-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, EsksdS6u2c+mL27KgkQeYJAb0HjYJJyoKv4IEsC5RkqCSllzO5NbiKu5dpDPSu4n rrzMLorSVOs0zjGPgeh3Zw== 0000891804-08-002420.txt : 20080807 0000891804-08-002420.hdr.sgml : 20080807 20080807123902 ACCESSION NUMBER: 0000891804-08-002420 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20080531 FILED AS OF DATE: 20080807 DATE AS OF CHANGE: 20080807 EFFECTIVENESS DATE: 20080807 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND CENTRAL INDEX KEY: 0000899752 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07606 FILM NUMBER: 08997494 BUSINESS ADDRESS: STREET 1: 333 WEST WACKAER DR CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3129178200 N-CSR 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) Kevin J. McCarthy Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (312) 917-7700 ------------------- Date of fiscal year end: May 31 ------------------ Date of reporting period: May 31, 2008 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. ANNUAL REPORT May 31, 2008 Nuveen Investments MUNICIPAL CLOSED-END FUNDS Photo of: Small child NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND NTC NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND NFC NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 NGK NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 NGO NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND NMT NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND NMB NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND NGX NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND NOM IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R) Logo: NUVEEN Investments Photo of: Man working on computer LIFE IS COMPLEX. NUVEEN MAKES THINGS E-simple. ---------------------------------------------------------------------------- It only takes a minute to sign up for e-Reports. Once enrolled, you'll receive an e-mail as soon as your Nuveen Investments Fund information is ready--no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish. FREE E-REPORTS RIGHT TO YOUR E-MAIL! www.investordelivery.com If you receive your Nuveen Fund dividends and statements from your financial advisor or brokerage account. OR www.nuveen.com/accountaccess If you receive your Nuveen Fund dividends and statements directly from Nuveen. Logo: NUVEEN Investments Chairman's LETTER TO SHAREHOLDERS Photo of: Robert P. Bremner Robert P. Bremner | Chairman of the Board I'd like to use my initial letter to you to accomplish several things. First, I want to report that after fourteen years of service on your Fund's Board, including the last twelve as chairman, Tim Schwertfeger retired from the Board in June. The Board has elected me to replace him as the chairman, the first time this role has been filled by someone who is not an employee of Nuveen Investments. Electing an independent chairman marks a significant milestone in the management of your Fund, and it aligns us with what is now considered a "best practice" in the fund industry. Further, it demonstrates the independence with which your Board has always acted on your behalf. Following Tim will not be easy. During my eleven previous years on the Nuveen Fund Board, I found that Tim always set a very high standard by combining insightful industry and market knowledge and sound, clear judgment. While the Board will miss his wise counsel, I am certain we will retain the primary commitment Tim shared with all of us - an unceasing dedication to creating and retaining value for Nuveen Fund shareholders. This focus on value over time is a touchstone that I and all the other Board members will continue to use when making decisions on your behalf. Second, I also want to report that we are very fortunate to be welcoming two new Board members to our team. John Amboian, the current chairman and CEO of Nuveen Investments, has agreed to replace Tim as Nuveen's representative on the Board. John's presence will allow the independent Board members to benefit not only from his leadership role at Nuveen but also his broad understanding of the fund industry and Nuveen's role within it. We also are adding Terry Toth as an independent director. A former CEO of the Northern Trust Company's asset management group, Terry will bring extensive experience in the fund industry to our deliberations. Third, on behalf of the entire Board, I would like to acknowledge the effort the whole Nuveen organization is making to resolve the auction rate preferred share situation in a satisfactory manner. As you know, we are actively pursuing a number of possible solutions, all with the goal of providing liquidity for preferred shareholders while preserving the potential benefits of leverage for common shareholders. We appreciate the patience you have shown as we've worked through the many details involved. Finally, I urge you to take the time to review the Portfolio Managers' Comments, the Common Share Dividend and Share Price Information, and the Performance Overview sections of this report. All of us are grateful that you have chosen Nuveen Investments as a partner as you pursue your financial goals, and, on behalf of myself and the other members of your Fund's Board, let me say we look forward to continuing to earn your trust in the months and years ahead. Sincerely, /s/ Robert P. Bremner Robert P. Bremner Chairman of the Board July 15, 2008 Portfolio Managers' COMMENTS Nuveen Investments Municipal Closed-End Funds | NTC, NFC, NGK, NGO, NMT, NMB, NGX, NOM Portfolio managers Cathryn Steeves and Scott Romans review economic and municipal market conditions at both the national and state levels, key investment strategies, and the annual performance of these eight Nuveen Funds. Cathryn, who joined Nuveen in 1996, has managed the Connecticut and Massachusetts Funds since 2006. Scott, who has been with Nuveen since 2000, assumed portfolio management responsibility for NOM in 2003. WHAT FACTORS AFFECTED THE U.S. ECONOMIC AND MUNICIPAL MARKET ENVIRONMENTS DURING THE TWELVE-MONTH REPORTING PERIOD ENDED MAY 31, 2008? During this period, developments in the credit markets led to increased price volatility and tightening liquidity, causing a flight to quality. These developments, which began to take shape last summer, became particularly evident in August 2007 when market concerns about defaults on sub-prime mortgages resulted in a liquidity crisis across all fixed income asset classes. In September 2007, the Federal Reserve (Fed) responded to credit market volatility by launching a series of interest rate cuts that lowered the fed funds rate by 325 basis points--from 5.25% to 2.00%--in eight months, including reductions of 125 basis points in January 2008 alone. The Fed's actions also were a response to increased signs of weakness in the U.S. economy, as evidenced by the slowing growth of the U.S. gross domestic product (GDP), a closely watched measure of economic performance. While GDP expanded at 3.8% in the second quarter of 2007 and 4.9% in the third quarter, this measure dropped sharply to 0.6% in the fourth quarter of 2007 (all GDP numbers annualized). In the first quarter of 2008, GDP grew at an annual rate of 1.0%, restrained by a 25% decline in residential investment and the weakest consumer spending since 2001. Driven largely by increased energy and food prices, the Consumer Price Index (CPI) registered a 4.2% year-over-year gain as of May 2008. The core CPI (which excludes food and energy prices) rose 2.3% between June 2007 and May 2008, remaining above the Fed's unofficial target of 2.0% or lower. In the labor markets, January 2008 marked the first decline in new jobs creation since 2003, breaking the longest string of employment growth (fifty-two months) in U.S. history. The national unemployment rate for May 2008 was 5.5%, its highest level since October 2004, compared with 4.5% in May 2007. The 0.5% increase in this rate between April and May 2008 represented the biggest one-month jump in more than twenty-two years. In the municipal bond market, factors related to the sub-prime mortgage crisis had an indirect, but important, influence on performance. General concerns about the credit markets as well as more specific concerns about municipal bond insurers with exposure to sub-prime mortgages caused some investors to curtail purchases. As a Discussions of specific investments are for illustrative purposes only and are not intended as recommendations of individual investments. The views expressed in this commentary represent those of the portfolio managers as of the date of this report and are subject to change at any time, based on market conditions and other factors. The Funds disclaim any obligation to advise shareholders of such changes. 4 result, in February 2008, hedge funds and other non-traditional buyers of municipal bonds were forced to sell holdings of long-maturity bonds into a market already experiencing a lack of liquidity. Combined with the Fed rate cuts, this selling produced a sharp steepening of the municipal yield curve, as longer-term interest rates rose and short-term interest rates declined. In this environment, bonds with shorter maturities generally outperformed longer maturity bonds and higher quality bonds tended to outperform lower quality issues. Also of note in the municipal market, the U.S. Supreme Court in May 2008 ruled that individual states could continue to offer their residents special tax treatment on municipal bonds issued within their borders. The high court's decision in Department of Revenue of the Commonwealth of Kentucky vs. Davis preserved tax rules in forty-two states, allowing them to continue to exempt from taxation the income their residents earn on in-state municipal bonds while taxing the income earned on municipal bonds issued in other states. Over the twelve months ended May 2008, municipal bond issuance nationwide totaled $467.0 billion, an increase of 2% from the previous twelve months. As of May 31, 2008, insured bonds comprised 25% of new supply, compared with the recent historical figure of approximately 50%. Despite disruptions in the markets, new municipal issuance continued to be met with solid demand by institutional and retail investors as well as nontraditional buyers returning to the market in the last few months. HOW WERE THE ECONOMIC AND MARKET CONDITIONS IN CONNECTICUT, MASSACHUSETTS, AND MISSOURI DURING THIS PERIOD? Connecticut, which continued to have the highest per-capita income in the nation, benefited from a varied economy driven by the financial services, manufacturing, education and health care sectors. The state also continued to rely heavily on the defense industry, with 25% of its manufacturing jobs concentrated in that sector. Connecticut's 2007 economic growth expanded at a rate of 2.8%, which ranked 11th in the nation in terms of state GDP, compared with the 2.0% national average. However, in recent months, the state's job market has softened. As of May 2008, the unemployment rate in Connecticut was 5.4%, its highest level since 2003, up from 4.4% in May 2007. Due to an increase in tax receipts, Connecticut ended fiscal 2007 with a surplus, marking the fourth consecutive year it had done so. The 2008-2009 Connecticut state budget, which provided for $36 billion in expenditures over the two years, is currently projected to produce a $15.7 million general fund surplus, although tax revenues have weakened in recent months. In April 2008, both Moody's and Standard & Poor's (S&P) confirmed their ratings on Connecticut general obligation debt at Aa3 and AA, respectively, with stable outlooks. Issuance of municipal debt in Connecticut during the twelve months ended May 31, 2008, totaled $7.1 billion, an increase of 55% over the previous reporting period. For the first five months of 2008, issuance reached $3.4 billion, up 130% compared with the first five months of 2007. The majority of this increase was due to the April 2008 issuance of $2.3 billion in taxable general obligation pension bonds, with proceeds deposited in the state's teachers' retirement fund. According to 5 Moody's, Connecticut's debt per capita was the second highest in the nation (following Massachusetts) in 2007, and the debt per capita/income per capita ratio was the fourth highest among the fifty states. Massachusetts' economy remained diverse, with growth led by education, health care, financial services and technology. The concentration of colleges and universities in the commonwealth continued to add a degree of stability to the job market and provided a source of well-educated workers for its service industries. Education-related jobs accounted for approximately 5% of Massachusetts' employment, twice the national average. However, employment growth has weakened in recent months, with a May 2008 jobless rate of 4.9%, the highest level in three years, up from 4.5% in May 2007. According to the S&P/Case-Shiller home price index of twenty major metropolitan areas, housing prices in Boston fell 6.4% between April 2007 and April 2008. This compared with an average decline of 15.3% nationwide, the steepest drop since the index was established in 2001. Massachusetts' 2007 economic growth rate of 2.5% ranked it 15th in the nation in terms of state GDP. In fiscal 2008, increased expenditures, notably for the commonwealth's universal health insurance initiative, resulted in a $100 million budget gap, which was addressed through spending reductions and a drawdown of reserves. In March 2008, Moody's confirmed its rating on Massachusetts general obligation debt at Aa2, and S&P confirmed its rating of AA in April 2008. Both rating agencies maintained stable outlooks. For the twelve months ended May 31, 2008, new municipal supply in Massachusetts totaled $13.2 billion, an increase of 5% from the previous reporting period. According to Moody's, Massachusetts' debt per capita ranked as the highest in the nation in 2007, while debt as a percentage of personal income ranked second in the country. Missouri's economy grew at a considerably slower pace than the national economy in 2007, as continued problems in the state's manufacturing sector were compounded by fallout from a slumping housing market. Missouri's 2007 growth rate of 1.3% (compared with the national average of 2.0%) ranked 36th in terms of state GDP. After a brief period of stability, the state's manufacturing sector continued to shed jobs, most notably in the auto industry. Growth in Missouri was driven mainly by the health and education and the leisure and hospitality sectors, followed by government, professional and business services and retail trade. The state, which recently made efforts to diversify into the highly competitive biotechnology sector, continued to work to attract more high-tech industry. While housing prices in the state have held up relatively well, new home construction was down 50% from 2006 levels, and the consequences were being felt in housing-related industries, including financial services. In May 2008, the jobless rate in Missouri was 6.0%, compared with 4.8% in May 2007, ranking the state 11th in the nation in terms of unemployment. As of May 2008, Moody's and S&P maintained their ratings on Missouri general obligation debt at Aaa/AAA with a stable outlook, reflecting the state's conservative debt and fiscal management practices. During the twelve months ended May 31, 2008, municipal issuance in Missouri was down 30%. For January-May 2008, issuance in the state totaled $1.7 billion, down 30% from the first five months of 2007. 6 WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THIS PERIOD? During this twelve-month period, as the municipal market was characterized by volatility and a steepening yield curve, we sought to capitalize on the turbulent environment by continuing to focus on relative value, using a fundamental approach to find undervalued sectors and individual credits with the potential to perform well over the long term. Among the issues we added to the Connecticut and Massachusetts Funds were health care and long-term care/retirement facilities bonds. The Connecticut Funds also purchased single-family housing credits and higher education bonds, including those issued for Yale University and Quinipiac College. All of the Connecticut and Massachusetts Funds also added exposure to the short end of the yield curve by purchasing small positions in auction rate bonds. Because of their extremely short durations, auction rate securities traditionally have been far more popular with money market fund managers than municipal bond fund managers. But demand for these issues evaporated when the credit markets became relatively illiquid, and their yields rose to unprecedented levels. We saw an opportunity to buy these bonds at attractive prices relative to their income. In NOM, we were also focused on taking advantage of opportunities presented by the volatility of the past twelve months. When interest rates were low, we continued to purchase defensive, high credit quality bonds that we believed would hold their value well despite market fluctuations. When interest rates backed up, we took an opportunistic approach to increasing NOM's credit exposure at discount prices, adding bonds that we believed had greater performance potential and better structural features. We also watched for opportunities to pick up good values that other investors were forced to sell as a consequence of the lack of liquidity in the market. To generate cash for purchases, we selectively sold some holdings with shorter durations,(1) including pre-refunded bonds.(2) Selling shorter duration bonds and reinvesting further out on the yield curve also helped to improve the Funds' overall call protection profiles. We also took advantage of strong bids to sell bonds that were attractive to the retail market. In NOM, many of our new purchases were funded by reinvesting the proceeds from bond calls. As part of our disciplined approach to duration management, we used inverse floating rate securities,(3) a type of derivative financial instrument, in NOM throughout the reporting period. In addition, we added new inverse floating rate securities to all of the Connecticut Funds during the last half of this period. Inverse floaters typically provide the dual benefit of bringing the durations of the Funds closer to our strategic target and enhancing their income-generation capabilities. All of the Connecticut and Massachusetts Funds also used forward interest rate swaps, another type of derivative financial instrument. The goal of this strategy was to help us manage the common share net asset value (NAV) volatility of these Funds without having a negative impact on their income streams or common share dividends over the short term. Given the market environment, we thought it prudent to remove the forward interest rate swaps from the majority of these Funds, however as of May 31, 2008, NMT and NMB still held forward interest rate swaps. (1) Duration is a measure of a bond's price sensitivity as interest rates change, with longer duration bonds displaying more sensitivity to these changes than bonds with shorter durations. (2) Advance refundings, also known as pre-refundings or refinancings, occur when an issuer sells new bonds and uses the proceeds to fund principal and interest payments of older existing bonds. This process often results in lower borrowing costs for bond issuers. (3) An inverse floating rate security is a financial instrument designed to pay long-term tax-exempt interest at a rate that varies inversely with a short-term tax-exempt interest rate index. For the Nuveen Funds, the index typically used is the Securities Industry and Financial Markets (SIFM) Municipal Swap Index (previously referred to as the Bond Market Association Index or BMA). Inverse floaters, including those inverse floating rate securities in which the Funds invested during the reporting period, are further defined within the Notes to Financial Statements and Glossary of Terms Used in This Report sections of this report. 7 HOW DID THE FUNDS PERFORM? Individual results for these Nuveen Funds, as well as relevant index and peer group information, are presented in the accompanying table. Total Returns on Common Share Net Asset Value* For periods ended 5/31/08 1-Year 5-Year 10-Year Connecticut Funds NTC 3.60% 3.85% 5.66% NFC 4.62% 4.42% N/A NGK 4.54% 3.87% N/A NGO 2.79% 3.61% N/A Massachusetts Funds NMT 2.08% 3.95% 5.25% NMB 1.55% 3.87% N/A Missouri Fund NOM 0.26% 3.21% 5.15% Lipper Other States Municipal Debt Funds Average(4) 0.84% 3.75% 5.25% Lehman Brothers Municipal Bond Index(6) 3.87% 3.67% 5.06% Insured Massachusetts Fund NGX 3.04% 3.85% N/A Lipper Single-State Insured Municipal Debt Funds Average(5) 0.92% 3.60% 5.04% Lehman Brothers Insured Municipal Bond Index(6) 3.48% 3.60% 5.18% For the twelve months ended May 31, 2008, the total returns on common share NAV for NFC and NGK exceeded the return on the national Lehman Brothers Municipal Bond Index, while NTC, NGO, NMT, NMB and NOM trailed this index. For the same period, NGX underperformed the return on the Lehman Brothers Insured Municipal Bond Index. At the same time, NTC, NFC, NGK, NGO, NMT, and NMB outperformed the average return for the Lipper Other States Municipal Debt Funds Average, NOM lagged this group average, and NGX outperformed the Lipper Single-State Insured Municipal Debt Funds Average. One of the factors influencing the performance of these Funds relative to those of the unleveraged Lehman Brothers Municipal Bond Index and Lehman Brothers Insured *Annualized. Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. For additional information, see the individual Performance Overview for your Fund in this report. (4) The Lipper Other States Municipal Debt Funds Average is calculated using the returns of all closed-end funds in this category for each period as follows: 1 year, 43; 5 years, 43; and 10 years, 18. Fund and Lipper returns assume reinvestment of dividends. (5) The Lipper Single-State Insured Municipal Debt Funds Average is calculated using the returns of all closed-end funds in this category for each period as follows: 1 year, 44; 5 years, 44; and 10 years, 24. Fund and Lipper returns assume reinvestment of dividends. (6) 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. 8 Municipal Bond Index was the use of financial leverage. While leverage provides opportunities for additional income and total returns for common shareholders, the benefits of leveraging are impacted by the general price movements of the bonds in each Fund's portfolio. During this period, the Funds' borrowing costs remained relatively high, which generally had a negative impact on total returns. In addition, in the turbulent market environment of the past twelve months, the impact of any valuation change in the Funds' holdings--whether positive or negative--was magnified by the use of leverage. Other key factors that influenced the Funds' returns included yield curve and duration positioning, the use of derivatives, credit exposure and sector allocations and holdings of bonds backed by lower-rated municipal bond insurers. Bonds in the Lehman Brothers Municipal Bond Index with maturities of less than eight years, especially those maturing in approximately four to six years, benefited the most from changes in the interest rate environment. As a result, these bonds generally outperformed credits with longer maturities. Bonds having the longest maturities (twenty-two years and longer) posted the worst returns. For the most part, the duration positioning of the Connecticut and Massachusetts Funds was a net positive for performance during this period. Although the Funds were underexposed to the outperforming shorter maturity categories, this was generally offset by their heavier allocations to the intermediate part of the yield curve, which performed relatively well, and lower weightings in the underperforming long part of the curve. In NOM, which had the longest duration among these Funds, duration positioning had a moderately negative impact on the Fund's return. As mentioned earlier, the Connecticut and Massachusetts Funds used forward interest rate swaps during part of this period to synthetically extend their durations and move them closer to our strategic duration target. Despite the fact that longer duration municipal bonds generally underperformed those with shorter durations, the use of forward interest rate swaps had a positive impact on the return performance of these seven Funds. This was due to the fact that the interest rate swaps provided exposure to taxable markets during a period when, in contrast to historical trends, the taxable markets and the municipal market moved in the opposite directions. As municipal market performance lagged the gains in the taxable markets, the interest rate swaps performed very well. After the removal of the forward interest rate swaps in NTC, NFC, NGK, NGO and NGX, the durations of these Funds remained slightly short of our strategic target, which helped their performances as shorter duration bonds outperformed. The inverse floaters used by NOM throughout the period had a negative impact on this Fund's performance. This resulted from the fact that the inverse floaters effectively increased NOM's exposure to longer maturity bonds during a period when shorter maturities were in favor in the market. In addition, the securities used to fund the inverse floaters, although insured, performed very poorly due to long duration, low underlying credit rating (BBB), and the downgrade of the bond's insurer (Ambac). All of the inverse floaters benefited these Funds by helping to support their income streams. Bonds rated BBB or below generally posted poor returns. The underperformance of the lower credit quality sectors was largely the result of risk-averse investors' flight to quality as disruptions in the financial and housing markets deepened. Among the Connecticut Funds, NTC, NFC and NGK allocated approximately 9% of their portfolio 9 to BBB rated bonds, while NGO allocated 14% to bonds rated BBB as of May 31, 2008. In Massachusetts, NMT and NMB had weightings of approximately 14% and 16%, respectively, to the lower-rated and non-rated credit categories. The insured NGX, which can invest up to 20% of its assets in uninsured investment-grade quality securities, held 1% of its uninsured portfolio in bonds rated BBB as of May 31, 2008, and the Fund benefited from this overall higher credit quality. In NOM, BBB rated and non-rated bonds accounted for more than 23% of the Fund's portfolio. The credit positions of NGO, NMB, and NOM were generally weaker than those of the other five Funds, and the negative impact of this greater exposure to credit risk accounted for some of the performance differentials among these Funds. In general, bonds that carried any credit risk, regardless of sector, tended to perform poorly. Revenue bonds as a whole, and especially the industrial development and health care (including hospitals and long-term care) sectors that had ranked among the top performers in the Lehman Brothers Municipal Bond Index over the past few years, underperformed the general municipal market. The housing sector also performed poorly, as did lower-rated bonds backed by the 1998 master tobacco settlement agreement, which comprised slightly over 1% of the portfolios of NTC and NGK and 2.3% of NGO as of May 31, 2008. Sectors of the market that generally contributed positively to the Funds' performances included general obligation bonds, water and sewer, special tax issues and education. Pre-refunded bonds performed exceptionally well, due primarily to their shorter effective maturities and higher credit quality. Among these Funds, NGX held 23%, NFC and NOM held 14%, NGK 12%, NMB 11% and NTC 7% or more of their portfolios in pre-refunded bonds. All of the Funds were also impacted by their positions in bonds backed by municipal bond insurers that experienced downgrades in their credit ratings. As concern increased about the balance sheets of these insurers, prices on bonds insured by these companies declined, detracting from the Funds' performance. NOM, in particular, was negatively affected by its relatively higher exposure to bonds insured by CIFG Guaranty and FGIC Corporation, two of the municipal bond insurers that were downgraded to sub-investment grade levels. On the whole, however, the holdings of all of our Funds continued to be well diversified not only between insured and uninsured bonds, but also within the insured bond category. RECENT DEVELOPMENTS REGARDING BOND INSURANCE COMPANIES The portfolios of investments reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. During the period covered by this report, each of these insurers experienced one or more rating reductions by at least one or more rating agencies. Subsequent to May 31, 2008, at least one rating agency further reduced their rating and at least one rating agency had withdrawn their rating for AMBAC-insured and MBIA-insured bonds. At the time this report was prepared, at least one rating agency has placed each of these insurers on "negative credit watch", which may presage one or more rating reductions for such insurer or insurers in the future. If one or more insurers' ratings are reduced by these rating agencies, it would likely reduce the effective rating of many of the bonds insured by that insurer or insurers. It is important to note that municipal bonds historically have had a very low rate of default. 10 During March 2008, the Nuveen Funds' Board of Directors/Trustees approved changes to the investment policies of all of the Nuveen insured municipal closed-end funds. The new policies require that (1) at least 80% of a Fund's net assets must be invested in insured municipal bonds guaranteed by insurers rated "A" or better by at least one rating agency at the time of purchase; (2) at least 80% of a Fund's net assets must be invested in municipal bonds rated "AA" or better by at least one rating agency (with or without insurance), deemed to be of comparable quality by the Adviser, or backed by an escrow or trust containing sufficient U.S. Government or Government agency securities at the time of purchase; and (3) up to 20% of a Fund's net assets may be invested in uninsured municipal bonds rated "A" to "BBB" by at least one rating agency or deemed to be of comparable quality by the Adviser at the time of purchase. These policy changes are designed to increase portfolio manager flexibility and retain the insured nature of the Funds' investment portfolios for current and future environments. Insured Massachusetts Tax-Free Advantage (NGX) implemented these policy changes on March 20, 2008. RECENT DEVELOPMENTS IN THE AUCTION RATE PREFERRED SECURITIES (ARPS) MARKETS Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the preferred shares issued by these Funds than there were offers to buy. This meant that these auctions "failed to clear" and that many or all auction preferred shareholders who wanted to sell their shares in these auctions were unable to do so. This decline in liquidity in auction preferred shares did not lower the credit quality of these shares, and auction preferred shareholders unable to sell their shares received distributions at the "maximum rate" applicable to failed auctions as calculated in accordance with the pre-established terms of the auction preferred shares. At the time this report was prepared, the Funds' managers could not predict when future auctions might succeed in attracting sufficient buyers for the shares offered, if ever. The Funds' managers are working diligently to refund the auction preferred shares, and have made progress in these efforts, but at present there is no assurance that these efforts will succeed. These developments generally do not affect the management or investment policies of these Funds. However, one implication of these auction failures for common shareholders is that the Funds' cost of leverage will likely be higher, at least temporarily, than it otherwise would have been had the auctions continued to be successful. As a result, the Funds' future common share earnings may be lower than they otherwise would have been. On June 11, 2008, Nuveen announced the Fund Board's approval of plans to use tender option bonds (TOBs), also known as floating rate securities, to refinance a portion of the municipal funds' outstanding ARPS, whose auctions have been failing for several months, including an initial phase of approximately $1 billion in forty-one funds. On June 26, 2008, thirteen municipal funds (none of which are included in this shareholder report) issued par redemption notices for a portion of their auction-rate securities aggregating approximately $580 million. For current, up-to-date information, please visit the Nuveen CEF Auction Rate Preferred Resource Center at: http://www.nuveen.com/ResourceCenter/AuctionRatePreferred.aspx. 11 Common Share Dividend and Share Price INFORMATION As previously noted, all of the Funds in this report use leverage to potentially enhance opportunities for additional income for common shareholders. While this strategy continued to provide incremental income, the extent of this benefit was reduced to some degree by the borrowing costs associated with leverage, which remained relatively high. Some of the Funds' income streams were also impacted as the proceeds from older, higher-yielding bonds that matured or were called were reinvested into bonds currently available in the market, which generally offered lower yields than the maturing or called bonds. These factors resulted in one monthly common share dividend reduction in NTC and NGK and two reductions in NGO during this reporting period. Over the twelve-month reporting period ended May 31, 2008, the dividends of NFC, NMT, NMB, and NOM remained stable. In NGX, we were able to increase the dividend effective August 2007. Due to normal portfolio activity, common shareholders of the following Funds received capital gains and net ordinary income distributions at the end of December 2007 as follows: Short-Term Capital Gains Long-Term Capital Gains and/or Ordinary Income (per share) (per share) NTC $0.0288 -- NFC $0.0648 $0.0016 NGK $0.0738 -- NMT $0.0166 -- NMB $0.0248 -- NOM $0.1265 -- 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 common share 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 common share NAV. Each Fund will, over time, pay all of its net investment income as dividends to shareholders. As of May 31, 2008, all of the Funds in this report with the exception of NOM, had positive UNII balances for tax purposes and negative UNII balances for 12 financial statement purposes. NOM had a positive UNII balance for both tax and financial statement purposes. As of May 31, 2008, the Funds' common share prices were trading at premiums or discounts to their common share NAVs as shown in the accompanying chart: 5/31/08 Twelve-Month Average Premium/Discount Premium/Discount NTC -1.19% -2.01% NFC +1.63% +1.14% NGK +1.63% +1.16% NGO -3.20% -3.13% NMT -4.29% -5.74% NMB +1.74% -1.67% NGX -0.98% -2.27% NOM +9.17% +4.23% 13 NTC Performance OVERVIEW Nuveen Connecticut Premium Income Municipal Fund as of May 31, 2008 Pie Chart: Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 71% AA 19% A 1% BBB 9% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) Jun 0.052 Jul 0.052 Aug 0.052 Sep 0.052 Oct 0.052 Nov 0.052 Dec 0.052 Jan 0.052 Feb 0.052 Mar 0.049 Apr 0.049 May 0.049 Line Chart: Common Share Price Performance -- Weekly Closing Price 6/01/07 15.18 15.29 15.11 14.5 15.2 14.76 14.76 14.85 14.4 14.52 14.34 13.9 13.7 14.04 14.18 14.14 14.09 14.2 13.97 13.67 13.64 13.71 13.65 13.51 13.01 13.1 13.38 13.62 13.59 13.03 13.33 14.08 13.9 13.76 14.054 13.87 14.08 13.27 13.3 13.22 13.86 13.61 13.1 13.36 13.31 13.4501 13.41 13.65 13.93 13.95 14.1 13.95 14.08 5/31/08 14.08 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.08 - ------------------------------------ Common Share Net Asset Value $14.25 - ------------------------------------ Premium/(Discount) to NAV -1.19% - ------------------------------------ Market Yield 4.18% - ------------------------------------ Taxable-Equivalent Yield(2) 6.11% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $76,441 - ------------------------------------ Average Effective Maturity on Securities (Years) 16.93 - ------------------------------------ Leverage-Adjusted Duration 8.57 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year -1.08% 3.60% - ------------------------------------ 5-Year 1.50% 3.85% - ------------------------------------ 10-Year 4.48% 5.66% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Education and Civic Organizations 24.6% - ------------------------------------ Tax Obligation/General 17.5% - ------------------------------------ Tax Obligation/Limited 13.9% - ------------------------------------ Health Care 10.8% - ------------------------------------ U.S. Guaranteed 8.1% - ------------------------------------ Water and Sewer 7.5% - ------------------------------------ Housing/Single Family 4.8% - ------------------------------------ Other 12.8% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (3) The Fund paid shareholders a capital gains distribution in December 2007 of $0.0288 per share. 