1,106,640 Series 2004B, 5.000%, 4/01/13 - FSA Insured 1,630 Westport, Connecticut, General Obligation Bonds, 2/12 at 100.00 Aaa 1,718,884 Series 2003, 4.750%, 2/01/19 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 16.0% (11.1% OF TOTAL INVESTMENTS) 1,900 Capitol Region Education Council, Connecticut, Revenue Bonds, 10/05 at 102.00 BBB 1,954,834 Series 1995, 6.700%, 10/15/10 2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 102.00 AAA 2,199,880 Revenue Bonds, Child Care Facilities Program, Series 1999C, 5.625%, 7/01/29 - AMBAC Insured Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: 2,000 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,144,560 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,070,940 500 Connecticut, Special Tax Obligation Transportation 1/14 at 100.00 AAA 537,325 Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 625 Connecticut, Special Obligation Rate Reduction Bonds, No Opt. Call AAA 687,994 Series 2004A, 5.000%, 6/30/11 2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 8/12 at 100.00 AAA 2,198,760 5.250%, 8/01/21 - FSA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 1,139,950 Loan Note, Series 1999A, 6.500%, 10/01/24 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/14 at 100.00 AAA 1,118,410 Loan Note, Series 2003, 5.250%, 10/01/19 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 1.0% (0.7% OF TOTAL INVESTMENTS) 750 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AAA 783,188 International Airport, Series 2001A, 5.125%, 10/01/26 (Alternative Minimum Tax) - FGIC Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 19.6% (13.6% OF TOTAL INVESTMENTS) 1,500 Bridgeport, Connecticut, General Obligation Bonds, 7/10 at 101.00 AAA 1,717,320 Series 2000A, 6.000%, 7/15/19 (Pre-refunded to 7/15/10) - FGIC Insured 935 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 992,858 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded to 7/01/10) 40 Connecticut, General Obligation Bonds, Series 1993E, No Opt. Call AA*** 46,590 6.000%, 3/15/12 2,000 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA*** 2,275,540 5.500%, 6/15/21 (Pre-refunded to 6/15/12) 1,500 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA*** 1,692,090 5.375%, 4/15/19 (Pre-refunded to 4/15/12) 24 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** (continued) $ 1,000 Connecticut, Special Tax Obligation Transportation 7/12 at 100.00 AAA $ 1,130,420 Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/19 (Pre-refunded to 7/01/12) - FSA Insured 1,000 Connecticut, Special Assessment Revenue Bonds, Second 1/11 at 101.00 AAA 1,115,390 Injury Fund, Series 2000A, 5.250%, 1/01/14 (Pre-refunded to 1/01/11) - FSA Insured 1,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 1,130,560 5.500%, 10/01/20 (Pre-refunded to 10/01/11) 1,000 Hartford, Connecticut, General Obligation Bonds, Series 2000, 6/10 at 102.00 AAA 1,107,700 5.500%, 6/15/20 (Pre-refunded to 6/15/10) - FGIC Insured 1,000 Hartford, Connecticut, Parking System Revenue Bonds, 7/10 at 100.00 Baa2*** 1,145,210 Series 2000A, 6.400%, 7/01/20 (Pre-refunded to 7/01/10) 300 Puerto Rico, General Obligation and Public Improvement 7/11 at 100.00 AAA 331,947 Bonds, Series 2001, 5.125%, 7/01/30 (Pre-refunded to 7/01/11) - FSA Insured 1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,096,710 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 1,000 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 1,127,600 Series 2002A, 5.375%, 4/01/17 (Pre-refunded to 4/01/12) - FSA Insured 965 Waterbury, Connecticut, General Obligation Tax Revenue 2/09 at 101.00 AA*** 1,074,412 Intercept Bonds, Series 2000, 6.000%, 2/01/19 (Pre-refunded to 2/01/09) - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.5% (3.8% OF TOTAL INVESTMENTS) 1,575 Bristol Resource Recovery Facility Operating Committee, No Opt. Call AAA 1,733,965 Connecticut, Solid Waste Revenue Bonds, Covanta Bristol Inc., Series 2005, 5.000%, 7/01/12 - AMBAC Insured 1,000 Connecticut Development Authority, Pollution Control 10/08 at 102.00 Baa1 1,065,400 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 395 5.500%, 1/01/14 (Alternative Minimum Tax) 7/05 at 100.00 BBB 399,582 1,290 5.500%, 1/01/20 (Alternative Minimum Tax) 7/05 at 100.00 BBB 1,298,127 ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 11.6% (8.0% OF TOTAL INVESTMENTS) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,302,576 Series 2003A, 5.000%, 10/01/16 1,500 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 1,665,344 Series 2003B, 5.000%, 10/01/12 2,550 Connecticut Development Authority, Water Facilities Revenue 9/06 at 102.00 AAA 2,686,475 Bonds, Bridgeport Hydraulic Company, Series 1996, 6.000%, 9/01/36 (Alternative Minimum Tax) - AMBAC Insured South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 1,000 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 1,088,650 1,525 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,618,817 1,000 Stamford, Connecticut, Water Pollution Control System 11/13 at 100.00 AA+ 1,058,980 and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 ------------------------------------------------------------------------------------------------------------------------------------ $ 108,560 Total Long-Term Investments (cost $110,731,132) - 143.6% 117,058,913 ================-------------------------------------------------------------------------------------------------------------------- 25 Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued) Portfolio of INVESTMENTS May 31, 2005 PRINCIPAL MARKET AMOUNT (000) DESCRIPTION(1) RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 0.4% (0.3% OF TOTAL INVESTMENTS) $ 300 Puerto Rico Government Development Bank, Adjustable VMIG-1 $ 300,000 Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 2.850%, 12/01/15 - MBIA Insured+ ------------------------------------------------------------------------------------------------------------------------------------ $ 300 Total Short-Term Investments (cost $300,000) 300,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $111,031,132) - 143.9% 117,358,913 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 3.1% 2,470,241 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (47.0)% (38,300,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 81,529,154 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. * Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. Such securities are normally considered to be equivalent to AAA rated securities. N/R Investment is not rated. (WI) Security purchased on a when-issued basis. + Security has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term security. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. See accompanying notes to financial statements. 26 Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) Portfolio of INVESTMENTS May 31, 2005
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 4.7% (3.2% OF TOTAL INVESTMENTS) Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001A: $ 90 5.000%, 5/15/22 5/11 at 100.00 Baa3 $ 91,274 500 5.400%, 5/15/31 5/11 at 100.00 Baa3 503,350 1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 1,277,582 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 30.7% (20.9% OF TOTAL INVESTMENTS) 705 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 747,074 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 (Alternative Minimum Tax) - MBIA Insured 50 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AA 51,350 Revenue Bonds, Sacred Heart University, Series 1998E, 5.000%, 7/01/28 - RAAI Insured 500 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 BBB- 516,185 Revenue Bonds, University of New Haven, Series 1996D, 6.700%, 7/01/26 750 Connecticut Health and Educational Facilities Authority, 11/12 at 100.00 AAA 824,708 Revenue Bonds, Connecticut State University System, Series 2003E, 5.000%, 11/01/15 - FGIC Insured 500 Connecticut Health and Educational Facilities Authority, No Opt. Call AAA 558,310 Revenue Bonds, Connecticut State University System, Series 2003F, 5.000%, 11/01/13 - FSA Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 1,581,630 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 - AMBAC Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 1,092,360 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 350 Connecticut Health and Educational Facilities Authority, 4/14 at 100.00 AAA 384,111 Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 - MBIA Insured 625 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 656,894 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,063,270 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 1,057,790 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999: 125 5.375%, 2/01/19 2/09 at 101.00 BBB 130,143 270 5.375%, 2/01/29 2/09 at 101.00 BBB 278,516 University of Connecticut, General Obligation Bonds, Series 2001A: 1,000 5.250%, 4/01/20 4/11 at 101.00 AA 1,091,980 1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,046,540 1,000 4.750%, 4/01/21 4/11 at 101.00 AA 1,043,490 ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 3.8% (2.6% OF TOTAL INVESTMENTS) 125 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 130,292 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,086,670 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 - RAAI Insured 250 Connecticut Health and Educational Facilities Authority, 7/15 at 100.00 Aa3 265,450 Revenue Bonds, Griffin Hospital, Series 2005B, 5.000%, 7/01/23 - RAAI Insured 27 Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) (continued) Portfolio of INVESTMENTS May 31, 2005 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 2.0% (1.3% OF TOTAL INVESTMENTS) $ 750 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call BBB+ $ 777,450 Housing Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Alternative Minimum Tax) (Mandatory put 12/01/08) ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 2.6% (1.8% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,027,730 Finance Program Bonds, Series 2001C, 5.300%, 11/15/33 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.6% (1.8% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,038,630 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.1% (1.4% OF TOTAL INVESTMENTS) 300 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 320,889 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 500 Connecticut Development Authority, Health Facilities Revenue 8/05 at 101.00 N/R 495,415 Refunding Bonds, Alzheimer's Resource Center of Connecticut Inc., Series 1994A, 7.250%, 8/15/21 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 14.9% (10.1% OF TOTAL INVESTMENTS) 500 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 565,385 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 560 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 604,111 5.000%, 4/01/23 - FGIC Insured 545 Connecticut, General Obligation Bonds, Series 2004D, No Opt. Call Aaa 608,901 5.000%, 12/01/13 - MBIA Insured 500 East Lyme, Connecticut, General Obligation Bonds, 7/11 at 102.00 Aaa 541,745 Series 2001, 5.125%, 7/15/20 - FGIC Insured 400 Hartford, Connecticut, General Obligation Bonds, No Opt. Call AAA 451,988 Series 2004, 5.500%, 8/15/11 - MBIA Insured Hartford, Connecticut, General Obligation Bonds, Series 2005A: 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 391,853 240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 243,038 1,000 New Haven, Connecticut, General Obligation Bonds, 11/10 at 101.00 AAA 1,068,760 Series 2001A, 5.000%, 11/01/20 - FGIC Insured 565 Newtown, Connecticut, General Obligation Bonds, No Opt. Call Aa2 590,871 Series 2004, 4.000%, 6/15/11 250 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 A 267,605 Series 2000A, 6.000%, 6/01/20 - ACA Insured 500 Waterbury, Connecticut, General Obligation Bonds, No Opt. Call AAA 553,320 Series 2004B, 5.000%, 4/01/13 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 16.6% (11.3% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Educational Facilities Authority, 7/08 at 105.00 A 1,103,790 Revenue Bonds, New Opportunities for Waterbury Inc., Series 1998A, 6.750%, 7/01/28 1,475 Connecticut, Special Tax Obligation Transportation No Opt. Call AAA 1,686,692 Infrastructure Purpose Bonds, Series 1998B, 5.500%, 11/01/12 - FSA Insured 625 Connecticut, Special Obligation Rate Reduction Bonds, No Opt. Call AAA 687,994 Series 2004A, 5.000%, 6/30/11 Connecticut, Certificates of Participation, Juvenile Training School, Series 2001: 600 5.000%, 12/15/20 12/11 at 101.00 AA- 640,452 1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 1,051,550 500 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 AA 530,515 Refunding Bonds, Matching Fund Loan Note, Series 1998A, 5.500%, 10/01/18 - RAAI Insured 750 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 856,530 Loan Note, Series 1999A, 6.375%, 10/01/19 ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.6% (4.5% OF TOTAL INVESTMENTS) 2,500 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AAA 2,610,625 International Airport, Series 2001A, 5.125%, 10/01/26 (Alternative Minimum Tax) - FGIC Insured 28 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 42.2% (28.6% OF TOTAL INVESTMENTS) $ 455 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA $ 483,155 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded to 7/01/10) 750 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA*** 853,328 5.500%, 6/15/21 (Pre-refunded to 6/15/12) 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA*** 1,128,060 5.375%, 4/15/19 (Pre-refunded to 4/15/12) 500 Connecticut, Special Tax Obligation Transportation 7/12 at 100.00 AAA 565,210 Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/18 (Pre-refunded to 7/01/12) - FSA Insured 2,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 2,261,120 5.500%, 10/01/20 (Pre-refunded to 10/01/11) 700 Farmington, Connecticut, General Obligation Bonds, 3/11 at 101.00 Aa1*** 768,509 Series 2001, 4.875%, 3/15/20 (Pre-refunded to 3/15/11) Hamden, Connecticut, General Obligation Bonds, Series 2001: 640 5.250%, 8/15/18 (Pre-refunded to 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 723,795 635 5.000%, 8/15/19 (Pre-refunded to 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 709,270 300 5.000%, 8/15/20 (Pre-refunded to 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 335,088 1,000 Hartford, Connecticut, General Obligation Bonds, Series 1998, 1/08 at 102.00 AAA 1,048,380 4.700%, 1/15/15 (Pre-refunded to 1/15/08) - FGIC Insured 375 New Haven, Connecticut, General Obligation Bonds, 2/08 at 101.00 AAA 395,681 Series 1999, 4.700%, 2/01/15 (Pre-refunded to 2/01/08) - FGIC Insured Norwich, Connecticut, General Obligation Bonds, Series 2001A: 575 5.000%, 4/01/17 (Pre-refunded to 4/01/09) - FGIC Insured 4/09 at 100.00 Aaa 616,653 475 5.000%, 4/01/18 (Pre-refunded to 4/01/09) - FGIC Insured 4/09 at 100.00 Aaa 509,409 575 5.000%, 4/01/19 (Pre-refunded to 4/01/09) - FGIC Insured 4/09 at 100.00 Aaa 616,653 275 5.000%, 4/01/20 (Pre-refunded to 4/01/09) - FGIC Insured 4/09 at 100.00 Aaa 294,921 Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,425 5.500%, 10/01/32 10/10 at 101.00 AAA 1,570,307 1,300 5.500%, 10/01/40 10/10 at 101.00 AAA 1,425,723 790 Puerto Rico Electric Power Authority, Power Revenue 7/05 at 100.00 A-*** 791,620 Refunding Bonds, Series 1995Z, 5.250%, 7/01/21 (Pre-refunded to 7/01/05) 1,000 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 1,127,600 Series 2002A, 5.375%, 4/01/17 (Pre-refunded to 4/01/12) - FSA Insured 370 Windsor, Connecticut, General Obligation Bonds, 7/09 at 100.00 Aa2*** 396,877 Series 2001, 5.000%, 7/15/20 (Pre-refunded to 7/15/09) ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 9.3% (6.3% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control 10/08 at 102.00 Baa1 532,700 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 1,000 Eastern Connecticut Resource Recovery Authority, Solid 7/05 at 100.00 BBB 1,011,600 Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax) 1,975 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 2,133,336 Series 2000HH, 5.250%, 7/01/29 - FSA Insured 29 Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) (continued) Portfolio of INVESTMENTS May 31, 2005 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 8.7% (5.9% OF TOTAL INVESTMENTS) $ 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA $ 1,302,576 Series 2003A, 5.000%, 10/01/16 500 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 555,115 Series 2003B, 5.000%, 10/01/12 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 816,487 720 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 764,294 ------------------------------------------------------------------------------------------------------------------------------------ $ 53,800 Total Long-Term Investments (cost $54,647,253) - 146.8% 57,932,275 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 0.5% (0.3% OF TOTAL INVESTMENTS) 200 Puerto Rico Government Development Bank, Adjustable VMIG-1 200,000 Refunding Bonds, Variable Rate Demand Obligations, Series 1985, 2.850%, 12/01/15 - MBIA Insured+ ------------------------------------------------------------------------------------------------------------------------------------ $ 200 Total Short-Term Investments (cost $200,000) 200,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $54,847,253) - 147.3% 58,132,275 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.1% 831,820 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.4)% (19,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 39,464,095 ====================================================================================================================
FORWARD SWAP CONTRACTS OUTSTANDING AT MAY 31, 2005: UNREALIZED NOTIONAL EFFECTIVE TERMINATION APPRECIATION AMOUNT DATE(2) DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------------------------ Agreement with JPMorgan dated January 11, 2005, to pay semi-annually the notional amount multiplied by 5.235% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). $500,000 8/17/05 8/17/25 $(33,381) ------------------------------------------------------------------------------------------------------------------------------------ $(33,381) ------------------------------------------------------------------------------------------------------------------------------------
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. * Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. Such securities are normally considered to be equivalent to AAA rated securities. N/R Investment is not rated. + Security has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term security. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. See accompanying notes to financial statements. 30 Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) Portfolio of INVESTMENTS May 31, 2005
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 2.9% (2.0% OF TOTAL INVESTMENTS) $ 790 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 799,433 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 250 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 251,492 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 35.8% (24.4% OF TOTAL INVESTMENTS) 500 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 BBB- 516,185 Revenue Bonds, University of New Haven, Series 1996D, 6.700%, 7/01/26 500 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AAA 526,670 Revenue Bonds, Hopkins School, Series 1998A, 5.000%, 7/01/20 - AMBAC Insured 250 Connecticut Health and Educational Facilities Authority, 7/08 at 102.00 AAA 265,583 Revenue Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 500 Connecticut Health and Educational Facilities Authority, 11/07 at 101.00 AAA 529,415 Revenue Bonds, State University System, Series 1997B, 5.250%, 11/01/17 - AMBAC Insured 500 Connecticut Health and Educational Facilities Authority, No Opt. Call AAA 558,310 Revenue Bonds, Connecticut State University System, Series 2003F, 5.000%, 11/01/13 - FSA Insured 215 Connecticut Health and Educational Facilities Authority, 1/15 at 100.00 Aaa 238,564 Revenue Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 - MBIA Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 1,606,635 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.250%, 7/01/31 1,000 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 1,051,030 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 - FSA Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E: 590 5.500%, 7/01/22 - RAAI Insured 7/12 at 101.00 AA 654,800 1,000 5.250%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 1,063,270 2,250 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA 2,405,048 Revenue Bonds, Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21 - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,057,790 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 500 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 549,670 Bonds, Series 2002A, 5.250%, 11/15/22 - FGIC Insured 1,230 University of Connecticut, General Obligation Bonds, 4/12 at 100.00 AA 1,363,111 Series 2002A, 5.375%, 4/01/19 500 University of Connecticut, General Obligation Bonds, No Opt. Call AAA 556,210 Series 2004A, 5.000%, 1/15/13 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 5.0% (3.4% OF TOTAL INVESTMENTS) 25 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 26,607 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A: 150 6.125%, 7/01/20 - RAAI Insured 7/10 at 101.00 AA 167,844 200 6.000%, 7/01/25 - RAAI Insured 7/10 at 101.00 AA 222,152 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,056,430 Revenue Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 - RAAI Insured 300 Connecticut Health and Educational Facilities Authority, 7/15 at 100.00 Aa3 318,540 Revenue Bonds, Griffin Hospital, Series 2005B, 5.000%, 7/01/23 - RAAI Insured 31 Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) (continued) Portfolio of INVESTMENTS May 31, 2005 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 1.4% (1.0% OF TOTAL INVESTMENTS) $ 500 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call BBB+ $ 518,300 Housing Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Alternative Minimum Tax) (Mandatory put 12/01/08) ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.9% (1.9% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,035,330 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 3.2% (2.2% OF TOTAL INVESTMENTS) 450 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AAA 488,709 Revenue Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/19 - AMBAC Insured 325 Connecticut Development Authority, First Mortgage 4/07 at 102.00 BBB- 329,768 Gross Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 320 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 342,282 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 32.0% (21.7% OF TOTAL INVESTMENTS) 875 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 989,424 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 1,500 Connecticut, General Obligation Bonds, Series 2001C, No Opt. Call AA 1,714,125 5.500%, 12/15/12 Farmington, Connecticut, General Obligation Bonds, Series 2002: 1,000 5.000%, 9/15/20 9/12 at 101.00 Aa1 1,089,320 1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,578,746 400 Hartford, Connecticut, General Obligation Bonds, Series 2004, No Opt. Call AAA 451,988 5.500%, 8/15/11 - MBIA Insured Hartford, Connecticut, General Obligation Bonds, Series 2005A: 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 