14 NFC Performance OVERVIEW Nuveen Connecticut Dividend Advantage Municipal Fund as of May 31, 2008 Pie Chart: Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 65% AA 20% A 6% BBB 9% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) Jun 0.0555 Jul 0.0555 Aug 0.0555 Sep 0.0555 Oct 0.0555 Nov 0.0555 Dec 0.0555 Jan 0.0555 Feb 0.0555 Mar 0.0555 Apr 0.0555 May 0.0555 Line Chart: Common Share Price Performance -- Weekly Closing Price 6/01/07 16.3 16 16.21 16.28 15.92 15.78 15.8 15.12 15.3 15.34 16.5 15.3 14.64 15.2 15.25 15.42 15.14 15.07 14.9176 14.55 14.4 14.47 14.44 14.21 13.9 13.82 14.11 14.13 14.03 13.72 13.88 14.56 14.64 14.85 14.85 14.84 14.85 14.3 14.25 14.06 14.6 14.28 14.26 14.25 14.37 14.3101 14.45 14.52 14.71 14.88 14.67 15.03 14.93 5/31/08 14.93 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.93 - ------------------------------------ Common Share Net Asset Value $14.69 - ------------------------------------ Premium/(Discount) to NAV 1.63% - ------------------------------------ Market Yield 4.46% - ------------------------------------ Taxable-Equivalent Yield(2) 6.52% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $37,874 - ------------------------------------ Average Effective Maturity on Securities (Years) 16.29 - ------------------------------------ Leverage-Adjusted Duration 8.60 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/01) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year -4.10% 4.62% - ------------------------------------ 5-Year 3.46% 4.42% - ------------------------------------ Since Inception 5.26% 5.98% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Education and Civic Organizations 23.3% - ------------------------------------ U.S. Guaranteed 19.3% - ------------------------------------ Tax Obligation/Limited 16.6% - ------------------------------------ Tax Obligation/General 8.3% - ------------------------------------ Water and Sewer 8.1% - ------------------------------------ Health Care 7.6% - ------------------------------------ Housing/Single Family 4.6% - ------------------------------------ Other 12.2% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (3) The Fund paid shareholders capital gains and net ordinary income distributions in December 2007 of $0.0664 per share. 15 NGK Performance OVERVIEW Nuveen Connecticut Dividend Advantage Municipal Fund 2 as of May 31, 2008 Pie Chart: Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 69% AA 22% BBB 9% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) Jun 0.058 Jul 0.058 Aug 0.058 Sep 0.058 Oct 0.055 Nov 0.055 Dec 0.055 Jan 0.055 Feb 0.055 Mar 0.055 Apr 0.055 May 0.055 Line Chart: Common Share Price Performance -- Weekly Closing Price 6/01/07 16.65 16.55 16.1401 16.33 15.8 15.79 15.79 15.7 15.55 15.8 15.5 15.35 15.695 15.3 15.9 16 16 15.39 14.58 14.5 14.29 14.5399 14.45 14.34 13.93 14.05 14.2 14.18 14.24 14.082 13.72 14.46 14.7 15 14.78 14.84 15.12 14.1301 14.41 13.76 14.4656 14.7 13.91 14.19 14.21 14.26 14.37 14.44 14.54 15.15 14.62 14.92 15 5/31/08 15 FUND SNAPSHOT - ------------------------------------ Common Share Price $15.00 - ------------------------------------ Common Share Net Asset Value $14.76 - ------------------------------------ Premium/(Discount) to NAV 1.63% - ------------------------------------ Market Yield 4.40% - ------------------------------------ Taxable-Equivalent Yield(2) 6.43% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $34,188 - ------------------------------------ Average Effective Maturity on Securities (Years) 16.19 - ------------------------------------ Leverage-Adjusted Duration 8.35 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/25/02) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year -3.63% 4.54% - ------------------------------------ 5-Year 4.62% 3.87% - ------------------------------------ Since Inception 5.64% 6.28% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Education and Civic Organizations 22.2% - ------------------------------------ U.S. Guaranteed 18.3% - ------------------------------------ Tax Obligation/General 14.7% - ------------------------------------ Tax Obligation/Limited 10.8% - ------------------------------------ Health Care 8.7% - ------------------------------------ Water and Sewer 6.4% - ------------------------------------ Transportation 4.1% - ------------------------------------ Housing/Single Family 4.1% - ------------------------------------ Other 10.7% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (3) The Fund paid shareholders a capital gains distribution in December 2007 of $0.0738 per share. 16 NGO Performance OVERVIEW Nuveen Connecticut Dividend Advantage Municipal Fund 3 as of May 31, 2008 Pie Chart: Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 68% AA 18% BBB 14% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share Jun 0.052 Jul 0.052 Aug 0.052 Sep 0.052 Oct 0.0505 Nov 0.0505 Dec 0.0505 Jan 0.0505 Feb 0.0505 Mar 0.0485 Apr 0.0485 May 0.0485 Line Chart: Common Share Price Performance -- Weekly Closing Price 6/01/07 14.8 14.6014 14.99 14.87 14.6 14.9 14.4 14.4 14.38 14.29 13.91 13.83 14 14 14.13 14.2501 14.1 13.96 13.65 13.35 13.42 13.5001 13.51 13.15 12.9601 12.75 13.41 13.52 13.35 12.63 13.15 13.77 13.95 13.82 13.75 13.52 13.728 12.9 13.11 12.75 13.6999 13.2301 12.7 12.9 13.2199 13.07 13.178 13.3 13.13 13.52 13.5 13.48 13.63 5/31/08 13.63 FUND SNAPSHOT - ------------------------------------ Common Share Price $13.63 - ------------------------------------ Common Share Net Asset Value $14.08 - ------------------------------------ Premium/(Discount) to NAV -3.20% - ------------------------------------ Market Yield 4.27% - ------------------------------------ Taxable-Equivalent Yield(2) 6.24% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $61,476 - ------------------------------------ Average Effective Maturity on Securities (Years) 16.67 - ------------------------------------ Leverage-Adjusted Duration 8.91 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 9/26/02) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year -3.07% 2.79% - ------------------------------------ 5-Year 3.01% 3.61% - ------------------------------------ Since Inception 3.30% 4.66% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Education and Civic Organizations 17.5% - ------------------------------------ Tax Obligation/General 17.1% - ------------------------------------ Tax Obligation/Limited 14.3% - ------------------------------------ U.S. Guaranteed 14.2% - ------------------------------------ Water and Sewer 9.2% - ------------------------------------ Long-Term Care 8.3% - ------------------------------------ Health Care 6.3% - ------------------------------------ Other 13.1% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 17 NMT Performance OVERVIEW Nuveen Massachusetts Premium Income Municipal Fund as of May 31, 2008 Pie Chart: Credit Quality (as a % of total investments)(1),(2) AAA/U.S. Guaranteed 63% AA 15% A 8% BBB 9% BB or Lower 3% N/R 2% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share(4) Jun 0.0515 Jul 0.0515 Aug 0.0515 Sep 0.0515 Oct 0.0515 Nov 0.0515 Dec 0.0515 Jan 0.0515 Feb 0.0515 Mar 0.0515 Apr 0.0515 May 0.0515 Line Chart: Common Share Price Performance -- Weekly Closing Price 6/01/07 14.3 14.37 14.19 14.1 14.23 13.9 13.8 13.86 14.19 13.64 13.16 13.53 13.25 13.4 13.67 13.84 13.8042 13.65 13.66 13.5 13.3601 13.33 13.42 13.14 13.04 13.03 13.11 13.25 13.04 12.61 12.67 13.47 13.72 13.79 13.78 13.97 14.09 13.04 12.98 13 13.08 13.12 13.3 13.45 13.28 13.24 13.08 13.25 13.14 13.35 13.12 13.33 13.61 5/31/08 13.61 FUND SNAPSHOT - ------------------------------------ Common Share Price $13.61 - ------------------------------------ Common Share Net Asset Value $14.22 - ------------------------------------ Premium/(Discount) to NAV -4.29% - ------------------------------------ Market Yield 4.54% - ------------------------------------ Taxable-Equivalent Yield(3) 6.66% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $67,720 - ------------------------------------ Average Effective Maturity on Securities (Years) 15.92 - ------------------------------------ Leverage-Adjusted Duration 8.86 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/18/93) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year -0.48% 2.08% - ------------------------------------ 5-Year 1.01% 3.95% - ------------------------------------ 10-Year 3.46% 5.25% - ------------------------------------ INDUSTRIES (as a % of total investments)(2) - ------------------------------------ Education and Civic Organizations 18.4% - ------------------------------------ Health Care 16.0% - ------------------------------------ U.S. Guaranteed 14.8% - ------------------------------------ Tax Obligation/General 11.2% - ------------------------------------ Tax Obligation/Limited 8.6% - ------------------------------------ Water and Sewer 7.0% - ------------------------------------ Transportation 6.6% - ------------------------------------ Other 17.4% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) Excluding derivative transactions. (3) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (4) The Fund paid shareholders a capital gains distribution in December 2007 of $0.0166 per share. 18 NMB Performance OVERVIEW Nuveen Massachusetts Dividend Advantage Municipal Fund as of May 31, 2008 Pie Chart: Credit Quality (as a % of total investments)(1,2) AAA/U.S. Guaranteed 57% AA 20% A 7% BBB 10% BB or Lower 4% N/R 2% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share(4) Jun 0.0565 Jul 0.0565 Aug 0.0565 Sep 0.0565 Oct 0.0565 Nov 0.0565 Dec 0.0565 Jan 0.0565 Feb 0.0565 Mar 0.0565 Apr 0.0565 May 0.0565 Line Chart: Common Share Price Performance -- Weekly Closing Price 6/01/07 16.15 16.44 15.42 15.35 15.07 15.01 14.8 14.88 15.35 14.7 14.44 14.21 14.4 14.26 14.57 14.53 14.3 14.35 14.08 14.1 14.03 14 14.13 13.84 13.93 13.67 14.0999 13.61 13.5 13.32 13.48 13.9 14.24 14.2799 14.09 14.3801 14.52 13.5 13.98 13.73 13.62 14.29 14.28 14.109 14.5 14.96 14.49 14.2899 14.16 14.45 14.35 14.14 14.61 5/31/08 14.61 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.61 - ------------------------------------ Common Share Net Asset Value $14.36 - ------------------------------------ Premium/(Discount) to NAV 1.74% - ------------------------------------ Market Yield 4.64% - ------------------------------------ Taxable-Equivalent Yield(3) 6.80% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $28,135 - ------------------------------------ Average Effective Maturity on Securities (Years) 17.93 - ------------------------------------ Leverage-Adjusted Duration 8.77 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/30/01) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year -5.73% 1.55% - ------------------------------------ 5-Year 3.42% 3.87% - ------------------------------------ Since Inception 5.40% 6.11% - ------------------------------------ INDUSTRIES (as a % of total investments)(2) - ------------------------------------ Education and Civic Organizations 22.8% - ------------------------------------ Health Care 17.2% - ------------------------------------ U.S. Guaranteed 10.9% - ------------------------------------ Tax Obligation/General 10.6% - ------------------------------------ Water and Sewer 8.8% - ------------------------------------ Housing/Multifamily 7.5% - ------------------------------------ Tax Obligation/Limited 7.2% - ------------------------------------ Long-Term Care 5.3% - ------------------------------------ Other 9.7% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) Excluding derivative transactions. (3) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (4) The Fund paid shareholders a capital gains distribution in December 2007 of $0.0248 per share. 19 NGX Performance OVERVIEW Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund as of May 31, 2008 Pie Chart: Credit Quality (as a % of total investments)(1) Insured 62% U.S. Guaranteed 24% GNMA Guaranteed 3% AAA (Uninsured) 2% AA (Uninsured) 6% A (Uninsured) 2% BBB (Uninsured) 1% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share Jun 0.0525 Jul 0.0525 Aug 0.0545 Sep 0.0545 Oct 0.0545 Nov 0.0545 Dec 0.0545 Jan 0.0545 Feb 0.0545 Mar 0.0545 Apr 0.0545 May 0.0545 Line Chart: Common Share Price Performance -- Weekly Closing Price 6/01/07 14.54 14.37 14.1 14.03 14.25 14.05 14 14.25 14.13 13.98 14.0936 13.98 14.34 13.83 14.59 14.4 14.1 13.9101 14 14.2 13.95 13.9 13.92 13.85 13.54 13.51 13.98 13.74 13.26 13.31 13.74 14.33 14.14 14.76 14.2 14.3 14.28 14.2 14.2 13.69 14.15 14.1799 13.9088 14.04 13.9154 14.25 14.06 14.1 14 14.09 14.2 14.06 14.14 5/31/08 14.14 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.14 - ------------------------------------ Common Share Net Asset Value $14.28 - ------------------------------------ Premium/(Discount) to NAV -0.98% - ------------------------------------ Market Yield 4.63% - ------------------------------------ Taxable-Equivalent Yield(2) 6.79% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $38,873 - ------------------------------------ Average Effective Maturity on Securities (Years) 18.01 - ------------------------------------ Leverage-Adjusted Duration 9.33 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 11/21/02) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year 2.49% 3.04% - ------------------------------------ 5-Year 2.80% 3.85% - ------------------------------------ Since Inception 3.92% 5.11% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 23.8% - ------------------------------------ Tax Obligation/Limited 15.6% - ------------------------------------ Education and Civic Organizations 14.5% - ------------------------------------ Tax Obligation/General 12.7% - ------------------------------------ Health Care 9.0% - ------------------------------------ Water and Sewer 10.6% - ------------------------------------ Housing/Multifamily 6.2% - ------------------------------------ Other 7.6% - ------------------------------------ INSURERS (as a % of total Insured investments - ------------------------------------ MBIA 38.1% - ------------------------------------ AMBAC 18.8% - ------------------------------------ FGIC 17.0% - ------------------------------------ FSA 13.7% - ------------------------------------ AGC 7.1% - ------------------------------------ XLCA 5.3% - ------------------------------------ (1) The percentages shown in the foregoing chart reflect the ratings on certain bonds insured by AMBAC, FGIC, MBIA and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 20 NOM Performance OVERVIEW Nuveen Missouri Premium Income Municipal Fund as of May 31, 2008 Pie Chart: Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 51% AA 19% A 7% BBB 7% N/R 16% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) Jun 0.0545 Jul 0.0545 Aug 0.0545 Sep 0.0545 Oct 0.0545 Nov 0.0545 Dec 0.0545 Jan 0.0545 Feb 0.0545 Mar 0.0545 Apr 0.0545 May 0.0545 Line Chart: Common Share Price Performance -- Weekly Closing Price 6/01/07 16.56 16.4 15.5 15.43 15.35 15.09 15.06 14.55 14.3 14.42 14.17 13.848 14.04 14.1 14.34 14.39 14.45 14.03 14.04 14.1 14.2 14.15 14.47 14.15 14.44 14.35 14.2 14.04 13.9 13.62 14.1399 14.08 15.02 14.82 14.6 15.25 15.44 15 14.6 13.28 13.65 13.45 13.5 13.85 13.8999 13.8 14 13.94 13.96 13.82 13.85 14.51 14.76 5/31/08 14.76 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.76 - ------------------------------------ Common Share Net Asset Value $13.52 - ------------------------------------ Premium/(Discount) to NAV 9.17% - ------------------------------------ Market Yield 4.43% - ------------------------------------ Taxable-Equivalent Yield(2) 6.54% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $31,170 - ------------------------------------ Average Effective Maturity on Securities (Years) 14.61 - ------------------------------------ Leverage-Adjusted Duration 9.53 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 1-Year -5.74% 0.26% - ------------------------------------ 5-Year 2.56% 3.21% - ------------------------------------ 10-Year 5.85% 5.15% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Tax Obligation/General 19.7% - ------------------------------------ Tax Obligation/Limited 18.0% - ------------------------------------ U.S. Guaranteed 15.2% - ------------------------------------ Health Care 13.2% - ------------------------------------ Water and Sewer 9.9% - ------------------------------------ Housing/Single Family 5.5% - ------------------------------------ Long-Term Care 5.4% - ------------------------------------ Other 13.1% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32.3%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (3) The Fund paid shareholders a capital gains distribution in December 2007 of $0.1265 per share. 21 Report of INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM THE BOARD OF TRUSTEES AND SHAREHOLDERS NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund and Nuveen Missouri Premium Income Municipal Fund (the Funds) as of May 31, 2008, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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, 2008, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund and Nuveen Missouri Premium Income Municipal Fund at May 31, 2008, the results of their operations for the year then ended, changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the five years in the period then ended in conformity with U.S. generally accepted accounting principles. /s/ Ernst & Young LLP Chicago, Illinois July 21, 2008 22 NTC Nuveen Connecticut Premium Income Municipal Fund Portfolio of INVESTMENTS May 31, 2008
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 1.8% (1.1% OF TOTAL INVESTMENTS) $ 1,440 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 1,372,522 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 38.1% (24.6% OF TOTAL INVESTMENTS) 1,595 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 1,652,675 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - MBIA Insured 1,050 Connecticut Health and Education Facilities Authority, University of 7/16 at 100.00 AA 1,050,630 Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 925 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 945,785 Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 - MBIA Insured 200 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 192,974 Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 305 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AA 306,092 Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 725 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 102.00 AAA 740,066 Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 750 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 770,303 Bonds, Horace Bushnell Memorial Hall, Series 1999A, 5.625%, 7/01/29 - MBIA Insured 640 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 100.00 AAA 641,402 Bonds, Loomis Chaffee School, Series 1996C, 5.500%, 7/01/16 - MBIA Insured 800 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 883,528 Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 270 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 273,532 Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured 1,375 Connecticut Health and Educational Facilities Authority, Revenue 7/14 at 100.00 AAA 1,446,074 Bonds, Trinity College, Series 2004H, 5.000%, 7/01/21 - MBIA Insured 2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 2,010,240 Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,519,140 Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 1,530,960 Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 3,550 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 3,647,268 Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 6,150 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 6,356,148 Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) 295 Connecticut Higher Education Supplemental Loan Authority, Revenue 11/09 at 102.00 AAA 298,829 Bonds, Family Education Loan Program, Series 1999A, 6.000%, 11/15/18 - AMBAC Insured (Alternative Minimum Tax) 660 Connecticut Higher Education Supplemental Loan Authority, Revenue 11/11 at 100.00 Aaa 669,557 Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax) 1,000 University of Connecticut, General Obligation Bonds, Series 2004A, 1/14 at 100.00 AAA 1,066,480 5.000%, 1/15/18 - MBIA Insured 23 NTC Nuveen Connecticut Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS (continued) $ 1,220 University of Connecticut, General Obligation Bonds, Series 2005A, 2/15 at 100.00 AAA $ 1,328,055 5.000%, 2/15/17 - FSA Insured 685 University of Connecticut, General Obligation Bonds, Series 2006A, 2/16 at 100.00 AA 722,106 5.000%, 2/15/23 - FGIC Insured 1,000 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AA- 1,064,810 Series 2002A, 5.250%, 11/15/19 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 28,195 Total Education and Civic Organizations 29,116,654 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 16.7% (10.8% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B: 500 5.500%, 7/01/21 - RAAI Insured 7/12 at 101.00 AA 516,945 700 5.500%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 708,981 645 Connecticut Health and Educational Facilities Authority, Revenue 7/10 at 101.00 AA 662,905 Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 800 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 812,840 500 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 502,940 385 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AA 386,636 Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured 2,620 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 2,668,731 Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 2,040,520 Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,395 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,424,714 Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured 3,000 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 100.50 Aaa 3,032,519 Refunding Bonds, Middlesex Health Services, Series 1997H, 5.125%, 7/01/27 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 12,545 Total Health Care 12,757,731 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 2.6% (1.7% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage Finance 12/09 at 100.00 AAA 1,019,240 Program Bonds, Series 1999D-2, 6.200%, 11/15/41 (Alternative Minimum Tax) 1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 944,370 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,000 Total Housing/Multifamily 1,963,610 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 7.4% (4.8% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C: 1,000 5.300%, 11/15/33 (Alternative Minimum Tax) 11/10 at 100.00 AAA 983,510 500 5.450%, 11/15/43 (Alternative Minimum Tax) 11/10 at 100.00 AAA 488,860 1,675 Connecticut Housing Finance Authority, Housing Mortgage 5/13 at 100.00 AAA 1,672,538 Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34 Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 205 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 191,540 220 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 203,933 2,100 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 2,113,293 Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 5,700 Total Housing/Single Family 5,653,674 - ------------------------------------------------------------------------------------------------------------------------------------ 24 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.2% (1.3% OF TOTAL INVESTMENTS) $ 1,750 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 $ 1,707,580 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 6.0% (3.9% OF TOTAL INVESTMENTS) 615 Connecticut Development Authority, First Mortgage Gross 10/08 at 101.00 BBB- 621,273 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 615 Connecticut Development Authority, First Mortgage Gross Revenue 9/09 at 102.00 AA 636,291 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 1,018,310 1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 1,013,420 1,300 Connecticut Health and Educational Facilities Authority, 8/08 at 102.00 AAA 1,308,372 FHA-Insured Mortgage Revenue Bonds, Hebrew Home and Hospital, Series 1999B, 5.200%, 8/01/38 - ------------------------------------------------------------------------------------------------------------------------------------ 4,530 Total Long-Term Care 4,597,666 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 27.1% (17.5% OF TOTAL INVESTMENTS) 750 Bridgeport, Connecticut, General Obligation Refunding Bonds, 8/12 at 100.00 Baa1 775,695 Series 2002A, 5.375%, 8/15/19 - FGIC Insured 1,140 Capitol Region Education Council, Connecticut, Revenue Bonds, 10/08 at 100.00 BBB 1,142,599 Series 1995, 6.700%, 10/15/10 1,110 Connecticut State, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AA 1,157,231 5.000%, 4/01/23 - FGIC Insured 2,000 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 2,081,140 4.750%, 12/15/24 1,300 Connecticut State, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 1,376,414 5.000%, 6/01/23 - FSA Insured 3,015 Connecticut State, General Obligation Bonds, Series 2007B, No Opt. Call AA 3,342,971 5.000%, 5/01/16 Hartford, Connecticut, General Obligation Bonds, Series 2005A: 775 5.000%, 8/01/20 - FSA Insured 8/15 at 100.00 AAA 822,453 525 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 522,265 500 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 AAA 540,925 5.000%, 11/01/17 - AMBAC Insured 500 North Haven, Connecticut, General Obligation Bonds, Series 2006, No Opt. Call Aa2 546,490 5.000%, 7/15/24 1,860 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 1,991,502 Series 2001A, 5.500%, 7/01/20 - MBIA Insured Regional School District 16, Beacon Falls and Prospect, Connecticut, General Obligation Bonds, Series 2000: 350 5.500%, 3/15/18 - FSA Insured 3/10 at 101.00 Aaa 367,668 350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 368,739 350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aaa 369,383 1,420 Regional School District 16, Connecticut, General Obligation Bonds, 3/13 at 101.00 Aaa 1,531,172 Series 2003, 5.000%, 3/15/16 - AMBAC Insured Suffield, Connecticut, General Obligation Bonds, Series 2005: 465 5.000%, 6/15/17 No Opt. Call AA 516,448 460 5.000%, 6/15/19 No Opt. Call AA 508,125 1,000 5.000%, 6/15/21 No Opt. Call AA 1,098,160 1,500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 1,627,620 Series 2005B, 5.000%, 10/01/18 - ------------------------------------------------------------------------------------------------------------------------------------ 19,370 Total Tax Obligation/General 20,687,000 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 21.5% (13.9% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F: 1,300 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA 1,327,690 1,000 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 1,016,580 25 NTC Nuveen Connecticut Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 1,945 Connecticut Health and Educational Facilities Authority, 7/09 at 102.00 AAA $ 2,015,876 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 2,065,940 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,029,990 500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AA 518,705 Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 1,750 Connecticut, Special Tax Obligation Transportation Infrastructure 8/17 at 100.00 AAA 1,832,460 Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: 960 0.000%, 7/01/32 - FGIC Insured No Opt. Call BBB+ 243,120 2,615 0.000%, 7/01/33 - FGIC Insured No Opt. Call BBB+ 626,763 2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 8/12 at 100.00 AAA 2,102,860 5.250%, 8/01/21 - FSA Insured 2,400 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 2,562,839 5.000%, 8/01/16 - FSA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/14 at 100.00 AAA 1,088,550 Loan Note, Series 2003, 5.250%, 10/01/19 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 18,470 Total Tax Obligation/Limited 16,431,373 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 1.0% (0.6% OF TOTAL INVESTMENTS) 750 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 A 736,395 International Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 12.5% (8.1% OF TOTAL INVESTMENTS) (4) 50 Connecticut Health and Educational Facilities Authority, Revenue 7/10 at 101.00 AA (4) 54,143 Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 650 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 (4) 710,626 Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 40 Connecticut, General Obligation Bonds, Series 1993E, No Opt. Call AA (4) 44,434 6.000%, 3/15/12 (ETM) 1,500 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (4) 1,647,045 5.500%, 6/15/21 (Pre-refunded 6/15/12) 600 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 (4) 646,740 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 1,000 Hartford, Connecticut, Parking System Revenue Bonds, 7/10 at 100.00 Baa2 (4) 1,080,780 Series 2000A, 6.400%, 7/01/20 (Pre-refunded 7/01/10) 400 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 AAA 428,952 Series 2000A, 6.000%, 6/01/20 (Pre-refunded 6/01/10) - ACA Insured 1,000 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 1,039,690 Bonds, Series 2000A, 5.500%, 10/01/40 485 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 506,854 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded 7/01/10) 1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,200,012 Series 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) - MBIA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ (4) 1,102,870 Loan Note, Series 1999A, 6.500%, 10/01/24 (Pre-refunded 10/01/10) 1,000 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 1,089,390 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 8,825 Total U.S. Guaranteed 9,551,536 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 6.4% (4.2% OF TOTAL INVESTMENTS) 1,150 Bristol Resource Recovery Facility Operating Committee, No Opt. Call AAA 1,224,129 Connecticut, Solid Waste Revenue Bonds, Covanta Bristol Inc., Series 2005, 5.000%, 7/01/12 - AMBAC Insured 26 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES (continued) $ 1,000 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 $ 1,000,820 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 1,070 Connecticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 1,072,622 Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 355 5.500%, 1/01/14 (Alternative Minimum Tax) 7/08 at 100.00 BBB 355,071 1,290 5.500%, 1/01/20 (Alternative Minimum Tax) 7/08 at 100.00 BBB 1,260,266 - ------------------------------------------------------------------------------------------------------------------------------------ 4,865 Total Utilities 4,912,908 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 11.5% (7.5% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 A- 440,750 Bonds, Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - XLCA Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,280,179 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 1,520 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 1,549,336 2,260 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 2,297,923 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 1,036,820 1,075 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,088,599 1,100 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 1,120,999 Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 - ------------------------------------------------------------------------------------------------------------------------------------ 8,640 Total Water and Sewer 8,814,606 - ------------------------------------------------------------------------------------------------------------------------------------ $ 117,080 Total Investments (cost $116,927,539) - 154.8% 118,303,255 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (6.0)% (4,613,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.3% 1,051,008 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (50.1)% (5) (38,300,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $76,441,263 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of total investments is (32.4)%. (ETM) Escrowed to maturity. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 27 NFC Nuveen Connecticut Dividend Advantage Municipal Fund Portfolio of INVESTMENTS May 31, 2008