391,853 240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 243,038 1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ 1,415,220 Obligation Bonds, Series 2002, 5.000%, 4/01/22 Regional School District 8, Andover, Hebron and Marlborough, Connecticut, General Obligation Bonds, Series 2002: 1,390 5.000%, 5/01/20 - FSA Insured 5/11 at 101.00 Aaa 1,482,630 1,535 5.000%, 5/01/22 - FSA Insured 5/11 at 101.00 Aaa 1,636,203 500 Waterbury, Connecticut, General Obligation Bonds, No Opt. Call AAA 553,320 Series 2004B, 5.000%, 4/01/13 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 8.4% (5.7% OF TOTAL INVESTMENTS) 1,625 Connecticut, Special Tax Obligation Transportation 7/12 at 100.00 AAA 1,793,187 Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured 500 Connecticut, Special Tax Obligation Transportation 10/11 at 100.00 AAA 556,870 Infrastructure Purpose Bonds, Series 2001B, 5.375%, 10/01/13 - FSA Insured 625 Connecticut, Special Obligation Rate Reduction Bonds, No Opt. Call AAA 687,994 Series 2004A, 5.000%, 6/30/11 ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.2% (4.2% OF TOTAL INVESTMENTS) 1,950 New Haven, Connecticut, Revenue Refunding Bonds, No Opt. Call AAA 2,240,843 Air Rights Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 32.8% (22.3% OF TOTAL INVESTMENTS) 1,000 Bridgeport, Connecticut, General Obligation Bonds, 8/11 at 100.00 AAA 1,111,970 Series 2001C, 5.375%, 8/15/18 (Pre-refunded to 8/15/11) - FGIC Insured 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA*** 1,128,060 5.375%, 4/15/19 (Pre-refunded to 4/15/12) East Hartford, Connecticut, General Obligation Bonds, Series 2002: 750 5.000%, 5/01/21 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 815,648 750 5.000%, 5/01/22 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 815,648 2,105 Fairfield, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 2,318,847 5.000%, 4/01/16 (Pre-refunded to 4/01/12) 32 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** (continued) Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: $ 1,000 5.500%, 10/01/32 10/10 at 101.00 AAA $ 1,101,970 2,000 5.500%, 10/01/40 10/10 at 101.00 AAA 2,193,420 1,605 Stamford, Connecticut, General Obligation Bonds, Series 2002, 8/12 at 100.00 AAA 1,780,796 5.000%, 8/15/16 (Pre-refunded to 8/15/12) 500 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 563,800 5.375%, 4/01/17 (Pre-refunded to 4/01/12) - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 6.6% (4.5% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control 10/08 at 102.00 Baa1 532,700 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 250 5.500%, 1/01/15 (Alternative Minimum Tax) No Opt. Call BBB 255,125 510 5.500%, 1/01/20 (Alternative Minimum Tax) 7/05 at 100.00 BBB 513,213 1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,080,170 Series 2000HH, 5.250%, 7/01/29 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 9.9% (6.7% OF TOTAL INVESTMENTS) 785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 862,887 Series 2003A, 5.000%, 10/01/16 1,000 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 1,110,230 Series 2003B, 5.000%, 10/01/12 70 Connecticut Development Authority, Water Facilities Revenue 9/06 at 102.00 AAA 73,745 Bonds, Bridgeport Hydraulic Company, Series 1996, 6.000%, 9/01/36 (Alternative Minimum Tax) - AMBAC Insured South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 816,486 660 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 700,602 ------------------------------------------------------------------------------------------------------------------------------------ $ 48,835 Total Long-Term Investments (cost $49,810,858) - 147.1% 53,099,256 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.4% 506,017 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (48.5)% (17,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 36,105,273 ====================================================================================================================
FORWARD SWAP CONTRACTS OUTSTANDING AT MAY 31, 2005: UNREALIZED NOTIONAL EFFECTIVE TERMINATION APPRECIATION AMOUNT DATE(2) DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------------------------ Agreement with Morgan Stanley dated December 8, 2004, to pay semi-annually the notional amount multiplied by 5.313% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). $200,000 7/18/05 7/18/35 $(17,461) Agreement with JPMorgan dated January 11, 2005, to pay semi-annually the notional amount multiplied by 5.235% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). 850,000 8/17/05 8/17/25 (56,747) ------------------------------------------------------------------------------------------------------------------------------------ $(74,208) ------------------------------------------------------------------------------------------------------------------------------------
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. * Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. Such securities are normally considered to be equivalent to AAA rated securities. See accompanying notes to financial statements. 33 Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) Portfolio of INVESTMENTS May 31, 2005
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 4.0% (2.7% OF TOTAL INVESTMENTS) $ 2,525 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 2,555,149 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 19.9% (13.4% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Educational Facilities Authority, 11/07 at 101.00 AAA 1,058,830 Revenue Bonds, State University System, Series 1997B, 5.250%, 11/01/17 - AMBAC Insured 1,000 Connecticut Health and Educational Facilities Authority, 11/12 at 100.00 AAA 1,099,610 Revenue Bonds, Connecticut State University System, Series 2003E, 5.000%, 11/01/15 - FGIC Insured 285 Connecticut Health and Educational Facilities Authority, 1/15 at 100.00 Aaa 316,236 Revenue Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 - MBIA Insured 3,100 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 3,309,064 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21 - AMBAC Insured 750 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 832,373 Revenue Bonds, University of Hartford, Series 2002E, 5.500%, 7/01/22 - RAAI Insured 1,595 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA 1,704,911 Revenue Bonds, Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21 - FSA Insured 1,500 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,586,685 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 500 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 549,670 Bonds, Series 2002A, 5.250%, 11/15/22 - FGIC Insured 1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,201,882 Series 2003A, 5.125%, 2/15/21 - MBIA Insured 1,000 University of Connecticut, General Obligation Bonds, No Opt. Call AAA 1,112,420 Series 2004A, 5.000%, 1/15/13 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 1.2% (0.8% OF TOTAL INVESTMENTS) 200 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 212,856 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 500 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 549,625 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/21 - RAAI Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 1.2% (0.8% OF TOTAL INVESTMENTS) 750 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call BBB+ 777,450 Housing Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Alternative Minimum Tax) (Mandatory put 12/01/08) ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 3.2% (2.2% OF TOTAL INVESTMENTS) 2,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 2,065,060 Finance Program Bonds, Series 2001D-2, 5.150%, 11/15/22 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 3.2% (2.2% OF TOTAL INVESTMENTS) 2,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 2,077,260 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 12.2% (8.2% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Special Needs Housing Mortgage Finance Program Special Obligation Bonds, Series 2002SNH-1: 1,000 5.000%, 6/15/22 - AMBAC Insured 6/12 at 101.00 AAA 1,073,250 1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 AAA 1,590,030 34 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE (continued) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc., Series 2002A: $ 430 5.000%, 7/01/18 - AMBAC Insured 7/12 at 101.00 AAA $ 467,436 475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 AAA 513,299 260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 AAA 278,335 1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 AAA 1,056,070 600 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 608,802 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 500 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 534,815 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 Connecticut Development Authority, Revenue Bonds, Duncaster Inc., Series 2002: 650 5.125%, 8/01/22 - RAAI Insured 8/12 at 101.00 AA 694,161 1,000 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 AA 1,015,850 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 35.6% (24.1% OF TOTAL INVESTMENTS) Bethel, Connecticut, General Obligation Bonds, Series 2002: 525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aaa 569,783 525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aaa 569,783 525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aaa 561,167 525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aaa 560,474 525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aaa 560,474 1,000 Bridgeport, Connecticut, General Obligation Bonds, No Opt. Call AAA 1,130,770 Series 2004C, 5.250%, 8/15/14 - MBIA Insured 500 Bridgeport, Connecticut, General Obligation Bonds, 9/13 at 100.00 AAA 552,980 Series 2003A, 5.250%, 9/15/23 - FSA Insured 2,500 Connecticut, General Obligation Bonds, Series 2002D, 11/12 at 100.00 AA 2,763,775 5.375%, 11/15/21 1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,063,230 5.000%, 4/15/21 545 Connecticut, General Obligation Bonds, Series 2004D, No Opt. Call Aaa 608,901 5.000%, 12/01/13 - MBIA Insured 450 Farmington, Connecticut, General Obligation Bonds, 9/12 at 101.00 Aa1 490,194 Series 2002, 5.000%, 9/15/20 1,000 Hartford, Connecticut, General Obligation Bonds, Series 2004, No Opt. Call AAA 1,129,970 5.500%, 8/15/11 - MBIA Insured Hartford, Connecticut, General Obligation Bonds, Series 2005A: 600 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 653,088 400 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 405,064 New Canaan, Connecticut, General Obligation Bonds, Series 2002A: 950 4.500%, 5/01/19 5/11 at 100.00 Aaa 981,094 900 4.600%, 5/01/20 5/11 at 100.00 Aaa 930,807 500 4.700%, 5/01/21 5/11 at 100.00 Aaa 518,875 1,445 New Haven, Connecticut, General Obligation Bonds, 11/11 at 101.00 AAA 1,600,901 Series 2002A, 5.250%, 11/01/17 - AMBAC Insured 500 Newtown, Connecticut, General Obligation Bonds, No Opt. Call Aa2 522,895 Series 2004, 4.000%, 6/15/11 Southbury, Connecticut, General Obligation Bonds, Series 2002: 500 4.250%, 12/15/14 12/11 at 101.00 Aa3 525,570 500 4.375%, 12/15/15 12/11 at 101.00 Aa3 526,290 500 4.375%, 12/15/16 12/11 at 101.00 Aa3 523,195 500 4.500%, 12/15/17 12/11 at 101.00 Aa3 523,920 500 4.625%, 12/15/18 12/11 at 101.00 Aa3 525,305 500 4.625%, 12/15/19 12/11 at 101.00 Aa3 522,640 500 4.875%, 12/15/20 12/11 at 101.00 Aa3 530,060 500 4.875%, 12/15/21 12/11 at 101.00 Aa3 528,390 500 5.000%, 12/15/22 12/11 at 101.00 Aa3 535,530 Stratford, Connecticut, General Obligation Bonds, Series 2002: 1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,384,996 630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 636,596 35 Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) (continued) Portfolio of INVESTMENTS May 31, 2005 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 25.0% (16.9% OF TOTAL INVESTMENTS) Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: $ 2,810 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA $ 3,013,107 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,070,940 1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AAA 1,068,250 500 Connecticut, Special Tax Obligation Transportation 1/14 at 100.00 AAA 537,325 Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 60 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AA- 69,043 Purpose Bonds, Series 1992B, 6.125%, 9/01/12 1,245 Connecticut, Special Obligation Rate Reduction Bonds, No Opt. Call AAA 1,370,484 Series 2004A, 5.000%, 6/30/11 3,500 Puerto Rico Infrastructure Financing Authority, Special Tax 1/08 at 101.00 AAA 3,656,065 Revenue Bonds, Series 1997A, 5.000%, 7/01/28 - AMBAC Insured Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G: 890 5.250%, 7/01/17 7/12 at 100.00 BBB 961,423 1,000 5.250%, 7/01/20 7/12 at 100.00 BBB 1,074,490 1,045 5.250%, 7/01/21 7/12 at 100.00 BBB 1,120,188 1,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,156,571 Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 - AMBAC Insured 195 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 BBB- 209,713 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 750 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 BBB 784,493 Refunding Bonds, Matching Fund Loan Note, Series 1998A, 5.500%, 10/01/22 ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 0.7% (0.6% OF TOTAL INVESTMENTS) 415 New Haven, Connecticut, Revenue Refunding Bonds, No Opt. Call AAA 476,897 Air Rights Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 20.7% (14.0% OF TOTAL INVESTMENTS) 3,510 Bridgeport, Connecticut, General Obligation Bonds, 8/11 at 100.00 AAA 3,903,015 Series 2001C, 5.375%, 8/15/18 (Pre-refunded to 8/15/11) - FGIC Insured 500 Connecticut, Special Tax Obligation Transportation 7/12 at 100.00 AAA 565,210 Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/18 (Pre-refunded to 7/01/12) - FSA Insured 400 Connecticut, Special Tax Obligation Transportation 10/11 at 100.00 AAA 435,812 Infrastructure Purpose Bonds, Series 2001A, 4.800%, 10/01/18 (Pre-refunded to 10/01/11) - FSA Insured 2,910 Puerto Rico, General Obligation and Public Improvement 7/08 at 101.00 AAA 3,118,676 Refunding Bonds, Series 1998B, 5.000%, 7/01/24 (Pre-refunded to 7/01/08) - MBIA Insured 3,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 3,290,130 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 570 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 Aaa 646,728 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 (Pre-refunded to 2/01/12) 1,220 University of Connecticut, General Obligation Bonds, 4/12 at 100.00 AA*** 1,375,672 Series 2002A, 5.375%, 4/01/17 (Pre-refunded to 4/01/12) ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 8.4% (5.7% OF TOTAL INVESTMENTS) 720 Connecticut Development Authority, Pollution Control 10/08 at 102.00 Baa1 767,088 Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 1,000 5.500%, 1/01/14 (Alternative Minimum Tax) 7/05 at 100.00 BBB 1,011,600 305 5.500%, 1/01/20 (Alternative Minimum Tax) 7/05 at 100.00 BBB 306,922 3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,294,519 Series 2000HH, 5.250%, 7/01/29 - FSA Insured 36 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 12.5% (8.4% OF TOTAL INVESTMENTS) $ 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA $ 1,302,575 Series 2003A, 5.000%, 10/01/16 2,000 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 2,220,460 Series 2003B, 5.000%, 10/01/12 765 Connecticut Development Authority, Water Facilities Revenue 9/06 at 102.00 A 795,990 Bonds, Bridgeport Hydraulic Company Project, Series 1996, 6.000%, 9/01/36 (Alternative Minimum Tax) South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 2,050 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 2,231,731 1,140 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,210,132 250 Stamford, Connecticut, Water Pollution Control System 11/13 at 100.00 AA+ 264,744 and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 ------------------------------------------------------------------------------------------------------------------------------------ $ 88,635 Total Long-Term Investments (cost $91,520,061) - 147.8% 95,087,839 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.9% 1,236,639 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.7)% (32,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 64,324,478 ====================================================================================================================
FORWARD SWAP CONTRACTS OUTSTANDING AT MAY 31, 2005: UNREALIZED NOTIONAL EFFECTIVE TERMINATION APPRECIATION AMOUNT DATE(2) DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------------------------ Agreement with Morgan Stanley dated December 8, 2004, to pay semi-annually the notional amount multiplied by 5.313% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). $1,300,000 7/18/05 7/18/35 $(113,495) Agreement with JPMorgan dated January 11, 2005, to pay semi-annually the notional amount multiplied by 5.235% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). 1,800,000 8/17/05 8/17/25 (120,170) ------------------------------------------------------------------------------------------------------------------------------------ $(233,665) ------------------------------------------------------------------------------------------------------------------------------------
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. * Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. Such securities are normally considered to be equivalent to AAA rated securities. See accompanying notes to financial statements. 37 Nuveen Massachusetts Premium Income Municipal Fund (NMT) Portfolio of INVESTMENTS May 31, 2005
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 2.1% (1.4% OF TOTAL INVESTMENTS) $ 1,500 Boston Industrial Development Financing Authority, 9/12 at 102.00 Ba3 $ 1,508,805 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 0.8% (0.5% OF TOTAL INVESTMENTS) 550 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 553,283 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 37.4% (25.8% OF TOTAL INVESTMENTS) 230 Massachusetts Education Loan Authority, Student Loan 7/05 at 101.00 AAA 232,666 Revenue Bonds, Issue E, Series 1995, 6.150%, 7/01/10 (Alternative Minimum Tax) - AMBAC Insured 1,550 Massachusetts Educational Finance Authority, Educational 1/12 at 100.00 AAA 1,627,438 Loan Revenue Bonds, Series 2002E, 5.000%, 1/01/13 (Alternative Minimum Tax) - AMBAC Insured 1,745 Massachusetts Development Finance Authority, Revenue 7/15 at 100.00 AAA 1,827,294 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured 1,090 Massachusetts Development Finance Authority, Revenue No Opt. Call A3 1,265,566 Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/29 1,000 Massachusetts Development Finance Authority, Revenue 7/13 at 101.00 Baa1 1,069,230 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 890 Massachusetts Development Finance Authority, Revenue 3/09 at 101.00 A 961,449 Bonds, Curry College, Series 2000A, 6.000%, 3/01/20 - ACA Insured 750 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 AA- 818,070 Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 500 Massachusetts Development Finance Authority, Revenue 9/11 at 101.00 A 539,830 Bonds, Belmont Hills School, Series 2001, 5.375%, 9/01/23 2,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,186,180 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 AAA 527,040 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured 1,500 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 AAA 1,613,460 Revenue Bonds, University of Massachusetts - Worcester Campus, Series 2001B, 5.250%, 10/01/31 - FGIC Insured 555 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 601,243 Revenue Bonds, Williams College, Series 2003H, 5.000%, 7/01/21 500 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 530,505 Revenue Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26 1,000 Massachusetts Health and Educational Facilities Authority, No Opt. Call AAA 1,145,290 Revenue Bonds, Massachusetts Institute of Technology, Series 2004M, 5.250%, 7/01/15 1,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 7/05 at 100.00 Aa1 1,647,352 Whitehead Institute for Biomedical Research, Series 1993, 5.125%, 7/01/26 2,300 Massachusetts Industrial Finance Agency, Revenue Bonds, 9/08 at 101.00 A 2,376,636 Belmont Hill School, Series 1998, 5.250%, 9/01/28 4,000 New England Education Loan Marketing Corporation, No Opt. Call A3 4,260,320 Student Loan Revenue Bonds, Subordinate Series 1992H, 6.900%, 11/01/09 (Alternative Minimum Tax) 375 Puerto Rico Industrial, Tourist, Educational, Medical and 2/09 at 101.00 BBB 390,428 Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999, 5.375%, 2/01/19 725 University of Massachusetts Building Authority, Senior Lien No Opt. Call AAA 807,208 Project Revenue Bonds, Series 2005-1, 5.000%, 5/01/15 - AMBAC Insured 38 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS (continued) $ 1,200 University of Massachusetts Building Authority, 11/13 at 100.00 AAA $ 1,330,680 Senior Lien Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 - AMBAC Insured 1,000 University of Massachusetts Building Authority, Senior 11/14 at 100.00 AAA 1,100,960 Lien Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 13.8% (9.5% OF TOTAL INVESTMENTS) 1,500 Massachusetts Health and Educational Facilities Authority, 7/05 at 101.00 AAA 1,532,325 Revenue Bonds, New England Medical Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/05 at 100.00 AAA 1,015,530 Revenue Bonds, Lahey Clinic Medical Center, Series 1993B, 5.625%, 7/01/15 - MBIA Insured 600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 659,778 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.375%, 5/15/19 - FGIC Insured 2,500 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA- 2,753,025 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 412,481 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 AA 1,056,580 Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 - RAAI Insured 1,250 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 1,339,313 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 1,091,100 Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 11.7% (8.1% OF TOTAL INVESTMENTS) 2,500 Massachusetts Development Finance Authority, GNMA 10/11 at 105.00 AAA 2,825,850 Collateralized Revenue Bonds, VOA Concord Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 1,930 Massachusetts Development Financing Authority, Assisted 12/09 at 102.00 N/R 1,884,606 Living Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31 1,500 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,678,770 Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 415 Massachusetts Housing Finance Agency, Rental Housing 7/10 at 101.00 AAA 438,705 Mortgage Revenue Bonds, Series 1999D, 5.500%, 7/01/13 (Alternative Minimum Tax) - AMBAC Insured 500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 511,660 Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,069,650 Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 0.6% (0.4% OF TOTAL INVESTMENTS) 400 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 430,076 Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.8% (1.9% OF TOTAL INVESTMENTS) 1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue 10/08 at 105.00 AAA 1,400,289 Bonds, Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31 590 Massachusetts Industrial Finance Agency, FHA-Insured 2/06 at 102.00 AAA 610,196 Project Revenue Bonds, Heights Crossing LP, Series 1995, 6.000%, 2/01/15 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 26.4% (18.2% OF TOTAL INVESTMENTS) 500 Ashland, Massachusetts, General Obligation Bonds, 5/15 at 100.00 Aaa 553,720 Series 2004, 5.250%, 5/15/23 - AMBAC Insured 1,180 Boston, Massachusetts, General Obligation Bonds, 8/11 at 100.00 Aa1 1,276,135 Series 2001B, 5.000%, 8/01/15 1,250 Boston, Massachusetts, General Obligation Bonds, 1/15 at 100.00 Aa1 1,380,600 Series 2005A, 5.000%, 1/01/17 645 East Longmeadow, Massachusetts, General Obligation Bonds, 8/11 at 101.00 Aaa 712,035 Series 2001, 5.000%, 8/01/14 - AMBAC Insured 39 Nuveen Massachusetts Premium Income Municipal Fund (NMT) (continued) Portfolio of INVESTMENTS May 31, 2005 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) $ 1,000 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA $ 1,085,560 Series 2003, 5.000%, 2/01/21 - FSA Insured 750 Lowell, Massachusetts, General Obligation Bonds, 12/15 at 100.00 Aaa 831,330 Series 2005, 5.000%, 12/15/18 - MBIA Insured 2,500 Massachusetts Bay Transportation Authority, General No Opt. Call AAA 3,206,825 Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 3,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,863,386 Series 2001D, 6.000%, 11/01/13 - MBIA Insured 980 Monson, Massachusetts, General Obligation Bonds, 5/12 at 101.00 Aaa 1,070,964 Series 2002, 5.250%, 5/15/22 - AMBAC Insured 1,000 Narragansett Regional School District, Massachusetts, 6/10 at 101.00 Aaa 1,159,140 General Obligation Bonds, Series 2000, 6.500%, 6/01/16 - AMBAC Insured 1,260 Norwell, Massachusetts, General Obligation Bonds, No Opt. Call AAA 1,423,649 Series 2003, 5.000%, 11/15/20 - FGIC Insured Springfield, Massachusetts, General Obligation Bonds, Series 2003: 530 5.250%, 1/15/15 - MBIA Insured 1/13 at 100.00 AAA 592,312 1,615 5.250%, 1/15/23 - MBIA Insured 1/13 at 100.00 AAA 1,785,512 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 12.8% (8.8% OF TOTAL INVESTMENTS) 210 Martha's Vineyard Land Bank, Massachusetts, Revenue 5/14 at 100.00 AAA 224,881 Bonds, Series 2004, 5.000%, 5/01/26 - AMBAC Insured 385 Massachusetts Bay Transportation Authority, Senior Lien No Opt. Call AAA 442,411 Sales Tax Revenue Bonds, Series 2004C, 5.250%, 7/01/21 1,000 Massachusetts College Building Authority, Project Revenue No Opt. Call AAA 1,164,130 Refunding Bonds, Series 2003B, 5.375%, 5/01/23 - XLCA Insured 550 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 596,690 Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured 1,500 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 1,637,880 Bonds, Series 2004, 5.250%, 1/01/25 - FGIC Insured 3,000 Massachusetts, Special Obligation Refunding Notes, No Opt. Call Aaa 3,310,530 Federal Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 1,500 Puerto Rico, Highway Revenue Bonds, Highway and No Opt. Call AAA 1,784,220 Transportation Authority, Series 2003AA, 5.500%, 7/01/19 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 11.6% (8.0% OF TOTAL INVESTMENTS) 2,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 2,107,940 5.000%, 7/01/33 - MBIA Insured 1,900 Massachusetts Port Authority, Revenue Bonds, Series 2005A, 7/15 at 100.00 AAA 2,050,594 5.000%, 7/01/23 - AMBAC Insured 4,000 Massachusetts Port Authority, Special Facilities Revenue 9/06 at 102.00 AAA 4,137,200 Bonds, US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 (Alternative Minimum Tax) - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 10.7% (7.3% OF TOTAL INVESTMENTS) 1,250 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 AA*** 1,379,175 Series 2004B, 5.000%, 8/01/24 (Pre-refunded to 8/01/14) 2,455 Massachusetts Health and Educational Facilities Authority, 8/10 at 100.00 AAA 2,581,653 FHA-Insured Revenue Bonds, Malden Hospital, Series 1982A, 5.000%, 8/01/16 (Pre-refunded to 8/01/10) 2,000 Massachusetts Health and Educational Facilities Authority, 7/06 at 100.00 Aaa 2,026,920 Revenue Bonds, Daughters of Charity National Health System - Carney Hospital, Series 1994D, 6.100%, 7/01/14 (Pre-refunded to 7/01/06) 410 Massachusetts Health and Educational Facilities Authority, 7/21 at 100.00 AAA 460,615 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded to 7/01/21) - MBIA Insured 845 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/05 at 100.00 AAA 1,197,441 13.000%, 7/01/13 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 3.0% (2.1% OF TOTAL INVESTMENTS) 1,000 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA 1,107,950 Recovery Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/16 - MBIA Insured 1,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 1,028,010 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) 40 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 11.7% (8.0% OF TOTAL INVESTMENTS) $ 2,000 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA $ 2,146,660 General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 1,500 Massachusetts Water Resources Authority, General Revenue 8/17 at 100.00 AAA 1,622,984 Bonds, Series 2005A, 5.000%, 8/01/28 - MBIA Insured 1,250 Massachusetts Water Pollution Abatement Trust, Revenue 8/12 at 100.00 AAA 1,365,987 Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 1,500 Massachusetts Water Pollution Abatement Trust, Pooled 8/13 at 100.00 AAA 1,621,020 Loan Program Bonds, Series 9, 5.000%, 8/01/22 1,500 Massachusetts Water Pollution Abatement Trust, Pooled 8/14 at 100.00 AAA 1,603,980 Loan Program Bonds, Series 10, 5.000%, 8/01/26 ------------------------------------------------------------------------------------------------------------------------------------ $ 95,675 Total Long-Term Investments (cost $98,682,916) - 145.4% 104,170,906 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.1% 1,476,747 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (47.5)% (34,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 71,647,653 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. * Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. Such securities are normally considered to be equivalent to AAA rated securities. N/R Investment is not rated. See accompanying notes to financial statements. 41 Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) Portfolio of INVESTMENTS May 31, 2005
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 1.6% (1.2% OF TOTAL INVESTMENTS) $ 500 Boston Industrial Development Financing Authority, 9/12 at 102.00 Ba3 $ 502,935 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 32.2% (21.9% OF TOTAL INVESTMENTS) 1,085 Massachusetts Educational Finance Authority, Educational 7/10 at 100.00 AAA 1,108,186 Loan Revenue Bonds, Series 2001E, 5.300%, 1/01/16 (Alternative Minimum Tax) - AMBAC Insured 495 Massachusetts Development Finance Authority, Revenue 7/15 at 100.00 AAA 518,344 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured 1,000 Massachusetts Development Finance Authority, Revenue 5/29 at 105.00 A3 1,233,170 Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/59 500 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 AA- 545,380 Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 1,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,093,090 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 2,000 Massachusetts Health and Educational Facilities Authority, 2/11 at 100.00 AA- 2,179,240 Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36 500 Massachusetts Health and Educational Facilities Authority, No Opt. Call AAA 572,645 Revenue Bonds, Massachusetts Institute of Technology, Series 2004M, 5.250%, 7/01/15 250 University of Massachusetts Building Authority, Senior Lien No Opt. Call AAA 278,348 Project Revenue Bonds, Series 2005-1, 5.000%, 5/01/15 - AMBAC Insured 1,250 University of Massachusetts Building Authority, Senior Lien 11/10 at 100.00 AAA 1,350,638 Project Revenue Bonds, Series 2000-2, 5.250%, 11/01/20 - AMBAC Insured 600 University of Massachusetts Building Authority, Senior Lien 11/13 at 100.00 AAA 665,340 Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 - AMBAC Insured 250 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 275,240 Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 13.6% (9.3% OF TOTAL INVESTMENTS) 1,000 Massachusetts Health and Educational Facilities Authority, 7/09 at 101.00 AA- 1,050,080 Revenue Bonds, Partners HealthCare System Inc., Series 1999B, 5.125%, 7/01/19 1,000 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA- 1,101,210 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 549,975 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 375 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A 404,854 Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 500 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 535,725 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 500 Massachusetts Health and Educational Facilities Authority, 7/14 at 100.00 BB 523,820 Revenue Bonds, Northern Berkshire Community Services Inc., Series 2004B, 6.375%, 7/01/34 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 13.1% (8.9% OF TOTAL INVESTMENTS) 1,000 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,119,180 Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 1,250 Massachusetts Housing Finance Agency, Rental Housing 1/11 at 100.00 AAA 1,313,375 Mortgage Revenue Bonds, Series 2001A, 5.850%, 7/01/35 (Alternative Minimum Tax) - AMBAC Insured 500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 511,660 Bonds, Series 2003S, 5.050%, 12/01/23 Alternative Minimum Tax) 42 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY (continued) $ 1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA $ 1,069,650 Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 2.9% (1.9% OF TOTAL INVESTMENTS) 840 Massachusetts Housing Finance Agency, Single Family 6/10 at 100.00 AAA 872,206 Housing Revenue Bonds, Series 82, 5.375%, 12/01/20 (Alternative Minimum Tax) - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 0.7% (0.6% OF TOTAL INVESTMENTS) 200 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 215,038 Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 2.3% (1.5% OF TOTAL INVESTMENTS) 655 Massachusetts Development Finance Authority, First 7/11 at 102.00 BBB- 693,580 Mortgage Revenue Bonds, Berkshire Retirement Community - Edgecombe Project, Series 2001A, 6.750%, 7/01/21 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 33.4% (22.7% OF TOTAL INVESTMENTS) 310 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 Aaa 343,306 5.250%, 5/15/23 - AMBAC Insured 1,000 Boston, Massachusetts, General Obligation Bonds, 2/11 at 100.00 Aa 1,062,710 Series 2001A, 5.000%, 2/01/20 2,000 Brookline, Massachusetts, General Obligation Bonds, 4/10 at 101.00 Aaa 2,204,280 Series 2000, 5.375%, 4/01/17 500 East Longmeadow, Massachusetts, General Obligation Bonds, 8/11 at 101.00 Aaa 551,965 Series 2001, 5.000%, 8/01/14 - AMBAC Insured 440 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 477,646 Series 2003, 5.000%, 2/01/21 - FSA Insured 1,675 Lawrence, Massachusetts, General Obligation Bonds, 2/11 at 100.00 Aaa 1,785,316 Series 2001, 5.000%, 2/01/21 - AMBAC Insured 1,095 Lynn, Massachusetts, General Obligation Bonds, 8/11 at 101.00 Aaa 1,231,623 Series 2001, 5.375%, 8/15/12 - FGIC Insured 750 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AA 879,180 Series 2002D, 5.500%, 8/01/19 500 Norwell, Massachusetts, General Obligation Bonds, No Opt. Call AAA 564,940 Series 2003, 5.000%, 11/15/20 - FGIC Insured Springfield, Massachusetts, General Obligation Bonds, Series 2003: 500 5.250%, 1/15/15 - MBIA Insured 1/13 at 100.00 AAA 558,785 500 5.250%, 1/15/23 - MBIA Insured 1/13 at 100.00 AAA 552,790 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 17.1% (11.6% OF TOTAL INVESTMENTS) 395 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA 422,990 Series 2004, 5.000%, 5/01/26 - AMBAC Insured 210 Massachusetts Bay Transportation Authority, Assessment 7/10 at 100.00 AAA 224,950 Bonds, Series 2000A, 5.250%, 7/01/30 385 Massachusetts Bay Transportation Authority, Senior Lien No Opt. Call AAA 442,411 Sales Tax Revenue Bonds, Series 2004C, 5.250%, 7/01/21 230 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 249,525 Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured 750 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 818,940 Bonds, Series 2004, 5.250%, 1/01/25 - FGIC Insured 1,250 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aaa 1,379,388 Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 1,000 Puerto Rico Municipal Finance Agency, Series 1999A, 8/09 at 101.00 AAA 1,121,080 6.000%, 8/01/16 - FSA Insured 500 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 571,020 Loan Note, Series 1999A, 6.375%, 10/01/19 ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.3% (4.3% OF TOTAL INVESTMENTS) 800 Massachusetts Port Authority, Revenue Bonds, Series 2005A, 7/15 at 100.00 AAA 863,408 5.000%, 7/01/23 - AMBAC Insured 1,000 Massachusetts Port Authority, Special Facilities Revenue 7/07 at 102.00 AAA 1,056,240 Bonds, BOSFUEL Corporation, Series 1997, 5.500%, 7/01/18 (Alternative Minimum Tax) - MBIA Insured 43 Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) (continued) Portfolio of INVESTMENTS May 31, 2005 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 9.5% (6.4% OF TOTAL INVESTMENTS) $ 1,000 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA $ 1,131,620 Asset-Backed Bonds, Series 2000, 6.000%, 7/01/26 (Pre-refunded to 7/01/10) 790 Massachusetts Bay Transportation Authority, Assessment 7/10 at 100.00 AAA 870,659 Bonds, Series 2000A, 5.250%, 7/01/30B (Pre-refunded to 7/01/10) 500 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 AA*** 551,670 Series 2004B, 5.000%, 8/01/24 (Pre-refunded to 8/01/14) 300 Massachusetts Water Resources Authority, General Revenue 8/10 at 101.00 AAA 338,772 Bonds, Series 2000A, 5.750%, 8/01/30 (Pre-refunded to 8/01/10) - FGIC Insured ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.6% (3.8% OF TOTAL INVESTMENTS) 1,070 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA 1,196,742 Recovery Revenue Bonds, SEMASS System, Series 2001A, 5.625%, 1/01/14 - MBIA Insured 500 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 514,004 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 8.7% (5.9% OF TOTAL INVESTMENTS) 530 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 568,864 General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 1,405 Massachusetts Water Pollution Abatement Trust, Revenue 8/09 at 101.00 AAA 1,542,100 Bonds, MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29 500 Massachusetts Water Pollution Abatement Trust, Revenue 8/12 at 100.00 AAA 546,394 Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 ------------------------------------------------------------------------------------------------------------------------------------ $ 41,135 Total Long-Term Investments (cost $42,282,483) - 147.0% 44,906,227 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.1% 633,134 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (49.1)% (15,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 30,539,361 ====================================================================================================================
FORWARD SWAP CONTRACTS OUTSTANDING AT MAY 31, 2005: UNREALIZED NOTIONAL EFFECTIVE TERMINATION APPRECIATION AMOUNT DATE(2) DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------------------------ Agreement with Morgan Stanley dated December 2, 2004, to pay semi-annually the notional amount multiplied by 5.465% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). $450,000 7/11/05 7/11/25 $(44,232) Agreement with Morgan Stanley dated December 8, 2004, to pay semi-annually the notional amount multiplied by 5.313% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). 300,000 7/18/05 7/18/35 (26,191) ------------------------------------------------------------------------------------------------------------------------------------ $(70,423) ------------------------------------------------------------------------------------------------------------------------------------
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. * Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. Such securities are normally considered to be equivalent to AAA rated securities. See accompanying notes to financial statements. 44 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) Portfolio of INVESTMENTS May 31, 2005
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 24.8% (16.6% OF TOTAL INVESTMENTS) $ 500 Massachusetts Development Finance Authority, Revenue 7/13 at 101.00 Baa1 $ 563,150 Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 2,250 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 A1 2,350,328 Bonds, Middlesex School, Series 2003, 5.000%, 9/01/33 3,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 3,174,360 Revenue Bonds, Boston College, Series 2003N, 5.125%, 6/01/37 1,500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 AAA 1,581,120 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured 2,140 University of Massachusetts Building Authority, Senior 11/14 at 100.00 AAA 2,394,767 Lien Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 9.1% (6.1% OF TOTAL INVESTMENTS) 2,500 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 2,649,500 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 - FGIC Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 1,049,900 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 13.1% (8.8% OF TOTAL INVESTMENTS) 1,750 Massachusetts Development Finance Authority, GNMA 12/12 at 105.00 AAA 1,966,598 Collateralized Revenue Bonds, Neville Communities, Series 2002A, 6.000%, 6/20/44 1,265 Massachusetts Housing Finance Agency, Rental Housing 7/12 at 100.00 AAA 1,298,232 Mortgage Revenue Bonds, Series 2002H, 5.200%, 7/01/42 - FSA Insured 2,000 Massachusetts Housing Finance Agency, Housing Bonds, 12/12 at 100.00 AA- 2,037,380 Series 2003H, 5.125%, 6/01/43 ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 31.6% (21.2% OF TOTAL INVESTMENTS) 1,280 Littleton, Massachusetts, General Obligation Bonds, 1/13 at 101.00 AAA 1,389,043 Series 2003, 5.000%, 1/15/21 - FGIC Insured 3,000 Massachusetts, General Obligation Bonds, Consolidated No Opt. Call AAA 3,452,820 Loan, Series 2004B, 5.250%, 8/01/21 - FSA Insured (PLG) 1,025 Maynard, Massachusetts, General Obligation Bonds, 2/13 at 101.00 Aaa 1,162,207 Series 2003, 5.500%, 2/01/19 - MBIA Insured 1,705 North Attleborough, Massachusetts, General Obligation 7/14 at 101.00 Aaa 1,906,105 Bonds, Series 2004, 5.000%, 7/15/15 - FGIC Insured 1,500 Pittsfield, Massachusetts, General Obligation Bonds, 4/12 at 101.00 AAA 1,631,355 Series 2002, 5.000%, 4/15/18 - MBIA Insured 3,000 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 3,316,740 Series 2003, 5.250%, 1/15/22 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 25.6% (17.2% OF TOTAL INVESTMENTS) 3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue 5/13 at 100.00 AAA 3,163,230 Bonds, Series 2002, 5.000%, 5/01/32 - AMBAC Insured 2,790 Massachusetts College Building Authority, Project Revenue 5/13 at 100.00 AAA 3,019,645 Refunding Bonds, Series 2003A, 5.250%, 5/01/22 - XLCA Insured Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street Redevelopment, M/SRBC Project, Series 2002A: 1,475 5.125%, 8/01/28 - MBIA Insured 2/12 at 100.00 AAA 1,559,591 1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AAA 1,580,670 1,000 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 1,099,550 Bonds, Series 2004, 5.250%, 1/01/21 - FGIC Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 2.6% (1.8% OF TOTAL INVESTMENTS) 1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 1,053,970 5.000%, 7/01/33 - MBIA Insured 45 Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) (continued) Portfolio of INVESTMENTS May 31, 2005 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 25.1% (16.8% OF TOTAL INVESTMENTS) $ 3,000 Massachusetts Bay Transportation Authority, Senior Sales 7/12 at 100.00 AAA $ 3,322,710 Tax Revenue Refunding Bonds, Series 2002A, 5.000%, 7/01/27 (Pre-refunded to 7/01/12) - FGIC Insured 3,000 Massachusetts, General Obligation Bonds, Consolidated Loan, 11/11 at 100.00 AAA 3,275,460 Series 2001D, 5.000%, 11/01/20 (Pre-refunded to 11/01/11) - MBIA Insured 2,145 Massachusetts, General Obligation Bonds, Consolidated 1/13 at 100.00 AAA 2,390,796 Loan, Series 2003A, 5.250%, 1/01/18 (Pre-refunded to 1/01/13) - AMBAC Insured 845 Massachusetts Port Authority, Revenue Bonds, 7/05 at 100.00 AAA 1,197,441 Series 1982, 13.000%, 7/01/13 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.3% (3.6% OF TOTAL INVESTMENTS) 1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,620,255 Series 2000HH, 5.250%, 7/01/29 - FSA Insured 500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/12 at 101.00 AAA 538,704 Series 2002II, 5.125%, 7/01/26 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 11.8% (7.9% OF TOTAL INVESTMENTS) 1,900 Lynn Water and Sewer Commission, Massachusetts, General 12/13 at 100.00 AAA 2,009,800 Revenue Bonds, Series 2003A, 5.000%, 12/01/32 - MBIA Insured 1,000 Massachusetts Water Resources Authority, General Revenue 8/13 at 100.00 AAA 1,075,810 Bonds, Series 2004D, 5.000%, 8/01/24 - MBIA Insured 1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA 1,149,950 Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured 495 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 AAA 544,044 General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 - MBIA Insured ------------------------------------------------------------------------------------------------------------------------------------ $ 55,565 Total Long-Term Investments (cost $57,178,561) - 149.0% 60,525,231 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.5% 586,003 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (50.5)% (20,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 40,611,234 ====================================================================================================================
FORWARD SWAP CONTRACTS OUTSTANDING AT MAY 31, 2005:
UNREALIZED NOTIONAL EFFECTIVE TERMINATION APPRECIATION AMOUNT DATE(2) DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------------------------ Agreement with Goldman Sachs dated December 7, 2004, to pay semi-annually the notional amount multiplied by 5.401% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). $2,800,000 7/18/05 7/18/35 $(283,806) Agreement with Goldman Sachs dated January 10, 2005, to pay semi-annually the notional amount multiplied by 5.251% (annualized) and receive quarterly the notional amount multiplied by the three-month USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates). 1,100,000 8/16/05 8/16/25 (75,763) ------------------------------------------------------------------------------------------------------------------------------------ $(359,569) ------------------------------------------------------------------------------------------------------------------------------------