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 36.2% (23.3% OF TOTAL INVESTMENTS) $ 795 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA $ 823,747 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - MBIA Insured 500 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 AA 500,300 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 100 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AA 96,487 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 150 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AA 150,537 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 440 Connecticut Health and Educational Facilities Authority, No Opt. Call Aaa 490,684 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/18 - AMBAC Insured 130 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AAA 131,700 Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured 50 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AA 49,747 Revenue Bonds, Sacred Heart University, Series 1998E, 5.000%, 7/01/28 - RAAI Insured 350 Connecticut Health and Educational Facilities Authority, 7/14 at 100.00 AAA 373,401 Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 - MBIA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,005,120 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 1,012,760 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 500 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 510,320 Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 1,800 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,849,320 Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 3,050 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AAA 3,152,236 Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) 515 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 522,457 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax) Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999: 125 5.375%, 2/01/19 2/09 at 101.00 BBB- 125,390 270 5.375%, 2/01/29 2/09 at 101.00 BBB- 258,296 University of Connecticut, General Obligation Bonds, Series 2001A: 1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,030,610 1,000 4.750%, 4/01/21 - MBIA Insured 4/11 at 101.00 AA 1,027,020 585 University of Connecticut, General Obligation Bonds, Series 2006A, 2/16 at 100.00 AA 616,689 5.000%, 2/15/23 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 13,360 Total Education and Civic Organizations 13,726,821 - ------------------------------------------------------------------------------------------------------------------------------------ 28 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 11.8% (7.6% OF TOTAL INVESTMENTS) $ 1,400 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA $ 1,417,962 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 500 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 508,025 250 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 251,470 185 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AA 185,786 Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured 60 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aaa 61,116 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 125 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 127,533 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - MBIA Insured 1,870 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,909,831 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,390 Total Health Care 4,461,723 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 3.2% (2.1% OF TOTAL INVESTMENTS) 500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 472,185 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 750 Stamford Housing Authority, Connecticut, Multifamily Housing No Opt. Call BBB+ 750,203 Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,250 Total Housing/Multifamily 1,222,388 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 7.2% (4.6% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C: 1,000 5.300%, 11/15/33 (Alternative Minimum Tax) 11/10 at 100.00 AAA 983,510 250 5.450%, 11/15/43 (Alternative Minimum Tax) 11/10 at 100.00 AAA 244,430 800 Connecticut Housing Finance Authority, Housing Mortgage 5/13 at 100.00 AAA 798,824 Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34 700 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 704,431 Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 2,750 Total Housing/Single Family 2,731,195 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.6% (1.6% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 975,760 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 1.6% (1.0% OF TOTAL INVESTMENTS) 300 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 308,097 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 110 Connecticut Development Authority, First Mortgage Gross 10/08 at 101.00 BBB- 112,428 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.800%, 4/01/21 250 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 219,413 Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 660 Total Long-Term Care 639,938 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 13.0% (8.3% OF TOTAL INVESTMENTS) 560 Connecticut State, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AA 583,828 5.000%, 4/01/23 - FGIC Insured 700 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 728,399 4.750%, 12/15/24 400 Connecticut State, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 423,512 5.000%, 6/01/23 - FSA Insured 29 NFC Nuveen Connecticut Dividend Advantage Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL (continued) $ 450 Connecticut State, General Obligation Bonds, Series 2007B, No Opt. Call AA $ 498,951 5.000%, 5/01/16 Hartford, Connecticut, General Obligation Bonds, Series 2005A: 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 380,228 240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 238,750 400 North Haven, Connecticut, General Obligation Bonds, Series 2006, No Opt. Call Aa2 437,192 5.000%, 7/15/24 Suffield, Connecticut, General Obligation Bonds, Series 2005: 335 5.000%, 6/15/17 No Opt. Call AA 372,064 335 5.000%, 6/15/19 No Opt. Call AA 370,048 810 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 878,915 Series 2005B, 5.000%, 10/01/18 - ------------------------------------------------------------------------------------------------------------------------------------ 4,590 Total Tax Obligation/General 4,911,887 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 25.8% (16.6% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F: 650 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA 663,845 500 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 508,290 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 105.00 A 1,051,230 Bonds, New Opportunities for Waterbury Inc., Series 1998A, 6.750%, 7/01/28 Connecticut, Certificates of Participation, Juvenile Training School, Series 2001: 600 5.000%, 12/15/20 12/11 at 101.00 AA- 620,400 1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 1,013,340 1,475 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AAA 1,629,551 Purpose Bonds, Series 1998B, 5.500%, 11/01/12 - FSA Insured 900 Connecticut, Special Tax Obligation Transportation Infrastructure 8/17 at 100.00 AAA 942,408 Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured 600 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 633,090 Revenue Bonds, Series 2007N, 5.250%, 7/01/31 - AMBAC Insured 470 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call BBB+ 119,028 Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured 1,200 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 1,281,420 5.000%, 8/01/16 - FSA Insured 750 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 797,865 Loan Note, Series 1999A, 6.375%, 10/01/19 500 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 AA 507,360 Refunding Bonds, Matching Fund Loan Note, Series 1998A, 5.500%, 10/01/18 - RAAI Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,645 Total Tax Obligation/Limited 9,767,827 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.5% (4.2% OF TOTAL INVESTMENTS) 2,500 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 A 2,454,647 International Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 30.0% (19.3% OF TOTAL INVESTMENTS) (4) 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 (4) 1,093,270 Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 2,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 2,177,760 5.500%, 10/01/20 (Pre-refunded 10/01/11) 30 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (4) (continued) $ 500 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (4) $ 549,015 5.500%, 6/15/21 (Pre-refunded 6/15/12) 500 East Lyme, Connecticut, General Obligation Bonds, Series 2001, 7/11 at 102.00 Aa3 (4) 546,010 5.125%, 7/15/20 (Pre-refunded 7/15/11) - FGIC Insured Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001A: 25 5.000%, 5/15/22 (Pre-refunded 5/15/11) 5/11 at 100.00 Baa3 (4) 26,544 500 5.400%, 5/15/31 (Pre-refunded 5/15/11) 5/11 at 100.00 Baa3 (4) 536,510 1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 (4) 1,368,933 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 220 New Haven, Connecticut, General Obligation Bonds, Series 2001A, 11/11 at 100.00 A- (4) 233,554 5.000%, 11/01/20 (Pre-refunded 11/01/11) - FGIC Insured 250 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 AAA 268,095 Series 2000A, 6.000%, 6/01/20 (Pre-refunded 6/01/10) - ACA Insured Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,425 5.500%, 10/01/32 10/10 at 101.00 AAA 1,484,152 1,300 5.500%, 10/01/40 10/10 at 101.00 AAA 1,351,597 235 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 245,589 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded 7/01/10) 1,000 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 1,089,390 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured 370 Windsor, Connecticut, General Obligation Bonds, Series 2001, 7/09 at 100.00 Aa2 (4) 381,973 5.000%, 7/15/20 (Pre-refunded 7/15/09) - ------------------------------------------------------------------------------------------------------------------------------------ 10,595 Total U.S. Guaranteed 11,352,392 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.2% (3.3% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 500,410 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 560 Connecticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 561,372 Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) 900 Eastern Connecticut Resource Recovery Authority, 7/08 at 100.00 BBB 900,180 Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,960 Total Utilities 1,961,962 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 12.6% (8.1% OF TOTAL INVESTMENTS) 255 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 A- 224,783 Bonds, Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - XLCA Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,280,179 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 720 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 733,896 1,110 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 1,128,626 31 NFC Nuveen Connecticut Dividend Advantage Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) $ 140 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 $ 141,996 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 777,615 470 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 475,946 - ------------------------------------------------------------------------------------------------------------------------------------ 4,630 Total Water and Sewer 4,763,041 - ------------------------------------------------------------------------------------------------------------------------------------ $ 57,330 Total Investments (cost $58,030,626) - 155.7% 58,969,581 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (6.0)% (2,287,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.8% 691,121 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (51.5)% (5) (19,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $37,873,702 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of total investments is (33.1)%. N/R Not rated. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 32 NGK Nuveen Connecticut Dividend Advantage Municipal Fund 2 Portfolio of INVESTMENTS May 31, 2008
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 2.0% (1.4% OF TOTAL INVESTMENTS) $ 725 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 691,027 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 34.2% (22.2% OF TOTAL INVESTMENTS) 715 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 740,854 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - MBIA Insured 500 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 500,300 of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 100 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 96,487 Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 135 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AA 135,483 Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 95 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 102.00 AAA 96,974 Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 500 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 101.00 AAA 505,630 Bonds, Hopkins School, Series 1998A, 5.000%, 7/01/20 - AMBAC Insured 310 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 342,367 Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 120 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 121,570 Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E: 590 5.500%, 7/01/22 - RAAI Insured 7/12 at 101.00 AA 611,771 1,000 5.250%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 1,005,120 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,012,760 Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 500 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 510,320 Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 1,600 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,643,840 Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 2,750 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 2,842,180 Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) University of Connecticut, General Obligation Bonds, Series 2006A: 450 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AA 485,393 490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AA 516,543 500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AA- 526,980 Series 2002A, 5.250%, 11/15/22 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 11,355 Total Education and Civic Organizations 11,694,572 - ------------------------------------------------------------------------------------------------------------------------------------ 33 NGK Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 13.5% (8.7% OF TOTAL INVESTMENTS) $ 300 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA $ 303,849 Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A: 20 6.125%, 7/01/20 - RAAI Insured 7/10 at 101.00 AA 20,932 65 6.000%, 7/01/25 - RAAI Insured 7/10 at 101.00 AA 66,804 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 300 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 304,815 300 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 301,764 170 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AA 170,723 Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured 1,190 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 1,212,134 Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 1,007,090 Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 - RAAI Insured 25 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 25,649 Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 1,170 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,194,921 Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,540 Total Health Care 4,608,681 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 2.8% (1.8% OF TOTAL INVESTMENTS) 500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 472,185 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 500 Stamford Housing Authority, Connecticut, Multifamily Housing No Opt. Call BBB+ 500,135 Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,000 Total Housing/Multifamily 972,320 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 6.3% (4.1% OF TOTAL INVESTMENTS) 250 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 244,430 Finance Program Bonds, Series 2001C, 5.450%, 11/15/43 (Alternative Minimum Tax) 700 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/13 at 100.00 AAA 698,971 Program Bonds, Series 2004-A5, 5.050%, 11/15/34 Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 305 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 284,974 330 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 305,900 600 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 603,798 Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 2,185 Total Housing/Single Family 2,138,073 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 2.9% (1.8% OF TOTAL INVESTMENTS) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 975,760 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 34 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 3.8% (2.4% OF TOTAL INVESTMENTS) $ 320 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ $ 328,637 Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 265 Connecticut Development Authority, First Mortgage Gross 10/08 at 101.00 BBB- 267,703 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 450 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AAA 471,038 Revenue Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/19 - AMBAC Insured 250 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 219,413 Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 1,285 Total Long-Term Care 1,286,791 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 22.7% (14.7% OF TOTAL INVESTMENTS) 600 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 624,342 4.750%, 12/15/24 400 Connecticut State, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 423,512 5.000%, 6/01/23 - FSA Insured 500 Connecticut State, General Obligation Bonds, Series 2007B, No Opt. Call AA 554,390 5.000%, 5/01/16 Farmington, Connecticut, General Obligation Bonds, Series 2002: 1,000 5.000%, 9/15/20 9/12 at 101.00 Aa1 1,063,530 1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,531,041 1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ 1,368,919 Obligation Bonds, Series 2002, 5.000%, 4/01/22 Hartford, Connecticut, General Obligation Bonds, Series 2005A: 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 380,228 140 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 139,271 650 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 AAA 703,203 5.000%, 11/01/17 - AMBAC Insured 400 Suffield, Connecticut, General Obligation Bonds, Series 2005, No Opt. Call AA 439,264 5.000%, 6/15/21 500 West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 10/15 at 100.00 AAA 546,510 5.000%, 10/01/17 - ------------------------------------------------------------------------------------------------------------------------------------ 7,305 Total Tax Obligation/General 7,774,210 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 16.7% (10.8% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F: 575 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA 587,248 500 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 508,290 500 Connecticut, Special Tax Obligation Transportation Infrastructure 10/11 at 100.00 AAA 535,800 Purpose Bonds, Series 2001B, 5.375%, 10/01/13 - FSA Insured 1,625 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 1,733,955 Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured 850 Connecticut, Special Tax Obligation Transportation Infrastructure 8/17 at 100.00 AAA 890,052 Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured 500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 527,575 Revenue Bonds, Series 2007N, 5.250%, 7/01/31 - AMBAC Insured 430 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call BBB+ 108,898 Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured 750 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 800,888 5.000%, 8/01/16 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 5,730 Total Tax Obligation/Limited 5,692,706 - ------------------------------------------------------------------------------------------------------------------------------------ 35 NGK Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 6.3% (4.1% OF TOTAL INVESTMENTS) $ 1,950 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call AAA $ 2,150,732 Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 28.2% (18.3% OF TOTAL INVESTMENTS) (4) 2,250 Connecticut Health and Educational Facilities Authority, Revenue 11/11 at 100.00 AAA 2,416,227 Bonds, Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21 (Pre-refunded 11/01/11) - FSA Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A: 100 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 108,623 30 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 32,561 5 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 5,414 400 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 429,152 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 (Pre-refunded 3/01/11) - FSA Insured 250 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 (4) 269,475 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,070,650 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,000 5.500%, 10/01/32 10/10 at 101.00 AAA 1,041,510 2,000 5.500%, 10/01/40 10/10 at 101.00 AAA 2,079,379 1,535 Regional School District 8, Andover, Hebron and Marlborough, 5/11 at 101.00 Aaa 1,650,999 Connecticut, General Obligation Bonds, Series 2002, 5.000%, 5/01/22 (Pre-refunded 5/01/11) - FSA Insured 500 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 544,695 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,070 Total U.S. Guaranteed 9,648,685 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.0% (3.3% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 500,410 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 470 Connecticut Development Authority, Solid Waste Disposal Facilities 11/12 at 100.00 Baa1 471,152 Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 250 5.500%, 1/01/15 (Alternative Minimum Tax) 7/08 at 100.00 BBB 250,018 510 5.500%, 1/01/20 (Alternative Minimum Tax) 7/08 at 100.00 BBB 498,245 - ------------------------------------------------------------------------------------------------------------------------------------ 1,730 Total Utilities 1,719,825 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 9.9% (6.4% OF TOTAL INVESTMENTS) 220 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 A- 193,930 Bonds, Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - XLCA Insured (Alternative Minimum Tax) 785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 848,051 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 690 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 703,317 320 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 325,370 36 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) $ 130 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 $ 131,854 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 777,615 410 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 415,187 - ------------------------------------------------------------------------------------------------------------------------------------ 3,305 Total Water and Sewer 3,395,324 - ------------------------------------------------------------------------------------------------------------------------------------ $ 51,180 Total Investments (cost $51,732,583) - 154.3% 52,748,706 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (6.0)% (2,062,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.9% 1,001,311 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (51.2)% (5) (17,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $34,188,017 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of total investments is (33.2)%. N/R Not rated. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 37 NGO Nuveen Connecticut Dividend Advantage Municipal Fund 3 Portfolio of INVESTMENTS May 31, 2008
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.6% (2.3% OF TOTAL INVESTMENTS) $ 2,310 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 2,201,753 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 27.0% (17.5% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 968,430 Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 - MBIA Insured 1,300 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 1,347,008 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - MBIA Insured 650 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 650,390 of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 150 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 144,731 Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 250 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AA 250,895 Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 400 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 441,764 Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 215 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 217,812 Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured 750 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 777,675 Bonds, University of Hartford, Series 2002E, 5.500%, 7/01/22 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,519,140 Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 3,000 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 3,082,199 Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 5,050 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 5,219,276 Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) University of Connecticut, General Obligation Bonds, Series 2006A: 850 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AA 916,853 490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AA 516,543 500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AA- 526,980 Series 2002A, 5.250%, 11/15/22 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 16,105 Total Education and Civic Organizations 16,579,696 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 9.7% (6.3% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B: 500 5.500%, 7/01/21 - RAAI Insured 7/12 at 101.00 AA 516,945 600 5.500%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 607,698 800 Connecticut Health and Educational Facilities Authority, 7/15 at 100.00 Aa3 812,840 Revenue Bonds, Griffin Hospital, Series 2005B, 5.000%, 7/01/20 - RAAI Insured 38 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (continued) $ 310 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AA $ 311,318 Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured 2,130 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 2,169,618 Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 200 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 205,188 Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - MBIA Insured 1,325 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,353,223 Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 5,865 Total Health Care 5,976,830 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 2.8% (1.7% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 944,370 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 750 Stamford Housing Authority, Connecticut, Multifamily Housing No Opt. Call BBB+ 750,203 Revenue Bonds, Fairfield Apartments, Series 1998, 4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,750 Total Housing/Multifamily 1,694,573 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 5.6% (3.7% OF TOTAL INVESTMENTS) 750 Connecticut Housing Finance Authority, Housing Mortgage Finance 11/10 at 100.00 AAA 733,290 Program Bonds, Series 2001C, 5.450%, 11/15/43 (Alternative Minimum Tax) 1,300 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/13 at 100.00 AAA 1,298,089 Program Bonds, Series 2004-A5, 5.050%, 11/15/34 Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 435 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 406,438 465 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 431,041 600 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 603,798 Program Bonds, Series 2006D, 4.650%, 11/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 3,550 Total Housing/Single Family 3,472,656 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 3.2% (2.1% OF TOTAL INVESTMENTS) 2,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,951,520 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 12.7% (8.3% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 513,495 Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 495 Connecticut Development Authority, First Mortgage Gross Revenue 10/08 at 101.00 BBB- 500,049 Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 Connecticut Development Authority, Revenue Bonds, Duncaster Inc., Series 2002: 650 5.125%, 8/01/22 - RAAI Insured 8/12 at 101.00 AA 659,737 1,025 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 AA 947,285 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc., Series 2002A: 430 5.000%, 7/01/18 - AMBAC Insured 7/12 at 101.00 AAA 451,113 475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 AAA 493,900 260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 AAA 267,628 1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 AAA 1,004,410 39 NGO Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE (continued) 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 $ 1,038,500 1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 AAA 1,513,185 500 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 438,825 Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 - ------------------------------------------------------------------------------------------------------------------------------------ 7,835 Total Long-Term Care 7,828,127 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 26.3% (17.1% OF TOTAL INVESTMENTS) Bethel, Connecticut, General Obligation Bonds, Series 2002: 525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aa3 550,720 525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aa3 550,720 525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aa3 549,785 525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aa3 546,383 525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aa3 544,205 1,200 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 1,248,684 4.750%, 12/15/24 700 Connecticut State, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 741,146 5.000%, 6/01/23 - FSA Insured 2,470 Connecticut State, General Obligation Bonds, Series 2007B, No Opt. Call AA 2,738,687 5.000%, 5/01/16 450 Farmington, Connecticut, General Obligation Bonds, Series 2002, 9/12 at 101.00 Aa1 478,589 5.000%, 9/15/20 600 Hartford, Connecticut, General Obligation Bonds, Series 2005A, 8/15 at 100.00 AAA 633,714 5.000%, 8/01/21 - FSA Insured New Canaan, Connecticut, General Obligation Bonds, Series 2002A: 950 4.500%, 5/01/19 5/11 at 100.00 Aaa 969,846 900 4.600%, 5/01/20 5/11 at 100.00 Aaa 918,522 500 4.700%, 5/01/21 5/11 at 100.00 Aaa 510,325 1,000 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 AAA 1,081,850 5.000%, 11/01/17 - AMBAC Insured Southbury, Connecticut, General Obligation Bonds, Series 2002: 500 4.875%, 12/15/20 12/11 at 101.00 Aa3 520,315 500 4.875%, 12/15/21 12/11 at 101.00 Aa3 518,205 500 5.000%, 12/15/22 12/11 at 101.00 Aa3 523,615 Stratford, Connecticut, General Obligation Bonds, Series 2002: 1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,386,165 630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 634,152 500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 542,540 Series 2005B, 5.000%, 10/01/18 - ------------------------------------------------------------------------------------------------------------------------------------ 15,400 Total Tax Obligation/General 16,188,168 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 22.0% (14.3% OF TOTAL INVESTMENTS) 930 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 945,419 Child Care Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 - AGC Insured 60 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AA 65,476 Purpose Bonds, Series 1992B, 6.125%, 9/01/12 Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: 2,810 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,902,645 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,029,990 1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AAA 1,025,500 500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AA 518,705 Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 40 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED (continued) $ 1,500 Connecticut, Special Tax Obligation Transportation Infrastructure 8/17 at 100.00 AAA $ 1,570,680 Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured 1,000 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 1,055,150 Revenue Bonds, Series 2007N, 5.250%, 7/01/31 - AMBAC Insured Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: 780 0.000%, 7/01/32 - FGIC Insured No Opt. Call BBB+ 197,535 2,120 0.000%, 7/01/33 - FGIC Insured No Opt. Call BBB+ 508,122 Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G: 890 5.250%, 7/01/17 7/12 at 100.00 BBB- 900,547 1,000 5.250%, 7/01/20 7/12 at 100.00 BBB- 1,006,340 1,045 5.250%, 7/01/21 7/12 at 100.00 BBB- 1,048,950 750 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 BBB 754,178 Refunding Bonds, Matching Fund Loan Note, Series 1998A, 5.500%, 10/01/22 - ------------------------------------------------------------------------------------------------------------------------------------ 15,385 Total Tax Obligation/Limited 13,529,237 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 0.7% (0.4% OF TOTAL INVESTMENTS) 415 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call AAA 457,720 Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 21.9% (14.2% OF TOTAL INVESTMENTS) (4) 500 Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 9/13 at 100.00 AAA 552,505 5.250%, 9/15/23 (Pre-refunded 9/15/13) - FSA Insured 3,100 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 3,340,620 Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21 (Pre-refunded 7/01/11) - AMBAC Insured 40 New Haven, Connecticut, General Obligation Bonds, Series 2002A, 11/11 at 101.00 AAA 43,058 5.250%, 11/01/17 - AMBAC Insured (ETM) 3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,265,482 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured 3,000 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 3,119,069 Bonds, Series 2000A, 5.500%, 10/01/40 1,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,090,224 Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 - AMBAC Insured (ETM) Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 2002E: 570 5.500%, 8/01/29 (Pre-refunded 2/01/12) 2/12 at 100.00 Aaa 612,323 195 5.500%, 8/01/29 (Pre-refunded 2/01/12) 2/12 at 100.00 AAA 209,479 1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,200,012 Series 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 12,565 Total U.S. Guaranteed 13,432,772 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 4.5% (2.9% OF TOTAL INVESTMENTS) 720 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 720,590 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 860 Connecticut Development Authority, Solid Waste Disposal Facilities 11/12 at 100.00 Baa1 862,107 Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 900 5.500%, 1/01/14 (Alternative Minimum Tax) 7/08 at 100.00 BBB 900,180 305 5.500%, 1/01/20 (Alternative Minimum Tax) 7/08 at 100.00 BBB 297,970 - ------------------------------------------------------------------------------------------------------------------------------------ 2,785 Total Utilities 2,780,847 - ------------------------------------------------------------------------------------------------------------------------------------ 41 NGO Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 14.2% (9.2% OF TOTAL INVESTMENTS) $ 400 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 A- $ 352,600 Bonds, Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - XLCA Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,280,179 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 1,230 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 1,253,739 640 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 230 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 233,280 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 2,050 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 2,125,481 590 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 597,464 1,840 South Central Connecticut Regional Water Authority, Water 8/16 at 100.00 AAA 1,878,217 System Revenue Bonds, Twentieth Series, 2007A, 5.000%, 8/01/30 - MBIA Insured 350 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 356,682 Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 - ------------------------------------------------------------------------------------------------------------------------------------ 8,515 Total Water and Sewer 8,728,381 - ------------------------------------------------------------------------------------------------------------------------------------ $ 94,480 Total Investments (cost $94,470,470) - 154.2% 94,822,280 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (6.2)% (3,788,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 4.1% 2,442,194 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (52.1)% (5) (32,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $61,476,474 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. (5) Preferred Shares, at Liquidation Value as a percentage of total investments is (33.7)%. N/R Not rated. (ETM) Escrowed to maturity. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 42 NMT Nuveen Massachusetts Premium Income Municipal Fund Portfolio of INVESTMENTS May 31, 2008