At least 80% of the Fund's net assets (including net assets attributable to Preferred shares) are invested in municipal securities that are either covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance which ensures the timely payment of principal and interest. Up to 20% of the Fund's net assets (including net assets attributable to Preferred shares) may be invested in municipal securities that are (i) either backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities (also ensuring the timely payment of principal and interest), or (ii) municipal bonds that are rated, at the time of investment, within the four highest grades (Baa or BBB or better by Moody's, S&P or Fitch) or unrated but judged to be of comparable quality by the Adviser. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. * Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. (PLG) Portion of security, with an aggregate market value of $303,848, has been pledged to collateralize the net payment obligations under forward swap contracts. See accompanying notes to financial statements. 46 Nuveen Missouri Premium Income Municipal Fund (NOM) Portfolio of INVESTMENTS May 31, 2005
PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.3% (2.3% OF TOTAL INVESTMENTS) $ 1,000 Missouri Development Finance Board, Solid Waste Disposal No Opt. Call AA- $ 1,117,980 Revenue Bonds, Procter and Gamble Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 6.2% (4.3% OF TOTAL INVESTMENTS) 625 Missouri Health and Educational Facilities Authority, Revenue 6/10 at 100.00 Baa2 673,025 Bonds, Maryville University of St. Louis, Series 2000, 6.750%, 6/15/30 500 Missouri Health and Educational Facilities Authority, Revenue 2/08 at 101.00 A3 523,845 Bonds, St. Louis Priory School, Series 2000, 5.650%, 2/01/25 365 Missouri Health and Educational Facilities Authority, Revenue 4/11 at 100.00 Aaa 403,299 Bonds, Webster University, Series 2001, 5.500%, 4/01/18 - MBIA Insured 500 St. Louis County Industrial Development Authority, Missouri, 6/05 at 100.00 N/R 510,700 Revenue Bonds, Kiel Center Multipurpose Arena, Series 1992, 7.875%, 12/01/24 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ HEALTHCARE - 31.6% (21.8% OF TOTAL INVESTMENTS) 1,800 Johnson County, Missouri, Hospital Revenue Bonds, Western 6/10 at 100.00 AA 1,976,634 Missouri Medical Center, Series 2000, 6.000%, 6/01/20 - RAAI Insured 750 Joplin Industrial Development Authority, Missouri, Health 2/15 at 102.00 BBB+ 789,255 Facilities Revenue Bonds, Freeman Health System, Series 2004, 5.500%, 2/15/29 2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 2,663,600 Bonds, SSM Healthcare System, Series 2001A, 5.250%, 6/01/28 - AMBAC Insured 500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 532,720 Bonds, St. Luke's Health System, Series 2001, 5.250%, 12/01/26 - FSA Insured Missouri Health and Educational Facilities Authority, Revenue Bonds, BJC Health System, Series 2003: 1,500 5.125%, 5/15/25 5/13 at 100.00 AA 1,589,865 1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,231,126 500 Missouri Health and Educational Facilities Authority, Revenue 2/14 at 100.00 BBB+ 533,765 Bonds, Lake Regional Health System, Series 2003, 5.700%, 2/15/34 425 Missouri Health and Educational Facilities Authority, Revenue 2/06 at 102.00 BBB+ 438,749 Bonds, Lake Regional Health System, Series 1996, 6.500%, 2/15/21 1,000 Missouri Health and Educational Facilities Authority, Revenue 12/10 at 101.00 A 1,082,910 Bonds, St. Anthony's Medical Center, Series 2000, 6.250%, 12/01/30 ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 7.0% (4.8% OF TOTAL INVESTMENTS) 625 Missouri Housing Development Commission, Multifamily 12/11 at 100.00 AA 660,175 Housing Revenue Bonds, Series 2001II, 5.250%, 12/01/16 500 St. Charles County Industrial Development Authority, 4/08 at 102.00 AAA 513,935 Missouri, FHA-Insured Multifamily Housing Revenue Bonds, Ashwood Apartments, Series 1998A, 5.600%, 4/01/30 (Alternative Minimum Tax) - FSA Insured 545 St. Louis County Industrial Development Authority, Missouri, 4/07 at 102.00 AAA 577,869 GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997A, 5.950%, 4/20/17 600 St. Louis County Industrial Development Authority, Missouri, 4/07 at 102.00 AAA 635,592 GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997B, 6.000%, 10/20/15 (Alternative Minimum Tax) 47 Nuveen Missouri Premium Income Municipal Fund (NOM) (continued) Portfolio of INVESTMENTS May 31, 2005 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 1.6% (1.1% OF TOTAL INVESTMENTS) $ 150 Missouri Housing Development Commission, Single Family 3/06 at 105.00 AAA $ 151,101 Mortgage Revenue Bonds, Homeownership Loan Program, Series 1995C, 7.250%, 9/01/26 (Alternative Minimum Tax) 235 Missouri Housing Development Commission, Single Family 9/06 at 105.00 AAA 237,247 Mortgage Revenue Bonds, Homeownership Loan Program, Series 1996B, 7.550%, 9/01/27 (Alternative Minimum Tax) 155 Missouri Housing Development Commission, Single Family 3/10 at 100.00 AAA 163,455 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 5.6% (3.8% OF TOTAL INVESTMENTS) 1,750 Cole County Industrial Development Authority, Missouri, 2/14 at 100.00 N/R 1,847,580 Revenue Bonds, Lutheran Senior Services - Heisinger Project, Series 2004, 5.500%, 2/01/35 50 Lees Summit Industrial Development Authority, Missouri, 8/09 at 101.00 N/R 53,571 Health Facilities Revenue Bonds, John Knox Village, Series 1999, 6.000%, 8/15/17 ------------------------------------------------------------------------------------------------------------------------------------ MATERIALS - 2.3% (1.6% OF TOTAL INVESTMENTS) 750 Sugar Creek, Missouri, Industrial Development Revenue 6/13 at 101.00 BBB 780,578 Bonds, Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax) ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 31.2% (21.5% OF TOTAL INVESTMENTS) 300 Branson Reorganized School District R-4, Taney County, 3/15 at 100.00 AAA 322,125 Missouri, General Obligation Bonds, Series 2005, 5.000%, 3/01/25 (WI, settling 6/01/05) - FSA Insured 500 Camdenton Reorganized School District R3, Camden County, No Opt. Call AAA 553,640 Missouri, General Obligation Bonds, Series 2005, 5.250%, 3/01/24 - FSA Insured 500 Jackson County School District R-7, Lees Summit, 3/12 at 100.00 AAA 549,805 Missouri, General Obligation Refunding and Improvement Bonds, Series 2002, 5.250%, 3/01/18 - FSA Insured 1,630 North Kansas City School District, Missouri, General 3/13 at 100.00 AA+ 1,760,156 Obligation Bonds, Series 2003A, 5.000%, 3/01/23 1,000 Puerto Rico, General Obligation and Public Improvement No Opt. Call AAA 1,191,860 Bonds, Series 2001A, 5.500%, 7/01/20 - MBIA Insured 2,020 Ritenour Consolidated School District, St. Louis County, No Opt. Call AAA 2,456,360 Missouri, General Obligation Bonds, Series 1995, 7.375%, 2/01/12 - FGIC Insured 1,145 St. Charles County Francis Howell School District, Missouri, No Opt. Call AAA 1,238,821 General Obligation Refunding Bonds, Series 1994A, 7.800%, 3/01/08 - FGIC Insured 350 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 387,321 General Obligation Bonds, Series 2004, 5.250%, 3/01/20 - FSA Insured 645 St. Louis Board of Education, Missouri, General Obligation No Opt. Call AAA 708,146 Refunding Bonds, Series 1993A, 8.500%, 4/01/07 - FGIC Insured 1,405 St. Louis Board of Education, Missouri, General Obligation 4/13 at 100.00 AAA 1,525,170 Refunding Bonds, Series 2003A, 5.000%, 4/01/19 - FSA Insured ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 34.5% (23.9% OF TOTAL INVESTMENTS) 600 Chesterfield, Missouri, Certificates of Participation, 12/15 at 100.00 Aaa 649,158 Series 2005, 5.000%, 12/01/24 - FGIC Insured 750 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R 775,395 Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2002, 6.125%, 10/01/21 750 Howard Bend Levee District, St. Louis County, Missouri, 3/09 at 101.00 N/R 791,797 Levee District Improvement Bonds, Series 1999, 5.850%, 3/01/19 1,000 Kansas City Land Clearance Redevelopment Authority, 12/05 at 102.00 AAA 1,034,120 Missouri, Lease Revenue Bonds, Municipal Auditorium and Muehlebach Hotel Redevelopment Projects, Series 1995A, 5.900%, 12/01/18 - FSA Insured 2,000 Missouri Development Finance Board, Kansas City, 4/10 at 100.00 AAA 2,207,760 Infrastructure Facilities Revenue Bonds, Midtown Redevelopment Project, Series 2000A, 5.750%, 4/01/22 - MBIA Insured 450 Monarch-Chesterfield Levee District, St. Louis County, 3/10 at 101.00 AAA 501,404 Missouri, Levee District Improvement Bonds, Series 1999, 5.750%, 3/01/19 - MBIA Insured 48 PRINCIPAL OPTIONAL CALL MARKET AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 600 Riverside, Missouri, Tax Increment Revenue Bonds, 5/15 at 100.00 BBB $ 624,204 L-385 Levee Project, Series 2004, 5.250%, 5/01/20 400 St. Joseph Industrial Development Authority, Missouri, 11/14 at 100.00 N/R 405,112 Tax Increment Bonds, Shoppes at North Village Project, Series 2005A, 5.500%, 11/01/27 1,000 St. Louis Municipal Finance Corporation, Missouri, 2/12 at 100.00 Aaa 1,129,880 Leasehold Revenue Bonds, Carnahan Courthouse, Series 2002A, 5.750%, 2/15/16 - FGIC Insured 2,000 Springfield Public Building Corporation, Missouri, Lease 6/10 at 100.00 AAA 2,253,560 Revenue Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 - AMBAC Insured 1,380 Springfield Center City Development Corporation, Missouri, 11/11 at 100.00 Aaa 1,473,467 Lease Revenue Bonds, Jordan Valley Park Parking Garage, Series 2002D, 5.000%, 11/01/22 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 4.7% (3.2% OF TOTAL INVESTMENTS) 500 Kansas City, Missouri, Passenger Facility Charge Revenue 4/11 at 101.00 AAA 520,315 Bonds, Kansas City International Airport, Series 2001, 5.000%, 4/01/23 (Alternative Minimum Tax) - AMBAC Insured 1,000 St. Louis Land Clearance Redevelopment Authority, Missouri, 9/09 at 102.00 N/R 1,083,220 Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19 ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED *** - 7.5% (5.1% OF TOTAL INVESTMENTS) 500 St. Louis County, Missouri, GNMA Collateralized Mortgage No Opt. Call AAA 586,210 Revenue Bonds, Series 1993D, 5.650%, 7/01/20 Alternative Minimum Tax) 750 St. Louis County Pattonville School District R3, Missouri, 3/10 at 101.00 AAA 845,302 General Obligation Bonds, Series 2000, 5.750%, 3/01/17 (Pre-refunded to 3/01/10) - FGIC Insured 950 Texas County, Missouri, Hospital Revenue Bonds, Texas 6/10 at 100.00 N/R*** 1,120,069 County Memorial Hospital, Series 2000, 7.250%, 6/15/25 (Pre-refunded to 6/15/10) ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.6% (3.9% OF TOTAL INVESTMENTS) 1,800 Springfield Public Utilities Board, Missouri, Certificates 12/09 at 100.00 AAA 1,918,854 of Participation, Series 2001, 5.000%, 12/01/17 - AMBAC Insured ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 3.9% (2.7% OF TOTAL INVESTMENTS) 640 Metropolitan St. Louis Sewerage District, Missouri, Revenue 5/14 at 100.00 AAA 694,330 Bonds, Wastewater System, Series 2004A, 5.000%, 5/01/20 - MBIA Insured 350 Missouri Environmental Improvement and Energy Resources No Opt. Call Aaa 419,425 Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program - Kansas City Project, Series 1997C, 6.750%, 1/01/12 210 Missouri Environmental Improvement and Energy Resources 1/06 at 101.00 Aaa 215,554 Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program - Multi-Participants, Series 1996D, 5.875%, 1/01/15 ------------------------------------------------------------------------------------------------------------------------------------ $ 45,605 Total Long-Term Investments (cost $46,168,950) - 145.0% 49,631,116 =============----------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.8% 588,187 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (46.8)% (16,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 34,219,303 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. * Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. ** Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's or Moody's rating. *** Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensures the timely payment of principal and interest. Such securities are normally considered to be equivalent to AAA rated securities. N/R Investment is not rated. (WI) Security purchased on a when-issued basis. See accompanying notes to financial statements. 49 Statement of ASSETS AND LIABILITIES May 31, 2005
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at market value (cost $111,031,132, $54,847,253, $49,810,858 and $91,520,061, respectively) $117,358,913 $58,132,275 $53,099,256 $95,087,839 Cash 1,310,843 82,300 -- 163,201 Receivables: Interest 1,689,456 752,644 667,369 1,350,855 Investments sold 125,000 60,000 -- -- Other assets 9,110 7,711 217 4,537 ------------------------------------------------------------------------------------------------------------------------------------ Total assets 120,493,322 59,034,930 53,766,842 96,606,432 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft -- -- 47,988 -- Payable for investments purchased 557,319 -- -- -- Forward swaps, at value -- 33,381 74,208 233,665 Accrued expenses: Management fees 65,067 17,032 15,490 26,224 Other 31,397 14,814 18,705 20,224 Preferred share dividends payable 10,385 5,608 5,178 1,841 ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 664,168 70,835 161,569 281,954 ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 81,529,154 $39,464,095 $36,105,273 $64,324,478 ==================================================================================================================================== Common shares outstanding 5,343,880 2,564,283 2,309,188 4,350,795 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 15.26 $ 15.39 $ 15.64 $ 14.78 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 53,439 $ 25,643 $ 23,092 $ 43,508 Paid-in surplus 74,217,415 36,350,160 32,687,084 61,393,433 Undistributed (Over-distribution of) net investment income 343,604 267,054 235,291 149,196 Accumulated net realized gain (loss) from investments and forward swaps 586,915 (430,403) (54,384) (595,772) Net unrealized appreciation (depreciation) of investments and forward swaps 6,327,781 3,251,641 3,214,190 3,334,113 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 81,529,154 $39,464,095 $36,105,273 $64,324,478 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 50
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at market value (cost $98,682,916, $42,282,483, $57,178,561 and $46,168,950, respectively) $104,170,906 $44,906,227 $60,525,231 $49,631,116 Cash -- 38,274 -- 21,801 Receivables: Interest 1,492,636 694,923 907,529 824,187 Investments sold 135,683 -- 115,564 105,156 Other assets 7,123 7,666 6,103 2,812 ------------------------------------------------------------------------------------------------------------------------------------ Total assets 105,806,348 45,647,090 61,554,427 50,585,072 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft 65,615 -- 39,549 -- Payable for investments purchased -- -- -- 317,049 Forward swaps, at value -- 70,423 359,569 -- Accrued expenses: Management fees 57,310 13,148 22,621 27,242 Other 26,454 19,598 12,324 17,643 Preferred share dividends payable 9,316 4,560 9,130 3,835 ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 158,695 107,729 443,193 365,769 ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 71,647,653 $30,539,361 $40,611,234 $34,219,303 ==================================================================================================================================== Common shares outstanding 4,744,935 1,951,293 2,719,407 2,264,054 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 15.10 $ 15.65 $ 14.93 $ 15.11 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 47,449 $ 19,513 $ 27,194 $ 22,641 Paid-in surplus 65,853,278 27,622,590 38,316,314 30,232,465 Undistributed (Over-distribution of) net investment income 569,821 208,135 (112,524) 315,546 Accumulated net realized gain (loss) from investments and forward swaps (310,885) 135,802 (606,851) 186,485 Net unrealized appreciation (depreciation) of investments and forward swaps 5,487,990 2,553,321 2,987,101 3,462,166 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 71,647,653 $30,539,361 $40,611,234 $34,219,303 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 51 Statement of OPERATIONS Year Ended May 31, 2005
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $5,667,729 $2,743,901 $2,424,683 $4,205,732 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 763,901 374,425 342,275 613,397 Preferred shares -- auction fees 95,750 48,750 43,750 80,000 Preferred shares -- dividend disbursing agent fees 10,000 10,000 10,000 10,000 Shareholders' servicing agent fees and expenses 15,541 1,798 1,369 1,522 Custodian's fees and expenses 33,291 18,653 16,532 26,882 Trustees' fees and expenses 2,566 1,198 1,245 2,183 Professional fees 13,501 11,314 11,158 12,229 Shareholders' reports -- printing and mailing expenses 20,276 11,171 10,421 16,293 Stock exchange listing fees 10,762 218 196 370 Investor relations expense 17,082 6,568 6,207 10,692 Other expenses 14,309 13,140 11,785 13,489 ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 996,979 497,235 454,938 787,057 Custodian fee credit (3,704) (3,145) (3,332) (3,808) Expense reimbursement -- (174,439) (159,459) (304,824) ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 993,275 319,651 292,147 478,425 ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 4,674,454 2,424,250 2,132,536 3,727,307 ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from investments 695,966 201,225 165,154 189,726 Net realized gain (loss) from forward swaps -- (178,890) (182,494) (508,058) Change in net unrealized appreciation (depreciation) of investments 3,288,927 2,203,567 1,771,598 4,159,129 Change in net unrealized appreciation (depreciation) of forward swaps -- (33,381) (74,208) (233,665) ------------------------------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain 3,984,893 2,192,521 1,680,050 3,607,132 ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (466,107) (217,938) (197,732) (418,929) From accumulated net realized gains from investments (2,895) -- (6,485) -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (469,002) (217,938) (204,217) (418,929) ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from operations $8,190,345 $4,398,833 $3,608,369 $6,915,510 ====================================================================================================================================
See accompanying notes to financial statements. 52
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $5,196,357 $2,149,129 $2,814,081 $2,545,613 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 671,289 290,345 387,115 319,087 Preferred shares -- auction fees 85,000 37,500 51,250 40,000 Preferred shares -- dividend disbursing agent fees 10,000 10,000 10,000 10,000 Shareholders' servicing agent fees and expenses 8,178 706 583 5,415 Custodian's fees and expenses 28,265 14,921 15,558 18,467 Trustees' fees and expenses 2,478 993 1,292 857 Professional fees 12,609 10,681 10,974 10,744 Shareholders' reports -- printing and mailing expenses 19,583 7,741 11,001 10,584 Stock exchange listing fees 10,753 162 231 191 Investor relations expense 11,391 6,124 5,351 7,350 Other expenses 13,899 16,562 9,467 11,175 ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 873,445 395,735 502,822 433,870 Custodian fee credit (4,902) (2,860) (2,161) (3,808) Expense reimbursement -- (135,267) (186,376) -- ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 868,543 257,608 314,285 430,062 ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 4,327,814 1,891,521 2,499,796 2,115,551 ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from investments 796,541 235,780 (22,105) 250,201 Net realized gain (loss) from forward swaps -- -- (568,647) -- Change in net unrealized appreciation (depreciation) of investments 3,016,551 1,711,138 3,400,879 1,460,500 Change in net unrealized appreciation (depreciation) of forward swaps -- (70,423) (359,569) -- ------------------------------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain 3,813,092 1,876,495 2,450,558 1,710,701 ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (388,132) (154,728) (256,987) (211,843) From accumulated net realized gains from investments -- (7,909) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (388,132) (162,637) (256,987) (211,843) ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from operations $7,752,774 $3,605,379 $4,693,367 $3,614,409 ====================================================================================================================================
See accompanying notes to financial statements. 53 Statement of CHANGES IN NET ASSETS
CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK) ---------------------------- ----------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/05 5/31/04 5/31/05 5/31/04 5/31/05 5/31/04 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 4,674,454 $ 4,932,014 $ 2,424,250 $ 2,476,158 $ 2,132,536 $ 2,220,362 Net realized gain (loss) from investments 695,966 722,872 201,225 (74,861) 165,154 241,031 Net realized gain (loss) from forward swaps -- -- (178,890) -- (182,494) -- Change in net unrealized appreciation (depreciation) of investments 3,288,927 (5,838,457) 2,203,567 (2,514,188) 1,771,598 (2,843,481) Change in net unrealized appreciation (depreciation) of forward swaps -- -- (33,381) -- (74,208) -- Distributions to Preferred Shareholders: From net investment income (466,107) (249,202) (217,938) (129,979) (197,732) (101,342) From accumulated net realized gains from investments (2,895) -- -- -- (6,485) (23,516) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 8,190,345 (432,773) 4,398,833 (242,870) 3,608,369 (506,946) ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (4,656,228) (4,686,749) (2,266,762) (2,261,395) (2,016,610) (2,004,077) From accumulated net realized gains from investments (60,815) -- -- -- (151,747) (267,884) ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (4,717,043) (4,686,749) (2,266,762) (2,261,395) (2,168,357) (2,271,961) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Net proceeds from sale of shares -- -- -- 1,664 -- -- Net proceeds from shares issued to shareholders due to reinvestment of distributions 330,723 352,597 94,487 115,496 18,782 12,077 Preferred shares offering costs -- -- -- -- -- (27,909) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions 330,723 352,597 94,487 117,160 18,782 (15,832) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 3,804,025 (4,766,925) 2,226,558 (2,387,105) 1,458,794 (2,794,739) Net assets applicable to Common shares at the beginning of year 77,725,129 82,492,054 37,237,537 39,624,642 34,646,479 37,441,218 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of year $81,529,154 $77,725,129 $39,464,095 $37,237,537 $36,105,273 $34,646,479 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of year $ 343,604 $ 791,740 $ 267,054 $ 330,560 $ 235,291 $ 318,421 ====================================================================================================================================
See accompanying notes to financial statements. 54