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 2.0% (1.2% OF TOTAL INVESTMENTS) $ 1,465 Boston Industrial Development Financing Authority, Massachusetts, 9/12 at 102.00 Ba3 $ 1,347,155 Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 29.4% (18.4% OF TOTAL INVESTMENTS) 1,045 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 AAA 1,058,052 Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 - MBIA Insured 890 Massachusetts Development Finance Authority, Revenue Bonds, 3/09 at 101.00 BBB 904,000 Curry College, Series 2000A, 6.000%, 3/01/20 - ACA Insured 1,745 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 1,790,981 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured 750 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 AA- 806,648 Milton Academy, Series 2003A, 5.000%, 9/01/19 4,900 Massachusetts Development Finance Authority, Revenue Bonds, 1/18 at 100.00 AAA 4,970,609 WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 - AGC Insured 1,090 Massachusetts Development Finance Authority, Revenue Refunding No Opt. Call A2 1,233,291 Bonds, Boston University, Series 1999P, 6.000%, 5/15/29 25 Massachusetts Education Loan Authority, Student Loan Revenue 7/08 at 100.00 Aaa 25,048 Bonds, Issue E, Series 1995, 6.150%, 7/01/10 - AMBAC Insured (Alternative Minimum Tax) 1,550 Massachusetts Educational Finance Authority, Educational Loan 1/12 at 100.00 AAA 1,574,320 Revenue Bonds, Series 2002E, 5.000%, 1/01/13 - AMBAC Insured (Alternative Minimum Tax) 2,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,138,980 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 500 Massachusetts Health and Educational Facilities Authority, 9/08 at 100.00 AA 389,384 Revenue Bonds, Hebrew College, Series 1999A, 3.763%, 7/01/31 (4) 500 Massachusetts Health and Educational Facilities Authority, Revenue 7/13 at 100.00 Aaa 514,440 Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26 555 Massachusetts Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 581,729 Bonds, Williams College, Series 2003H, 5.000%, 7/01/21 1,380 Massachusetts Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,429,128 Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 500 Massachusetts Health and Educational Facilities Authority, Revenue 11/12 at 100.00 AAA 502,140 Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured 1,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 7/08 at 100.00 Aa1 1,646,612 Whitehead Institute for Biomedical Research, Series 1993, 5.125%, 7/01/26 375 Puerto Rico Industrial, Tourist, Educational, Medical and 2/09 at 101.00 BBB- 376,170 Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999, 5.375%, 2/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ 19,450 Total Education and Civic Organizations 19,941,532 - ------------------------------------------------------------------------------------------------------------------------------------ 43 NMT Nuveen Massachusetts Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 25.6% (16.0% OF TOTAL INVESTMENTS) $ 1,250 Massachusetts Health and Educational Facilities Authority, Revenue 10/11 at 101.00 BBB+ $ 1,282,388 Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 1,000 Massachusetts Health and Educational Facilities Authority, Revenue 11/11 at 101.00 AA 982,760 Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 - RAAI Insured Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset Program, Series 1998B-1: 1,800 5.375%, 2/01/26 (WI/DD, Settling 6/13/08) - MBIA Insured 8/18 at 100.00 AAA 1,841,778 770 5.375%, 2/01/28 (WI/DD, Settling 6/13/08) - MBIA Insured 8/18 at 100.00 AAA 781,696 1,500 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 AAA 1,531,110 Revenue Bonds, Capital Asset Program, Series 1998B-2, 5.375%, 2/01/27 (WI/DD, Settling 6/09/08) - MBIA Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 1,022,160 Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 935 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AA 870,588 Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 - RAAI Insured 1,000 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 A 1,020,610 Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured 2,000 Massachusetts Health and Educational Facilities Authority, 8/17 at 100.00 A 2,049,740 Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28 585 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 505,545 Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 1,000 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 911,660 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 750 Massachusetts Health and Educational Facilities Authority, 7/08 at 100.00 AAA 750,968 Revenue Bonds, New England Medical Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured 75 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA 78,525 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 385,571 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 1,445 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 1,279,201 Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 2,000 Massachusetts State, Health and Educational Facilities Authority, 7/17 at 100.00 AA 2,035,000 Partners HealthCare System Inc., Series 2007G, 5.000%, 7/01/32 - ------------------------------------------------------------------------------------------------------------------------------------ 17,485 Total Health Care 17,329,300 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 7.9% (4.9% OF TOTAL INVESTMENTS) 1,335 Massachusetts Development Finance Authority, Multifamily 7/17 at 100.00 AAA 1,241,083 Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 1,860 Massachusetts Development Financing Authority, Assisted Living 12/09 at 102.00 N/R 1,891,322 Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31 335 Massachusetts Housing Finance Agency, Housing Bonds, 6/15 at 100.00 AA- 320,729 Series 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax) 500 Massachusetts Housing Finance Agency, Housing Revenue Bonds, 6/13 at 100.00 AA- 493,705 Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 44 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY (continued) $ 375 Massachusetts Housing Finance Agency, Rental Housing Mortgage 7/10 at 101.00 AAA $ 385,526 Revenue Bonds, Series 1999D, 5.500%, 7/01/13 - AMBAC Insured (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA Collateralized 5/12 at 103.00 AAA 1,028,220 Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 - ------------------------------------------------------------------------------------------------------------------------------------ 5,405 Total Housing/Multifamily 5,360,585 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 1.9% (1.2% OF TOTAL INVESTMENTS) 1,500 Massachusetts Housing Finance Agency, Single Family Housing 6/16 at 100.00 AA 1,318,995 Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 1.2% (0.8% OF TOTAL INVESTMENTS) 345 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 332,387 Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 400 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 401,724 Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 - ------------------------------------------------------------------------------------------------------------------------------------ 745 Total Industrials 734,111 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 7.4% (4.6% OF TOTAL INVESTMENTS) 1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, 10/08 at 105.00 AAA 1,337,894 Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31 1,685 Massachusetts Development Finance Agency, Revenue Bonds, 10/12 at 102.00 BB- 1,521,184 Orchard Cove, Series 2007, 5.250%, 10/01/26 1,500 Massachusetts Development Finance Authority, 3/12 at 105.00 AAA 1,595,670 GNMA Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 150 Massachusetts Industrial Finance Agency, FHA-Insured Project 8/08 at 100.00 AAA 150,221 Revenue Bonds, Heights Crossing LP, Series 1995, 6.000%, 2/01/15 (Alternative Minimum Tax) 400 Massachusetts Industrial Finance Agency, First Mortgage 1/11 at 101.00 BBB- 388,488 Revenue Bonds, Berkshire Retirement Community, Series 1994B, 4.750%, 7/01/17 - ------------------------------------------------------------------------------------------------------------------------------------ 5,005 Total Long-Term Care 4,993,457 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 18.0% (11.2% OF TOTAL INVESTMENTS) 500 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 Aaa 533,250 5.250%, 5/15/23 - AMBAC Insured 1,250 Boston, Massachusetts, General Obligation Bonds, Series 2005A, 1/15 at 100.00 AA+ 1,360,938 5.000%, 1/01/17 1,000 Fall River, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 AAA 1,051,100 5.000%, 2/01/21 - FSA Insured 2,500 Massachusetts Bay Transportation Authority, General Obligation No Opt. Call AAA 3,068,600 Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 1,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 1,457,223 Series 2001D, 6.000%, 11/01/13 - MBIA Insured 980 Monson, Massachusetts, General Obligation Bonds, Series 2002, 5/12 at 101.00 Aaa 1,036,115 5.250%, 5/15/22 - AMBAC Insured 1,260 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AA+ 1,366,029 5.000%, 11/15/20 - FGIC Insured 1,000 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call Baa3 1,034,190 Series 2001A, 5.500%, 7/01/29 - FGIC Insured 1,220 Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 7/15 at 100.00 A- 1,293,041 5.000%, 7/01/19 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 10,985 Total Tax Obligation/General 12,200,486 - ------------------------------------------------------------------------------------------------------------------------------------ 45 NMT Nuveen Massachusetts Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 13.8% (8.6% OF TOTAL INVESTMENTS) $ 210 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA $ 214,958 Series 2004, 5.000%, 5/01/26 - AMBAC Insured 385 Massachusetts Bay Transportation Authority, Senior Lien Sales Tax No Opt. Call AAA 433,437 Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21 975 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/18 at 100.00 AAA 1,028,703 Revenue Bonds, Series 2006, 5.000%, 7/01/26 550 Massachusetts College Building Authority, Project Revenue Bonds, 5/14 at 100.00 AAA 582,164 Series 2004A, 5.000%, 5/01/19 - MBIA Insured 325 Massachusetts College Building Authority, Project Revenue Bonds, 5/16 at 100.00 AAA 327,948 Series 2006A, 5.000%, 5/01/31 - AMBAC Insured 1,200 Massachusetts College Building Authority, Project Revenue Bonds, 5/18 at 100.00 AAA 1,229,196 Series 2008A, 5.000%, 5/01/33 - AGC Insured 1,000 Massachusetts College Building Authority, Project Revenue Refunding No Opt. Call A1 1,086,340 Bonds, Series 2003B, 5.375%, 5/01/23 - XLCA Insured 1,300 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA 1,378,962 Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 540 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call A 575,716 Series 2005, 5.000%, 1/01/20 - FGIC Insured 1,000 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aaa 1,094,560 Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 240 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 33,314 Revenue Bonds, Series 2005A, 0.000%, 7/01/43 - AMBAC Insured 1,300 Puerto Rico, Highway Revenue Bonds, Highway and Transportation No Opt. Call AAA 1,393,067 Authority, Series 2003AA, 5.500%, 7/01/19 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,025 Total Tax Obligation/Limited 9,378,365 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 10.6% (6.6% OF TOTAL INVESTMENTS) 2,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 2,034,920 5.000%, 7/01/33 - MBIA Insured 1,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 7/17 at 100.00 A2 943,830 BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 - FGIC Insured (Alternative Minimum Tax) 225 Massachusetts Port Authority, Special Facilities Revenue Bonds, 1/11 at 101.00 AAA 182,003 Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 - AMBAC Insured (Alternative Minimum Tax) 4,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 9/08 at 100.00 AAA 3,999,600 US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 - MBIA Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 7,225 Total Transportation 7,160,353 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 23.7% (14.8% OF TOTAL INVESTMENTS) (5) 550 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 (5) 592,845 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 25 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/18 at 100.00 Aa2 (5) 27,770 Revenue Bonds, Series 2006, 5.000%, 7/01/26 (Pre-refunded 7/01/18) 2,500 Massachusetts Development Finance Authority, GNMA Collateralized 10/11 at 105.00 AAA 2,943,675 Revenue Bonds, VOA Concord Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 (Pre-refunded 10/20/11) 500 Massachusetts Development Finance Authority, Revenue Bonds, 9/11 at 101.00 A (5) 545,045 Belmont Hills School, Series 2001, 5.375%, 9/01/23 (Pre-refunded 9/01/11) 46 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (5) (continued) $ 1,000 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A- (5) $ 1,133,090 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13) 410 Massachusetts Health and Educational Facilities Authority, 7/21 at 100.00 AAA 448,593 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) - MBIA Insured 600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 Baa3 (5) 649,422 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.375%, 5/15/19 (Pre-refunded 5/15/12) - FGIC Insured 1,925 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA (5) 2,114,497 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11) 1,000 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 A+ (5) 1,078,300 Revenue Bonds, University of Massachusetts - Worcester Campus, Series 2001B, 5.250%, 10/01/31 (Pre-refunded 10/01/11) - FGIC Insured 2,300 Massachusetts Industrial Finance Agency, Revenue Bonds, 9/08 at 101.00 A (5) 2,341,975 Belmont Hill School, Series 1998, 5.250%, 9/01/28 (Pre-refunded 9/01/08) 620 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/08 at 100.00 AAA 785,844 13.000%, 7/01/13 (ETM) 1,500 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 A (5) 1,640,460 Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) - FGIC Insured 1,615 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 1,747,624 Series 2003, 5.250%, 1/15/23 (Pre-refunded 1/15/13) - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 14,545 Total U.S. Guaranteed 16,049,140 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 3.1% (2.0% OF TOTAL INVESTMENTS) 1,000 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AAA 1,077,720 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 1,001,680 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,000 Total Utilities 2,079,400 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 11.2% (7.0% OF TOTAL INVESTMENTS) 2,000 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 2,085,720 General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 60 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 AAA 62,660 Program Bonds, Series 2003-9, 5.000%, 8/01/22 285 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/14 at 100.00 AAA 297,246 Program Bonds, Series 2004-10, 5.000%, 8/01/26 750 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 746,918 Program Bonds, Series 2005-11, 4.500%, 8/01/29 1,000 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 963,660 Program Bonds, Series 2006-12, 4.375%, 8/01/31 1,250 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 1,330,375 MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 1,500 Massachusetts Water Resources Authority, General Revenue Bonds, 8/17 at 100.00 AAA 1,558,034 Series 2005A, 5.000%, 8/01/28 - MBIA Insured 625 Massachusetts Water Resources Authority, General Revenue Bonds, 8/16 at 100.00 AA 532,630 Series 2006A, 4.000%, 8/01/46 - ------------------------------------------------------------------------------------------------------------------------------------ 7,470 Total Water and Sewer 7,577,243 - ------------------------------------------------------------------------------------------------------------------------------------ $ 102,305 Total Long-Term Investments (cost $104,075,866) - 155.8% 105,470,122 =============----------------------------------------------------------------------------------------------------------------------- 47 NMT Nuveen Massachusetts Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL AMOUNT (000) DESCRIPTION (1) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 4.4% (2.7% OF TOTAL INVESTMENTS) $ 2,000 Massachusetts Development Finance Authority, Revenue Bonds, VMIG-1 $ 2,000,000 Wentworth Institute of Technology, Variable Rate Demand Obligations, Series 2000, 6.250%, 10/01/30 - AMBAC Insured (6) 1,000 Massachusetts Health and Educational Facilities Authority, A2 1,000,000 Revenue Bonds, CareGroup Inc., Variable Rate Demand Obligations, Auction Rate Series 2004D, 3.900%, 7/01/24 - MBIA Insured (6) - ------------------------------------------------------------------------------------------------------------------------------------ $ 3,000 Total Short-Term Investments (cost $3,000,000) 3,000,000 ============------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $107,075,866) - 160.2% 108,470,122 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - (10.0)% (6,749,756) -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (50.2)% (7) (34,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 67,720,366 ====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2008:
FUND FIXED RATE UNREALIZED NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (8) DATE (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ Royal Bank of Canada $1,450,000 Pay SIFM 4.335% Quarterly 8/06/08 8/06/37 $92,080 ==================================================================================================================================== SIFM - Securities Industry and Financial Markets (SIFM) Municipal Swap Index (previously referred to as the Bond Market Association index or BMA).
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. (5) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (6) Investment has a maturity of more than one year, but has a variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. (7) Preferred Shares, at Liquidation Value as a percentage of total investments is (31.3)%. (8) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 48 NMB Nuveen Massachusetts Dividend Advantage Municipal Fund Portfolio of INVESTMENTS May 31, 2008
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY - 1.6% (1.0% OF TOTAL INVESTMENTS) $ 490 Boston Industrial Development Financing Authority, Massachusetts, 9/12 at 102.00 Ba3 $ 450,584 Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 36.8% (22.8% OF TOTAL INVESTMENTS) 450 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 AAA 455,621 Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 - MBIA Insured 495 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 508,043 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured 500 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 AA- 537,765 Milton Academy, Series 2003A, 5.000%, 9/01/19 2,100 Massachusetts Development Finance Authority, Revenue Bonds, 1/18 at 100.00 AAA 2,130,261 WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 - AGC Insured 1,000 Massachusetts Development Finance Authority, Revenue Refunding 5/29 at 105.00 A2 1,089,120 Bonds, Boston University, Series 1999P, 6.000%, 5/15/59 1,085 Massachusetts Educational Finance Authority, Educational Loan 7/10 at 100.00 AAA 1,120,848 Revenue Bonds, Series 2001E, 5.300%, 1/01/16 - AMBAC Insured (Alternative Minimum Tax) 1,000 Massachusetts Health and Educational Facilities Authority, Revenue 6/13 at 100.00 AA- 1,069,490 Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 1,000 Massachusetts Health and Educational Facilities Authority, Revenue 9/08 at 100.00 AA 778,768 Bonds, Hebrew College, Series 1999A, 3.763%, 7/01/31 (4) 2,000 Massachusetts Health and Educational Facilities Authority, Revenue 2/11 at 100.00 Aa2 2,049,800 Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36 590 Massachusetts Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 611,004 Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 - ------------------------------------------------------------------------------------------------------------------------------------ 10,220 Total Education and Civic Organizations 10,350,720 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 27.8% (17.2% OF TOTAL INVESTMENTS) 500 Massachusetts Health and Educational Facilities Authority Revenue 1/18 at 100.00 N/R 493,160 Bonds, Quincy Medical Center Issue, Series A 2008, 6.500%, 1/15/38 500 Massachusetts Health and Educational Facilities Authority, Revenue 10/11 at 101.00 BBB+ 512,955 Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 775 Massachusetts Health and Educational Facilities Authority, Revenue 8/18 at 100.00 AAA 792,988 Bonds, Capital Asset Program, Series 1998B-1, 5.375%, 2/01/26 (WI/DD, Settling 6/13/08) - MBIA Insured 500 Massachusetts Health and Educational Facilities Authority, Revenue 8/18 at 100.00 AAA 510,370 Bonds, Capital Asset Program, Series 1998B-2, 5.375%, 2/01/27 (WI/DD, Settling 6/09/08) - MBIA Insured 250 Massachusetts Health and Educational Facilities Authority, Revenue 1/09 at 101.00 BBB 248,580 Bonds, Caritas Christi Obligated Group, Series 1999A, 5.625%, 7/01/20 295 Massachusetts Health and Educational Facilities Authority, Revenue 1/12 at 101.00 N/R 304,092 Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 49 NMB Nuveen Massachusetts Dividend Advantage Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (continued) $ 315 Massachusetts Health and Educational Facilities Authority, Revenue 8/15 at 100.00 AA $ 293,300 Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 - RAAI Insured 600 Massachusetts Health and Educational Facilities Authority, Revenue 8/15 at 100.00 A 612,366 Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured 1,000 Massachusetts Health and Educational Facilities Authority, Revenue 8/17 at 100.00 A 1,024,870 Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28 290 Massachusetts Health and Educational Facilities Authority, Revenue 7/17 at 100.00 BBB- 250,612 Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 500 Massachusetts Health and Educational Facilities Authority, Revenue 7/15 at 100.00 BBB- 455,830 Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 500 Massachusetts Health and Educational Facilities Authority, Revenue 7/14 at 100.00 BB- 501,085 Bonds, Northern Berkshire Community Services Inc., Series 2004B, 6.375%, 7/01/34 1,000 Massachusetts Health and Educational Facilities Authority, Revenue 7/09 at 101.00 AA 1,021,920 Bonds, Partners HealthCare System Inc., Series 1999B, 5.125%, 7/01/19 35 Massachusetts Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AA 36,645 Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 500 Massachusetts Health and Educational Facilities Authority, Revenue 7/11 at 100.00 BBB 514,095 Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 285 Massachusetts Health and Educational Facilities Authority, Revenue 7/15 at 100.00 BBB 252,299 Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 - ------------------------------------------------------------------------------------------------------------------------------------ 7,845 Total Health Care 7,825,167 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 12.1% (7.5% OF TOTAL INVESTMENTS) 570 Massachusetts Development Finance Authority, Multifamily 7/17 at 100.00 AAA 529,901 Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 135 Massachusetts Housing Finance Agency, Housing Bonds, 6/15 at 100.00 AA- 129,249 Series 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax) 500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 493,705 Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 1,215 Massachusetts Housing Finance Agency, Rental Housing Mortgage 1/11 at 100.00 AAA 1,224,125 Revenue Bonds, Series 2001A, 5.850%, 7/01/35 - AMBAC Insured (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA Collateralized 5/12 at 103.00 AAA 1,028,220 Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 - ------------------------------------------------------------------------------------------------------------------------------------ 3,420 Total Housing/Multifamily 3,405,200 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 2.0% (1.3% OF TOTAL INVESTMENTS) 650 Massachusetts Housing Finance Agency, Single Family Housing 6/16 at 100.00 AA 571,565 Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS - 1.3% (0.8% OF TOTAL INVESTMENTS) 160 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 154,150 Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 200 Massachusetts Development Finance Agency, Solid Waste Disposal No Opt. Call BBB 200,862 Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 - ------------------------------------------------------------------------------------------------------------------------------------ 360 Total Industrials 355,012 - ------------------------------------------------------------------------------------------------------------------------------------ 50 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 8.6% (5.3% OF TOTAL INVESTMENTS) $ 725 Massachusetts Development Finance Agency, Revenue Bonds, 10/12 at 102.00 BB- $ 654,516 Orchard Cove, Series 2007, 5.250%, 10/01/26 655 Massachusetts Development Finance Authority, First Mortgage 7/11 at 102.00 BBB- 701,538 Revenue Bonds, Berkshire Retirement Community - Edgecombe Project, Series 2001A, 6.750%, 7/01/21 1,000 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,063,780 Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,380 Total Long-Term Care 2,419,834 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 17.1% (10.6% OF TOTAL INVESTMENTS) 310 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 Aaa 330,615 5.250%, 5/15/23 - AMBAC Insured 2,000 Brookline, Massachusetts, General Obligation Bonds, Series 2000, 4/10 at 101.00 Aaa 2,110,580 5.375%, 4/01/17 440 Fall River, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 AAA 462,484 5.000%, 2/01/21 - FSA Insured 750 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AA 861,293 Series 2002D, 5.500%, 8/01/19 500 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AA+ 542,075 5.000%, 11/15/20 - FGIC Insured 500 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call Baa3 517,095 Series 2001A, 5.500%, 7/01/29 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,500 Total Tax Obligation/General 4,824,142 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 11.7% (7.2% OF TOTAL INVESTMENTS) 395 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA 404,326 Series 2004, 5.000%, 5/01/26 - AMBAC Insured 85 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/10 at 100.00 AAA 87,360 Series 2000A, 5.250%, 7/01/30 385 Massachusetts Bay Transportation Authority, Senior Lien Sales Tax No Opt. Call AAA 433,437 Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21 230 Massachusetts College Building Authority, Project Revenue Bonds, 5/14 at 100.00 AAA 243,450 Series 2004A, 5.000%, 5/01/19 - MBIA Insured 250 Massachusetts College Building Authority, Project Revenue Bonds, 5/16 at 100.00 AAA 252,268 Series 2006A, 5.000%, 5/01/31 - AMBAC Insured 550 Massachusetts College Building Authority, Project Revenue Bonds, 5/18 at 100.00 AAA 563,382 Series 2008A, 5.000%, 5/01/33 - AGC Insured 500 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA 530,370 Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 230 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call A 245,212 Series 2005, 5.000%, 1/01/20 - FGIC Insured 500 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 531,910 Loan Note, Series 1999A, 6.375%, 10/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ 3,125 Total Tax Obligation/Limited 3,291,715 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 1.3% (0.8% OF TOTAL INVESTMENTS) 400 Massachusetts Port Authority, Special Facilities Revenue Bonds, 7/17 at 100.00 A2 377,532 BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 - FGIC Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 51 NMB Nuveen Massachusetts Dividend Advantage Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 17.6% (10.9% OF TOTAL INVESTMENTS) (5) $ 1,000 Boston, Massachusetts, General Obligation Bonds, Series 2001A, 2/11 at 100.00 AA+ (5) $ 1,061,230 5.000%, 2/01/20 (Pre-refunded 2/01/11) 1,675 Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 2/11 at 100.00 Aaa 1,777,560 5.000%, 2/01/21 (Pre-refunded 2/01/11) - AMBAC Insured 125 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/10 at 100.00 Aa1 (5) 132,401 Series 2000A, 5.250%, 7/01/30 (Pre-refunded 7/01/10) 80 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 Aaa 88,920 Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 (Pre-refunded 1/01/12) 965 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA (5) 1,059,995 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11) 750 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 A (5) 820,230 Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,595 Total U.S. Guaranteed 4,940,336 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES - 5.9% (3.6% OF TOTAL INVESTMENTS) 1,070 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AAA 1,153,160 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 500,840 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,570 Total Utilities 1,654,000 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 14.3% (8.8% OF TOTAL INVESTMENTS) 530 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 552,716 General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 125 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 126,783 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 500 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 497,945 Program Bonds, Series 2005-11, 4.500%, 8/01/29 400 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 385,464 Program Bonds, Series 2006-12, 4.375%, 8/01/31 500 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 532,149 MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 1,405 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/09 at 101.00 AAA 1,450,057 MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29 250 Massachusetts Water Resources Authority, General Revenue Bonds, 8/17 at 100.00 AAA 259,672 Series 2005A, 5.000%, 8/01/28 - MBIA Insured 250 Massachusetts Water Resources Authority, General Revenue Bonds, 8/16 at 100.00 AA 213,053 Series 2006A, 4.000%, 8/01/46 - ------------------------------------------------------------------------------------------------------------------------------------ 3,960 Total Water and Sewer 4,017,839 - ------------------------------------------------------------------------------------------------------------------------------------ $ 43,515 Total Long-Term Investments (cost $44,111,865) - 158.1% 44,483,646 =============----------------------------------------------------------------------------------------------------------------------- 52 PRINCIPAL AMOUNT (000) DESCRIPTION (1) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 3.6% (2.2% OF TOTAL INVESTMENTS) $ 1,000 Massachusetts Development Finance Authority, Revenue Bonds, VMIG-1 $ 1,000,000 Wentworth Institute of Technology, Variable Rate Demand Obligations, Series 2000, 6.250%, 10/01/30 - AMBAC Insured (6) =============----------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $1,000,000) 1,000,000 -------------------------------------------------------------------------------------------------------------------- Total Investments (cost $45,111,865) - 161.7% 45,483,646 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - (8.4)% (2,348,337) -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (53.3)% (7) (15,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $28,135,309 ====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2008:
FUND FIXED RATE UNREALIZED NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (8) DATE (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ Royal Bank of Canada $900,000 Pay SIFM 4.335% Quarterly 8/06/08 8/06/37 $57,153 ==================================================================================================================================== SIFM - Securities Industry and Financial Markets (SIFM) Municipal Swap Index (previously referred to as the Bond Market Association Index or BMA).