CONNECTICUT MASSACHUSETTS PREMIUM MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) INCOME (NMT) DIVIDEND ADVANTAGE (NMB) ---------------------------- ----------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/05 5/31/04 5/31/05 5/31/04 5/31/05 5/31/04 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 3,727,307 $ 3,820,097 $ 4,327,814 $ 4,450,255 $ 1,891,521 $ 1,948,056 Net realized gain (loss) from investments 189,726 (13,145) 796,541 942,951 235,780 254,529 Net realized gain (loss) from forward swaps (508,058) -- -- -- -- -- Change in net unrealized appreciation (depreciation) of investments 4,159,129 (4,885,233) 3,016,551 (5,525,901) 1,711,138 (2,448,042) Change in net unrealized appreciation (depreciation) of forward swaps (233,665) -- -- -- (70,423) -- Distributions to Preferred Shareholders: From net investment income (418,929) (232,209) (388,132) (217,866) (154,728) (75,765) From accumulated net realized gains from investments -- -- -- -- (7,909) (12,018) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 6,915,510 (1,310,490) 7,752,774 (350,561) 3,605,379 (333,240) ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (3,392,359) (3,390,125) (4,185,695) (4,161,260) (1,800,825) (1,786,931) From accumulated net realized gains from investments -- -- -- -- (224,126) (153,574) ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (3,392,359) (3,390,125) (4,185,695) (4,161,260) (2,024,951) (1,940,505) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Net proceeds from sale of shares -- -- -- -- -- 1,664 Net proceeds from shares issued to shareholders due to reinvestment of distributions 27,499 165,098 274,885 314,919 55,345 41,277 Preferred shares offering costs -- (14,584) -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions 27,499 150,514 274,885 314,919 55,345 42,941 ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 3,550,650 (4,550,101) 3,841,964 (4,196,902) 1,635,773 (2,230,804) Net assets applicable to Common shares at the beginning of year 60,773,828 65,323,929 67,805,689 72,002,591 28,903,588 31,134,392 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of year $64,324,478 $60,773,828 $71,647,653 $67,805,689 $30,539,361 $28,903,588 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of year $ 149,196 $ 237,612 $ 569,821 $ 833,077 $ 208,135 $ 272,167 ====================================================================================================================================
See accompanying notes to financial statements. 55 Statement of CHANGES IN NET ASSETS (continued)
INSURED MASSACHUSETTS MISSOURI PREMIUM TAX-FREE ADVANTAGE (NGX) INCOME (NOM) ----------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/05 5/31/04 5/31/05 5/31/04 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 2,499,796 $ 2,548,725 $ 2,115,551 $ 2,142,759 Net realized gain (loss) from investments (22,105) (16,228) 250,201 444,042 Net realized gain (loss) from forward swaps (568,647) -- -- -- Change in net unrealized appreciation (depreciation) of investments 3,400,879 (3,274,453) 1,460,500 (2,836,623) Change in net unrealized appreciation (depreciation) of forward swaps (359,569) -- -- -- Distributions to Preferred Shareholders: From net investment income (256,987) (154,434) (211,843) (122,983) From accumulated net realized gains from investments -- (4,012) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 4,693,367 (900,402) 3,614,409 (372,805) ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (2,282,215) (2,342,674) (1,988,388) (1,963,048) From accumulated net realized gains from investments -- (39,926) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (2,282,215) (2,382,600) (1,988,388) (1,963,048) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Net proceeds from sale of shares -- -- -- -- Net proceeds from shares issued to shareholders due to reinvestment of distributions 79,000 100,710 362,566 339,007 Preferred shares offering costs -- 6,822 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions 79,000 107,532 362,566 339,007 ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 2,490,152 (3,175,470) 1,988,587 (1,996,846) Net assets applicable to Common shares at the beginning of year 38,121,082 41,296,552 32,230,716 34,227,562 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of year $40,611,234 $38,121,082 $34,219,303 $32,230,716 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of year $ (112,524) $ (73,094) $ 315,546 $ 400,226 ====================================================================================================================================
See accompanying notes to financial statements. 56 Notes to FINANCIAL STATEMENTS 1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES The funds (the "Funds") covered in this report and their corresponding Common share stock exchange symbols are Nuveen Connecticut Premium Income Municipal Fund (NTC), Nuveen Connecticut Dividend Advantage Municipal Fund (NFC), Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK), Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO), Nuveen Massachusetts Premium Income Municipal Fund (NMT), Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB), Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) and Nuveen Missouri Premium Income Municipal Fund (NOM). Common shares of Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are traded on the New York Stock Exchange while Common shares of Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB), Insured Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM) are traded on the American Stock Exchange. The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies. Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX) the alternative minimum tax applicable to individuals, by investing primarily in a diversified portfolio of municipal obligations issued by state and local government authorities within a single state. Effective January 1, 2005, Nuveen Advisory Corp. ("NAC") the Funds' previous adviser, and its affiliate, Nuveen Institutional Advisory Corp. ("NIAC"), were merged into Nuveen Asset Management ("NAM"), each wholly owned subsidiaries of Nuveen Investments, Inc. ("Nuveen"). As a result of the merger, NAM is now the Advisor to all funds previously advised by either NAC or NIAC. 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 price quotes are not readily available (which is usually the case for municipal securities), the pricing service establishes fair market value based on yields or prices of municipal bonds of comparable quality, type of issue, coupon, maturity and rating, indications of value from securities dealers, evaluations of anticipated cash flows or collateral and general market conditions. Prices of derivative investments are also provided by an independent pricing service approved by each Fund's Board of Trustees. If the pricing service is unable to supply a price for a derivative investment each Fund may use a market quote provided by a major broker/dealer in such investments. If it is determined that market prices for an investment are unavailable or inappropriate, the Board of Trustees of the Funds, or its designee, may establish a fair value for the investment. Temporary investments in securities that have variable rate and demand features qualifying them as short-term securities are valued at amortized cost, which approximates market value. Securities Transactions Securities transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method. Securities purchased on a when-issued or delayed delivery basis may have extended settlement periods. Any securities so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued and delayed delivery purchase commitments. At May 31, 2005, Connecticut Premium Income (NTC) and Missouri Premium Income (NOM) had outstanding when-issued purchase commitments of $557,319 and $317,049, respectively. There were no such outstanding purchase commitments in any of the other Funds. Investment Income Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. 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 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. All monthly tax-exempt income dividends paid during the fiscal year ended May 31, 2005, have been designated Exempt Interest Dividends. Net realized capital gains and ordinary income distributions paid by the Funds are subject to federal taxation. 57 Notes to FINANCIAL STATEMENTS (continued) Dividends and Distributions to Common Shareholders Dividends from tax-exempt net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders not less frequently than annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards. Distributions to Common shareholders of tax-exempt net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. Preferred Shares The Funds have issued and outstanding Preferred shares, $25,000 stated value per share, as a means of effecting financial leverage. Each Fund's Preferred shares are issued in one Series. The dividend rate on each Series is determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and is payable weekly at the end of each rate period. The number of Preferred shares outstanding for each Fund is as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) -------------------------------------------------------------------------------- Number of shares: Series T -- 780 -- -- Series W -- -- 700 -- Series TH 1,532 -- -- -- Series F -- -- -- 1,280 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------- Number of shares: Series T -- 600 -- -- Series W -- -- 820 -- Series TH 1,360 -- -- 640 Series F -- -- -- -- ================================================================================ Insurance Insured Massachusetts Tax-Free Advantage (NGX) invests at least 80% of its net assets (including net assets applicable to Preferred shares) in municipal securities that are covered by insurance. The Fund may also invest up to 20% of its net assets (including net assets applicable to Preferred shares) in municipal securities which are either (i) backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, or (ii) municipal bonds that are rated, at the time of investment, within the four highest grades (Baa or BBB or better by Moody's, S&P or Fitch) or unrated but judged to be of comparable quality by the Adviser. Each insured municipal security is covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance. Such insurance does not guarantee the market value of the municipal securities or the value of the Fund's Common shares. Original Issue Insurance and Secondary Market Insurance remain in effect as long as the municipal securities covered thereby remain outstanding and the insurer remains in business, regardless of whether the Fund ultimately disposes of such municipal securities. Consequently, the market value of the municipal securities covered by Original Issue Insurance or Secondary Market Insurance may reflect value attributable to the insurance. Portfolio Insurance, in contrast, is effective only while the municipal securities are held by the Fund. Accordingly, neither the prices used in determining the market value of the underlying municipal securities nor the Common share net asset value of the Fund includes value, if any, attributable to the Portfolio Insurance. Each policy of the Portfolio Insurance does, however, give the Fund the right to obtain permanent insurance with respect to the municipal security covered by the Portfolio Insurance policy at the time of its sale. 58 Forward Swap Transactions The Funds may invest in certain derivative financial instruments. The Funds' use of forward interest rate swap transactions is intended to mitigate the negative impact that an increase in long-term interest rates could have on Common share net asset value. Forward interest rate swap transactions involve each Fund's agreement with the counterparty to pay, in the future, a fixed rate payment in exchange for the counterparty paying the Fund a variable rate payment. The amount of the payment obligation is based on the notional amount of the forward swap contract. The Funds may close out a contract prior to the effective date at which point a realized gain or loss would be recognized. When a forward swap is terminated, it does not involve the delivery of securities or other underlying assets or principal, but rather is settled in cash. Each Fund intends, but is not obligated to, terminate its forward swaps before the effective date. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the credit risk associated with a counterparty failing to honor its commitment to pay any realized gain to the Fund upon termination. To minimize such credit risk, all counterparties are required to pledge collateral daily (based on the daily valuation of each swap) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when any of the Funds have an unrealized loss on a swap contract, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate, either up or down, by at least the pre-determined threshold amount. Custodian Fee Credit Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by credits earned on each Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Indemnifications Under the Funds' organizational documents, their Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates. 2. FUND SHARES Transactions in Common shares were as follows:
CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK) ----------------------- ---------------------- ----------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/05 5/31/04 5/31/05 5/31/04 5/31/05 5/31/04 --------------------------------------------------------------------------------------------------------- Common shares: Shares issued to shareholders due to reinvestment of distributions 21,189 21,447 6,069 7,211 1,180 748 ========================================================================================================= CONNECTICUT DIVIDEND MASSACHUSETTS MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) ADVANTAGE (NMB) ------------------------ ---------------------- ----------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/05 5/31/04 5/31/05 5/31/04 5/31/05 5/31/04 --------------------------------------------------------------------------------------------------------- Common shares: Shares issued to shareholders due to reinvestment of distributions 1,940 11,300 17,594 20,346 3,397 2,552 =========================================================================================================
59 Notes to FINANCIAL STATEMENTS (continued)
INSURED MASSACHUSETTS TAX-FREE MISSOURI ADVANTAGE (NGX) PREMIUM INCOME (NOM) ---------------------- ----------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 5/31/05 5/31/04 5/31/05 5/31/04 --------------------------------------------------------------------------------------------------------- Common shares: Shares issued to shareholders due to reinvestment of distributions 5,040 6,392 21,455 20,100 =========================================================================================================
3. SECURITIES TRANSACTIONS Purchases and sales (including maturities) of investments in long-term municipal securities during the fiscal year ended May 31, 2005, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------- Purchases $13,506,593 $5,297,843 $6,042,444 $8,219,751 Sales and maturities 14,317,649 5,577,504 6,021,480 8,176,201 ============================================================================================================= INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------- Purchases $19,318,121 $5,224,730 $1,039,430 $9,308,821 Sales and maturities 18,100,466 5,233,691 1,118,410 8,173,813 =============================================================================================================
4. INCOME TAX INFORMATION The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses on investments, timing differences in recognizing income on taxable market discount securities and timing differences in recognizing certain gains and losses on investments. At May 31, 2005, the cost of investments was as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------- Cost of investments $111,015,814 $54,988,634 $49,978,606 $91,925,334 ============================================================================================================= INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------- Cost of investments $98,582,305 $42,266,409 $57,604,093 $46,157,801 =============================================================================================================
60 Gross unrealized appreciation and gross unrealized depreciation of investments at May 31, 2005, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $6,397,573 $3,329,403 $3,347,795 $3,671,545 Depreciation (54,474) (185,762) (227,145) (509,040) ------------------------------------------------------------------------------------------------------------- Net unrealized appreciation of investments $6,343,099 $3,143,641 $3,120,650 $3,162,505 ============================================================================================================= INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $5,658,950 $2,644,613 $3,389,420 $3,492,576 Depreciation (70,349) (4,795) (468,282) (19,261) ------------------------------------------------------------------------------------------------------------- Net unrealized appreciation of investments $5,588,601 $2,639,818 $2,921,138 $3,473,315 =============================================================================================================
The tax components of undistributed net investment income and net realized gains at May 31, 2005, 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* $714,640 $430,212 $388,524 $417,233 Undistributed net ordinary income ** 775 -- -- 1,924 Undistributed net long-term capital gains 586,914 -- 128,110 -- ============================================================================================================= INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------- Undistributed net tax-exempt income* $785,878 $341,991 $77,412 $466,347 Undistributed net ordinary income ** 27,169 -- -- 8,293 Undistributed net long-term capital gains -- 135,802 -- 186,485 =============================================================================================================
* Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on May 2, 2005, paid on June 1, 2005. ** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. The tax character of distributions paid during the fiscal years ended May 31, 2005 and May 31, 2004, 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 2005 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------- Distributions from tax-exempt income $5,128,525 $2,489,695 $2,217,152 $3,816,540 Distributions from ordinary income ** -- -- 1,368 -- Distributions from net long-term capital gains 63,711 -- 158,232 -- ============================================================================================================= INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME 2005 (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------- Distributions from tax-exempt income $4,526,406 $1,952,384 $2,546,211 $2,195,758 Distributions from ordinary income ** 53,097 5,522 -- -- Distributions from net long-term capital gains -- 232,035 -- -- =============================================================================================================
61 Notes to FINANCIAL STATEMENTS (continued)
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 2004 (NTC) (NFC) (NGK) (NGO) ------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,933,954 $2,378,343 $2,093,729 $3,619,201 Distributions from net ordinary income ** -- -- 85,538 -- Distributions from net long-term capital gains -- -- 205,862 -- ============================================================================================================= INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME 2004 (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,376,698 $1,853,471 $2,496,989 $2,082,426 Distributions from net ordinary income ** -- -- 44,352 -- Distributions from net long-term capital gains -- 165,592 -- -- =============================================================================================================
** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. At May 31, 2005, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
INSURED CONNECTICUT CONNECTICUT MASSACHUSETTS MASSACHUSETTS DIVIDEND DIVIDEND PREMIUM TAX-FREE ADVANTAGE ADVANTAGE 3 INCOME ADVANTAGE (NFC) (NGO) (NMT) (NGX) ------------------------------------------------------------------------------------------------------------ Expiration year: 2009 $ -- $ -- $310,885 $ -- 2010 -- -- -- -- 2011 -- 69,711 -- -- 2012 263,224 106,107 -- 16,123 2013 -- -- -- 8,250 ------------------------------------------------------------------------------------------------------------ Total $263,224 $175,818 $310,885 $24,373 ============================================================================================================
At May 31, 2005, Insured Massachusetts Tax-Free Advantage (NGX) elected to defer $156,912 of net realized losses from investments incurred from November 1, 2004 through May 31, 2005 ("post-October losses"), in accordance with Federal income tax regulations. The post-October losses were treated as having arisen on the first day of the following fiscal year. 5. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES As approved by the Board of Trustees, effective August 1, 2004, a complex-wide management fee structure was adopted for all funds sponsored by the Adviser, or its predecessor and its affiliates. This fee structure separates each fund's management fee into two components - a complex-level component, based on the aggregate amount of all 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. Under no circumstances will this pricing structure result in a fund paying management fees at a rate higher than would otherwise have been applicable had the complex-wide management fee structure not been implemented. As of June 30, 2005, the complex-level fee rate was .1900%; that is, the funds' effective management fees were reduced by approximately .0100%. 62 Effective August 1, 2004, the annual fund-level fee, payable monthly, for each of the Funds is based upon the average daily net assets (including net assets attributable to Preferred shares) of each Fund as follows: CONNECTICUT PREMIUM INCOME (NTC) AVERAGE DAILY NET ASSETS MASSACHUSETTS PREMIUM INCOME (NMT) (INCLUDING NET ASSETS MISSOURI PREMIUM INCOME (NOM) ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE -------------------------------------------------------------------------------- For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For the next $3 billion .3875 For net assets over $5 billion .3750 ================================================================================ CONNECTICUT DIVIDEND ADVANTAGE (NFC) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) AVERAGE DAILY NET ASSETS MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) (INCLUDING NET ASSETS INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE -------------------------------------------------------------------------------- For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For net assets over $2 billion .3750 ================================================================================ Effective August 1, 2004, the annual complex-level fee, payable monthly, which is additive to the fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the aggregate amount of total fund assets managed as follows: COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE -------------------------------------------------------------------------------- For the first $55 billion .2000% For the next $1 billion .1800 For the next $1 billion .1600 For the next $3 billion .1425 For the next $3 billion .1325 For the next $3 billion .1250 For the next $5 billion .1200 For the next $5 billion .1175 For the next $15 billion .1150 For Managed Assets over $91 billion (2) .1400 ================================================================================ (1) The complex-level fee component of the management fee for the funds is calculated based upon the aggregate Managed Assets ("Managed Assets" means the average daily net assets of each fund including assets attributable to all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds in the U.S. (2) With respect to the complex-wide Managed Assets over $91 billion, the fee rate or rates that will apply to such assets will be determined at a later date. In the unlikely event that complex-wide Managed Assets reach $91 billion prior to a determination of the complex-level fee rate or rates to be applied to Managed Assets in excess of $91 billion, the complex-level fee rate for such complex-wide Managed Assets shall be .1400% until such time as a different rate or rates is determined. Each Fund paid through July 31, 2004, an annual management fee, payable monthly, at the rates set forth below, which were based upon the average daily net assets (including net assets attributable to Preferred shares) of each Fund as follows: CONNECTICUT PREMIUM INCOME (NTC) AVERAGE DAILY NET ASSETS MASSACHUSETTS PREMIUM INCOME (NMT) (INCLUDING NET ASSETS MISSOURI PREMIUM INCOME (NOM) ATTRIBUTABLE TO PREFERRED SHARES) MANAGEMENT FEE RATE -------------------------------------------------------------------------------- For the first $125 million .6500% For the next $125 million .6375 For the next $250 million .6250 For the next $500 million .6125 For the next $1 billion .6000 For the next $3 billion .5875 For net assets over $5 billion .5750 ================================================================================ 63 Notes to FINANCIAL STATEMENTS (continued) CONNECTICUT DIVIDEND ADVANTAGE (NFC) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) AVERAGE DAILY NET ASSETS MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) (INCLUDING NET ASSETS INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ATTRIBUTABLE TO PREFERRED SHARES) MANAGEMENT FEE RATE -------------------------------------------------------------------------------- For the first $125 million .6500% For the next $125 million .6375 For the next $250 million .6250 For the next $500 million .6125 For the next $1 billion .6000 For net assets over $2 billion .5750 ================================================================================ The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Funds pay no compensation directly to those of its Trustees who are affiliated with the Adviser or to their officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised Funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised Funds. For the first ten years of Connecticut Dividend Advantage's (NFC) and Massachusetts Dividend Advantage's (NMB) operations, the Adviser has agreed to reimburse the Funds, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING JANUARY 31, JANUARY 31, -------------------------------------------------------------------------------- 2001* .30% 2007 .25% 2002 .30 2008 .20 2003 .30 2009 .15 2004 .30 2010 .10 2005 .30 2011 .05 2006 .30 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage (NFC) and Massachusetts Dividend Advantage (NMB) for any portion of its fees and expenses beyond January 31, 2011. 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. 64 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. 6. ANNOUNCEMENT REGARDING PARENT COMPANY OF ADVISER In early April, 2005, The St. Paul Travelers Companies, Inc. ("St. Paul Travelers"), which owned 79% of Nuveen, (A) completed a public offering of a substantial portion of its equity stake in Nuveen, (B) sold Nuveen $200 million of its Nuveen shares, (C) entered into an agreement with Nuveen to sell an additional $400 million of its Nuveen shares on a "forward" basis with payment for and settlement of these shares delayed for several months, and (D) entered into agreements with two unaffiliated investment banking firms to sell an amount equal to most or all of its remaining Nuveen shares for current payment but for future settlement. The settlement of transactions (C) and (D) above would likely be deemed an "assignment" (as defined in the 1940 Act) of the investment management agreements between the Funds and the Adviser, which would result in the automatic termination of each agreement under the 1940 Act. The Board of Trustees will consider approval of new ongoing investment management agreements for each Fund and the submission of those agreements for approval by each respective Fund's shareholders. Those agreements, if approved by a Fund's shareholders, would take effect upon such approval. There can be no assurance that these approvals will be obtained. 7. SUBSEQUENT EVENTS -- DISTRIBUTIONS TO COMMON SHAREHOLDERS The Funds declared Common share dividend distributions from their tax-exempt net investment income which were paid on July 1, 2005, to shareholders of record on June 15, 2005, as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) -------------------------------------------------------------------------------- Dividend per share $.0670 $.0715 $.0705 $.0615 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------- Dividend per share $.0705 $.0745 $.0635 $.0735 ================================================================================ 65 Financial HIGHLIGHTS Selected data for a Common share outstanding throughout each year:
Investment Operations Less Distributions --------------------------------------------------------------- ------------------------------- Distributions Distributions from Net from From Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total ==================================================================================================================================== CONNECTICUT PREMIUM INCOME (NTC) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 $14.60 $ .88 $ .75 $(.09) $ -- $1.54 $(.87) $(.01) $(.88) 2004 15.56 .93 (.96) (.05) -- (.08) (.88) -- (.88) 2003 14.46 .98 1.07 (.07) -- 1.98 (.88) -- (.88) 2002 14.20 1.00 .20 (.10) -- 1.10 (.84) -- (.84) 2001 12.92 1.02 1.32 (.24) -- 2.10 (.82) -- (.82) CONNECTICUT DIVIDEND ADVANTAGE (NFC) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 14.56 .95 .86 (.09) -- 1.72 (.89) -- (.89) 2004 15.53 .97 (1.00) (.05) -- (.08) (.89) -- (.89) 2003 14.24 1.00 1.19 (.07) -- 2.12 (.84) -- (.84) 2002 13.88 1.00 .31 (.11) -- 1.20 (.84) -- (.84) 2001(a) 14.33 .21 (.23) (.05) -- (.07) (.21) -- (.21) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 15.01 .92 .74 (.09) -- 1.57 (.87) (.07) (.94) 2004 16.23 .96 (1.13) (.04) (.01) (.22) (.87) (.12) (.99) 2003 14.48 .98 1.74 (.07) (.01) 2.64 (.83) (.06) (.89) 2002(b) 14.33 .08 .30 -- -- .38 (.07) -- (.07) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 13.97 .86 .83 (.10) -- 1.59 (.78) -- (.78) 2004 15.06 .88 (1.14) (.05) -- (.31) (.78) -- (.78) 2003(c) 14.33 .51 .93 (.04) -- 1.40 (.46) -- (.46) ==================================================================================================================================== Total Returns ----------------------- Based Offering on Costs and Ending Common Preferred Common Based Share Share Share Ending on Net Underwriting Net Asset Market Market Asset Discounts Value Value Value** Value** ========================================================================================== CONNECTICUT PREMIUM INCOME (NTC) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 $ -- $15.26 $15.81 15.61% 10.82% 2004 -- 14.60 14.47 (10.80) (.51) 2003 -- 15.56 17.14 12.63 14.08 2002 -- 14.46 16.05 5.01 7.87 2001 -- 14.20 16.10 25.91 16.57 CONNECTICUT DIVIDEND ADVANTAGE (NFC) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 -- 15.39 15.73 17.89 12.06 2004 -- 14.56 14.12 (8.64) (.56) 2003 .01 15.53 16.35 9.19 15.38 2002 -- 14.24 15.79 8.61 8.81 2001(a) (.17) 13.88 15.34 3.71 (1.67) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 -- 15.64 15.98 19.92 10.70 2004 (.01) 15.01 14.14 (4.65) (1.48) 2003 -- 16.23 15.80 11.16 18.77 2002(b) (.16) 14.48 15.05 .79 1.53 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 -- 14.78 14.54 18.17 11.60 2004 -- 13.97 13.00 (8.92) (2.08) 2003(c) (.21) 15.06 15.09 3.71 8.46 ========================================================================================== Ratios/Supplemental Data ------------------------------------------------------------------------------------------------- Before Credit/Reimbursement After Credit/Reimbursement*** ------------------------------ ------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Ending Expenses Income to Expenses Income to Net to Average Average to Average Average Assets Net Assets Net Assets Net Assets Net Assets Applicable Applicable Applicable Applicable Applicable Portfolio to Common to Common to Common to Common to Common Turnover Shares (000) Shares++ Shares++ Shares++ Shares++ Rate ============================================================================================================================== CONNECTICUT PREMIUM INCOME (NTC) ------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 $81,529 1.24% 5.81% 1.24% 5.82% 12% 2004 77,725 1.23 6.16 1.23 6.16 15 2003 82,492 1.27 6.57 1.26 6.58 23 2002 76,327 1.34 6.90 1.34 6.91 12 2001 74,642 1.33 7.36 1.31 7.39 8 CONNECTICUT DIVIDEND ADVANTAGE (NFC) ------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 39,464 1.29 5.81 .83 6.27 9 2004 37,238 1.26 5.97 .80 6.44 4 2003 39,625 1.27 6.29 .81 6.76 7 2002 36,233 1.38 6.56 .88 7.06 20 2001(a) 35,255 1.22* 4.10* .80* 4.52* 29 CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) ------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 36,105 1.28 5.52 .82 5.98 12 2004 34,646 1.25 5.73 .80 6.18 10 2003 37,441 1.31 5.94 .82 6.43 13 2002(b) 33,408 1.06* 2.90* .73* 3.23* -- CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) ------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 64,324 1.24 5.40 .76 5.89 9 2004 60,774 1.24 5.58 .74 6.08 14 2003(c) 65,324 1.19* 4.72* .71* 5.20* 18 ============================================================================================================================== Preferred Shares at End of Period ------------------------------------------- Aggregate Liquidation Amount and Market Asset Outstanding Value Coverage (000) Per Share Per Share ========================================================================= CONNECTICUT PREMIUM INCOME (NTC) ------------------------------------------------------------------------- Year Ended 5/31: 2005 $38,300 $25,000 $78,217 2004 38,300 25,000 75,734 2003 38,300 25,000 78,846 2002 38,300 25,000 74,822 2001 38,300 25,000 73,722 CONNECTICUT DIVIDEND ADVANTAGE (NFC) ------------------------------------------------------------------------- Year Ended 5/31: 2005 19,500 25,000 75,595 2004 19,500 25,000 72,740 2003 19,500 25,000 75,801 2002 19,500 25,000 71,453 2001(a) 19,500 25,000 70,198 CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) ------------------------------------------------------------------------- Year Ended 5/31: 2005 17,500 25,000 76,579 2004 17,500 25,000 74,495 2003 17,500 25,000 78,487 2002(b) 17,500 25,000 72,726 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) ------------------------------------------------------------------------- Year Ended 5/31: 2005 32,000 25,000 75,253 2004 32,000 25,000 72,480 2003(c) 32,000 25,000 76,034 =========================================================================
* Annualized. ** Total Investment Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) For the period January 26, 2001 (commencement of operations) through May 31, 2001. (b) For the period March 25, 2002 (commencement of operations) through May 31, 2002. (c) For the period September 26, 2002 (commencement of operations) through May 31, 2003. See accompanying notes to financial statements. 66-67 SPREAD FINANCIAL HIGHLIGHTS (continued) Selected data for a Common share outstanding throughout each year:
Investment Operations Less Distributions --------------------------------------------------------------- ------------------------------- Distributions Distributions from Net from From Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total ==================================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 $14.34 $ .91 $ .81 $(.08) $ -- $1.64 $(.88) $ -- $(.88) 2004 15.30 .94 (.97) (.05) -- (.08) (.88) -- (.88) 2003 14.48 .98 .78 (.07) -- 1.69 (.87) -- (.87) 2002 14.26 1.03 .13 (.11) -- 1.05 (.83) -- (.83) 2001 13.17 1.05 1.10 (.24) -- 1.91 (.82) -- (.82) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 14.84 .97 .95 (.08) -- 1.84 (.92) (.11) (1.03) 2004 16.00 1.00 (1.11) (.04) (.01) (.16) (.92) (.08) (1.00) 2003 14.16 1.04 1.74 (.07) -- 2.71 (.88) -- (.88) 2002 13.88 1.03 .25 (.12) -- 1.16 (.88) -- (.88) 2001(a) 14.33 .24 (.24) (.05) -- (.05) (.22) -- (.22) INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 14.04 .92 .90 (.09) -- 1.73 (.84) -- (.84) 2004 15.25 .94 (1.22) (.06) -- (.34) (.86) (.01) (.87) 2003(b) 14.33 .35 1.21 (.03) -- 1.53 (.37) -- (.37) MISSOURI PREMIUM INCOME (NOM) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 14.37 .94 .77 (.09) -- 1.62 (.88) -- (.88) 2004 15.40 .96 (1.05) (.06) -- (.15) (.88) -- (.88) 2003 14.35 .97 1.02 (.07) -- 1.92 (.87) -- (.87) 2002 13.97 1.01 .31 (.13) -- 1.19 (.81) -- (.81) 2001 12.77 1.02 1.18 (.26) -- 1.94 (.74) -- (.74) ==================================================================================================================================== Total Returns ----------------------- Based Offering on Costs and Ending Common Preferred Common Based Share Share Share Ending on Net Underwriting Net Asset Market Market Asset Discounts Value Value Value** Value** ========================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 $ -- $15.10 $16.14 18.97% 11.74% 2004 -- 14.34 14.35 (9.51) (.51) 2003 -- 15.30 16.80 12.98 12.02 2002 -- 14.48 15.70 8.04 7.51 2001 -- 14.26 15.33 15.71 14.72 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 -- 15.65 17.45 24.96 12.76 2004 -- 14.84 14.88 (3.74) (1.03) 2003 .01 16.00 16.45 8.76 19.74 2002 -- 14.16 15.95 14.15 8.46 2001(a) (.18) 13.88 14.80 .13 (1.61) INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 -- 14.93 15.94 20.95 12.62 2004 -- 14.04 13.90 (6.83) (2.18) 2003(b) (.24) 15.25 15.78 7.69 9.07 MISSOURI PREMIUM INCOME (NOM) ------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 -- 15.11 17.90 24.38 11.54 2004 -- 14.37 15.15 (5.35) (1.00) 2003 -- 15.40 16.87 15.39 13.75 2002 -- 14.35 15.41 14.11 8.65 2001 -- 13.97 14.25 17.41 15.48 ========================================================================================== Ratios/Supplemental Data ------------------------------------------------------------------------------------------------- Before Credit/Reimbursement After Credit/Reimbursement*** ------------------------------ ------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Ending Expenses Income to Expenses Income to Net to Average Average to Average Average Assets Net Assets Net Assets Net Assets Net Assets Applicable Applicable Applicable Applicable Applicable Portfolio to Common to Common to Common to Common to Common Turnover Shares (000) Shares++ Shares++ Shares++ Shares++ Rate ============================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) ------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 $71,648 1.24% 6.15% 1.24% 6.16% 18% 2004 67,806 1.24 6.37 1.23 6.38 22 2003 72,003 1.28 6.61 1.27 6.63 18 2002 67,856 1.31 7.11 1.30 7.12 13 2001 66,579 1.37 7.46 1.35 7.48 14 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 30,539 1.31 5.83 .86 6.28 12 2004 28,904 1.27 6.05 .81 6.51 26 2003 31,134 1.29 6.49 .83 6.95 8 2002 27,519 1.47 6.70 .94 7.24 9 2001(a) 26,951 1.28* 4.84* .84* 5.28* 18 INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 40,611 1.27 5.83 .79 6.31 2 2004 38,121 1.28 5.94 .75 6.46 97 2003(b) 41,297 1.14* 4.17* .68* 4.64* 19 MISSOURI PREMIUM INCOME (NOM) ------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2005 34,219 1.29 6.29 1.28 6.30 17 2004 32,231 1.27 6.44 1.26 6.45 24 2003 34,228 1.34 6.56 1.32 6.58 15 2002 31,619 1.38 7.08 1.36 7.10 8 2001 30,508 1.39 7.48 1.38 7.50 31 ============================================================================================================================== Preferred Shares at End of Period ------------------------------------------- Aggregate Liquidation Amount and Market Asset Outstanding Value Coverage (000) Per Share Per Share ========================================================================= MASSACHUSETTS PREMIUM INCOME (NMT) ------------------------------------------------------------------------- Year Ended 5/31: 2005 $34,000 $25,000 $77,682 2004 34,000 25,000 74,857 2003 34,000 25,000 77,943 2002 34,000 25,000 74,894 2001 34,000 25,000 73,955 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ------------------------------------------------------------------------- Year Ended 5/31: 2005 15,000 25,000 75,899 2004 15,000 25,000 73,173 2003 15,000 25,000 76,891 2002 15,000 25,000 70,865 2001(a) 15,000 25,000 69,919 INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ------------------------------------------------------------------------- Year Ended 5/31: 2005 20,500 25,000 74,526 2004 20,500 25,000 71,489 2003(b) 20,500 25,000 75,362 MISSOURI PREMIUM INCOME (NOM) -------------------------------------------------------------------------- Year Ended 5/31: 2005 16,000 25,000 78,468 2004 16,000 25,000 75,360 2003 16,000 25,000 78,481 2002 16,000 25,000 74,405 2001 16,000 25,000 72,669 ==========================================================================
* Annualized. ** Total Investment Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) For the period January 30, 2001 (commencement of operations) through May 31, 2001. (b) For the period November 21, 2002 (commencement of operations) through May 31, 2003. See accompanying notes to financial statements. 68-69 SPREAD Board Members AND OFFICERS The management of the Fund, including general supervision of the duties performed for the Fund by the Adviser, is the responsibility of the Board Members of the Fund. The number of board members of the Fund is currently set at nine. None of the board members who are not "interested" persons of the Fund has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the board members and officers of the Fund, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
NUMBER OF PORTFOLIOS IN POSITION(S) YEAR FIRST PRINCIPAL OCCUPATION(S) FUND COMPLEX NAME, BIRTHDATE HELD WITH ELECTED OR INCLUDING OTHER DIRECTORSHIPS OVERSEEN BY AND ADDRESS THE FUND APPOINTED(2) DURING PAST 5 YEARS BOARD MEMBER ------------------------------------------------------------------------------------------------------------------------------------ BOARD MEMBER WHO IS AN INTERESTED PERSON OF THE FUND: ------------------------------------------------------------------------------------------------------------------------------------ Timothy R. Schwertfeger(1) Chairman of 1994 Chairman and Director (since 1996) of Nuveen Investments, 155 3/28/49 the Board Inc. and Nuveen Investments, LLC; Director (since 1992) and 333 W. Wacker Drive and Trustee Chairman (since 1996) of Nuveen Advisory Corp. and Nuveen Chicago, IL 60606 Institutional Advisory Corp.(3); Chairman and Director (since 1997) of Nuveen Asset Management; Director (since 1996) of Institutional Capital Corporation; Chairman and Director (since 1999) of Rittenhouse Asset Management, Inc.; Chairman of Nuveen Investments Advisers Inc. (since 2002). BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUND: ------------------------------------------------------------------------------------------------------------------------------------ Robert P. Bremner Board member 1997 Private Investor and Management Consultant. 155 8/22/40 333 W. Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------------------------------------------------------------ Lawrence H. Brown Board member 1993 Retired (1989) as Senior Vice President of The Northern 155 7/29/34 Trust Company; Director, Community Advisory Board for 333 W. Wacker Drive Highland Park and Highwood, United Way of the North Chicago, IL 60606 Shore (since 2002). ------------------------------------------------------------------------------------------------------------------------------------ Jack B. Evans Board member 1999 President, The Hall-Perrine Foundation, a private philanthropic 155 10/22/48 corporation (since 1996); Director and Vice Chairman, United 333 W. Wacker Drive Fire Group, a publicly held company; Adjunct Faculty Member, Chicago, IL 60606 University of Iowa; Director, Gazette Companies; Life Trustee of Coe College; Director, Iowa College Foundation; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm. ------------------------------------------------------------------------------------------------------------------------------------ William C. Hunter Board member 2004 Dean and Distinguished Professor of Finance, School of 155 3/6/48 Business at the University of Connecticut (since 2003); 333 W. Wacker Drive previously, Senior Vice President and Director of Research Chicago, IL 60606 at the Federal Reserve Bank of Chicago (1995-2003); Director (since 1997), Credit Research Center at Georgetown University; Director of Xerox Corporation (since 2004). ------------------------------------------------------------------------------------------------------------------------------------ David J. Kundert Board member 2005 Retired (2004) as Chairman, JPMorgan Fleming Asset 153 10/28/42 Management, President and CEO, Banc One Investment 333 W. Wacker Drive Advisors Corporation, and President, One Group Mutual Chicago, IL 60606 Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Board of Regents, Luther College; currently a member of the American and Wisconsin Bar Associations. 70 NUMBER OF PORTFOLIOS IN POSITION(S) YEAR FIRST PRINCIPAL OCCUPATION(S) FUND COMPLEX NAME, BIRTHDATE HELD WITH ELECTED OR INCLUDING OTHER DIRECTORSHIPS OVERSEEN BY AND ADDRESS THE FUND APPOINTED(2) DURING PAST 5 YEARS BOARD MEMBER ------------------------------------------------------------------------------------------------------------------------------------ BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUND (CONTINUED): William J. Schneider Board member 1997 Chairman, formerly, Senior Partner and Chief Operating 155 9/24/44 Officer, Miller-Valentine Partners Ltd., a real estate 333 W. Wacker Drive investment company; formerly, Vice President, Miller-Valentine Chicago, IL 60606 Realty, a construction company; Board Member and Chair of the Finance Committee, member of the Audit Committee of Premier Health Partners, the not-for-profit company of Miami Valley Hospital; Board Member, formerly Chair, Dayton Development Coalition; President, Dayton Philharmonic Orchestra Association; formerly, Member, Community Advisory Board, National City Bank, Dayton, Ohio and Business Advisory Council, Cleveland Federal Reserve Bank. ------------------------------------------------------------------------------------------------------------------------------------ Judith M. Stockdale Board member 1997 Executive Director, Gaylord and Dorothy Donnelley 155 12/29/47 Foundation (since 1994); prior thereto, Executive Director, 333 W. Wacker Drive Great Lakes Protection Fund (from 1990 to 1994). Chicago, IL 60606 ------------------------------------------------------------------------------------------------------------------------------------ Eugene S. Sunshine Board member 2005 Senior Vice President for Business and Finance (since 1997), 155 1/22/50 Northwestern University; Director (since 2003), Chicago 333 W. Wacker Drive Board of Options Exchange; Director (since 2003), National Chicago, IL 60606 Mentor Holdings, a privately-held, national provider of home and community-based services; Chairman (since 1997), Board of Directors, Rubicon, an insurance company owned by Northwestern University; Director (since 1997), Evanston of Commerce and Evanston Inventure, a business development organization. NUMBER OF PORTFOLIOS IN POSITION(S) YEAR FIRST FUND COMPLEX NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY AND ADDRESS THE FUNDS APPOINTED(4) DURING PAST 5 YEARS OFFICER ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS OF THE FUND: ------------------------------------------------------------------------------------------------------------------------------------ Gifford R. Zimmerman Chief 1988 Managing Director (since 2002), Assistant Secretary and 155 9/9/56 Administrative Associate General Counsel, formerly, Vice President and 333 W. Wacker Drive Officer Assistant General Counsel of Nuveen Investments, LLC; Chicago, IL 60606 Managing Director (since 2002), General Counsel and Assistant Secretary, formerly, Vice President of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.