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. (5) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (6) Investment has a maturity of more than one year, but has a variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. (7) Preferred Shares, at Liquidation Value as a percentage of total investments is (33.0)%. (8) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. See accompanying notes to financial statements. 53 NGX Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund Portfolio of INVESTMENTS May 31, 2008
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 24.0% (14.5% OF TOTAL INVESTMENTS) $ 1,135 Massachusetts Development Finance Agency, Revenue Bonds, 10/15 at 100.00 AAA $ 1,138,030 Boston University, Series 2005T-1, 5.000%, 10/01/39 - AMBAC Insured 600 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 AAA 607,494 Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 - MBIA Insured 1,250 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 A1 1,255,638 Middlesex School, Series 2003, 5.000%, 9/01/33 3,000 Massachusetts Development Finance Authority, Revenue Bonds, 1/18 at 100.00 AAA 3,043,230 WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 - AGC Insured 1,750 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,783,828 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 1,506,420 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,235 Total Education and Civic Organizations 9,334,640 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 14.9% (9.0% OF TOTAL INVESTMENTS) 600 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 AAA 611,016 Revenue Bonds, Capital Asset Program, Series 1998B-1, 5.375%, 2/01/27 (WI/DD, Settling 6/13/08) - MBIA Insured 1,500 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 AAA 1,522,785 Revenue Bonds, Capital Asset Program, Series 1998B-2, 5.375%, 2/01/28 (WI/DD, Settling 6/09/08) - MBIA Insured 500 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 502,730 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 - MBIA Insured 585 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 505,545 Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 200 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 182,332 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 2,400 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 Aaa 2,238,600 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 - FGIC Insured 250 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 221,315 Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 - ------------------------------------------------------------------------------------------------------------------------------------ 6,035 Total Health Care 5,784,323 - ------------------------------------------------------------------------------------------------------------------------------------ 54 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 10.2% (6.2% OF TOTAL INVESTMENTS) $ 775 Massachusetts Development Finance Authority, Multifamily 7/17 at 100.00 AAA $ 720,479 Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 2,000 Massachusetts Housing Finance Agency, Housing Bonds, 12/12 at 100.00 AA- 1,972,760 Series 2003H, 5.125%, 6/01/43 1,265 Massachusetts Housing Finance Agency, Rental Housing Mortgage 7/12 at 100.00 AAA 1,264,937 Revenue Bonds, Series 2002H, 5.200%, 7/01/42 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,040 Total Housing/Multifamily 3,958,176 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 4.7% (2.9% OF TOTAL INVESTMENTS) 1,750 Massachusetts Development Finance Authority, GNMA 12/12 at 105.00 AAA 1,870,628 Collateralized Revenue Bonds, Neville Communities, Series 2002A, 6.000%, 6/20/44 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 20.9% (12.7% OF TOTAL INVESTMENTS) 1,280 Littleton, Massachusetts, General Obligation Bonds, Series 2003, 1/13 at 101.00 A+ 1,325,760 5.000%, 1/15/21 - FGIC Insured 3,000 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,365,789 Series 2004B, 5.250%, 8/01/21 - FSA Insured 1,705 North Attleborough, Massachusetts, General Obligation Bonds, 7/14 at 101.00 A1 1,872,175 Series 2004, 5.000%, 7/15/15 - FGIC Insured 1,500 Pittsfield, Massachusetts, General Obligation Bonds, 4/12 at 101.00 AAA 1,578,015 Series 2002, 5.000%, 4/15/18 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 7,485 Total Tax Obligation/General 8,141,739 - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 25.7% (15.6% OF TOTAL INVESTMENTS) 3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/13 at 100.00 AAA 3,018,060 Series 2002, 5.000%, 5/01/32 - AMBAC Insured 750 Massachusetts College Building Authority, Project Revenue Bonds, 5/18 at 100.00 AAA 768,248 Series 2008A, 5.000%, 5/01/33 - AGC Insured 2,790 Massachusetts College Building Authority, Project Revenue 5/13 at 100.00 A1 2,866,446 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 1,502,273 1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AAA 1,519,140 300 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call A 319,842 Series 2005, 5.000%, 1/01/20 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 9,815 Total Tax Obligation/Limited 9,994,009 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 3.9% (2.4% OF TOTAL INVESTMENTS) 1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 1,017,460 5.000%, 7/01/33 - MBIA Insured 500 Massachusetts Turnpike Authority, Metropolitan Highway System 1/09 at 101.00 AAA 499,980 Revenue Bonds, Subordinate Series 1999A, 5.000%, 1/01/39 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 1,500 Total Transportation 1,517,440 - ------------------------------------------------------------------------------------------------------------------------------------ 55 NGX Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 39.3% (23.8% OF TOTAL INVESTMENTS) (4) $ 2,000 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/12 at 100.00 AAA $ 2,157,080 Revenue Refunding Bonds, Series 2002A, 5.000%, 7/01/27 (Pre-refunded 7/01/12) - FGIC Insured 500 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A- (4) 581,150 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 (Pre-refunded 7/01/13) 100 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 Aaa 107,546 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 (Pre-refunded 5/15/12) - FGIC Insured 620 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/08 at 100.00 AAA 785,844 13.000%, 7/01/13 (ETM) 2,000 Massachusetts, General Obligation Bonds, Consolidated Loan, 11/11 at 100.00 AAA 2,138,300 Series 2001D, 5.000%, 11/01/20 (Pre-refunded 11/01/11) - MBIA Insured 1,000 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 A (4) 1,093,640 Series 2004, 5.250%, 1/01/21 (Pre-refunded 1/01/14) - FGIC Insured 1,025 Maynard, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 Aaa 1,142,660 5.500%, 2/01/19 (Pre-refunded 2/01/13) - MBIA Insured 1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,605,975 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured 3,000 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 3,246,360 Series 2003, 5.250%, 1/15/22 (Pre-refunded 1/15/13) - MBIA Insured 2,140 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 2,403,883 Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21 (Pre-refunded 11/01/14) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 13,885 Total U.S. Guaranteed 15,262,438 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 17.6% (10.6% OF TOTAL INVESTMENTS) 1,900 Lynn Water and Sewer Commission, Massachusetts, General 12/13 at 100.00 AAA 1,918,183 Revenue Bonds, Series 2003A, 5.000%, 12/01/32 - MBIA Insured 600 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 578,196 Program Bonds, Series 2006-12, 4.375%, 8/01/31 1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA 1,119,120 Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured 1,000 Massachusetts Water Resources Authority, General Revenue 8/13 at 100.00 AAA 1,035,080 Bonds, Series 2004D, 5.000%, 8/01/24 - MBIA Insured Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A: 1,500 5.000%, 8/01/31 - AMBAC Insured 8/16 at 100.00 AAA 1,541,415 125 4.000%, 8/01/46 8/16 at 100.00 AA 106,526 56 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER (continued) $ 495 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 AAA $ 528,516 General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 6,620 Total Water and Sewer 6,827,036 - ------------------------------------------------------------------------------------------------------------------------------------ $ 60,365 Total Long-Term Investments (cost $61,633,693) - 161.2% 62,690,429 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 3.9% (2.3% OF TOTAL INVESTMENTS) $ 1,500 Massachusetts Health and Educational Facilities Authority, A2 1,500,000 Revenue Bonds, CareGroup Inc., Variable Rate Demand Obligations, Auction Rate Series 2004D, 3.900%, 7/01/24 - MBIA Insured (5) =============----------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $1,500,000) 1,500,000 -------------------------------------------------------------------------------------------------------------------- Total Investments (cost $63,133,693) - 165.1% 64,190,429 -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - (12.4)% (4,816,997) -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (52.7)% (6) (20,500,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $38,873,432 ====================================================================================================================
As of May 31, 2008, at least 80% of the Fund's net assets (including net assets attributable to Preferred shares) are invested in municipal securities that are either covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance which ensures the timely payment of principal and interest. Up to 20% of the Fund's net assets (including net assets attributable to Preferred shares) may be invested in municipal securities that are (i) either backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities (also ensuring the timely payment of principal and interest), or (ii) rated, at the time of investment, within the four highest grades (Baa or BBB or better by Moody's, Standard & Poor's or Fitch) or unrated but judged to be of comparable quality by the Adviser. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments reflects the ratings on certain bonds insured by AMBAC, FGIC, MBIA and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Investment has a maturity of more than one year, but has a variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. (6) Preferred Shares, at Liquidation Value as a percentage of total investments is (31.9)%. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. See accompanying notes to financial statements. 57 NOM Nuveen Missouri Premium Income Municipal Fund Portfolio of INVESTMENTS May 31, 2008
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES - 3.3% (2.1% OF TOTAL INVESTMENTS) $ 1,000 Missouri Development Finance Board, Solid Waste Disposal No Opt. Call AA- $ 1,028,210 Revenue Bonds, Procter and Gamble Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION AND CIVIC ORGANIZATIONS - 3.7% (2.4% OF TOTAL INVESTMENTS) 250 Lincoln University, Missouri, Auxillary System Revenue Bonds, 6/17 at 100.00 AAA 256,673 Series 2007, 5.125%, 6/01/37 - AGC Insured 500 Missouri Health and Educational Facilities Authority, Revenue 8/08 at 101.00 A3 502,765 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 383,670 Bonds, Webster University, Series 2001, 5.500%, 4/01/18 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 1,115 Total Education and Civic Organizations 1,143,108 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE - 20.4% (13.2% OF TOTAL INVESTMENTS) 710 Cape Girardeau County Industrial Development Authority, Missouri, 6/17 at 100.00 N/R 652,000 Health Facilities Revenue Bonds, Southeast Missouri Hospital Association, Series 2007, 5.000%, 6/01/27 480 Cass County, Missouri, Hospital Revenue Bonds, Series 2007, 11/16 at 100.00 N/R 452,554 5.625%, 5/01/38 480 Clinton County Industrial Development Authority, Missouri, Revenue 12/17 at 100.00 N/R 388,944 Bonds, Cameron Regional Medical Center, Series 2007, 5.000%, 12/01/37 750 Joplin Industrial Development Authority, Missouri, Health Facilities 2/15 at 102.00 BBB+ 753,023 Revenue Bonds, Freeman Health System, Series 2004, 5.500%, 2/15/29 500 Missouri Health & Educational Facilities Authority, Saint Lukes 6/11 at 101.00 AAA 511,210 Episcopal- Presbyterian Hospitals Revenue Bonds, Series 2001, 5.250%, 12/01/26 - FSA Insured Missouri Health and Educational Facilities Authority, Revenue Bonds, BJC Health System, Series 2003: 1,500 5.125%, 5/15/25 5/13 at 100.00 AA 1,519,935 1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,165,499 425 Missouri Health and Educational Facilities Authority, Revenue 8/08 at 100.00 BBB+ 425,451 Bonds, Lake Regional Health System, Series 1996, 6.500%, 2/15/21 500 Missouri Health and Educational Facilities Authority, Revenue 2/14 at 100.00 BBB+ 501,640 Bonds, Lake Regional Health System, Series 2003, 5.700%, 2/15/34 - ------------------------------------------------------------------------------------------------------------------------------------ 6,500 Total Health Care 6,370,256 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY - 6.2% (4.0% OF TOTAL INVESTMENTS) 295 Missouri Housing Development Commission, Multifamily Housing 12/11 at 100.00 AA 306,393 Revenue Bonds, Series 2001II, 5.250%, 12/01/16 500 St. Charles County Industrial Development Authority, Missouri, 10/08 at 102.00 AAA 500,130 FHA-Insured Multifamily Housing Revenue Bonds, Ashwood Apartments, Series 1998A, 5.600%, 4/01/30 - FSA Insured (Alternative Minimum Tax) 485 St. Louis County Industrial Development Authority, Missouri, 10/08 at 101.00 AAA 496,519 GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997A, 5.950%, 4/20/17 58 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/MULTIFAMILY (continued) $ 600 St. Louis County Industrial Development Authority, Missouri, 10/08 at 101.00 AAA $ 614,274 GNMA Collateralized Multifamily Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997B, 6.000%, 10/20/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,880 Total Housing/Multifamily 1,917,316 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSING/SINGLE FAMILY - 8.5% (5.5% OF TOTAL INVESTMENTS) 15 Missouri Housing Development Commission, Single Family 9/08 at 103.00 AAA 15,264 Mortgage Revenue Bonds, Homeownership Loan Program, Series 1995C, 7.250%, 9/01/26 (Alternative Minimum Tax) 90 Missouri Housing Development Commission, Single Family 3/10 at 100.00 AAA 92,450 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax) 730 Missouri Housing Development Commission, Single Family 3/16 at 104.50 AAA 739,052 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2006E-1, 5.600%, 3/01/37 (Alternative Minimum Tax) 980 Missouri Housing Development Commission, Single Family 9/16 at 100.00 AAA 908,391 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2007A-1, 4.700%, 9/01/27 (Alternative Minimum Tax) 1,000 Missouri Housing Development Commission, Single Family 3/17 at 100.00 AAA 908,210 Mortgage Revenue Bonds, Homeownership Loan Program, Series 2007C-1, 4.800%, 9/01/38 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,815 Total Housing/Single Family 2,663,367 - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM CARE - 8.3% (5.4% OF TOTAL INVESTMENTS) 1,750 Cole County Industrial Development Authority, Missouri, 2/14 at 100.00 N/R 1,723,382 Revenue Bonds, Lutheran Senior Services - Heisinger Project, Series 2004, 5.500%, 2/01/35 475 Lees Summit Industrial Development Authority, Missouri, 8/17 at 100.00 N/R 401,945 Revenue Bonds, John Knox Village Obligated Group, Series 2007A, 5.125%, 8/15/32 500 St. Louis County Industrial Development Authority, Missouri, 9/17 at 100.00 N/R 471,985 Revenue Bonds, Friendship Village of West County, Series 2007A, 5.500%, 9/01/28 - ------------------------------------------------------------------------------------------------------------------------------------ 2,725 Total Long-Term Care 2,597,312 - ------------------------------------------------------------------------------------------------------------------------------------ MATERIALS - 2.2% (1.5% OF TOTAL INVESTMENTS) 750 Sugar Creek, Missouri, Industrial Development Revenue Bonds, 6/13 at 101.00 BBB 675,615 Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/GENERAL - 30.5% (19.7% OF TOTAL INVESTMENTS) 1,500 Camdenton Reorganized School District R3, Camden County, No Opt. Call AAA 1,600,575 Missouri, General Obligation Bonds, Series 2005, 5.250%, 3/01/24 - FSA Insured 500 Jackson County School District R-7, Lees Summit, Missouri, 3/12 at 100.00 AAA 536,390 General Obligation Refunding and Improvement Bonds, Series 2002, 5.250%, 3/01/18 - FSA Insured 500 Missouri School Boards Association, Lease Participation 3/17 at 100.00 AAA 531,310 Certificates, Clay County School District 53 Liberty, Series 2007, 5.250%, 3/01/27 - FSA Insured 1,630 North Kansas City School District, Missouri, General Obligation 3/13 at 100.00 AA+ 1,701,246 Bonds, Series 2003A, 5.000%, 3/01/23 1,000 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 1,070,700 Series 2001A, 5.500%, 7/01/20 - MBIA Insured 2,020 Ritenour Consolidated School District, St. Louis County, Missouri, No Opt. Call A1 2,273,489 General Obligation Bonds, Series 1995, 7.375%, 2/01/12 - FGIC Insured 1,405 St. Louis Board of Education, Missouri, General Obligation 4/13 at 100.00 AAA 1,480,364 Refunding Bonds, Series 2003A, 5.000%, 4/01/19 - FSA Insured 270 St. Louis County Pattonville School District R3, Missouri, General 3/14 at 100.00 AAA 292,073 Obligation Bonds, Series 2004, 5.250%, 3/01/20 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 8,825 Total Tax Obligation/General 9,486,147 - ------------------------------------------------------------------------------------------------------------------------------------ 59 NOM Nuveen Missouri Premium Income Municipal Fund (continued) Portfolio of INVESTMENTS May 31, 2008 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TAX OBLIGATION/LIMITED - 27.8% (18.0% OF TOTAL INVESTMENTS) $ 600 Chesterfield, Missouri, Certificates of Participation, Series 2005, 12/15 at 100.00 Aa1 $ 606,732 5.000%, 12/01/24 - FGIC Insured 80 Cottleville, Missouri, Certificates of Participation, Series 2006, 8/14 at 100.00 N/R 75,395 5.250%, 8/01/31 465 Fenton, Missouri, Tax Increment Revenue Bonds, Gravois Bluffs 4/14 at 100.00 N/R 463,851 Redevelopment Project, Series 2006, 4.500%, 4/01/21 315 Fulton, Missouri, Tax Increment Revenue Bonds, Fulton Commons 6/16 at 100.00 N/R 267,051 Redevelopment Project, Series 2006, 5.000%, 6/01/28 475 Kansas City Tax Increment Financing District, Missouri, Tax 6/14 at 102.00 N/R 427,643 Increment Revenue Bonds, Briarcliff West Project, Series 2006A, 5.400%, 6/01/24 415 Missouri Development Finance Board, Independence, Infrastructure 3/16 at 100.00 A+ 412,394 Facilities Revenue Bonds, Crackerneck Creek Project, Series 2006C, 5.000%, 3/01/28 360 Missouri Development Finance Board, Infrastructure Facilities 6/15 at 100.00 BBB+ 319,828 Revenue Bonds, Branson Landing Project, Series 2005A, 5.000%, 6/01/35 450 Monarch-Chesterfield Levee District, St. Louis County, Missouri, 3/10 at 101.00 AAA 473,598 Levee District Improvement Bonds, Series 1999, 5.750%, 3/01/19 - MBIA Insured 500 Osage Beach, Missouri, Tax Increment Revenue Bonds, 5/12 at 102.00 N/R 439,675 Prewitts Point Transportation Development District, Series 2006, 5.000%, 5/01/23 200 Riverside Industrial Development Authority, Missouri, Industrial 5/17 at 100.00 BBB 186,144 Development Revenue Bonds, Riverside Horizon, Series 2007A, 5.000%, 5/01/27 - ACA Insured 600 Riverside, Missouri, L-385 Levee Redevelopment Plan Tax 5/15 at 100.00 BBB 597,084 Increment Revenue Bonds, Series 2004, 5.250%, 5/01/20 1,380 Springfield Center City Development Corporation, Missouri, 11/11 at 100.00 Aaa 1,411,202 Lease Revenue Bonds, Jordan Valley Park Parking Garage, Series 2002D, 5.000%, 11/01/22 - AMBAC Insured 2,000 Springfield Public Building Corporation, Missouri, Lease 6/10 at 100.00 AAA 2,112,019 Revenue Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 - AMBAC Insured St. Joseph Industrial Development Authority, Missouri, Tax Increment Bonds, Shoppes at North Village Project, Series 2005A: 340 5.375%, 11/01/24 11/14 at 100.00 N/R 311,178 400 5.500%, 11/01/27 11/14 at 100.00 N/R 364,620 200 St. Joseph Industrial Development Authority, Missouri, Tax 11/14 at 100.00 N/R 182,310 Increment Bonds, Shoppes at North Village Project, Series 2005B, 5.500%, 11/01/27 - ------------------------------------------------------------------------------------------------------------------------------------ 8,780 Total Tax Obligation/Limited 8,650,724 - ------------------------------------------------------------------------------------------------------------------------------------ TRANSPORTATION - 4.8% (3.1% OF TOTAL INVESTMENTS) 500 Kansas City, Missouri, Passenger Facility Charge Revenue 4/11 at 101.00 AAA 493,270 Bonds, Kansas City International Airport, Series 2001, 5.000%, 4/01/23 - AMBAC Insured (Alternative Minimum Tax) 1,000 St. Louis Land Clearance Redevelopment Authority, Missouri, 9/09 at 102.00 N/R 1,017,380 Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19 - ------------------------------------------------------------------------------------------------------------------------------------ 1,500 Total Transportation 1,510,650 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED - 23.5% (15.2% OF TOTAL INVESTMENTS) (4) 685 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R (4) 767,693 Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2002, 6.125%, 10/01/21 (Pre-refunded 10/01/12) 2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 2,694,849 Bonds, SSM Healthcare System, Series 2001A, 5.250%, 6/01/28 (Pre-refunded 6/01/11) - AMBAC Insured 1,000 Missouri Health and Educational Facilities Authority, Revenue 12/10 at 101.00 A (4) 1,099,600 Bonds, St. Anthony's Medical Center, Series 2000, 6.250%, 12/01/30 (Pre-refunded 12/01/10) 80 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 88,542 General Obligation Bonds, Series 2004, 5.250%, 3/01/20 (Pre-refunded 3/01/14) - FSA Insured 500 St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue No Opt. Call N/R (4) 553,380 Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) (ETM) 60 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GUARANTEED (4) (continued) $ 1,000 St. Louis Municipal Finance Corporation, Missouri, Leasehold 2/12 at 100.00 Baa3 (4) $ 1,097,070 Revenue Bonds, Carnahan Courthouse, Series 2002A, 5.750%, 2/15/16 (Pre-refunded 2/15/12) - FGIC Insured 950 Texas County, Missouri, Hospital Revenue Bonds, Texas County 6/10 at 100.00 N/R (4) 1,039,101 Memorial Hospital, Series 2000, 7.250%, 6/15/25 (Pre-refunded 6/15/10) - ------------------------------------------------------------------------------------------------------------------------------------ 6,715 Total U.S. Guaranteed 7,340,235 - ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 15.3% (9.9% OF TOTAL INVESTMENTS) 640 Metropolitan St. Louis Sewerage District, Missouri, Revenue 5/14 at 100.00 AAA 677,357 Bonds, Wastewater System, Series 2004A, 5.000%, 5/01/20 - MBIA Insured 2,965 Missouri Environmental Improvement and Energy Resources 12/16 at 100.00 AA 2,634,580 Authority, Water Facility Revenue Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 - AMBAC Insured (Alternative Minimum Tax) (UB) 1,000 Missouri Environmental Improvement and Energy Resources 1/13 at 100.00 Aaa 1,057,190 Authority, Water Pollution Control and Drinking Water Revenue Bonds, Series 2003B, 5.125%, 1/01/21 350 Missouri Environmental Improvement and Energy Resources No Opt. Call Aaa 393,789 Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program - Kansas City Project, Series 1997C, 6.750%, 1/01/12 - ------------------------------------------------------------------------------------------------------------------------------------ 4,955 Total Water and Sewer 4,762,916 - ------------------------------------------------------------------------------------------------------------------------------------ $ 47,560 Total Investments (cost $47,951,481) - 154.5% 48,145,856 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (7.1)% (2,225,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 3.9% 1,249,015 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (51.3)% (5) (16,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $31,169,871 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings (not covered by the report of independent registered public accounting firm): Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AMBAC, FGIC, MBIA, RAAI and XLCA as of May 31, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of total investments is (33.2)%. N/R Not rated. (ETM) Escrowed to maturity. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 61 Statement of ASSETS & LIABILITIES May 31, 2008
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at value (cost $116,927,539, $58,030,626, $51,732,583 and $94,470,470, respectively) $118,303,255 $58,969,581 $52,748,706 $94,822,280 Cash -- -- 451,550 1,325,240 Unrealized appreciation on forward swaps -- -- -- -- Receivables: Interest 1,727,745 790,918 710,738 1,372,301 Investments sold 170,000 85,000 -- -- Other assets 8,380 7,797 294 4,670 - ------------------------------------------------------------------------------------------------------------------------------------ Total assets 120,209,380 59,853,296 53,911,288 97,524,491 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft 526,536 13,075 -- -- Floating rate obligations 4,613,000 2,287,000 2,062,000 3,788,000 Payable for investments purchased -- -- -- -- Accrued expenses: Management fees 61,823 23,616 19,087 31,346 Other 30,123 18,876 18,590 27,053 Common share dividends payable 231,425 131,496 119,913 190,268 Preferred share dividends payable 5,210 5,531 3,681 11,350 - ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 5,468,117 2,479,594 2,223,271 4,048,017 - ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 76,441,263 $37,873,702 $34,188,017 $61,476,474 - ------------------------------------------------------------------------------------------------------------------------------------ Common shares outstanding 5,363,976 2,578,688 2,315,979 4,365,873 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.25 $ 14.69 $ 14.76 $ 14.08 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 53,640 $ 25,787 $ 23,160 $ 43,659 Paid-in surplus 74,527,557 36,578,637 32,796,312 61,611,229 Undistributed (Over-distribution of) net investment income (44,979) (39,553) (22,815) (152,848) Accumulated net realized gain (loss) from investments and derivative transactions 529,329 369,876 375,237 (377,376) Net unrealized appreciation (depreciation) of investments and derivative transactions 1,375,716 938,955 1,016,123 351,810 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 76,441,263 $37,873,702 $34,188,017 $61,476,474 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 62
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at value (cost $107,075,866, $45,111,865, $63,133,693 and $47,951,481, respectively) $108,470,122 $45,483,646 $64,190,429 $48,145,856 Cash 909,457 479,431 -- 626,459 Unrealized appreciation on forward swaps 92,080 57,153 -- -- Receivables: Interest 1,563,137 663,038 872,744 777,241 Investments sold 120,000 20,000 85,000 -- Other assets 6,362 7,731 6,177 2,883 - ------------------------------------------------------------------------------------------------------------------------------------ Total assets 111,161,158 46,710,999 65,154,350 49,552,439 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Cash overdraft -- -- 419,533 -- Floating rate obligations -- -- -- 2,225,000 Payable for investments purchased 9,132,745 3,431,408 5,175,825 -- Accrued expenses: Management fees 54,820 17,765 19,908 25,379 Other 29,286 16,282 19,357 16,896 Common share dividends payable 219,317 105,980 141,983 113,117 Preferred share dividends payable 4,624 4,255 4,312 2,176 - ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 9,440,792 3,575,690 5,780,918 2,382,568 - ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 67,720,366 $28,135,309 $38,873,432 $31,169,871 ==================================================================================================================================== Common shares outstanding 4,763,486 1,959,689 2,722,958 2,306,020 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.22 $ 14.36 $ 14.28 $ 13.52 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 47,635 $ 19,597 $ 27,230 $ 23,060 Paid-in surplus 66,145,494 27,748,739 38,370,620 30,918,361 Undistributed (Over-distribution of) net investment income (20,540) (39,471) (70,435) 50,539 Accumulated net realized gain (loss) from investments and derivative transactions 61,441 (22,490) (510,719) (16,464) Net unrealized appreciation (depreciation) of investments and derivative transactions 1,486,336 428,934 1,056,736 194,375 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $ 67,720,366 $28,135,309 $38,873,432 $31,169,871 ==================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ====================================================================================================================================
See accompanying notes to financial statements. 63 Statement of OPERATIONS Year Ended May 31, 2008
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $ 5,443,919 $2,733,403 $2,441,281 $ 4,307,798 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 728,057 363,366 327,836 593,946 Preferred shares -- auction fees 95,881 48,817 43,810 80,110 Preferred shares -- dividend disbursing agent fees 10,000 10,000 10,000 10,000 Shareholders' servicing agent fees and expenses 10,612 1,561 1,313 1,237 Interest expense on floating rate obligations 18,703 9,272 8,360 15,358 Custodian's fees and expenses 53,151 27,473 30,236 38,083 Trustees' fees and expenses 2,656 1,289 1,123 2,086 Professional fees 13,678 10,543 10,234 12,514 Shareholders' reports -- printing and mailing expenses 26,558 13,852 13,163 19,745 Stock exchange listing fees 9,497 280 251 474 Investor relations expense 10,127 5,327 4,891 8,654 Other expenses 13,833 12,027 12,952 13,270 - ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 992,753 503,807 464,169 795,477 Custodian fee credit (12,816) (8,594) (5,325) (13,096) Expense reimbursement -- (105,067) (124,844) (249,504) - ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 979,937 390,146 334,000 532,877 - ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 4,463,982 2,343,257 2,107,281 3,774,921 - ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from: Investments 298,858 433,225 442,376 142,304 Forward swaps 487,864 348,636 273,468 171,871 Change in net unrealized appreciation (depreciation) of: Investments (1,365,508) (796,148) (728,130) (1,287,450) Forward swaps 47,886 37,677 28,258 3,949 - ------------------------------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain (loss) (530,900) 23,390 15,972 (969,326) - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (1,196,691) (617,335) (540,900) (1,099,727) From accumulated net realized gains (49,238) (51,129) (52,122) -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (1,245,929) (668,464) (593,022) (1,099,727) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations $ 2,687,153 $1,698,183 $1,530,231 $ 1,705,868 ====================================================================================================================================
See accompanying notes to financial statements. 64
INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $ 5,023,691 $2,124,018 $2,782,118 $ 2,532,710 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 649,456 276,503 378,449 303,568 Preferred shares -- auction fees 85,117 37,552 51,321 40,055 Preferred shares -- dividend disbursing agent fees 10,000 10,000 10,000 10,000 Shareholders' servicing agent fees and expenses 6,485 660 520 4,111 Interest expense on floating rate obligations -- -- -- 66,757 Custodian's fees and expenses 34,319 14,539 16,993 18,791 Trustees' fees and expenses 2,322 944 1,308 1,075 Professional fees 12,858 9,738 10,905 10,035 Shareholders' reports -- printing and mailing expenses 24,759 12,074 15,485 13,172 Stock exchange listing fees 9,496 213 296 250 Investor relations expense 9,681 4,389 5,894 4,738 Other expenses 13,601 11,554 12,088 12,520 - ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 858,094 378,166 503,259 485,072 Custodian fee credit (13,070) (7,928) (5,869) (4,247) Expense reimbursement -- (79,995) (166,957) -- - ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 845,024 290,243 330,433 480,825 - ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 4,178,667 1,833,775 2,451,685 2,051,885 - ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from: Investments 55,351 (51,170) 112,230 23,306 Forward swaps 113,292 43,595 41,813 -- Change in net unrealized appreciation (depreciation) of: Investments (1,860,524) (945,603) (729,499) (1,458,850) Forward swaps 131,277 72,832 -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain (loss) (1,560,604) (880,346) (575,456) (1,435,544) - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (1,186,015) (511,186) (703,413) (465,017) From accumulated net realized gains (28,016) (16,392) -- (93,600) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (1,214,031) (527,578) (703,413) (558,617) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations $ 1,404,032 $ 425,851 $1,172,816 $ 57,724 ====================================================================================================================================
See accompanying notes to financial statements. 65 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 5/31/08 5/31/07 5/31/08 5/31/07 5/31/08 5/31/07 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 4,463,982 $ 4,447,923 $ 2,343,257 $ 2,365,016 $ 2,107,281 $ 2,107,925 Net realized gain (loss) from: Investments 298,858 72,769 433,225 124,379 442,376 144,586 Forward swaps 487,864 -- 348,636 -- 273,468 -- Futures -- 28,706 -- (18,408) -- (2,992) Change in net unrealized appreciation (depreciation) of: Investments (1,365,508) 346,705 (796,148) 38,540 (728,130) 36,334 Forward swaps 47,886 (47,886) 37,677 (37,677) 28,258 (28,258) Distributions to Preferred shareholders: From net investment income (1,196,691) (1,082,148) (617,335) (569,903) (540,900) (499,055) From accumulated net realized gains (49,238) (74,762) (51,129) -- (52,122) (18,854) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 2,687,153 3,691,307 1,698,183 1,901,947 1,530,231 1,739,686 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (3,298,641) (3,464,778) (1,721,069) (1,872,256) (1,556,110) (1,683,074) From accumulated net realized gains (154,483) (372,181) (167,071) -- (170,904) (85,757) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (3,453,124) (3,836,959) (1,888,140) (1,872,256) (1,727,014) (1,768,831) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions 56,012 18,479 39,414 89,571 18,857 43,271 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions 56,012 18,479 39,414 89,571 18,857 43,271 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (709,959) (127,173) (150,543) 119,262 (177,926) 14,126 Net assets applicable to Common shares at the beginning of year 77,151,222 77,278,395 38,024,245 37,904,983 34,365,943 34,351,817 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of year $76,441,263 $77,151,222 $37,873,702 $38,024,245 $34,188,017 $34,365,943 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of year $ (44,979) $ (13,624) $ (39,553) $ (44,395) $ (22,815) $ (33,086) ====================================================================================================================================
See accompanying notes to financial statements. 66 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 5/31/08 5/31/07 5/31/08 5/31/07 5/31/08 5/31/07 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 3,774,921 $ 3,733,076 $ 4,178,667 $ 4,182,224 $ 1,833,775 $ 1,827,149 Net realized gain (loss) from: Investments 142,304 (42,201) 55,351 (13,789) (51,170) 55,772 Forward swaps 171,871 -- 113,292 -- 43,595 -- Futures -- (14,700) -- -- -- -- Change in net unrealized appreciation (depreciation) of: Investments (1,287,450) 617,398 (1,860,524) 713,731 (945,603) 86,124 Forward swaps 3,949 (3,949) 131,277 (39,197) 72,832 (15,679) Distributions to Preferred shareholders: From net investment income (1,099,727) (992,233) (1,186,015) (1,116,532) (511,186) (479,691) From accumulated net realized gains -- -- (28,016) (5,552) (16,392) -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 1,705,868 3,297,391 1,404,032 3,720,885 425,851 1,473,675 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (2,644,809) (2,798,715) (2,943,779) (3,183,927) (1,328,586) (1,459,044) From accumulated net realized gains -- -- (79,074) (23,558) (48,600) -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (2,644,809) (2,798,715) (3,022,853) (3,207,485) (1,377,186) (1,459,044) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions 90,750 -- 15,691 33,601 14,859 52,919 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions 90,750 -- 15,691 33,601 14,859 52,919 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (848,191) 498,676 (1,603,130) 547,001 (936,476) 67,550 Net assets applicable to Common shares at the beginning of year 62,324,665 61,825,989 69,323,496 68,776,495 29,071,785 29,004,235 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of year $61,476,474 $62,324,665 $67,720,366 $69,323,496 $28,135,309 $29,071,785 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of year $ (152,848) $ (183,233) $ (20,540) $ (55,735) $ (39,471) $ (33,440) ====================================================================================================================================
See accompanying notes to financial statements. 67 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 5/31/08 5/31/07 5/31/08 5/31/07 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 2,451,685 $ 2,460,127 $ 2,051,885 $ 2,057,588 Net realized gain (loss) from: Investments 112,230 27,964 23,306 352,272 Forward swaps 41,813 27,938 -- -- Futures -- -- -- -- Change in net unrealized appreciation (depreciation) of: Investments (729,499) 246,559 (1,458,850) (540,979) Forward swaps -- (117,661) -- -- Distributions to Preferred shareholders: From net investment income (703,413) (671,046) (465,017) (524,016) From accumulated net realized gains -- -- (93,600) (2,414) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 1,172,816 1,973,881 57,724 1,342,451 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,769,589) (1,694,504) (1,506,279) (1,656,219) From accumulated net realized gains -- -- (291,322) (11,028) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,769,589) (1,694,504) (1,797,601) (1,667,247) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions 12,022 -- 83,533 216,543 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions 12,022 -- 83,533 216,543 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (584,751) 279,377 (1,656,344) (108,253) Net assets applicable to Common shares at the beginning of year 39,458,183 39,178,806 32,826,215 32,934,468 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of year $38,873,432 $39,458,183 $31,169,871 $32,826,215 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of year $ (70,435) $ (49,118) $ 50,539 $ (29,959) ====================================================================================================================================
See accompanying notes to financial statements. 68 Notes to FINANCIAL STATEMENTS 1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES 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) (collectively, the "Funds"). Common shares of Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are traded on the New York Stock Exchange while Common shares of Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB), Insured Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM) are traded on the American Stock Exchange. The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies. Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX) the alternative minimum tax applicable to individuals, by investing primarily in a diversified portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles. Investment Valuation The prices of municipal bonds in each Fund's investment portfolio are provided by a pricing service approved by the Fund's Board of Trustees. When market price quotes are not readily available (which is usually the case for municipal securities), the pricing service may establish fair value based on yields or prices of municipal bonds of comparable quality, type of issue, coupon, maturity and rating, indications of value from securities dealers, evaluations of anticipated cash flows or collateral and general market conditions. Prices of forward swap contracts are also provided by an independent pricing service approved by each Fund's Board of Trustees. Futures contracts are valued using the closing settlement price, or, in the absence of such a price, at the mean of the bid and asked prices. If the pricing service is unable to supply a price for a municipal bond, forward swap or futures contract, each Fund may use market quotes provided by major broker/dealers in such investments. If it is determined that the market price for an investment or derivative instrument is unavailable or inappropriate, the Board of Trustees of the Funds, or its designee, may establish fair value in accordance with procedures established in good faith by the Board of Trustees. Temporary investments in securities that have variable rate and demand features qualifying them as short-term investments are valued at amortized cost, which approximates market value. Investment Transactions Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At May 31, 2008, Massachusetts Premium Income (NMT), Massachusetts Dividend Advantage (NMB) and Insured Massachusetts Tax-Free Advantage (NGX) had outstanding when-issued/delayed delivery purchase commitments of $4,193,126, $1,314,428 and $2,151,568, respectively. There were no such outstanding purchase commitments in any of the other Funds. 69 Notes to FINANCIAL STATEMENTS (continued) Investment Income Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also includes paydown gains and losses, if any. Income Taxes Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, each Fund intends to satisfy conditions which will enable interest from municipal securities, which is exempt from regular federal and designated state income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX) the alternative minimum tax applicable to individuals, to retain such tax-exempt status when distributed to shareholders of the Funds. Net realized capital gains and ordinary income distributions paid by the Funds are subject to federal taxation. Effective November 30, 2007, the Funds adopted Financial Accounting Standards Board (FASB) Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether it is "more-likely-than-not" (i.e., a greater than 50 percent likelihood) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax benefit or expense in the current year. Implementation of FIN 48 required management of the Funds to analyze all open tax years, as defined by the statute of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for examination by taxing authorities (i.e., generally, the last four tax year ends and the interim tax period since then). The Funds have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds has reviewed all tax positions taken or expected to be taken in the preparation of the Funds' tax returns and concluded the adoption of FIN 48 resulted in no impact to the Funds' net assets or results of operations as of and during the fiscal year ended May 31, 2008. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Dividends and Distributions to Common Shareholders Dividends from tax-exempt net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards. Distributions to Common shareholders of tax-exempt net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. 70 Preferred Shares The Funds have issued and outstanding Preferred shares, $25,000 stated value per share, as a means of effecting financial leverage. Each Fund's Preferred shares are issued in one Series. The dividend rate paid by the Funds on each Series is determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and is payable at the end of each rate period. The number of Preferred shares outstanding for each Fund is as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------- Number of shares: Series T -- 780 -- -- Series W -- -- 700 -- Series TH 1,532 -- -- -- Series F -- -- -- 1,280 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------- Number of shares: Series T -- 600 -- -- Series W -- -- 820 -- Series TH 1,360 -- -- 640 Series F -- -- -- -- ================================================================================ Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the Preferred shares issued by the Funds than there were offers to buy. This meant that these auctions "failed to clear," and that many Preferred shareholders who wanted to sell their shares in these auctions were unable to do so. Preferred shareholders unable to sell their shares received distributions at the "maximum rate" applicable to failed auctions as calculated in accordance with the pre-established terms of the Preferred shares. These developments generally do not affect the management or investment policies of the Funds. However, one implication of these auction failures for Common shareholders is that the Funds' cost of leverage will likely be higher, at least temporarily, than it otherwise would have been had the auctions continued to be successful. As a result, the Funds' future Common share earnings may be lower than they otherwise would have been. Insurance During the fiscal year ended May 31, 2008, Insured Massachusetts Tax-Free Advantage (NGX) primarily invested at least 80% of its net assets (including net assets attributable to Preferred shares) in municipal securities that were covered by insurance. The Fund may have also invested up to 20% of its net assets (including net assets attributable to Preferred shares) in municipal securities which are either (i) backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, or (ii) rated, at the time of investment, within the four highest grades (Baa or BBB or better by Moody's, Standard &Poor's or Fitch) or unrated but judged to be of comparable quality by Nuveen Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen Investments, Inc. ("Nuveen"). Effective March 20, 2008, pursuant to action taken by the Funds' Board of Trustees, under normal circumstances, Insured Massachusetts Tax-Free Advantage (NGX), must invest at least 80% of its net assets (including net assets attributable to Preferred shares) in municipal securities which are either covered by insurance or backed by an escrow or trust account containing sufficient U.S. Government or U.S. Government agency securities, both of which ensure the timely payment of principal and interest. For purposes of this 80% test, insurers must have a claims paying ability rated at least "A" at the time of purchase. In addition, the Fund must invest at least 80% of its net assets (including net assets attributable to Preferred shares) in municipal securities that are rated at least "AA" at the time of purchase. The Fund may also invest up to 20% of its net assets (including net assets attributable to Preferred shares) in municipal securities rated below "AA" (based on the higher rating of the insurer, if any, or the underlying bond) or are unrated but judged to be of comparable quality by the Adviser. 71 Notes to FINANCIAL STATEMENTS (continued) 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. Inverse Floating Rate Securities Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. In turn, this trust (a) issues floating rate certificates, in face amounts equal to some fraction of the deposited bond's par amount or market value, that typically pay short-term tax-exempt interest rates to third parties, and (b) issues to a long-term investor (such as one of the Funds) an inverse floating rate certificate (sometimes referred to as an "inverse floater") that represents all remaining or residual interest in the trust. The income received by the inverse floater holder varies inversely with the short-term rate paid to the floating rate certificates' holders, and in most circumstances the inverse floater holder bears substantially all of the underlying bond's downside investment risk and also benefits disproportionately from any potential appreciation of the underlying bond's value. The price of an inverse floating rate security will be more volatile than that of the underlying bond because the interest rate is dependent on not only the fixed coupon rate of the underlying bond but also on the short-term interest paid on the floating rate certificates, and because the inverse floating rate security essentially bears the risk of loss of the greater face value of the underlying bond. A Fund may purchase an inverse floating rate security in a secondary market transaction without first owning the underlying bond (referred to as an "externally-deposited inverse floater"), or instead by first selling a fixed-rate bond to a broker-dealer for deposit into the special purpose trust and receiving in turn the residual interest in the trust (referred to as a "self-deposited inverse floater"). A Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a "recourse trust" or "credit recovery swap") with a broker-dealer by which a Fund agrees to reimburse the broker-dealer, in certain circumstances, for the difference between the liquidation value of the fixed-rate bond held by the trust and the liquidation value of the floating rate certificates, as well as any shortfalls in interest cash flows. The inverse floater held by a Fund gives the Fund the right (a) to cause the holders of the floating rate certificates to tender their notes at par, and (b) to have the broker transfer the fixed-rate bond held by the trust to the Fund, thereby collapsing the trust. An investment in an externally-deposited inverse floater is identified in the Portfolio of Investments as an "Inverse floating rate investment". An investment in a self-deposited inverse floater, recourse trust or credit recovery swap is accounted for as a financing transaction in accordance with Statement of Financial Accounting Standards (SFAS) No. 140 "Accounting for Transfers and Servicing of Financial Assets and Extinguishment of Liabilities". In such instances, a fixed-rate bond deposited into a special purpose trust is identified in the Portfolio of Investments as an "Underlying bond of an inverse floating rate trust", with the Fund accounting for the short-term floating rate certificates issued by the trust as "Floating rate obligations" on the Statement of Assets and Liabilities. In addition, the Fund reflects in Investment Income the entire earnings of the underlying bond and accounts for the related interest paid to the holders of the short-term floating rate certificates as "Interest expense on floating rate obligations" in the Statement of Operations. During the fiscal year ended May 31, 2008, Connecticut Premium Income (NTC), Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO) and Missouri Premium Income (NOM) invested in externally deposited inverse floaters and/or self-deposited inverse floaters. Massachusetts Premium Income (NMT), Massachusetts Dividend Advantage (NMB) and Insured Massachusetts Tax-Free Advantage (NGX) did not invest in any such instruments during the fiscal year ended May 31, 2008. 72 The average floating rate obligations outstanding and average annual interest rate and fees related to self-deposited inverse floaters during the fiscal year ended May 31, 2008, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT MISSOURI PREMIUM DIVIDEND DIVIDEND DIVIDEND PREMIUM INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 INCOME (NTC) (NFC) (NGK) (NGO) (NOM) - ------------------------------------------------------------------------------------------------------------------ Average floating rate obligations $831,852 $412,410 $371,836 $683,082 $2,106,831 Average annual interest rate and fees 2.25% 2.25% 2.25% 2.25% 3.17% ==================================================================================================================
Forward Swap Transactions Each Fund is authorized to invest in forward interest rate swap transactions. Each Fund's use of forward interest rate swap transactions is intended to help the Fund manage its overall interest rate sensitivity, either shorter or longer, generally to more closely align the Fund's interest rate sensitivity with that of the broader municipal market. Forward interest rate swap transactions involve each Fund's agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the "effective date"). The amount of the payment obligation is based on the notional amount of the forward swap contract and the termination date of the swap (which is akin to a bond's maturity). The value of the Fund's swap commitment would increase or decrease based primarily on the extent to which long-term interest rates for bonds having a maturity of the swap's termination date increases or decreases. The Funds may terminate a swap contract prior to the effective date, at which point a realized gain or loss is recognized. When a forward swap is terminated, it ordinarily does not involve the delivery of securities or other underlying assets or principal, but rather is settled in cash on a net basis. Each Fund intends, but is not obligated, to terminate its forward swaps before the effective date. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the credit risk associated with a counterparty failing to honor its commitment to pay any realized gain to the Fund upon termination. To reduce such credit risk, all counterparties are required to pledge collateral daily (based on the daily valuation of each swap) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when any of the Funds have an unrealized loss on a swap contract, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate, either up or down, by at least the predetermined threshold amount. Missouri Premium Income (NOM) was the only Fund that did not invest in forward interest rate swap transactions during the fiscal year ended May 31, 2008. Futures Contracts Each Fund is authorized to invest in futures contracts. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect the changes in market value of the contract. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into. Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized in the Statement of Assets and Liabilities. Additionally, the Statement of Assets and Liabilities reflects a receivable or payable for the variation margin, when applicable. None of the Funds invested in futures contracts during the fiscal year ended May 31, 2008. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices. Zero Coupon Securities Each Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. Such securities are included in the Portfolios of Investments with a 0.000% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically. 73 Notes to FINANCIAL STATEMENTS (continued) Custodian Fee Credit Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank. Indemnifications Under the Funds' organizational documents, their Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates. 2. FUND SHARES Transactions in Common shares were as follows:
CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK) --------------------- -------------------- -------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED 5/31/08 5/31/07 5/31/08 5/31/07 5/31/08 5/31/07 - ------------------------------------------------------------------------------------------------------------------ Common shares issued to shareholders due to reinvestment of distributions 3,915 1,268 2,675 5,695 1,265 2,746 ================================================================================================================== CONNECTICUT DIVIDEND MASSACHUSETTS MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) ADVANTAGE (NMB) --------------------- -------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED 5/31/08 5/31/07 5/31/08 5/31/07 5/31/08 5/31/07 - ------------------------------------------------------------------------------------------------------------------ Common shares issued to shareholders due to reinvestment of distributions 6,503 -- 1,090 2,282 1,004 3,459 ================================================================================================================== INSURED MASSACHUSETTS TAX-FREE MISSOURI ADVANTAGE (NGX) PREMIUM INCOME (NOM) ---------------------- --------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED 5/31/08 5/31/07 5/31/08 5/31/07 - ------------------------------------------------------------------------------------------------------------------ Common shares issued to shareholders due to reinvestment of distributions 863 -- 5,970 13,593 ==================================================================================================================
74 3. INVESTMENT TRANSACTIONS Purchases and sales (including maturities but excluding short-term investments and derivative transactions) during the fiscal year ended May 31, 2008, were as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------- Purchases $30,714,049 $14,028,219 $14,075,306 $25,546,696 Sales and maturities 25,020,340 11,521,054 12,135,668 22,418,575 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------- Purchases $21,382,249 $9,093,802 $11,273,238 $2,253,169 Sales and maturities 13,978,094 6,426,431 7,688,282 3,087,833 ================================================================================ 4. INCOME TAX INFORMATION The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate transactions subject to SFAS No. 140. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds. At May 31, 2008, the cost of investments was as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------- Cost of investments $112,305,990 $55,707,104 $49,651,139 $90,666,804 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------- Cost of investments $107,006,789 $45,081,373 $63,133,593 $45,710,887 ================================================================================ Gross unrealized appreciation and gross unrealized depreciation of investments at May 31, 2008, were as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------- Gross unrealized: Appreciation $2,425,714 $1,412,472 $1,488,202 $1,642,514 Depreciation (1,041,485) (436,913) (452,554) (1,275,080) - -------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $1,384,229 $ 975,559 $1,035,648 $ 367,434 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------- Gross unrealized: Appreciation $2,991,664 $1,147,717 $1,546,613 $1,490,878 Depreciation (1,528,331) (745,444) (489,777) (1,280,366) - -------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $1,463,333 $ 402,273 $1,056,836 $ 210,512 ================================================================================ 75 Notes to FINANCIAL STATEMENTS (continued) The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at May 31, 2008, the Funds' tax year end, were as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - ------------------------------------------------------------------------------- Undistributed net tax-exempt income* $194,231 $ 68,567 $ 75,481 $35,434 Undistributed net ordinary income ** 488,906 226,061 275,669 -- Undistributed net long-term capital gains 60,678 147,900 112,806 -- =============================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------- Undistributed net tax-exempt income* $160,328 $45,010 $82,161 $162,256 Undistributed net ordinary income ** 39,566 -- -- -- Undistributed net long-term capital gains 69,077 -- -- -- ================================================================================ * Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on May 1, 2008, paid on June 2, 2008. ** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. The tax character of distributions paid during the Funds' tax years ended May 31, 2008 and May 31, 2007, 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 2008 (NTC) (NFC) (NGK) (NGO) - ---------------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income*** $4,528,844 $2,336,458 $2,101,642 $3,755,918 Distributions from net ordinary income ** -- 5,381 -- 102 Distributions from net long-term capital gains**** 203,721 218,200 223,026 -- ====================================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME 2008 (NMT) (NMB) (NGX) (NOM) - ---------------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income*** $4,147,682 $1,843,671 $2,465,317 $1,987,482 Distributions from net ordinary income ** -- -- -- -- Distributions from net long-term capital gains**** 107,090 64,958 -- 384,860 ======================================================================================================================
** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. *** The Funds hereby designate these amounts paid during the fiscal year ended May 31, 2008, as Exempt Interest Dividends. **** The Funds designated as a long-term capital gain dividend, pursuant to the Internal Revenue Code Section 852(b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gain to zero for the tax year ended May 31, 2008. 76
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 2007 (NTC) (NFC) (NGK) (NGO) - ---------------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,570,640 $2,466,418 $2,210,985 $3,816,478 Distributions from net ordinary income ** 41,683 -- 82 -- Distributions from net long-term capital gains 405,561 -- 104,613 -- ====================================================================================================================== INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME 2007 (NMT) (NMB) (NGX) (NOM) - ---------------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $4,336,292 $1,953,268 $2,384,976 $2,195,931 Distributions from net ordinary income ** 15,666 -- -- 7 Distributions from net long-term capital gains 28,705 -- -- 13,435 ======================================================================================================================
** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. At May 31, 2008, the Funds' tax year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows: INSURED CONNECTICUT MASSACHUSETTS DIVIDEND TAX-FREE ADVANTAGE 3 ADVANTAGE (NGO) (NGX) - -------------------------------------------------------------------------------- Expiration: May 31, 2013 $ 35,642 $ 18,655 May 31, 2014 111,331 427,135 May 31, 2015 211,213 -- - -------------------------------------------------------------------------------- Total $358,186 $445,790 ================================================================================ The following Funds have elected to defer net realized losses from investments incurred from November 1, 2007 through May 31, 2008, the Funds' tax year end, ("post-October losses") in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the following fiscal year: INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------- $47,203 $22,492 $64,928 $16,463 ================================================================================ 77 Notes to FINANCIAL STATEMENTS (continued) 5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES Each Fund's management fee is separated into two components - a complex-level component, based on the aggregate amount of all fund assets managed by the Adviser, and a specific fund-level component, based only on the amount of assets within each individual Fund. This pricing structure enables Nuveen fund shareholders to benefit from growth in the assets within each individual fund as well as from growth in the amount of complex-wide assets managed by the Adviser. The annual fund-level fee, payable monthly, for each Fund is based upon the average daily net assets (including net assets attributable to Preferred shares) of each Fund as follows: CONNECTICUT PREMIUM INCOME (NTC) 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 ================================================================================ 78 The annual complex-level fee, payable monthly, which is additive to the fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the aggregate amount of total fund assets managed as stated in the tables below. As of May 31, 2008, the complex-level fee rate was .1851%. Effective August 20, 2007, the complex-level fee schedule is as follows: COMPLEX-LEVEL ASSET BREAKPOINT LEVEL (1) EFFECTIVE RATE AT BREAKPOINT LEVEL - -------------------------------------------------------------------------------- $55 billion .2000% $56 billion .1996 $57 billion .1989 $60 billion .1961 $63 billion .1931 $66 billion .1900 $71 billion .1851 $76 billion .1806 $80 billion .1773 $91 billion .1691 $125 billion .1599 $200 billion .1505 $250 billion .1469 $300 billion .1445 ================================================================================ Prior to August 20, 2007, the complex-level fee schedule was as follows: COMPLEX-LEVEL ASSET BREAKPOINT LEVEL (1) EFFECTIVE RATE AT BREAKPOINT LEVEL - -------------------------------------------------------------------------------- $55 billion .2000% $56 billion .1996 $57 billion .1989 $60 billion .1961 $63 billion .1931 $66 billion .1900 $71 billion .1851 $76 billion .1806 $80 billion .1773 $91 billion .1698 $125 billion .1617 $200 billion .1536 $250 billion .1509 $300 billion .1490 ================================================================================ (1) The complex-level fee component of the management fee for the funds is calculated based upon the aggregate Managed Assets ("Managed Assets" means the average daily net assets of each fund including assets attributable to preferred stock issued by or borrowings by the Nuveen funds) of Nuveen-sponsored funds in the U.S. 79 Notes to FINANCIAL STATEMENTS (continued) The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Funds pay no compensation directly to those of its Trustees who are affiliated with the Adviser or to its Officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds. For the first ten years of Connecticut Dividend Advantage's (NFC) and Massachusetts Dividend Advantage's (NMB) operations, the Adviser has agreed to reimburse the Funds, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING JANUARY 31, JANUARY 31, - -------------------------------------------------------------------------------- 2001* .30% 2007 .25% 2002 .30 2008 .20 2003 .30 2009 .15 2004 .30 2010 .10 2005 .30 2011 .05 2006 .30 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage (NFC) and Massachusetts Dividend Advantage (NMB) for any portion of their fees and expenses beyond January 31, 2011. 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. 80 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. Agreement and Plan of Merger On June 20, 2007, Nuveen Investments announced that it had entered into a definitive Agreement and Plan of Merger ("Merger Agreement") with Windy City Investments, Inc. ("Windy City"), a corporation formed by investors led by Madison Dearborn Partners, LLC ("Madison Dearborn"), pursuant to which Windy City would acquire Nuveen Investments. Madison Dearborn is a private equity investment firm based in Chicago, Illinois. The merger was consummated on November 13, 2007. The consummation of the merger was deemed to be an "assignment" (as that term is defined in the Investment Company Act of 1940) of the investment management agreement between each Fund and the Adviser, and resulted in the automatic termination of each Fund's agreement. The Board of Trustees of each Fund considered and approved a new investment management agreement with the Adviser on the same terms as the previous agreements. Each new ongoing agreement, was approved by the shareholders of each Fund and took effect on November 13, 2007. The investors led by Madison Dearborn includes an affiliate of Merrill Lynch. As a result, Merrill Lynch is an indirect "affiliated person" (as that term is defined in the Investment Company Act of 1940) of each Fund. Certain conflicts of interest may arise as a result of such indirect affiliation. For example, the Funds are generally prohibited from entering into principal transactions with Merrill Lynch and its affiliates. The Adviser does not believe that any such prohibitions or limitations as a result of Merrill Lynch's affiliation will significantly impact the ability of the Funds to pursue their investment objectives and policies. 81 Notes to FINANCIAL STATEMENTS (continued) 6. NEW ACCOUNTING PRONOUNCEMENTS Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157 In September 2006, the FASB issued SFAS No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this standard relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of May 31, 2008, management does not believe the adoption of SFAS No. 157 will impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements included within the Statement of Operations for the period. Financial Accounting Standards Board Statement of Financial Accounting Standards No. 161 In March 2008, the FASB issued SFAS No. 161, "Disclosures about Derivative Instruments and Hedging Activities." This standard is intended to enhance financial statement disclosures for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative instruments, b) how derivative instruments and related hedge items are accounted for, and c) how derivative instruments and related hedge items affect a fund's financial position, results of operations and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. As of May 31, 2008, management does not believe the adoption of SFAS No. 161 will impact the financial statement amounts; however, additional footnote disclosures may be required about the use of derivative instruments and hedging items. 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, 2008, to shareholders of record on June 15, 2008, as follows: CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) - -------------------------------------------------------------------------------- Dividend per share $.0490 $.0555 $.0550 $.0485 ================================================================================ INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) - -------------------------------------------------------------------------------- Dividend per share $.0515 $.0565 $.0545 $.0545 ================================================================================ Auction Rate Preferred Shares (ARPS) On June 11, 2008, Nuveen announced the Fund Board's approval of plans to use tender option bonds (TOBs), also known as floating rate securities, to refinance a portion of the municipal funds' outstanding ARPS, whose auctions have been failing for several months, including an initial phase of approximately $1 billion in forty-one funds. On June 26, 2008, thirteen municipal funds (none of which are included in this shareholder report) issued par redemption notices for a portion of their auction-rate securities aggregating approximately $580 million. 82 Financial HIGHLIGHTS 83 Financial HIGHLIGHTS Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions --------------------------------------------------------------- ------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total =============================================================================================================================== CONNECTICUT PREMIUM INCOME (NTC) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 $14.39 $.83 $ (.09) $(.22) $(.01) $ .51 $(.62) $(.03) $(.65) 2007 14.42 .83 .07 (.20) (.01) .69 (.65) (.07) (.72) 2006 15.26 .84 (.54) (.14) (.03) .13 (.75) (.22) (.97) 2005 14.60 .88 .75 (.09) -- 1.54 (.87) (.01) (.88) 2004 15.56 .93 (.96) (.05) -- (.08) (.88) -- (.88) CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 14.76 .91 .01 (.24) (.02) .66 (.67) (.06) (.73) 2007 14.75 .92 .04 (.22) -- .74 (.73) -- (.73) 2006 15.39 .93 (.55) (.17) -- .21 (.85) -- (.85) 2005 14.56 .95 .86 (.09) -- 1.72 (.89) -- (.89) 2004 15.53 .97 (1.00) (.05) -- (.08) (.89) -- (.89) =============================================================================================================================== Total Returns --------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Asset Market Market Asset Discounts Value Value Value* Value* ============================================================================= CONNECTICUT PREMIUM INCOME (NTC) - ----------------------------------------------------------------------------- Year Ended 5/31: 2008 $ -- $14.25 $14.08 (1.08)% 3.60% 2007 -- 14.39 14.91 12.33 4.79 2006 -- 14.42 13.95 (6.00) .88 2005 -- 15.26 15.81 15.61 10.82 2004 -- 14.60 14.47 (10.80) (.51) CONNECTICUT DIVIDEND ADVANTAGE (NFC) - ----------------------------------------------------------------------------- Year Ended 5/31: 2008 -- 14.69 14.93 (4.10) 4.62 2007 -- 14.76 16.37 5.46 5.05 2006 -- 14.75 16.26 8.79 1.38 2005 -- 15.39 15.73 17.89 12.06 2004 -- 14.56 14.12 (8.64) (.56) ============================================================================= Ratios/Supplemental Data ----------------------------------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement After Credit/Reimbursement** ------------------------------------------- ----------------------------------------- Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate ================================================================================================================================= CONNECTICUT PREMIUM INCOME (NTC) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 $76,441 1.30% 1.27% 5.82% 1.28% 1.26% 5.84% 22% 2007 77,151 1.24 1.24 5.67 1.21 1.21 5.69 8 2006 77,278 1.25 1.25 5.66 1.23 1.23 5.68 16 2005 81,529 1.24 1.24 5.81 1.24 1.24 5.82 12 2004 77,725 1.23 1.23 6.16 1.23 1.23 6.16 15 CONNECTICUT DIVIDEND ADVANTAGE (NFC) - --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 37,874 1.33 1.31 5.90 1.03 1.01 6.20 20 2007 38,024 1.29 1.29 5.78 .92 .92 6.16 9 2006 37,905 1.29 1.29 5.70 .84 .84 6.14 14 2005 39,464 1.29 1.29 5.81 .83 .83 6.27 9 2004 37,238 1.26 1.26 5.97 .80 .80 6.44 4 =================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period - -------------------------------------------------------------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ CONNECTICUT PREMIUM INCOME (NTC) - -------------------------------------------------------------------------------- Year Ended 5/31: 2008 $38,300 $25,000 $74,896 $4,613 $25,873 2007 38,300 25,000 75,360 -- -- 2006 38,300 25,000 75,443 -- -- 2005 38,300 25,000 78,217 -- -- 2004 38,300 25,000 75,734 -- -- CONNECTICUT DIVIDEND ADVANTAGE (NFC) - -------------------------------------------------------------------------------- Year Ended 5/31: 2008 19,500 25,000 73,556 2,287 26,087 2007 19,500 25,000 73,749 -- -- 2006 19,500 25,000 73,596 -- -- 2005 19,500 25,000 75,595 -- -- 2004 19,500 25,000 72,740 -- -- ================================================================================ * Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. See accompanying notes to financial statements. 84-85 spread Financial HIGHLIGHTS (continued) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions --------------------------------------------------------------- ------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total =============================================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 $14.85 $.91 $ (.01) $(.23) $(.02) $ .65 $(.67) $(.07) $(.74) 2007 14.86 .91 .08 (.22) (.01) .76 (.73) (.04) (.77) 2006 15.64 .91 (.60) (.17) (.01) .13 (.83) (.08) (.91) 2005 15.01 .92 .74 (.09) -- 1.57 (.87) (.07) (.94) 2004 16.23 .96 (1.13) (.04) (.01) (.22) (.87) (.12) (.99) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 14.30 .87 (.23) (.25) -- .39 (.61) -- (.61) 2007 14.18 .86 .13 (.23) -- .76 (.64) -- (.64) 2006 14.78 .84 (.54) (.18) -- .12 (.72) -- (.72) 2005 13.97 .86 .83 (.10) -- 1.59 (.78) -- (.78) 2004 15.06 .88 (1.14) (.05) -- (.31) (.78) -- (.78) =============================================================================================================================== Total Returns --------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Asset Market Market Asset Discounts Value Value Value* Value* ============================================================================ CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ---------------------------------------------------------------------------- Year Ended 5/31: 2008 $ -- $14.76 $15.00 (3.63)% 4.54% 2007 -- 14.85 16.38 3.58 5.13 2006 -- 14.86 16.60 9.78 .84 2005 -- 15.64 15.98 19.92 10.70 2004 (.01) 15.01 14.14 (4.65) (1.48) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ---------------------------------------------------------------------------- Year Ended 5/31: 2008 -- 14.08 13.63 (3.07) 2.79 2007 -- 14.30 14.70 9.15 5.42 2006 -- 14.18 14.09 1.84 .83 2005 -- 14.78 14.54 18.17 11.60 2004 -- 13.97 13.00 (8.92) (2.08) ============================================================================ Ratios/Supplemental Data ----------------------------------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement After Credit/Reimbursement** ------------------------------------------- ----------------------------------------- Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate =================================================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - ----------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 $34,188 1.36% 1.33% 5.79% .98% .95% 6.17% 23% 2007 34,366 1.31 1.31 5.60 .85 .85 6.06 12 2006 34,352 1.29 1.29 5.51 .83 .83 5.97 11 2005 36,105 1.28 1.28 5.52 .82 .82 5.98 12 2004 34,646 1.25 1.25 5.73 .80 .80 6.18 10 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - ----------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 61,476 1.29 1.27 5.70 .86 .84 6.13 24 2007 62,325 1.26 1.26 5.44 .76 .76 5.94 15 2006 61,826 1.24 1.24 5.30 .74 .74 5.80 9 2005 64,324 1.24 1.24 5.40 .76 .76 5.89 9 2004 60,774 1.24 1.24 5.58 .74 .74 6.08 14 ===================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period - -------------------------------------------------------------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) - -------------------------------------------------------------------------------- Year Ended 5/31: 2008 $17,500 $25,000 $73,840 $2,062 $26,067 2007 17,500 25,000 74,094 -- -- 2006 17,500 25,000 74,074 -- -- 2005 17,500 25,000 76,579 -- -- 2004 17,500 25,000 74,495 -- -- CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) - -------------------------------------------------------------------------------- Year Ended 5/31: 2008 32,000 25,000 73,028 3,788 25,677 2007 32,000 25,000 73,691 -- -- 2006 32,000 25,000 73,302 -- -- 2005 32,000 25,000 75,253 -- -- 2004 32,000 25,000 72,480 -- -- ================================================================================ * Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. See accompanying notes to financial statements. 86-87 spread Financial HIGHLIGHTS (continued) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions --------------------------------------------------------------- ------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total =============================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 $14.56 $ .88 $ (.32) $(.25) $(.01) $ .30 $(.62) $ (.02) $ (.64) 2007 14.45 .88 .13 (.23) --* .78 (.67) --* (.67) 2006 15.10 .88 (.50) (.18) -- .20 (.81) (.04) (.85) 2005 14.34 .91 .81 (.08) -- 1.64 (.88) -- (.88) 2004 15.30 .94 (.97) (.05) -- (.08) (.88) -- (.88) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 14.84 .94 (.45) (.26) (.01) .22 (.68) (.02) (.70) 2007 14.83 .93 .08 (.25) -- .76 (.75) -- (.75) 2006 15.65 .95 (.54) (.17) (.02) .22 (.85) (.19) (1.04) 2005 14.84 .97 .95 (.08) -- 1.84 (.92) (.11) (1.03) 2004 16.00 1.00 (1.11) (.04) (.01) (.16) (.92) (.08) (1.00) =============================================================================================================================== Total Returns --------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Asset Market Market Asset Discounts Value Value Value** Value** =============================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) - ------------------------------------------------------------------------------- Year Ended 5/31: 2008 $ -- $14.22 $13.61 (.48)% 2.08% 2007 -- 14.56 14.33 4.60 5.47 2006 -- 14.45 14.35 (6.14) 1.41 2005 -- 15.10 16.14 18.97 11.74 2004 -- 14.34 14.35 (9.51) (.51) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ------------------------------------------------------------------------------- Year Ended 5/31: 2008 -- 14.36 14.61 (5.73) 1.55 2007 -- 14.84 16.28 10.04 5.14 2006 -- 14.83 15.53 (5.23) 1.49 2005 -- 15.65 17.45 24.96 12.76 2004 -- 14.84 14.88 (3.74) (1.03) =============================================================================== Ratios/Supplemental Data ----------------------------------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement After Credit/Reimbursement*** ------------------------------------------- ----------------------------------------- Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate =================================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) - ----------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 $67,720 1.26% 1.26% 6.09% 1.24% 1.24% 6.11% 14% 2007 69,323 1.24 1.24 5.97 1.23 1.23 5.98 9 2006 68,776 1.25 1.25 5.98 1.24 1.24 6.00 13 2005 71,648 1.24 1.24 6.15 1.24 1.24 6.16 18 2004 67,806 1.24 1.24 6.37 1.23 1.23 6.38 22 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - ----------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 28,135 1.32 1.32 6.11 1.02 1.02 6.42 15 2007 29,072 1.33 1.33 5.84 .95 .95 6.21 9 2006 29,004 1.29 1.29 5.79 .83 .83 6.24 13 2005 30,539 1.31 1.31 5.83 .86 .86 6.28 12 2004 28,904 1.27 1.27 6.05 .81 .81 6.51 26 ===================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period - -------------------------------------------------------------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ MASSACHUSETTS PREMIUM INCOME (NMT) - -------------------------------------------------------------------------------- Year Ended 5/31: 2008 $34,000 $25,000 $74,794 $ -- $ -- 2007 34,000 25,000 75,973 -- -- 2006 34,000 25,000 75,571 -- -- 2005 34,000 25,000 77,682 -- -- 2004 34,000 25,000 74,857 -- -- MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) - -------------------------------------------------------------------------------- Year Ended 5/31: 2008 15,000 25,000 71,892 -- -- 2007 15,000 25,000 73,453 -- -- 2006 15,000 25,000 73,340 -- -- 2005 15,000 25,000 75,899 -- -- 2004 15,000 25,000 73,173 -- -- ================================================================================ * Distributions from Capital Gains to Preferred Shareholders and Distributions from Capital Gains to Common Shareholders round to less than $.01 per share. ** Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. See accompanying notes to financial statements. 88-89 spread Financial HIGHLIGHTS (continued) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions --------------------------------------------------------------- ------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total =============================================================================================================================== INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 $14.50 $.90 $ (.21) $(.26) $ -- $ .43 $(.65) $ -- $(.65) 2007 14.39 .90 .08 (.25) -- .73 (.62) -- (.62) 2006 14.93 .90 (.53) (.20) -- .17 (.71) -- (.71) 2005 14.04 .92 .90 (.09) -- 1.73 (.84) -- (.84) 2004 15.25 .94 (1.22) (.06) -- (.34) (.86) (.01) (.87) MISSOURI PREMIUM INCOME (NOM) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 14.27 .89 (.62) (.20) (.04) .03 (.65) (.13) (.78) 2007 14.40 .90 (.08) (.23) --* .59 (.72) --* (.72) 2006 15.11 .92 (.51) (.17) (.01) .23 (.84) (.10) (.94) 2005 14.37 .94 .77 (.09) -- 1.62 (.88) -- (.88) 2004 15.40 .96 (1.05) (.06) -- (.15) (.88) -- (.88) =============================================================================================================================== Total Returns --------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Asset Market Market Asset Discounts Value Value Value** Value** ================================================================================= INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - --------------------------------------------------------------------------------- Year Ended 5/31: 2008 $ -- $14.28 $14.14 2.49% 3.04% 2007 -- 14.50 14.45 12.49 5.12 2006 -- 14.39 13.43 (11.62) 1.20 2005 -- 14.93 15.94 20.95 12.62 2004 -- 14.04 13.90 (6.83) (2.18) MISSOURI PREMIUM INCOME (NOM) - --------------------------------------------------------------------------------- Year Ended 5/31: 2008 -- 13.52 14.76 (5.74) .26 2007 -- 14.27 16.56 5.98 4.17 2006 -- 14.40 16.35 (3.53) 1.57 2005 -- 15.11 17.90 24.38 11.54 2004 -- 14.37 15.15 (5.35) (1.00) ================================================================================= Ratios/Supplemental Data ----------------------------------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement After Credit/Reimbursement** ------------------------------------------- ----------------------------------------- Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate ==================================================================================================================================== INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2008 $38,873 1.29% 1.29% 5.82% .84% .84% 6.26% 13% 2007 39,458 1.28 1.28 5.67 .77 .77 6.17 6 2006 39,179 1.29 1.29 5.66 .79 .79 6.16 5 2005 40,611 1.27 1.27 5.83 .79 .79 6.31 2 2004 38,121 1.28 1.28 5.94 .75 .75 6.46 97 MISSOURI PREMIUM INCOME (NOM) - ----------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2008 31,170 1.52 1.31 6.43 1.51 1.30 6.44 5 2007 32,826 1.39 1.30 6.15 1.37 1.27 6.18 16 2006 32,934 1.29 1.29 6.20 1.27 1.27 6.22 9 2005 34,219 1.29 1.29 6.29 1.28 1.28 6.30 17 2004 32,231 1.27 1.27 6.44 1.26 1.26 6.45 24 ====================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period - -------------------------------------------------------------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) - -------------------------------------------------------------------------------- Year Ended 5/31: 2008 $20,500 $25,000 $72,407 $ -- $ -- 2007 20,500 25,000 73,120 -- -- 2006 20,500 25,000 72,779 -- -- 2005 20,500 25,000 74,526 -- -- 2004 20,500 25,000 71,489 -- -- MISSOURI PREMIUM INCOME (NOM) - -------------------------------------------------------------------------------- Year Ended 5/31: 2008 16,000 25,000 73,703 2,225 22,200 2007 16,000 25,000 76,291 1,975 25,722 2006 16,000 25,000 76,460 -- -- 2005 16,000 25,000 78,468 -- -- 2004 16,000 25,000 75,360 -- -- ================================================================================ * Distributions from Capital Gains to Preferred Shareholders and Distributions from Capital Gains to Common Shareholders round to less than $.01 per share. ** Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. *** After custodian fee credit and expense reimbursement, where applicable. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. See accompanying notes to financial statements. 90-91 spread Board Members & Officers The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board Members of the Funds. The number of board members of the Fund is currently set at nine. None of the board members who are not "interested" persons of the Funds (referred to herein as "independent board members") has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the board members and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S) & ADDRESS APPOINTED IN FUND COMPLEX INCLUDING OTHER AND TERM(1) OVERSEEN BY DIRECTORSHIPS BOARD MEMBER DURING PAST 5 YEARS INDEPENDENT BOARD MEMBERS: [] ROBERT P. BREMNER Private Investor and Management Consultant. 8/22/40 Chairman of 1997 333 W. Wacker Drive the Board CLASS III 186 Chicago, IL 60606 and Board member [] JACK B. EVANS President, The Hall-Perrine Foundation, a 10/22/48 1999 private philanthropic corporation (since 333 W. Wacker Drive Board member CLASS III 186 1996); Director and Vice Chairman, United Chicago, IL 60606 Fire Group, a publicly held company; Member of the Board of Regents for the State of Iowa University System; Director, Gazette Companies; Life Trustee of Coe College and Iowa College Foundation; Member of the Advisory Council of the Department of Finance in the Tippie College of Business, University of Iowa; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm. [] WILLIAM C. HUNTER Dean, Tippie College of Business, 3/6/48 2004 University of Iowa (since July 2006); 333 W. Wacker Drive Board member ANNUAL 186 formerly, Dean and Distinguished Chicago, IL 60606 Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); Director (since 1997), Credit Research Center at Georgetown University; Director (since 2004) of Xerox Corporation; Director (since 2005), Beta Gamma Sigma International Honor Society; Director, SS&C Technologies, Inc. (May 2005-October 2005). [] DAVID J. KUNDERT Director, Northwestern Mutual Wealth 10/28/42 2005 Management Company; Retired (since 2004) 333 W. Wacker Drive Board member CLASS II 186 as Chairman, JPMorgan Fleming Asset Chicago, IL 60606 Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Member, Board of Regents, Luther College; member of the Wisconsin Bar Association; member of Board of Directors, Friends of Boerner Botanical Gardens; member of Investment Committee, Greater Milwaukee Foundation. [] WILLIAM J. SCHNEIDER Chairman, formerly, Senior Partner and 9/24/44 1997 Chief Operating Officer (retired, 2004) 333 W. Wacker Drive Board member ANNUAL 186 of Miller-Valentine Partners Ltd., a real Chicago, IL 60606 estate investment company; Director, Dayton Development Coalition; formerly, member, Business Advisory Council, Cleveland Federal Reserve Bank. 92 NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S) & ADDRESS APPOINTED IN FUND COMPLEX INCLUDING OTHER AND TERM(1) OVERSEEN BY DIRECTORSHIPS BOARD MEMBER DURING PAST 5 YEARS INDEPENDENT BOARD MEMBERS: [] JUDITH M. STOCKDALE Executive Director, Gaylord and Dorothy 12/29/47 1997 Donnelley Foundation (since 1994); prior 333 W. Wacker Drive Board member CLASS I 186 thereto, Executive Director, Great Lakes Chicago, IL 60606 Protection Fund (from 1990 to 1994). [] CAROLE E. STONE Director, Chicago Board Options Exchange 6/28/47 2007 (since 2006); Chair New York Racing 333 W. Wacker Drive Board member CLASS I 186 Association Oversight Board (since 2005); Chicago, IL 60606 Commissioner, New York State Commission on Public Authority Reform (since 2005); formerly Director, New York State Division of the Budget (2000-2004), Chair, Public Authorities Control Board (2000-2004) and Director, Local Government Assistance Corporation (2000-2004). [] TERENCE J. TOTH(2) 9/29/59 2008 Private Investor (since 2007); CEO and 333 W. Wacker Drive Board Member CLASS II 174(4) President, Northern Trust Investments Chicago, IL 60606 (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2007-2004); prior thereto, various positions with Northern Trust Company (since 1994); Member: Goodman Theatre Board (Since 2004); Chicago Fellowship Boards (since 2005), University of Illinois Leadership Council Board (since 2007) and Catalyst Schools of Chicago Board (since 2008); formerly Member: Northern Trust Mutual Funds Board (2005-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004). INTERESTED BOARD MEMBER: [] JOHN P. AMBOIAN(2)(3) Chief Executive Officer (since July 2007) 6/14/61 2008 and Director (since 1999) of Nuveen 333 W. Wacker Drive Board Member CLASS II 174(4) Investments, Inc.; Chief Executive Chicago, IL 60606 Officer (since 2007) of Nuveen Asset Management, Rittenhouse Asset Management, Nuveen Investments Advisors, Inc. formerly, President (1999-2004) of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. OFFICERS OF THE FUND: [] GIFFORD R. ZIMMERMAN Managing Director (since 2002), Assistant 9/9/56 Chief Secretary and Associate General Counsel, 333 W. Wacker Drive Administrative 1988 186 formerly, Vice President and Assistant Chicago, IL 60606 Officer General Counsel, of Nuveen Investments, LLC; Managing Director (since 2002), Associate General Counsel and Assistant Secretary, of Nuveen Asset Management; Vice President and Assistant Secretary of NWQ Investment Management Company, LLC. (since 2002), Nuveen Investments Advisers Inc. (since 2002), Symphony Asset Management LLC, and NWQ Investment Management Company, LLC (since 2003), Tradewinds Global Investors, LLC, and Santa Barbara Asset Management, LLC (since 2006); Nuveen HydePark Group LLC and Richards & Tierney, Inc. (since 2007); Managing Director, Associate General Counsel and Assistant Secretary of Rittenhouse Asset Management, Inc. (since 2003); Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; formerly, Managing Director (2002-2004), General Counsel (1998-2004) and Assistant Secretary of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.(5); Chartered Financial Analyst. [] WILLIAM ADAMS IV Executive Vice President, U.S. Structured 6/9/55 Products of Nuveen Investments, LLC, 333 W. Wacker Drive Vice President 2007 120 (since 1999), prior thereto, Managing Chicago, IL 60606 Director of Structured Investments. 93 NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S) AND ADDRESS APPOINTED(6) IN FUND COMPLEX DURING PAST 5 YEARS OVERSEEN BY OFFICER OFFICERS OF THE FUND: [] CEDRIC H. ANTOSIEWICZ 1/11/62 Managing Director, (since 2004) 333 W. Wacker Drive Vice President 2007 120 previously, Vice President (1993-2004) of Chicago, IL 60606 Nuveen Investments, LLC. [] MICHAEL T. ATKINSON Vice President (since 2002) of Nuveen 2/3/66 Vice President Investments, LLC. 333 W. Wacker Drive and Assistant 2000 186 Chicago, IL 60606 Secretary [] LORNA C. FERGUSON Managing Director (since 2004), formerly, 10/24/45 Vice President of Nuveen Investments, 333 W. Wacker Drive Vice President 1998 186 LLC, Managing Director (2004) formerly, Chicago, IL 60606 Vice President (1998-2004) of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.(5); Managing Director (since 2005) of Nuveen Asset Management. [] STEPHEN D. FOY Vice President (since 1993) and Funds 5/31/54 Vice President Controller (since 1998) of Nuveen 333 W. Wacker Drive and Controller 1998 186 Investments, LLC; formerly, Vice Chicago, IL 60606 President and Funds Controller (1998-2004) of Nuveen Investments, Inc.; Certified Public Accountant. [] WALTER M. KELLY Senior Vice President (since 2008), Vice 2/24/70 Chief Compliance President (2006-2008) formerly, Assistant 333 W. Wacker Drive Officer and 2003 186 Vice President and Assistant General Chicago, IL 60606 Vice President Counsel (2003-2006) of Nuveen Investments, LLC; Vice President (since 2006) and Assistant Secretary (since 2008) of Nuveen Asset Management. [] DAVID J. LAMB Vice President (since 2000) of Nuveen 3/22/63 Investments, LLC; Certified Public 333 W. Wacker Drive Vice President 2000 186 Accountant. Chicago, IL 60606 [] TINA M. LAZAR Vice President of Nuveen Investments, LLC 8/27/61 (since 1999). 333 W. Wacker Drive Vice President 2002 186 Chicago, IL 60606 [] LARRY W. MARTIN Vice President, Assistant Secretary and 7/27/51 Vice President Assistant General Counsel of Nuveen 333 W. Wacker Drive and Assistant 1988 186 Investments, LLC; Vice President (since Chicago, IL 60606 Secretary 2005) and Assistant Secretary of Nuveen Investments, Inc.; Vice President (since 2005) and Assistant Secretary (since 1997) of Nuveen Asset Management; Vice President (since 2000), Assistant Secretary and Assistant General Counsel (since 1998) of Rittenhouse Asset Management, Inc.; Vice President and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002); NWQ Investment Management Company, LLC (since 2002), Symphony Asset Management LLC (since 2003), Tradewinds Global Investors, LLC, Santa Barbara Asset Management LLC (since 2006) and of Nuveen HydePark Group, LLC and Richards & Tierney, Inc. (since 2007); formerly, Vice President and Assistant Secretary of Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp.(5) 94 NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S) AND ADDRESS APPOINTED(6) IN FUND COMPLEX DURING PAST 5 YEARS OVERSEEN BY OFFICER OFFICERS OF THE FUND: [] KEVIN J. MCCARTHY Managing Director (since 2008), formerly, 3/26/66 Vice President Vice President (2007-2008), Nuveen 333 W. Wacker Drive and Secretary 2007 186 Investments, LLC; Vice President, and Chicago, IL 60606 Assistant Secretary, Nuveen Asset Management, Rittenhouse Asset Management, Inc., Nuveen Investment Advisers Inc., Nuveen Investment Institutional Services Group LLC, NWQ Investment Management Company, LLC, Tradewinds Global Investors LLC, NWQ Holdings, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management LLC, Nuveen HydePark Group, LLC and Richards & Tierney, Inc. (since 2007); Managing Director (since 2008), formerly, Vice President (2007-2008) and Assistant General Counsel, Nuveen Investments, Inc. prior thereto, Partner, Bell, Boyd & Lloyd LLP (1997-2007). [] JOHN V. MILLER Managing Director (since 2007), formerly, 4/10/67 Vice President Vice President (2002-2007) of Nuveen 333 W. Wacker Drive and Assistant 2007 186 Investments, LLC; Chartered Financial Chicago, IL 60606 Analyst. [] CHRISTOPHER M. ROHRBACHER Vice President, Nuveen Investments, LLC 8/1/71 Vice President (since 2008); Vice President and 333 W. Wacker Drive and Assistant 2008 186 Assistant Secretary, Nuveen Asset Chicago, IL 60606 Secretary Management (since 2008); Vice President and Assistant General Counsel, Nuveen Investment, Inc. (since 2008); prior thereto, Associate, Skadden, Arps, Slate Meagher & Flom LLP (2002-2008). [] JAMES F. RUANE Vice President, Nuveen Investments since 7/3/62 Vice President 2007; prior thereto, Partner, Deloitte & 333 W. Wacker Drive and Assistant 2007 186 Touche USA LLP (since 2005), formerly, Chicago, IL 60606 Secretary senior tax manager (since 2002); Certified Public Accountant. [] MARK L. WINGET Vice President, Nuveen Investments, LLC 12/21/68 Vice President (since 2008); Vice President and 333 W. Wacker Drive and Assistant 2008 186 Assistant Secretary, Nuveen Asset Chicago, IL 60606 Secretary Management (since 2008); Vice President and Assistant General Counsel, Nuveen Investments Inc. (since 2008); prior thereto, Counsel, Vedder Price P.C. (1997-2007).
(1) Board Members serve three year terms, except for two board members who are elected by the holders of Preferred Shares. The Board of Trustees is divided into three classes, Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders' meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed, except two board members are elected by the holders of Preferred Shares to serve until the next annual shareholders' meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The first year elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex. (2) Mr. Amboian and Mr. Toth were appointed to the Board of Trustees of certain Nuveen Funds, effective July 1, 2008. In connection with the appointment of Mr. Amboian as trustee, Timothy R. Schwertfeger, an interested trustee, resigned from the Board of Trustees, effective July 1, 2008. (3) Mr. Amboian is an interested trustee because of his position with Nuveen Investments, Inc. and certain of its subsidiaries, which are affiliates of the Nuveen Funds. (4) Mr. Amboian and Mr. Toth are standing for election to the Boards of twelve Nuveen closed-end funds whose annual meeting on June 30, 2008 was adjourned to July 29, 2008. (5) Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. were reorganized into Nuveen Asset Management, effective January 1, 2005. (6) 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. 95 Annual Investment Management Agreement APPROVAL PROCESS The Investment Company Act of 1940, as amended (the "1940 Act"), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuance is approved at least annually by the fund's board members, including by a vote of a majority of the board members who are not parties to the advisory agreement or "interested persons" of any parties (the "Independent Board Members"), cast in person at a meeting called for the purpose of considering such approval. In connection with such approvals, the fund's board members must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. Accordingly, at a meeting held on May 28-29, 2008 (the "May Meeting"), the Boards of Trustees or Directors (as the case may be)(each a "Board" and each Trustee or Director, a "Board Member") of the Funds, including a majority of the Independent Board Members, considered and approved the continuation of the advisory agreement (each, an "Advisory Agreement") between each Fund and Nuveen Asset Management ("NAM") for an additional one-year period. In preparation for their considerations at the May Meeting, the Board also held a separate meeting on April 23, 2008 (the "April Meeting"). Accordingly, the factors considered and determinations made regarding the renewals by the Independent Board Members include those made at the April Meeting. In addition, in evaluating the Advisory Agreements, as described in further detail below, the Independent Board Members reviewed a broad range of information relating to the Funds and NAM, including absolute performance, fee and expense information for the Funds as well as comparative performance, fee and expense information for a comparable peer group of funds, the performance information of recognized benchmarks (as applicable), the profitability of Nuveen for its advisory activities (which includes its wholly owned subsidiaries), and other information regarding the organization, personnel, and services provided by NAM. The Independent Board Members also met quarterly as well as at other times as the need arose during the year and took into account the information provided at such meetings and the knowledge gained therefrom. Prior to approving the renewal of the Advisory Agreements, the Independent Board Members reviewed the foregoing information with their independent legal counsel and with management, reviewed materials from independent legal counsel describing applicable law and their duties in reviewing advisory contracts, and met with independent legal counsel in private sessions without management present. The Independent Board Members considered the legal advice provided by independent legal counsel and relied upon their knowledge of NAM, its services and the Funds resulting from their meetings and other interactions throughout the year and their own business judgment in determining the factors to be considered in evaluating the Advisory Agreements. Each Board Member may have accorded different weight to the various factors in reaching his or her conclusions with respect to a Fund's Advisory Agreement. The Independent Board Members did not identify any single factor as all-important or controlling. The Independent Board Members considerations were instead based on a comprehensive consideration of all the information presented. The principal factors considered by the Board and its conclusions are described below. A. NATURE, EXTENT AND QUALITY OF SERVICES In considering renewal of the Advisory Agreements, the Independent Board Members considered the nature, extent and quality of NAM's services, including advisory services and administrative services. The Independent Board Members reviewed materials outlining, among other things, NAM's organization and business; the types of services that NAM or its affiliates provide and are expected to provide to the Funds; 96 the performance record of the applicable Fund (as described in further detail below); and any initiatives Nuveen had taken for the applicable fund product line. With respect to personnel, the Independent Board Members evaluated the background, experience and track record of NAM's investment personnel. In this regard, the Independent Board Members considered the additional investment in personnel to support Nuveen fund advisory activities, including in operations, product management and marketing as well as related fund support functions, including sales, executive, finance, human resources and information technology. The Independent Board Members also reviewed information regarding portfolio manager compensation arrangements to evaluate NAM's ability to attract and retain high quality investment personnel. In evaluating the services of NAM, the Independent Board Members also considered NAM's ability to supervise the Fund's other service providers and given the importance of compliance, NAM's compliance program. Among other things, the Independent Board Members considered the report of the chief compliance officer regarding the Funds' compliance policies and procedures. In addition to advisory services, the Independent Board Members considered the quality of administrative services provided by NAM and its affiliates including product management, fund administration, oversight of service providers, shareholder services, administration of Board relations, regulatory and portfolio compliance and legal support. In addition to the foregoing services, the Independent Board Members also noted the additional services that NAM or its affiliates provide to closed-end funds, including, in particular, its secondary market support activities and the costs of such activities. The Independent Board Members recognized Nuveen's continued commitment to supporting the secondary market for the common shares of its closed-end funds through a variety of programs designed to raise investor and analyst awareness and understanding of closed-end funds. These efforts include maintaining an investor relations program to timely provide information and education to financial advisers and investors; providing advertising and marketing for the closed-end funds; maintaining its closed-end fund website; and providing educational seminars. With respect to closed-end funds that utilize leverage through the issuance of auction rate preferred securities ("ARPS"), the Board has recognized the unprecedented market conditions in the auction rate market industry with the failure of the auction process. The Independent Board Members noted Nuveen's efforts and the resources and personnel employed to analyze the situation, explore potential alternatives and develop and implement solutions that serve the interests of the respective Fund and all of its shareholders. The Independent Board Members further noted Nuveen's commitment and efforts to keep investors and financial advisers informed as to its progress in addressing the ARPS situation through, among other things, conference calls, press releases, and information posted on its website as well as its refinancing activities. The Independent Board Members also noted Nuveen's continued support for holders of preferred shares of its closed-end funds by, among other things, seeking distribution for preferred shares with new market participants, managing relations with remarketing agents and the broker community, maintaining the leverage and risk management of leverage and maintaining systems necessary to test compliance with rating agency criteria. Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided (and expected to be provided) to the respective Funds under the Advisory Agreements were satisfactory. B. THE INVESTMENT PERFORMANCE OF THE FUNDS AND NAM The Board considered the investment performance of each Fund, including the Fund's historic performance as well as its performance compared to funds with similar investment objectives (the "Performance Peer Group") based on data provided by an independent third party (as described below). The Independent Board Members also reviewed portfolio level performance (which does not reflect fund level fees, expenses and leverage), as described in further detail below. 97 ANNUAL INVESTMENT MANAGEMENT AGREEMENT APPROVAL PROCESS (continued) In evaluating the performance information, the Board considered whether the Fund has operated within its investment objectives and parameters and the impact that the investment mandates may have had on performance. In addition, in comparing a Fund's performance with that of its Performance Peer Group, the Independent Board Members took into account that the closest Performance Peer Group in certain instances may not adequately reflect the respective Fund's investment objectives and strategies thereby hindering a meaningful comparison of the Fund's performance with that of the Performance Peer Group. With respect to state specific municipal funds, the Independent Board Members also recognized that certain funds lack comparable peers in which case their performance is measured against a more general municipal category for various states. The closed-end municipal funds that do not have corresponding state-specific Performance Peer Groups are from states other than New York, California, Florida, New Jersey, Michigan, and Pennsylvania. With respect to municipal funds, the Independent Board Members reviewed performance information including, among other things, total return information compared with the Fund's Performance Peer Group and recognized benchmarks for the one-, three- and five-year periods (as applicable) ending December 31, 2007 and with the Performance Peer Group for the quarter and same yearly periods ending March 31, 2008. The Independent Board Members also reviewed the Fund's portfolio level performance (which does not reflect fund level fees and expenses (and leverage for closed-end funds)) compared to recognized benchmarks for the one- three, and five-year periods ending December 31, 2007 (as applicable). The analysis was used to assess the efficacy of investment decisions against appropriate measures of risk and total return, within specific market segments. This information supplemented the Fund performance information provided to the Board at each of its quarterly meetings. Based on their review, the Independent Board Members determined that each Fund's investment performance over time had been satisfactory. C. FEES, EXPENSES AND PROFITABILITY 1. FEES AND EXPENSES The Board evaluated the management fees and expenses of each Fund reviewing, among other things, such Fund's gross management fees (which take into account breakpoints), net management fees (which take into account fee waivers or reimbursements) and total expense ratios (before and after expense reimbursements and/or waivers) in absolute terms as well as compared to the gross management fees, net management fees (after waivers and/or reimbursements) and total expense ratios (before and after waivers) of a comparable universe of unaffiliated funds based on data provided by an independent data provider (the "Peer Universe") and/or a more focused subset of funds therein (the "Peer Group"). The Independent Board Members further reviewed data regarding the construction of Peer Groups as well as the methods of measurement for the fee and expense analysis and the performance analysis. In reviewing the comparisons of fee and expense information, the Independent Board Members took into account that in certain instances various factors such as the size of the Fund relative to peers, the size and particular composition of the Peer Group, the investment objectives of the peers, expense anomalies, and the timing of information used may impact the comparative data, thereby limiting the ability to make a meaningful comparison. With respect to closed-end funds, the Independent Board Members also considered, among other things, the differences in the use of leverage and with respect to municipal funds, the Independent Board Members considered the differences in the use of insurance as well as the states reflected in a respective Peer Group for the state municipal funds (such as the use of a general "other states" category for closed-end state funds (other than New York and California)). In reviewing the fee schedule for a Fund, the Independent Board Members also considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and reimbursements provided by Nuveen (applicable, in particular, for certain closed-end funds launched 98 since 1999). Based on their review of the fee and expense information provided, the Independent Board Members determined that each Fund's management fees and net total expense ratio were reasonable in light of the nature, extent and quality of services provided to the Fund. 2. COMPARISONS WITH THE FEES OF OTHER CLIENTS The Independent Board Members further reviewed information regarding the nature of services and fee rates offered by NAM to other clients. With respect to municipal funds, such other clients include NAM's municipal separately managed accounts. In evaluating the comparisons of fees, the Independent Board Members noted that the fee rates charged to the Funds and other clients vary, among other things, because of the different services involved and the additional regulatory and compliance requirements associated with registered investment companies, such as the Funds. Accordingly, the Independent Board Members considered the differences in the product types, including, but not limited to, the services provided, the structure and operations, product distribution and costs thereof, portfolio investment policies, investor profiles, account sizes and regulatory requirements. The Independent Board Members noted, in particular, that the range of services provided to the Funds (as discussed above) is much more extensive than that provided to separately managed accounts. Given the inherent differences in the products, particularly the extensive services provided to the Funds, the Independent Board Members believe such facts justify the different levels of fees. 3. PROFITABILITY OF NUVEEN In conjunction with its review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities (which incorporated Nuveen's wholly-owned affiliated sub-advisers) and its financial condition. The Independent Board Members reviewed the revenues and expenses of Nuveen's advisory activities for the last two years and the allocation methodology used in preparing the profitability data. The Independent Board Members noted this information supplemented the profitability information requested and received during the year to help keep them apprised of developments affecting profitability (such as changes in fee waivers and expense reimbursement commitments). In this regard, the Independent Board Members noted that they had also appointed an Independent Board Member as a point person to review and keep them apprised of changes to the profitability analysis and/or methodologies during the year. The Independent Board Members considered Nuveen's profitability compared with other fund sponsors prepared by two independent third party service providers as well as comparisons of the revenues, expenses and profit margins of various unaffiliated management firms with similar amounts of assets under management prepared by Nuveen. In reviewing profitability, the Independent Board Members recognized the subjective nature of determining profitability which may be affected by numerous factors including the allocation of expenses. Further, the Independent Board Members recognized the difficulties in making comparisons as the profitability of other advisers generally is not publicly available and the profitability information that is available for certain advisers or management firms may not be representative of the industry and may be affected by, among other things, the adviser's particular business mix, capital costs, types of funds managed and expense allocations. Notwithstanding the foregoing, the Independent Board Members reviewed Nuveen's methodology and assumptions for allocating expenses across product lines to determine profitability. In reviewing profitability, the Independent Board Members recognized Nuveeninvestment in its fund business. Based on its review, the Independent Board Members concluded that Nuveen's level of profitability for its advisory activities was reasonable in light of the services provided. In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to NAM by the Funds as well as any indirect benefits (such as soft dollar arrangements, if any) NAM and its affiliates receive, or are expected to receive, that are directly attributable to the 99 ANNUAL INVESTMENT MANAGEMENT AGREEMENT APPROVAL PROCESS (continued) management of the Funds, if any. See Section E below for additional information on indirect benefits NAM may receive as a result of its relationship with the Funds. Based on their review of the overall fee arrangements of each Fund, the Independent Board Members determined that the advisory fees and expenses of the respective Fund were reasonable. D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE With respect to economies of scale, the Independent Board Members recognized the potential benefits resulting from the costs of a Fund being spread over a larger asset base. The Independent Board Members therefore considered whether the Funds have appropriately benefited from any economies of scale and whether there is potential realization of any further economies of scale. In considering economies of scale, the Independent Board Members have recognized that economies of scale are difficult to measure and predict with precision, particularly on a fund-by-fund basis. Notwithstanding the foregoing, one method to help ensure the shareholders share in these benefits is to include breakpoints in the advisory fee schedule. Accordingly, the Independent Board Members reviewed and considered the fund-level breakpoints in the advisory fee schedules that reduce advisory fees. In this regard, given that the Funds are closed-end funds, the Independent Board Members recognized that although the Funds may from time to time make additional share offerings, the growth in their assets will occur primarily through appreciation of such Fund's investment portfolio. In addition to fund-level advisory fee breakpoints, the Board also considered the Funds' complex-wide fee arrangement. Pursuant to the complex-wide fee arrangement, the fees of the funds in the Nuveen complex, including the Funds, are reduced as the assets in the fund complex reach certain levels. In evaluating the complex-wide fee arrangement, the Independent Board Members recognized that the complex-wide fee schedule was recently revised in 2007 to provide for additional fee savings to shareholders and considered the amended schedule. The Independent Board Members further considered that the complex-wide fee arrangement seeks to provide the benefits of economies of scale to fund shareholders when total fund complex assets increase, even if assets of a particular Fund are unchanged or have decreased. The approach reflects the notion that some of Nuveen's costs are attributable to services provided to all its Funds in the complex and therefore all Funds benefit if these costs are spread over a larger asset base. Based on their review, the Independent Board Members concluded that the breakpoint schedule and complex-wide fee arrangement were acceptable and desirable in providing benefits from economies of scale to shareholders. E. INDIRECT BENEFITS In evaluating fees, the Independent Board Members received and considered information regarding potential "fall out" or ancillary benefits NAM or its affiliates may receive as a result of its relationship with each Fund. In this regard, the Independent Board Members considered revenues received by affiliates of NAM for serving as agent at Nuveen's preferred trading desk and for serving as a co-manager in the initial public offering of new closed-end exchange traded funds. In addition to the above, the Independent Board Members considered whether NAM received any benefits from soft dollar arrangements whereby a portion of the commissions paid by a Fund for brokerage may be used to acquire research that may be useful to NAM in managing the assets of the Funds and other clients. The Independent Board Members noted that NAM does not currently have any soft dollar arrangements; however, to the extent certain bona fide agency transactions that occur on markets that traditionally trade on a principal basis and riskless principal transactions are considered as generating "commissions," NAM intends to comply with the applicable safe harbor provisions. 100 Based on their review, the Independent Board Members concluded that any indirect benefits received by NAM as a result of its relationship with the Funds were reasonable and within acceptable parameters. F. OTHER CONSIDERATIONS The Independent Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, unanimously concluded that the terms of the Advisory Agreements are fair and reasonable, that NAM's fees are reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed. 101 Reinvest Automatically EASILY and CONVENIENTLY NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET UP YOUR REINVESTMENT ACCOUNT. NUVEEN CLOSED-END FUNDS DIVIDEND REINVESTMENT PLAN Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or capital gains distributions in additional Fund shares. By choosing to reinvest, you'll be able to invest money regularly and automatically, and watch your investment grow through the power of tax-free compounding. Just like dividends or distributions in cash, there may be times when income or capital gains taxes may be payable on dividends or distributions that are reinvested. It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market. EASY AND CONVENIENT To make recordkeeping easy and convenient, each month you'll receive a statement showing your total dividends and distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own. HOW SHARES ARE PURCHASED The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund's shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares' net asset value or 95% of the shares' market value on the last business day immediately prior to the purchase date. Dividends and distributions received to purchase shares in the open market will normally be invested shortly after the dividend payment date. No interest will be paid on dividends and distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the dividend or distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions. 102 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. 103 NOTES 102 NOTES 105 Glossary of TERMS USED in this REPORT [] AUCTION RATE BOND: An auction rate bond is a security whose interest payments are adjusted periodically through an auction process, which process typically also serves as a means for buying and selling the bond. Auctions that fail to attract enough buyers for all the shares offered for sale are deemed to have "failed", with current holders receiving a formula-based interest rate until the next scheduled auction. [] 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 the number of years to maturity of the bonds in a Fund's portfolio, computed by weighting each bond's time to maturity (the date the security comes due) by the market value of the security. This figure does not account for the likelihood of prepayments or the exercise of call provisions unless an escrow account has been established to redeem the bond before maturity. The market value weighting for an investment in an inverse floating rate security is the value of the portfolio's residual interest in the inverse floating rate trust, and does not include the value of the floating rate securities issued by the trust. [] INVERSE FLOATERS: Inverse floating rate securities are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond's par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an "inverse floater") to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates' holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond's downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond's value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis. [] 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 Preferred 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. [] ZERO COUPON BOND: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Tax-exempt income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically. 106 Other Useful INFORMATION QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION You may obtain (i) each Fund's quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the twelve-month period ended June 30, 2007, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com. You may also obtain this and other Fund information directly from the Securities and Exchange Commission ("SEC"). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public References Section at 100 F Street NE, Washington, D.C. 20549. CEO CERTIFICATION DISCLOSURE Each Fund's Chief Executive Officer has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the Securities and Exchange Commission the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act. BOARD OF TRUSTEES John P. Amboian Robert P. Bremner Jack B. Evans William C. Hunter David J. Kundert William J. Schneider Judith M. Stockdale Carole E. Stone Terence J. Toth FUND MANAGER Nuveen Asset Management 333 West Wacker Drive Chicago, IL 60606 CUSTODIAN State Street Bank & Trust Company Boston, MA TRANSFER AGENT AND SHAREHOLDER SERVICES State Street Bank & Trust Company Nuveen Funds P.O. Box 43071 Providence, RI 02940-3071 (800) 257-8787 LEGAL COUNSEL Chapman and Cutler LLP Chicago, IL INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Chicago, IL Each Fund intends to repurchase shares of its own common or preferred stock in the future at such times and in such amounts as is deemed advisable. No common or preferred shares were repurchased during the period covered by this report. Any future repurchases will be reported to shareholders in the next annual or semi-annual report. 107 Nuveen Investments: - ------------------- SERVING INVESTORS FOR GENERATIONS Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions. For the past century, Nuveen Investments has adhered to the belief that the best approach to investing is to apply conservative risk-management principles to help minimize volatility. Building on this tradition, we today offer a range of high quality equity and fixed-income solutions that are integral to a well-diversified core portfolio. Our clients have come to appreciate this diversity, as well as our continued adherence to proven, long-term investing principles. We offer many different investing solutions for our clients' different needs. Managing $153 billion in assets, as of March 31, 2008, Nuveen Investments offers access to a number of different asset classes and investing solutions through a variety of products. Nuveen Investments markets its capabilities under six distinct brands: Nuveen, a leader in fixed-income investments; NWQ, a leader in value-style equities; Rittenhouse, a leader in growth-style equities; Symphony, a leading institutional manager of market-neutral alternative investment portfolios; Santa Barbara, a leader in growth equities; and Tradewinds, a leader in global equities. Find out how we can help you reach your financial goals. To learn more about the products and services Nuveen Investments offers, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Be sure to obtain a prospectus, where applicable. Investors should consider the investment objective and policies, risk considerations, charges and expenses of the Fund carefully before investing. The prospectus contains this and other information relevant to an investment in the Fund. For a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money. Learn more about Nuveen Funds at: www.nuveen.com/etf Share prices Fund details Daily financial news Investor education Interactive planning tools EAN-B-0508D 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 Shareholder 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, 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 the Audit Committee approved in advance all audit services and non-audit services that Ernst & Young LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the "pre-approval exception"). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee's attention, and the Committee (or its delegate) approves the services before the audit is completed. The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee). SERVICES THAT THE FUND'S AUDITOR BILLED TO THE FUND
AUDIT FEES BILLED AUDIT-RELATED FEES TAX FEES ALL OTHER FEES FISCAL YEAR ENDED TO FUND (1) BILLED TO FUND (2) BILLED TO FUND (3) BILLED TO FUND (4) - -------------------------------------------------------------------------------------------------------------------------------- May 30, 2008 $10,711 $ 0 $ 500 $ 800 - -------------------------------------------------------------------------------------------------------------------------------- Percentage approved 0% 0% 0% 0% pursuant to pre-approval exception - -------------------------------------------------------------------------------------------------------------------------------- May 31, 2007 $ 9,415 $ 0 $ 0 $ 2,250 - -------------------------------------------------------------------------------------------------------------------------------- Percentage approved 0% 0% 0% 0% pursuant to pre-approval exception - -------------------------------------------------------------------------------------------------------------------------------- (1) "Audit Fees" are the aggregate fees billed for professional services for the audit of the Fund's annual financial statements and services provided in connection with statutory and regulatory filings or engagements. (2) "Audit Related Fees" are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements and are not reported under "Audit Fees". (3) "Tax Fees" are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. (4) "All Other Fees" are the aggregate fees billed for products and services for agreed upon procedures engagements performed for leveraged funds.
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE ADVISER AND AFFILIATED FUND SERVICE PROVIDERS The following tables show the amount of fees billed by Ernst & Young LLP to Nuveen Asset Management ("NAM" or the "Adviser"), and any entity controlling, controlled by or under common control with NAM ("Control Affiliate") that provides ongoing services to the Fund ("Affiliated Fund Service Provider"), for engagements directly related to the Fund's operations and financial reporting, during the Fund's last two full fiscal years. The tables also show the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee's attention, and the Committee (or its delegate) approves the services before the Fund's audit is completed.
FISCAL YEAR ENDED AUDIT-RELATED FEES TAX FEES BILLED TO ALL OTHER FEES BILLED TO ADVISER AND ADVISER AND BILLED TO ADVISER AFFILIATED FUND AFFILIATED FUND AND AFFILIATED FUND SERVICE PROVIDERS SERVICE PROVIDERS SERVICE PROVIDERS - -------------------------------------------------------------------------------------------------------------- May 30, 2008 $ 0 $ 0 $ 0 - -------------------------------------------------------------------------------------------------------------- Percentage approved 0% 0% 0% pursuant to pre-approval exception - -------------------------------------------------------------------------------------------------------------- May 31, 2007 $ 0 $ 0 $ 0 - -------------------------------------------------------------------------------------------------------------- Percentage approved 0% 0% 0% pursuant to pre-approval exception - --------------------------------------------------------------------------------------------------------------
NON-AUDIT SERVICES The following table shows the amount of fees that Ernst & Young LLP billed during the Fund's last two full fiscal years for non-audit services. 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 30, 2008 $ 1,300 $ 0 $ 0 $ 1,300 May 31, 2007 $ 2,250 $ 0 $ 0 $ 2,250 "Non-Audit Fees billed to Adviser" for both fiscal year ends represent "Tax Fees" billed to Adviser in their respective amounts from the previous table.
Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Fund by the Fund's independent accountants and (ii) all audit and non-audit services to be performed by the Fund's independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. The registrant's Board of Directors or Trustees has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). As of May 31, 2008, the members of the audit committee are Robert P. Bremner, Jack B. Evans, William J. Schneider and David J. Kundert. ITEM 6. SCHEDULE OF INVESTMENTS. See Portfolio of Investments in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. The registrant invests its assets primarily in municipal bonds and cash management securities. On rare occasions the registrant may acquire, directly or through a special purpose vehicle, equity securities of a municipal bond issuer whose bonds the registrant already owns when such bonds have deteriorated or are expected shortly to deteriorate significantly in credit quality. The purpose of acquiring equity securities generally will be to acquire control of the municipal bond issuer and to seek to prevent the credit deterioration or facilitate the liquidation or other workout of the distressed issuer's credit problem. In the course of exercising control of a distressed municipal issuer, NAM may pursue the registrant's interests in a variety of ways, which may entail negotiating and executing consents, agreements and other arrangements, and otherwise influencing the management of the issuer. NAM does not consider such activities proxy voting for purposes of Rule 206(4)-6 under the 1940 Act, but nevertheless provides reports to the registrant's Board of Trustees on its control activities on a quarterly basis. In the rare event that a municipal issuer were to issue a proxy or that the registrant were to receive a proxy issued by a cash management security, NAM would either engage an independent third party to determine how the proxy should be voted or vote the proxy with the consent, or based on the instructions, of the registrant's Board of Trustees or its representative. A member of NAM's legal department would oversee the administration of the voting, and ensure that records were maintained in accordance with Rule 206(4)-6, reports were filed with the SEC on Form N-PX, and the results provided to the registrant's Board of Trustees and made available to shareholders as required by applicable rules. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. THE PORTFOLIO MANAGER The following individual has primary responsibility for the day-to-day implementation of the registrant's investment strategies: NAME FUND Cathryn P. Steeves Nuveen Connecticut Premium Income Municipal Fund Other Accounts Managed. In addition to managing the registrant, the portfolio manager is also primarily responsible for the day-to-day portfolio management of the following accounts: TYPE OF ACCOUNT NUMBER OF PORTFOLIO MANAGER MANAGED ACCOUNTS ASSETS - -------------------------------------------------------------------------------- Cathryn P. Steeves Registered Investment Company 41 $8.244 billion Other Pooled Investment Vehicles 0 $0 Other Accounts 0 $0 * Assets are as of May 31, 2008. None of the assets in these accounts are subject to an advisory fee based on performance. Compensation. Each portfolio manager's compensation consists of three basic elements--base salary, cash bonus and long-term incentive compensation. The compensation strategy is to annually compare overall compensation to the market in order to create a compensation structure that is competitive and consistent with similar financial services companies. As discussed below, several factors are considered in determining each portfolio manager's total compensation. In any year these factors may include, among others, the effectiveness of the investment strategies recommended by the portfolio manager's investment team, the investment performance of the accounts managed by the portfolio manager, and the overall performance of Nuveen Investments, Inc. (the parent company of NAM). Although investment performance is a factor in determining the portfolio manager's compensation, it is not necessarily a decisive factor. The portfolio manager's performance is evaluated in part by comparing manager's performance against a specified investment benchmark. This fund-specific benchmark is a customized subset (limited to bonds in each Fund's specific state and with certain maturity parameters) of the S&P/Investortools Municipal Bond index, an index comprised of bonds held by managed municipal bond fund customers of Standard & Poor's Securities Pricing, Inc. that are priced daily and whose fund holdings aggregate at least $2 million. As of June 30, 2008, the S&P/Investortools Municipal Bond index was comprised of 52,385 securities with an aggregate current market value of $1,052 billion. Base salary. Each portfolio manager is paid a base salary that is set at a level determined by NAM in accordance with its overall compensation strategy discussed above. NAM is not under any current contractual obligation to increase a portfolio manager's base salary. Cash bonus. Each portfolio manager is also eligible to receive an annual cash bonus. The level of this bonus is based upon evaluations and determinations made by each portfolio manager's supervisors, along with reviews submitted by his peers. These reviews and evaluations often take into account a number of factors, including the effectiveness of the investment strategies recommended to the NAM's investment team, the performance of the accounts for which he serves as portfolio manager relative to any benchmarks established for those accounts, his effectiveness in communicating investment performance to stockholders and their representatives, and his contribution to the NAM's investment process and to the execution of investment strategies. The cash bonus component is also impacted by the overall performance of Nuveen Investments, Inc. in achieving its business objectives. Long-term incentive compensation. In connection with the acquisition of Nuveen Investments, Inc., by a group of investors lead by Madison Dearborn Partners in November 2007, certain employees, including portfolio managers, received profit interests in Nuveen's parent. These profit interests entitle the holders to participate in the appreciation in the value of Nuveen beyond the issue date and vest over five to seven years, or earlier in the case of a liquidity event. Material Conflicts of Interest. Each portfolio manager's simultaneous management of the registrant and the other accounts noted above may present actual or apparent conflicts of interest with respect to the allocation and aggregation of securities orders placed on behalf of the Registrant and the other account. NAM, however, believes that such potential conflicts are mitigated by the fact that the NAM has adopted several policies that address potential conflicts of interest, including best execution and trade allocation policies that are designed to ensure (1) that portfolio management is seeking the best price for portfolio securities under the circumstances, (2) fair and equitable allocation of investment opportunities among accounts over time and (3) compliance with applicable regulatory requirements. All accounts are to be treated in a non-preferential manner, such that allocations are not based upon account performance, fee structure or preference of the portfolio manager, although the allocation procedures may provide allocation preferences to funds with special characteristics (such as favoring state funds versus national funds for allocations of in-state bonds). In addition, NAM has adopted a Code of Conduct that sets forth policies regarding conflicts of interest. Beneficial Ownership of Securities. As of May 31, 2008, the portfolio manager beneficially owned the following dollar range of equity securities issued by the Registrant and other Nuveen Funds managed by NAM's municipal investment team.
DOLLAR RANGE OF EQUITY SECURITIES DOLLAR RANGE OF BENEFICIALLY OWNED EQUITY IN THE REMAINDER OF SECURITIES NUVEEN FUNDS MANAGED BENEFICIALLY BY NAM'S MUNICIPAL NAME OF PORTFOLIO MANAGER FUND OWNED IN FUND INVESTMENT TEAM - ------------------------------------------------------------------------------------------------------------------ Cathryn P. Steeves Nuveen Connecticut Premium Income Municipal $0 $10,001-$50,000 Fund
PORTFOLIO MANAGER BIO: Cathryn P. Steeves, PhD is currently a portfolio manager for 42 state-specific municipal bond funds. She joined Nuveen in 1996 and worked as a senior analyst in the healthcare sector. Ms. Steeves has an undergraduate degree from Wake Forest University as well as an MA, an MPhil and a PhD from Columbia University. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrants Board implemented after the registrant last provided disclosure in response to this item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the "Exchange Act") (17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant's website at www.nuveen.com/etf and there were no amendments during the period covered by this report. (To view the code, click on the Investor Resources drop down menu box, click on Fund Governance and then Code of Conduct.) (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. (b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Nuveen Connecticut Premium Income Municipal Fund ----------------------------------------------------------- By (Signature and Title) /s/ Kevin J. McCarthy ---------------------------------------------- Kevin J. McCarthy Vice President and Secretary Date: August 7, 2008 ------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Gifford R. Zimmerman ---------------------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) Date: August 7, 2008 ------------------------------------------------------------------- By (Signature and Title) /s/ Stephen D. Foy ---------------------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) Date: August 7, 2008 ------------------------------------------------------------------- EX-99.CERT 2 file002.txt CERTIFICATIONS CERTIFICATION I, Gifford R. Zimmerman, certify that: 1. I have reviewed this report on Form N-CSR of Nuveen Connecticut Premium Income Municipal Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 7, 2008 /s/ Gifford R. Zimmerman ------------------------- -------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) CERTIFICATION I, Stephen D. Foy, certify that: 1. I have reviewed this report on Form N-CSR of Nuveen Connecticut Premium Income Municipal Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 7, 2008 /s/ Stephen D. Foy ------------------------- -------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) EX-99.906CERT 3 file003.txt CERTIFICATIONS Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002; provided by the Chief Executive Officer and Chief Financial Officer, based on each such officer's knowledge and belief. The undersigned officers of Nuveen Connecticut Premium Income Municipal Fund (the "Fund"), certify that, to the best of each such officer's knowledge and belief: 1. The Form N-CSR of the Fund for the period ended May 31, 2008 (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. Date: August 7, 2008 ----------------------- /s/ Gifford R. Zimmerman --------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) /s/ Stephen D. Foy --------------------------------- Stephen D. Foy Vice President, Controller (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----