(3); Managing Director (since 2002), Assistant Secretary and Associate General Counsel, formerly, Vice President (since 2000), of Nuveen Asset Management; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Assistant Secretary of NWQ Investment Management Company, LLC (since 2002); Vice President and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002); Managing Director, Associate General Counsel and Assistant Secretary of Rittenhouse Asset Management, Inc. (since 2003); Chartered Financial Analyst. 71 Board Members AND OFFICERS (CONTINUED) NUMBER OF PORTFOLIOS IN POSITION(S) YEAR FIRST FUND COMPLEX NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY AND ADDRESS THE FUNDS APPOINTED(4) DURING PAST 5 YEARS OFFICER ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS OF THE FUND (CONTINUED): ------------------------------------------------------------------------------------------------------------------------------------ Julia L. Antonatos Vice President 2004 Managing Director (since 2005), previously, Vice President 155 9/22/63 (since 2002), formerly, Assistant Vice President (since 1999) 333 W. Wacker Drive of Nuveen Investments, LLC; Chartered Financial Analyst. Chicago, IL 60606 ------------------------------------------------------------------------------------------------------------------------------------ Michael T. Atkinson Vice President 2000 Vice President (since 2002), formerly, Assistant Vice 155 2/3/66 and Assistant President (since 2000) of Nuveen Investments, LLC. 333 W. Wacker Drive Secretary Chicago, IL 60606 ------------------------------------------------------------------------------------------------------------------------------------ Peter H. D'Arrigo Vice President 1999 Vice President of Nuveen Investments, LLC (since 1999); 155 11/28/67 and Treasurer Vice President and Treasurer of Nuveen Investments, Inc. 333 W. Wacker Drive (since 1999); Vice President and Treasurer of Nuveen Advisory Chicago, IL 60606 Corp. and Nuveen Institutional Advisory Corp (since 1999)(3); Vice President and Treasurer of Nuveen Asset Management (since 2002) and of Nuveen Investments Advisers Inc.; Assistant Treasurer of NWQ Investment Management Company, LLC (since 2002); Vice President and Treasurer of Nuveen Rittenhouse Asset Management, Inc. (since 2003); Chartered Financial Analyst. ------------------------------------------------------------------------------------------------------------------------------------ Jessica R. Droeger Vice President 1998 Vice President (since 2002) and Assistant General Counsel 155 9/24/64 and Secretary (since 1998), formerly, Assistant Vice President (since 1998) of 333 W. Wacker Drive Nuveen Investments, LLC; Vice President (since 2002) Chicago, IL 60606 and Assistant Secretary (since 1998), formerly Assistant Vice President of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.(3); and (since 2005) Nuveen Asset Management. ------------------------------------------------------------------------------------------------------------------------------------ Lorna C. Ferguson Vice President 1998 Managing Director (since 2004) formerly, Vice President of 155 10/24/45 Nuveen Investments, LLC; Managing Director (since 2004) 333 W. Wacker Drive formerly, Vice President (since 1998) of Nuveen Advisory Corp. Chicago, IL 60606 and Nuveen Institutional Advisory Corp.(3); Managing Director (since 2005) of Nuveen Asset Management. ------------------------------------------------------------------------------------------------------------------------------------ William M. Fitzgerald Vice President 1995 Managing Director (since 2002) of Nuveen Investments, 155 3/2/64 LLC; Managing Director (since 2001), formerly, Vice President 333 W. Wacker Drive (since 1995) of Nuveen Advisory Corp. and Nuveen Institutional Chicago, IL 60606 Advisory Corp.(3); Managing Director (since 2001) of Nuveen Asset Management; Vice President (since 2002) of Nuveen Investment Advisers Inc.; Chartered Financial Analyst. ------------------------------------------------------------------------------------------------------------------------------------ Stephen D. Foy Vice President 1998 Vice President (since 1993) and Funds Controller (since 1998) 155 5/31/54 and Controller of Nuveen Investments, LLC; formerly, Vice President and 333 W. Wacker Drive Funds Controller (1998-2004) of Nuveen Investments, Inc.; Chicago, IL 60606 Certified Public Accountant. ------------------------------------------------------------------------------------------------------------------------------------ James D. Grassi Vice President 2004 Vice President and Deputy Director of Compliance (since 2004) 155 4/13/56 and Chief of Nuveen Investments, LLC, Nuveen Investments Advisers Inc., 333 W. Wacker Drive Compliance Nuveen Asset Management and Rittenhouse Asset Management, Chicago, IL 60606 Officer Inc.; previously, Vice President and Deputy Director of Compliance (2004) of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. (3); formerly, Senior Attorney (1994 to 2004), The Northern Trust Company. 72 NUMBER OF PORTFOLIOS IN POSITION(S) YEAR FIRST FUND COMPLEX NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY AND ADDRESS THE FUNDS APPOINTED(4) DURING PAST 5 YEARS OFFICER ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS OF THE FUND (CONTINUED): ------------------------------------------------------------------------------------------------------------------------------------ David J. Lamb Vice President 2000 Vice President (since 2000) of Nuveen Investments, 155 3/22/63 LLC; Certified Public Accountant. 333 W. Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------------------------------------------------------------ Tina M. Lazar Vice President 2002 Vice President (since 1999) of Nuveen Investments, LLC. 155 8/27/61 333 W. Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------------------------------------------------------------ Larry W. Martin Vice President 1988 Vice President, Assistant Secretary and Assistant General 155 7/27/51 and Assistant Counsel of Nuveen Investments, LLC; Vice President and 333 W. Wacker Drive Secretary Assistant Secretary of Nuveen Advisory Corp. and Nuveen Chicago, IL 60606 Institutional Advisory Corp.(3); Vice President (since 2005) and Assistant Secretary of Nuveen Investments, Inc. and of Nuveen Asset Management; Vice President (since 2000), Assistant Secretary and Assistant General Counsel (since 1998) of Rittenhouse Asset Management; Vice President and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002); Assistant Secretary of NWQ Investment Management Company, LLC (since 2002).
(1) Mr. Schwertfeger is an "interested person" of the Fund, as defined in the Investment Company Act of 1940, because he is an officer and board member of the Adviser. (2) Board members serve an indefinite term until his/her successor is elected. The year first elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex. (3) Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. were reorganized into Nuveen Asset Management, effective January 1, 2005. (4) Officers serve one year terms through July of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex. 73 ANNUAL INVESTMENT MANAGEMENT AGREEMENT APPROVAL PROCESS At a meeting held on May 10-12, 2005, the Board of Trustees of each Fund, including the independent Trustees, unanimously approved the Investment Management Agreement between each Fund and NAM. THE APPROVAL PROCESS To assist the Board in its evaluation of an advisory contract with NAM, the independent Trustees received a report in adequate time in advance of their meeting which outlined, among other things, the services provided by NAM; the organization of NAM, including the responsibilities of various departments and key personnel; the Fund's past performance as well as the Fund's performance compared to funds of similar investment objectives compiled by an independent third party (a "Peer Group") and if available, with recognized or, in certain cases, customized benchmarks; the profitability of NAM and certain industry profitability analyses for advisers to unaffiliated investment companies; the expenses of NAM in providing the various services; the advisory fees of NAM, including comparisons of such fees with the management fees of comparable funds in its Peer Group as well as comparisons of NAM's management fees with the fees NAM assesses to other types of investment products or accounts, if any; the soft dollar practices of NAM; and the expenses of each Fund, including comparisons of the Fund's expense ratios (after any fee waivers) with the expense ratios of its Peer Group. This information supplements that received by the Board throughout the year regarding Fund performance, expense ratios, portfolio composition, trade execution and sales activity. In addition to the foregoing materials, independent legal counsel to the independent Trustees provided, in advance of the meeting, a legal memorandum outlining, among other things, the duties of the Trustees under the 1940 Act as well as the general principles of relevant state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; an adviser's fiduciary duty with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards of directors have fulfilled their duties and factors to be considered by the board in voting on advisory agreements. At the Board meeting, NAM made a presentation to and responded to questions from the Board. After the presentations and after reviewing the written materials, the independent Trustees met privately with their legal counsel to review the Board's duties in reviewing advisory contracts and consider the renewal of the advisory contract. It is with this background that the Trustees considered each Investment Management Agreement with NAM. The independent Trustees, in consultation with independent counsel, reviewed the factors set out in judicial decisions and SEC directives relating to the renewal of advisory contracts. As outlined in more detail below, the Trustees considered all factors they believed relevant with respect to each Fund, including the following: (a) the nature, extent and quality of the services to be provided by NAM; (b) the investment performance of the Fund and NAM; (c) the costs of the services to be provided and profits to be realized by NAM and its affiliates from the relationship with the Fund; (d) the extent to which economies of scale would be realized as the Fund grows; and (e) whether fee levels reflect these economies of scale for the benefit of Fund investors. A. NATURE, EXTENT AND QUALITY OF SERVICES In evaluating the nature, extent and quality of NAM's services, the Trustees reviewed information concerning the types of services that NAM or its affiliates provide and are expected to provide to the Nuveen Funds; narrative and statistical information concerning the Fund's performance record and how such performance compares to the Fund's Peer Group and, if available, recognized benchmarks or, in certain cases, customized benchmarks (as described in further detail in Section B below); information describing NAM's organization and its various departments, the experience and responsibilities of key personnel, and available resources. In the discussion of key personnel, the Trustees received materials regarding the changes or additions in personnel of NAM. The Trustees further noted the willingness of the personnel of NAM to engage in open, candid discussions with the Board. The Trustees further considered the quality of NAM's investment process in making portfolio management decisions, including any refinements or improvements to the portfolio management processes, enhancements to technology and systems that are available to portfolio managers, and any additions of new personnel which may strengthen or expand the research and investment capabilities of NAM. In their review of advisory contracts for the fixed income funds, the Trustees also noted that Nuveen won the Lipper Award for Best Fund Family: Fixed Income-Large Asset Class, for 2004. Given the Trustees' experience with the Funds, other Nuveen funds and NAM, the Trustees noted that they were familiar with and continue to have a good understanding of the organization, operations and personnel of NAM. In addition to advisory services, the independent Trustees considered the quality of the administrative or non-advisory services provided. In this regard, NAM provides the Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by others for the Funds) and officers and other personnel as are necessary for the operations of the respective Fund. In addition to investment management services, NAM and its affiliates provide each Fund with a wide range of services, including: preparing shareholder reports; providing daily accounting; providing quarterly financial statements; overseeing and coordinating the 74 activities of other service providers; administering and organizing Board meetings and preparing the Board materials for such meetings; providing legal support (such as helping to prepare registration statements, amendments thereto and proxy statements and responding to regulatory inquiries); and performing other Fund administrative tasks necessary for the operation of the respective Fund (such as tax reporting and fulfilling regulatory filing requirements). In addition, in evaluating the administrative services, the Trustees considered, in particular, NAM's policies and procedures for assuring compliance with applicable laws and regulations in light of the new SEC regulations governing compliance. The Trustees noted NAM's focus on compliance and its compliance systems. In their review, the Trustees considered, among other things, the additions of experienced personnel to NAM's compliance group and modifications and other enhancements to NAM's computer systems. In addition to the foregoing, the Trustees also noted that NAM outsources certain services that cannot be replicated without significant costs or at the same level of expertise. Such outsourcing has been a beneficial and efficient use of resources by keeping expenses low while obtaining quality services. In addition to the above, in reviewing the variety of additional services that NAM or its affiliates must provide to closed-end funds, such as the Funds, the independent Trustees determined that Nuveen's commitment to supporting the secondary market for the common shares of its closed-end funds is particularly noteworthy. In this regard, the Trustees noted Nuveen's efforts to sponsor numerous forums for analysts and specialists regarding the various Nuveen closed-end funds, its creation of a new senior position dedicated to providing secondary market support services and enhancing communications with investors and analysts, and its advertising and media relations efforts designed to raise investor and analyst awareness of the closed-end funds. With respect to services provided to municipal funds, such as the Funds, the Trustees also noted, among other things, the enhancements NAM implemented to its municipal portfolio management processes (e.g., the increased use of benchmarks to guide and assess the performance of its portfolio managers); the implementation of a risk management program; and the various initiatives being undertaken to enhance or modify NAM's computer systems as necessary to support the innovations of the municipal investment team (such as, the ability to assess certain historical data in order to create customized benchmarks, perform attribution analysis and facilitate the use of derivatives as hedging instruments). With respect to certain of the Funds with a less seasoned portfolio, the Trustees also noted the hedging program implemented for such Funds and the team responsible for developing, implementing and monitoring the hedging procedures. The hedging program was designed to help maintain the applicable Fund's duration within certain benchmarks. Based on their review, the Trustees found that, overall, the nature, extent and quality of services provided (and expected to be provided) to the Funds under the Investment Management Agreements were of a high level and were quite satisfactory. B. THE INVESTMENT PERFORMANCE OF THE FUND AND ADVISER As previously noted, the Board received a myriad of performance information regarding each Fund and its Peer Group, if available. Among other things, the Board received materials reflecting a Fund's historic performance, the Fund's performance compared to its Peer Group and, if available, its performance compared to recognized and, in certain cases, customized benchmarks. Further, in evaluating the performance information, in certain limited instances, the Trustees noted that the closest Peer Group for a Fund still would not adequately reflect such Fund's investment objectives and strategies, thereby limiting the usefulness of the comparisons of such Fund's performance with that of the Peer Group. For state municipal funds, such as the Funds, the performance data included, among other things, the respective Fund's performance relative to its peers. More specifically, a Fund's one, three and five year total returns (as available) for the periods ending December 31, 2004 were evaluated relative to the unaffiliated funds in its respective Peer Group (including the returns of individual peers as well as the Peer Group average) as well as additional performance information with respect to all the funds in the Peer Group, subject to the following. Certain state municipal Funds do not have a corresponding Peer Group in which case their performance is measured against a state-specific municipal index compiled by an independent third party. Such indices measure bond performance rather than fund performance. The closed-end Funds that utilize such indices are from Connecticut, Georgia, Maryland, Missouri, North Carolina, Texas and Virginia. Based on their review, the Trustees determined that each Fund's absolute and relative investment performance over time had been satisfactory. C. FEES, EXPENSES AND PROFITABILITY 1. FEES AND EXPENSES In evaluating the management fees and expenses that a Fund is expected to bear, the Trustees considered the Fund's current management fee structure and the Fund's expected expense ratios in absolute terms as well as compared with the fees and expense ratios of the unaffiliated funds in its Peer Group. The Trustees reviewed the financial information of NAM, including its respective revenues, expenses and profitability. In reviewing fees, the Trustees, among other things, reviewed comparisons of the Fund's gross management fees (fees after fund-level and complex-wide level breakpoints but before reimbursement and fee waivers), net management fees (after breakpoints and reimbursements and fee waivers) and total expense ratios (before and after waivers) with those of the unaffiliated funds in the Peer Group and peer averages. In this regard, the Trustees noted that the relative ranking of the Nuveen Funds on fees and expenses was aided by the significant level of fee reductions provided by the fund-level and complex-wide breakpoint schedules, and the fee waivers and reimbursements provided by Nuveen for certain Funds launched since 1999. The complex-wide breakpoint schedule was instituted in 2004 and is described in further detail below in Section D entitled "Economies of Scale." In their review of the fee and expense information provided, including, in particular, the expense ratios of the unaffiliated funds in the respective Peer Group, the Trustees determined that each Fund's net total expense ratio was within an acceptable range compared to such peers. 2. COMPARISONS WITH THE FEES OF OTHER CLIENTS The Trustees further compared the fees of NAM to the fees NAM assessed for other types of clients investing in municipal funds (such as municipal managed accounts). With respect to such separately managed accounts, the advisory fees for such accounts 75 ANNUAL INVESTMENT MANAGEMENT AGREEMENT APPROVAL PROCESS (continued) are generally lower than those charged to the comparable Fund. The Trustees noted, however, the additional services that are provided and the costs incurred by Nuveen in managing and operating registered investment companies, such as the Funds, compared to individually managed separate accounts. For instance, as described above, NAM and its affiliates provide numerous services to the Funds including, but not limited to, preparing shareholder reports; providing daily accounting; preparing quarterly financial statements; overseeing and coordinating the activities of other service providers; administering and organizing Board meetings and preparing the Board materials for such meetings; providing legal support; and administering all other aspects of the Fund's operations. Further, the Trustees noted the increased compliance requirements for funds in light of new SEC regulations and other legislation. These services are generally not required to the same extent, if at all, for separate accounts. In addition to the differences in services, the Trustees also considered, among other things, the differences in product distribution, investment policies, investor profiles and account sizes. Accordingly, the Trustees believe that the nature and number of services provided to operate a Fund merit the higher fees than those to separate managed accounts. 3. PROFITABILITY OF ADVISER In conjunction with its review of fees, the Trustees also considered NAM's profitability. The Trustees reviewed NAM's revenues, expenses and profitability margins (on both a pre-tax and after-tax basis). In reviewing profitability, the Trustees recognized that one of the most difficult issues in determining profitability is establishing a method of allocating expenses. Accordingly, the Trustees reviewed NAM's assumptions and methodology of allocating expenses. In this regard, the methods of allocation used appeared reasonable but the Board noted the inherent limitations in allocating costs among various advisory products. The Trustees also recognized that individual fund or product line profitability of other advisers is generally not publicly available. Further, profitability may be affected by numerous factors including the types of funds managed, expense allocations, business mix, etc. and therefore comparability of profitability is somewhat limited. Nevertheless, to the extent available, the Trustees considered NAM's profit margin compared to the profitability of various publicly-traded investment management companies and/or investment management companies that publicly disclose some or all of their financial results compiled by three independent third-party service providers. The Trustees also reviewed the revenues, expenses and profit margins of various unaffiliated advisory firms with similar amounts of assets under management for the last year prepared by NAM. Based on their review, the Trustees were satisfied that NAM's level of profitability from its relationship with each Fund was reasonable in light of the services provided. In evaluating the reasonableness of the compensation, the Trustees also considered any other revenues paid to NAM as well as any indirect benefits (such as soft dollar arrangements, if any) NAM and its affiliates are expected to receive that are directly attributable to their management of the Funds, if any. See Section E below for additional information. Based on their review of the overall fee arrangements of the applicable Fund, the Trustees determined that the advisory fees and expenses of the respective Fund were reasonable. D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE In reviewing the compensation, the Trustees have long understood the benefits of economies of scale as the assets of a fund grows and have sought to ensure that shareholders share in these benefits. One method for shareholders to share in economies of scale is to include breakpoints in the advisory fee schedules that reduce fees as fund assets grow. Accordingly, the Trustees received and reviewed the schedules of advisory fees for each Fund, including fund-level breakpoints thereto. In addition, after lengthy negotiations with management, the Board in May, 2004 approved a complex-wide fee arrangement pursuant to which fees of the funds in the Nuveen complex, including the Funds, are reduced as the assets in the fund complex reach certain levels. The complex-wide fee arrangement was introduced on August 1, 2004 and the Trustees reviewed data regarding the reductions of fees for the Funds for the period of August 1, 2004 to December 31, 2004. In evaluating the complex-wide fee arrangement, the Trustees considered, among other things, the historic and expected fee savings to shareholders as assets grow, the amount of fee reductions at various asset levels, and that the arrangement would extend to all Funds in the Nuveen complex. The Trustees also considered the impact, if any, the complex-wide fee arrangement may have on the level of services provided. Based on their review, the Trustees concluded that the breakpoint schedule and complex-wide fee arrangement currently was acceptable and desirable in providing benefits from economies of scale to shareholders. E. INDIRECT BENEFITS In evaluating fees, the Trustees also considered any indirect benefits or profits NAM or its affiliates may receive as a result of its relationship with each Fund. In this regard, the Trustees considered any benefits from soft dollar arrangements. The Trustees noted that although NAM manages a large amount of assets, it has very little, if any, brokerage to allocate. This is due to the fact that NAM 76 typically manages the portfolios of the municipal funds in the Nuveen complex and municipal bonds generally trade on a principal basis. Accordingly, NAM does not currently have any soft dollar arrangements and does not pay excess brokerage commissions (or spreads on principal transactions) in order to receive research services. In addition to soft dollar arrangements, the Trustees also considered any other revenues, if any, received by NAM or its affiliates. With respect to Funds with outstanding preferred shares and new Funds, the Trustees considered revenues received by Nuveen for serving as agent for broker-dealers at its preferred trading desk and for acting as co-manager in the initial public offering of new closed-end exchange-traded funds. F. OTHER CONSIDERATIONS Nuveen, until recently, was a majority-owned subsidiary of St. Paul Travelers. As noted, St. Paul earlier this year announced its intention to divest its equity stake in Nuveen. Nuveen is the parent of NAM. Pursuant to a series of transactions, St. Paul has begun to reduce its interest in Nuveen which will ultimately result in a change of control of Nuveen and therefore NAM. As mandated by the 1940 Act, such a change in control would result in an assignment of the advisory agreement with NAM and the automatic termination of such agreement. Accordingly, the Board also considered for each Fund the approval of a New Investment Management Agreement with each Fund in light of, and which would take effect upon, the anticipated change of control. More specifically, the Board considered for each Fund a New Investment Management Agreement on substantially identical terms to the existing Investment Management Agreement, to take effect after the change of control has occurred and the contract has been approved by Fund shareholders. In its review, the Board considered whether the various transactions necessary to divest St. Paul's interest will have an impact on the various factors they considered in approving NAM, such as the scope and quality of services to be provided following the change of control. In reviewing the St. Paul transactions, the Board considered, among other things, the impact, if any, on the operations and organizational structure of NAM; the possible benefits and costs of the transactions to the respective Fund; the potential implications of any arrangements used by Nuveen to finance certain of the transactions; the ability of NAM to perform its duties after the transactions; whether a Fund's fee structure or expense ratio would change; any changes to the current practices of the respective Fund; any changes to the terms of the advisory agreement; and any anticipated changes to the operations of NAM. Based on its review, the Board determined that St. Paul's divestiture would not affect the nature and quality of services provided by NAM, the terms of the Investment Management Agreement, including the fees thereunder, and would not materially affect the organization or operations of NAM. Accordingly, the Board determined that their analysis of the various factors regarding their approval of NAM would continue to apply after the change of control. G. APPROVAL The Trustees did not identify any single factor discussed previously as all-important or controlling. The Trustees, including a majority of independent Trustees, concluded that the terms of the Investment Management Agreements were fair and reasonable, that the respective Fund Adviser's fees are reasonable in light of the services provided to each Fund, that the renewal of the NAM Investment Management Agreements should be approved, and that the new, post-change of control NAM Investment Management Agreements be approved and recommended to shareholders. 77 Reinvest Automatically EASILY AND CONVENIENTLY Sidebar text: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET UP YOUR REINVESTMENT ACCOUNT. NUVEEN CLOSED-END EXCHANGE-TRADED FUNDS DIVIDEND REINVESTMENT PLAN Your Nuveen Closed-End Exchange-Traded Fund allows you to conveniently reinvest dividends and/or capital gains distributions in additional fund shares. By choosing to reinvest, you'll be able to invest money regularly and automatically, and watch your investment grow through the power of tax-free compounding. Just like dividends or distributions in cash, there may be times when income or capital gains taxes may be payable on dividends or distributions that are reinvested. It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market. EASY AND CONVENIENT To make recordkeeping easy and convenient, each month you'll receive a statement showing your total dividends and distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own. HOW SHARES ARE PURCHASED The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. Dividends and distributions received to purchase shares in the open market will normally be invested shortly after the dividend payment date. No interest will be paid on 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. 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. 78 Other Useful INFORMATION Effective Jan. 1, 2005, the asset management services and operations of Nuveen Advisory Corp. (NAC) and Nuveen Institutional Advisory Corp (NIAC) became part of Nuveen Asset Management (NAM). This internal consolidation is intended to simplify the delivery of services to the investment management clients of Nuveen Investments. It does not affect the investment objectives or portfolio management of any Fund. QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION Each Fund's (i) quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the 12-month period ended June 30, 2004, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities are available without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com. You may also obtain this and other Fund information directly from the Securities and Exchange Commission ("SEC"). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public References Section at 450 Fifth Street NW, Washington, D.C. 20549. CEO CERTIFICATION DISCLOSURE Each Fund's Chief Executive Officer has submitted to the New York Stock Exchange the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the Securities and Exchange Commission the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act. GLOSSARY OF TERMS USED IN THIS REPORT AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an investment's performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment's actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered. AVERAGE EFFECTIVE MATURITY: The average of all the maturities of the bonds in a Fund's portfolio, computed by weighting each maturity date (the date the security comes due) by the market value of the security. This figure does not account for the likelihood of prepayments or the exercise of call provisions. LEVERAGE-ADJUSTED DURATION: Duration is a measure of the 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. MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An investment's current annualized dividend divided by its current market price. NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by subtracting the liabilities of the Fund (including any MuniPreferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of shares outstanding. Fund NAVs are calculated at the end of each business day. TAXABLE-EQUIVALENT YIELD: The yield necessary from a fully taxable investment to equal, on an after-tax basis, the yield of a municipal bond investment. BOARD OF TRUSTEES Robert P. Bremner Lawrence H. Brown Jack B. Evans William C. Hunter David J. Kundert William J. Schneider Timothy R. Schwertfeger Judith M. Stockdale Eugene S. Sunshine FUND MANAGER Nuveen Asset Management 333 West Wacker Drive Chicago, IL 60606 CUSTODIAN State Street Bank & Trust Boston, MA TRANSFER AGENT AND SHAREHOLDER SERVICES State Street Bank & Trust Nuveen Funds P.O. Box 43071 Providence, RI 02940-3071 (800) 257-8787 LEGAL COUNSEL Chapman and Cutler LLP Chicago, IL INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Chicago, IL Each Fund intends to repurchase shares of its own common or preferred stock in the future at such times and in such amounts as is deemed advisable. No shares were repurchased during the period covered by this report. Any future repurchases will be reported to shareholders in the next annual or semiannual report. 79 Nuveen Investments: SERVING Investors For GENERATIONS Photo of: 2 women looking at a photo album. Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions. For the past century, Nuveen Investments has adhered to the belief that the best approach to investing is to apply conservative risk-management principles to help minimize volatility. Building on this tradition, we today offer a range of high quality equity and fixed-income solutions that are integral to a well-diversified core portfolio. Our clients have come to appreciate this diversity, as well as our continued adherence to proven, long-term investing principles. WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT NEEDS. Managing more than $115 billion in assets, Nuveen Investments offers access to a number of different asset classes and investing solutions through a variety of products. Nuveen Investments markets its capabilities under four distinct brands: Nuveen, a leader in fixed-income investments; NWQ, a leader in value-style equities; Rittenhouse, a leader in growth-style equities; and Symphony, a leading institutional manager of market-neutral alternative investment portfolios. FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS. To learn more about the products and services Nuveen Investments offers, 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. o Share prices o Fund details Learn more o Daily financial news about Nuveen Funds at o Investor education WWW.NUVEEN.COM/ETF o Interactive planning tools Logo: NUVEEN Investments EAN-B-0505D ITEM 2. CODE OF ETHICS. As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the Code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/etf. (To view the code, click on the Investor Resources drop down menu box, click on Fund Governance and then click on Code of Conduct.) ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The registrant's Board of Directors or Trustees determined that the registrant has at least one "audit committee financial expert" (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant's audit committee financial expert is Jack B. Evans, Chairman of the Audit Committee, who is "independent" for purposes of Item 3 of Form N-CSR. Mr. Evans was formerly President and Chief Operating Officer of SCI Financial Group, Inc., a full service registered broker-dealer and registered investment adviser ("SCI"). As part of his role as President and Chief Operating Officer, Mr. Evans actively supervised the Chief Financial Officer (the "CFO") and actively supervised the CFO's preparation of financial statements and other filings with various regulatory authorities. In such capacity, Mr. Evans was actively involved in the preparation of SCI's financial statements and the resolution of issues raised in connection therewith. Mr. Evans has also served on the audit committee of various reporting companies. At such companies, Mr. Evans was involved in the oversight of audits, audit plans, and the preparation of financial statements. Mr. Evans also formerly chaired the audit committee of the Federal Reserve Bank of Chicago. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Nuveen Connecticut Premium Income Municipal Fund The following tables show the amount of fees that Ernst & Young LLP, the Fund's auditor, billed to the Fund during the Fund's last two full fiscal years. For engagements with Ernst & Young LLP entered into on or after May 6, 2003, the Audit Committee approved in advance all audit services and non-audit services that Ernst & Young LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the "pre-approval exception"). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee's attention, and the Committee (or its delegate) approves the services before the audit is completed. The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee). SERVICES THAT THE FUND'S AUDITOR BILLED TO THE FUND
AUDIT FEES BILLED AUDIT-RELATED FEES TAX FEES ALL OTHER FEES FISCAL YEAR ENDED TO FUND BILLED TO FUND BILLED TO FUND BILLED TO FUND ------------------------------------------------------------------------------------------------------------------------------------ May 31, 2005 $ 8,450 $ 0 $ 409 $ 2,650 ------------------------------------------------------------------------------------------------------------------------------------ Percentage approved N/A 0% 0% 0% pursuant to pre-approval exception ------------------------------------------------------------------------------------------------------------------------------------ May 31, 2004 $ 8,035 $ 0 $ 383 $ 2,450 ------------------------------------------------------------------------------------------------------------------------------------ Percentage approved N/A 0% 0% 0% pursuant to pre-approval exception ------------------------------------------------------------------------------------------------------------------------------------
The above "All Other Fees" are fees paid to audit firms to perform agreed upon procedures required by the rating agencies to rate fund preferred shares. The above "Tax Fees" were billed for professional services for tax advice, tax compliance, and tax planning. SERVICES THAT THE FUND'S AUDITOR BILLED TO THE ADVISER AND AFFILIATED FUND SERVICE PROVIDERS The following tables show the amount of fees billed by Ernst & Young LLP to Nuveen Asset Management ("NAM" or the "Adviser"), and any entity controlling, controlled by or under common control with NAM ("Control Affiliate") that provides ongoing services to the Fund ("Affiliated Fund Service Provider"), for engagements directly related to the Fund's operations and financial reporting, during the Fund's last two full fiscal years. The table also shows the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee's attention, and the Committee (or its delegate) approves the services before the Fund's audit is completed.
FISCAL YEAR ENDED AUDIT-RELATED FEES TAX FEES BILLED TO ALL OTHER FEES BILLED TO ADVISER AND ADVISER AND BILLED TO ADVISER AFFILIATED FUND AFFILIATED FUND AND AFFILIATED FUND SERVICE PROVIDERS SERVICE PROVIDERS SERVICE PROVIDERS --------------------------------------------------------------------------------------------------------------------- May 31, 2005 $ 0 $ 282,575 $ 0 --------------------------------------------------------------------------------------------------------------------- Percentage approved 0% 0% 0% pursuant to pre-approval exception --------------------------------------------------------------------------------------------------------------------- May 31, 2004 $ 0 $ 0 $ 0 --------------------------------------------------------------------------------------------------------------------- Percentage approved N/A N/A N/A pursuant to pre-approval exception ---------------------------------------------------------------------------------------------------------------------
The above "Tax Fees" are primarily fees billed to the Adviser for Fund tax return preparation. NON-AUDIT SERVICES The following table shows the amount of fees that Ernst & Young LLP billed during the Fund's last two full fiscal years for non-audit services. For engagements entered into on or after May 6, 2003, the Audit Committee is required to pre-approve non-audit services that Ernst & Young LLP provides to the Adviser and any Affiliated Fund Services Provider, if the engagement related directly to the Fund's operations and financial reporting (except for those subject to the de minimis exception described above). The Audit Committee requested and received information from Ernst & Young LLP about any non-audit services that Ernst & Young LLP rendered during the Fund's last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating Ernst & Young LLP's independence.
FISCAL YEAR ENDED TOTAL NON-AUDIT FEES BILLED TO ADVISER AND AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES PROVIDERS (ENGAGEMENTS BILLED TO ADVISER AND RELATED DIRECTLY TO THE AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES OPERATIONS AND FINANCIAL PROVIDERS (ALL OTHER BILLED TO FUND REPORTING OF THE FUND) ENGAGEMENTS) TOTAL ------------------------------------------------------------------------------------------------------------------------------------ May 31, 2005 $ 3,059 $ 282,575 $ 0 $ 285,634 May 31, 2004 $ 2,833 $ 0 $ 0 $ 2,833
The above "Non-Audit Fees billed to Adviser" for 2005 include "Tax-Fees" billed to Adviser in the amount of $282,575 from previous table. Audit Committee Pre-Approval Policies and Procedures. Generally, the audit committee must approve (i) all non-audit services to be performed for the Fund by the Fund's independent accountants and (ii) all audit and non-audit services to be performed by the Fund's independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the audit committee if they are expected to be for amounts greater than $10,000; (ii) reported to the audit committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the audit committee at the next audit committee meeting if they are expected to be for an amount under $5,000. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. The registrant's Board of Directors or Trustees has a separately designated audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (the "Exchange Act") (15 U.S.C. 78c(a)(58)(A)). The members of the audit committee are Robert P. Bremner, Lawrence H. Brown, Jack B. Evans and William J. Schneider. 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. In the rare event that a municipal issuer held by the Fund were to issue a proxy or that the Fund were to receive a proxy issued by a cash management security, the Adviser would either engage an independent third party to determine how the proxy should be voted or vote the proxy with the consent, or based on the instructions, of the Fund's Board of Directors or Trustees or its representative. In the case of a conflict of interest, the proxy would be submitted to the applicable Fund's Board to determine how the proxy should be voted. A member of the Adviser's legal department would oversee the administration of the voting, and ensure that records were maintained in accordance with Rule 204-2(c)(2) under the Investment Advisers Act of 1940 (17 CFR 275.204-2(c)(2)), reports were filed with the SEC on Form N-PX, and the results were provided to the Board of Directors or Trustees and made available to shareholders as required by applicable rules. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable at this time. 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. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant's website at www.nuveen.com/etf and there were no amendments during the period covered by this report. (To view the code, click on the Investor Resources drop down menu box, click on Fund Governance and then Code of Conduct.) (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. (b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Nuveen Connecticut Premium Income Municipal Fund ----------------------------------------------------------- By (Signature and Title)* /s/ Jessica R. Droeger ---------------------------------------------- Jessica R. Droeger Vice President and Secretary Date: September 30, 2005 ------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Gifford R. Zimmerman ---------------------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) Date: September 30, 2005 ------------------------------------------------------------------- By (Signature and Title)* /s/ Stephen D. Foy ---------------------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) Date: September 30, 2005 ------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature.