UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7484
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Nuveen Massachusetts Premium Income Municipal Fund
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(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(Address of principal executive offices) (Zip code)
Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
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Date of fiscal year end: May 31
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Date of reporting period: May 31, 2007
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
ANNUAL REPORT
May 31, 2007
Nuveen Investments
MUNICIPAL CLOSED-END FUNDS
Photo of: Small child
NUVEEN CONNECTICUT
PREMIUM INCOME
MUNICIPAL FUND
NTC
NUVEEN CONNECTICUT
DIVIDEND ADVANTAGE
MUNICIPAL FUND
NFC
NUVEEN CONNECTICUT
DIVIDEND ADVANTAGE
MUNICIPAL FUND 2
NGK
NUVEEN CONNECTICUT
DIVIDEND ADVANTAGE
MUNICIPAL FUND 3
NGO
NUVEEN MASSACHUSETTS
PREMIUM INCOME
MUNICIPAL FUND
NMT
NUVEEN MASSACHUSETTS
DIVIDEND ADVANTAGE
MUNICIPAL FUND
NMB
NUVEEN INSURED
MASSACHUSETTS
TAX-FREE ADVANTAGE
MUNICIPAL FUND
NGX
NUVEEN MISSOURI
PREMIUM INCOME
MUNICIPAL FUND
NOM
IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R)
Logo: NUVEEN Investments
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Chairman's
LETTER TO SHAREHOLDERS
Photo: Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
ONCE AGAIN, I AM PLEASED TO REPORT THAT OVER THE TWELVE-MONTH PERIOD COVERED BY
THIS REPORT YOUR FUND CONTINUED TO PROVIDE YOU WITH ATTRACTIVE MONTHLY TAX-FREE
INCOME. FOR MORE DETAILS ABOUT THE MANAGEMENT STRATEGY AND PERFORMANCE OF YOUR
FUND, PLEASE READ THE PORTFOLIO MANAGERS' COMMENTS, THE DIVIDEND AND SHARE PRICE
INFORMATION, AND THE PERFORMANCE OVERVIEW SECTIONS OF THIS REPORT.
I ALSO WANTED TO TAKE THIS OPPORTUNITY TO REPORT SOME IMPORTANT NEWS ABOUT
NUVEEN INVESTMENTS. WE HAVE AGREED TO A "GROWTH BUYOUT" OFFER FROM A PRIVATE
EQUITY INVESTMENT FIRM. WHILE THIS MAY AFFECT THE CORPORATE STRUCTURE OF NUVEEN
INVESTMENTS, IT WILL HAVE NO IMPACT ON THE INVESTMENT OBJECTIVES OF THE FUNDS,
PORTFOLIO MANAGEMENT STRATEGIES OR THEIR DIVIDEND POLICIES. WE WILL PROVIDE YOU
WITH ADDITIONAL INFORMATION ABOUT THIS TRANSACTION AS MORE DETAILS BECOME
AVAILABLE.
FOR SOME TIME, I'VE USED THESE LETTERS TO REMIND YOU THAT MUNICIPAL BONDS CAN BE
AN IMPORTANT BUILDING BLOCK IN A WELL-BALANCED INVESTMENT PORTFOLIO. IN ADDITION
TO PROVIDING ATTRACTIVE TAX-FREE MONTHLY INCOME, A MUNICIPAL BOND INVESTMENT
LIKE YOUR FUND MAY HELP YOU ACHIEVE AND BENEFIT FROM GREATER PORTFOLIO
DIVERSIFICATION. PORTFOLIO DIVERSIFICATION IS A RECOGNIZED WAY TO TRY TO REDUCE
SOME OF THE RISK THAT COMES WITH INVESTING. FOR MORE INFORMATION ABOUT THIS
IMPORTANT INVESTMENT STRATEGY, I ENCOURAGE YOU TO CONTACT YOUR PERSONAL
FINANCIAL ADVISOR.
WE ALSO ARE PLEASED TO BE ABLE TO OFFER YOU A CHOICE CONCERNING HOW YOU RECEIVE
YOUR SHAREHOLDER REPORTS AND OTHER FUND INFORMATION. AS AN ALTERNATIVE TO MAILED
COPIES, YOU CAN SIGN UP TO RECEIVE FUTURE FUND REPORTS AND OTHER FUND
INFORMATION BY E-MAIL AND THE INTERNET. THE INSIDE FRONT COVER OF THIS REPORT
CONTAINS INFORMATION ON HOW YOU CAN SIGN UP.
WE ARE GRATEFUL THAT YOU HAVE CHOSEN US AS A PARTNER AS YOU PURSUE YOUR
FINANCIAL GOALS AND WE LOOK FORWARD TO CONTINUING TO EARN YOUR TRUST IN THE
MONTHS AND YEARS AHEAD. AT NUVEEN INVESTMENTS, OUR MISSION CONTINUES TO BE TO
ASSIST YOU AND YOUR FINANCIAL ADVISOR BY OFFERING INVESTMENT SERVICES AND
PRODUCTS THAT CAN HELP YOU TO SECURE YOUR FINANCIAL OBJECTIVES.
SINCERELY,
/S/ TIMOTHY R. SCHWERTFEGER
TIMOTHY R. SCHWERTFEGER
CHAIRMAN OF THE BOARD
July 16, 2007
Portfolio Managers' COMMENTS
Nuveen Investments Municipal Closed-End Funds
NTC, NFC, NGK, NGO,
NMT, NMB, NGX, NOM
Portfolio managers Cathryn Steeves and Scott Romans review national and state
economic and municipal market environments, key investment strategies, and the
annual performance of these eight Nuveen Funds. Cathryn, who joined Nuveen in
1996, has managed the Connecticut and Massachusetts Funds since July 2006.
Scott, who has been with Nuveen since 2000, assumed portfolio management
responsibility for NOM in 2003.
WHAT FACTORS AFFECTED THE U.S. ECONOMIC AND MUNICIPAL MARKET ENVIRONMENTS DURING
THE 12-MONTH REPORTING PERIOD ENDED MAY 31, 2007?
Between June 1, 2006 and May 31, 2007, we saw interest rates at the short end of
the yield curve rise modestly, while longer rates generally declined. After
announcing one further rate increase in late June 2006, the Federal Reserve
ended its unprecedented series of 17 consecutive 0.25% rate hikes that brought
the fed funds rate to 5.25% over a two-year span. During the remaining 11 months
of this reporting period, the Fed left monetary policy unchanged as it kept
close tabs on inflationary pressures and the pace of economic growth. Over this
same 12-month period, the yield on the benchmark 10-year U.S. Treasury note
dropped 22 basis points to end May 2007 at 4.89%. In the municipal market, the
yield on the Bond Buyer 25 Revenue Bond Index, a widely followed measure of
longer-term municipal market rates, fell to 4.57% at the end of May 2007, a
decline of 65 basis points from the end of May 2006. As interest rates on
shorter-term municipal bonds reached the levels of longer-term bonds, the
municipal yield curve continued to flatten and bonds with longer durations1
generally outperformed those with shorter durations during this period.
Although many market observers had expected the Fed to act on rates in early
2007, slowing economic growth, higher energy prices and a slumping housing
market helped to keep the Fed on the sidelines. The U.S. gross domestic product
(GDP), a closely watched measure of economic growth, operated at below-trend
levels through most of 2006, expanded at a rate of 2.6% in the second quarter of
2006, 2.0% in the third quarter, and 2.5% in the fourth quarter (all GDP numbers
annualized). In the first quarter of 2007, the rate of GDP growth slowed even
further to 0.7%, the weakest rate since 2002. While the Consumer Price Index
(CPI) registered a 2.7% year-over-year gain as of May 2007, the increase in this
inflation gauge for the first five months of 2007 was 5.5%, driven largely by a
36% gain in energy prices. By comparison, the core CPI (which excludes food and
energy prices) rose 2.1% as of May 2007, close to the Fed's
1 Duration is a measure of a bond's price sensitivity as interest rates
change, with longer duration bonds displaying more sensitivity to these
changes than bonds with shorter durations.
4
unofficial target of 2.0% or lower. The labor market remained tight, with a
national unemployment rate of 4.5% in May 2007, down from 4.6% in May 2006.
Over the 12 months ended May 2007, municipal bond issuance nationwide totaled
$423.4 billion, up 15% from the previous 12 months. This total reflected a sharp
increase in supply during the first five months of 2007, when $173.7 billion in
new securities came to market, up almost 30% over the same period in 2006. A
major factor in 2007 volume was the 56% increase in advance refundings,2 driven
by attractive borrowing rates for issuers. The strength and diversity of the
demand for municipal bonds were as important as the increase in supply, as the
surge in issuance was easily absorbed by retail investors, institutional
investors such as hedge funds and arbitragers, and overseas investors, all of
whom continued to participate in the market.
HOW WERE THE ECONOMIC AND MARKET CONDITIONS IN CONNECTICUT, MASSACHUSETTS, AND
MISSOURI DURING THIS PERIOD?
Connecticut, which continued to have the nation's highest income per capita
during this period, featured a diverse economy led by manufacturing, financial
services, education and health care. Although the defense industry's role in the
state economy continued to decline, Connecticut still relied heavily on this
sector, ranking seventh in terms of total defense dollars awarded to the 50
states. The Connecticut economy continued to expand with a growth rate that
ranked 33rd in terms of GDP by state in 2006. Unemployment in the state has yet
to recover to its pre-recession levels. As of May 2007, Connecticut's
unemployment rate was 4.5%, up from 4.1% in May 2006. Due to increased tax
receipts, Connecticut expected to end fiscal 2007 with a $536 million surplus,
marking the fourth consecutive year it has ended with a surplus. The 2008-2009
biennium state budget called for drawing down this surplus and increasing income
and cigarette taxes to achieve balance. In April 2007, both Moody's and Standard
& Poor's reconfirmed their ratings on Connecticut general obligation debt at Aa3
and AA, respectively, with stable outlooks. Contrary to the increase generally
seen in most states, issuance of municipal debt in Connecticut during the 12
months ended May 31, 2007, fell 10%, to $4.3 billion, from the previous 12
months. For the first five months of 2007, issuance totaled $1.2 billion, down
30% compared with the first five months of 2006. According to Moody's,
Connecticut's debt per capita was the second highest in the nation (following
Massachusetts), and the debt per capita/income per capita ratio was the third
highest among the 50 states.
Massachusetts' economy remained varied, with growth driven by education, health
care, financial services and technology. The concentration of colleges and
universities in the commonwealth continued to add a degree of stability to its
employment environment and provide a source of well-educated workers for its
service industries.
2 Advance refundings, also known as pre-refundings or refinancings, occur
when an issuer sells new bonds and uses the proceeds to fund principal and
interest payments of older existing bonds. This process often results in
lower borrowing costs for bond issuers.
5
Education-related jobs accounted for approximately 5% of Massachusetts'
employment, twice the national average. Employment growth has weakened in recent
months, and in May 2007, the unemployment rate in Massachusetts was 5.1%, up
from 4.9% in May 2006. Population trends in the commonwealth, while positive,
lagged the national average. For fiscal 2007, Massachusetts' $25.7 billion
budget provided increased spending for school aid and assistance to
municipalities while holding the line on major tax increases. Tax revenues for
fiscal 2007 were expected to exceed projections by $328 million. The $26.7
billion fiscal 2008 budget called for closing a projected $1.2 billion deficit
through corporate tax hikes, elimination of deposits into the budget
stabilization fund, and utilizing the interest from that fund, which was
projected to end fiscal 2007 with a balance of $2.3 billion. In November 2006,
Moody's confirmed its rating on Massachusetts general obligation debt at Aa2,
and S&P confirmed its rating of AA in December 2006; both rating agencies
maintained stable outlooks. For the 12 months ended May 31, 2007, Massachusetts
went against the national trend of increased municipal supply, issuing $11.6
billion in debt, a decrease of 6% from the previous 12 months. During
January-May 2007, however, the commonwealth's issuance of $6.1 billion in new
municipal paper represented a surge of 55% over the first five months of 2006.
According to Moody's, Massachusetts' debt per capita ranked as the highest in
the nation, and debt as a percentage of personal income ranked second among the
50 states. Over the past two decades, debt levels in the commonwealth rose in
conjunction with costs associated with the Central Artery/Ted Williams Tunnel
Project, or Big Dig, which came in at approximately $15 billion, compared with
the pre-construction estimate of $5 billion in 1991.
Missouri's economy grew at a steady but considerably slower pace than the
national average in 2006, as continued problems in the struggling manufacturing
sector impacted expansion. While the state economy continued to rely heavily on
automotive, communication and aerospace manufacturing, it also diversified into
the highly competitive biotechnology sector. In May 2007, the unemployment rate
in Missouri was 4.6%, compared with 4.7% in May 2006. Population growth in the
state over the past six years was positive, although behind the national
average. For fiscal 2007, the state budget included appropriations for
elementary schools and road construction while reducing the number of state
employees. The fiscal 2008 budget, which represented an increase of 3.8% over
2007, called for redeploying money from the general fund, reducing it from 6.4%
of budget appropriations to 2.4%. As of May 2007, Moody's and S&P maintained
their ratings on Missouri general obligation (GO) debt at Aaa/AAA with a stable
outlook, reflecting the state's conservative fiscal policy and financial
management. During the 12 months ended May 31, 2007, the increase in municipal
issuance in Missouri outpaced the national trend, rising 28% over the previous
12-month period, to $8.2 billion. For January-May 2007, issuance in the state
totaled $2.2 billion, down 19% from the first five months of 2006. This issuance
fluctuation is fairly typical of smaller
6
markets such as Missouri. According to Moody's, Missouri's debt levels were
moderate in relation to the state's economic base, with both debt per capita and
debt as a percentage of personal income remaining well below national medians.
WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THIS PERIOD?
In the municipal bond interest rate environment of the past 12 months, we
continued to emphasize a disciplined approach to duration management and yield
curve positioning. As part of this approach, our purchases for the Funds'
portfolios focused mainly on attractively priced bonds maturing in 20 to 30
years. Overall, we believed that the bonds we purchased during this period
represented opportunities to add value, manage duration and enhance performance
and income.
In NOM, our duration management strategies during this period included the use
of inverse floating rate trusts,3 a type of derivative financial instrument. The
inverse floater had the dual benefit of increasing the Fund's distributable
income and bringing its duration closer to our preferred strategic target. As
discussed in past shareholder reports, we have also used Treasury futures
contracts and forward interest rate swaps (additional types of derivative
instruments) as duration management tools when we believed this supported our
overall investment performance strategies. The goal of this strategy is to help
us manage net asset value (NAV) volatility without having a negative impact on
the Funds' income streams or common share dividends over the short term. During
this reporting period, we used swaps in all three of the Massachusetts Funds and
both swaps and futures contracts in the four Connecticut Funds. As of May 31,
2007, the futures contracts had been removed, while the swaps remained in place
in NTC, NFC, NGK, NGO, NMT, and NMB.
We also continued to emphasize individual credit selection. While supply in all
three states remained relatively strong, both Connecticut and Massachusetts saw
small declines in municipal issuance for the entire 12-month period. Since all
three of these states are high-quality issuers, much of the new supply was
highly rated and/or insured. The combination of reduced supply and high quality
issuance in Connecticut and Massachusetts meant that we found fewer
opportunities in these markets to add lower-rated credits to our portfolios.
During this period, we added to the Connecticut and Massachusetts Funds'
positions in health care (both hospitals and long-term/continuing care
facilities), higher education and multifamily and single-family housing. We also
continued to build positions in bonds that could help us increase the Funds'
income-generating potential and manage duration including non-callable bonds.
3 An inverse floating rate trust is a financial instrument designed to pay
long-term tax-exempt interest at a rate that varies inversely with a
short-term tax-exempt interest rate index. For the Nuveen Funds, the index
typically used is the Securities Industry and Financial Markets (SIFM)
Municipal Swap Index (previously referred to as the Bond Market Association
Index or BMA). Inverse floaters, including those inverse floating rate
securities in which the Funds invested during the 12-month period, are
further defined within the "Notes to Financial Statements" and "Glossary of
Terms Used in This Report" sections of this shareholder report.
7
In Missouri during this period, various market conditions resulted in a number
of large lower-rated, uninsured hospital offerings coming to market at the same
time. To ensure buyer interest, these deals were offered at very attractive
prices. We found opportunities to purchase lower credit quality and non-rated
bonds that we considered attractive based not only on their price, but also on
their performance potential and the support they could provide for NOM's income
stream. These purchases focused mainly on health care and tax increment
financing (TIF) bonds. As part of our efforts to extend NOM's duration, we also
added housing bonds with long maturities to our portfolio.
To help maintain the Funds' durations within our preferred strategic range and
to generate cash for purchases, we selectively sold some of the Funds' holdings
with shorter durations.
HOW DID THE FUNDS PERFORM?
Individual results for these Nuveen Funds, as well as relevant index and peer
group information, are presented in the accompanying table.
Total Returns on Net Asset Value
For periods ended 5/31/07
Annualized
--------------------------------
1-Year 5-Year 10-Year
Connecticut Funds
NTC 4.79% 5.86% 6.52%
NFC 5.05% 6.49% NA
NGK 5.13% 6.55% NA
NGO 5.42% NA NA
Massachusetts Funds
NMT 5.47% 5.90% 6.22%
NMB 5.14% 7.35% NA
Missouri Fund
NOM 4.17% 5.85% 6.26%
Lehman Brothers
Municipal Bond Index4 4.84% 4.94% 5.61%
Insured Massachusetts Fund
NGX 5.12% NA NA
Lehman Brothers Insured
Municipal Bond Index4 5.01% 5.16% 5.81%
Lipper Other States
Municipal Debt Funds Average5 5.25% 6.68% 6.36%
Past performance is not predictive of future results. Current performance may be
higher or lower than the data shown. Returns do not reflect the deduction of
taxes that shareholders may have to pay on Fund distributions or upon the sale
of Fund shares.
For additional information, see the individual Performance Overview for your
Fund in this report
4 The Lehman Brothers Municipal Bond Index is an unleveraged, unmanaged
national index comprising a broad range of investment-grade municipal
bonds, while the Lehman Brothers Insured Municipal Bond Index is an
unleveraged, unmanaged national index containing a broad range of insured
municipal bonds. Results for the Lehman indexes do not reflect any
expenses.
5 The Lipper Other States Municipal Debt Funds Average is calculated using
the returns of all closed-end funds in this category for each period as
follows: 1 year, 46; 5 years, 27; and 10 years, 18. Fund and Lipper returns
assume reinvestment of dividends.
8
For the 12 months ended May 31, 2007, the total returns on net asset value for
NFC, NGK, NGO, NMT, and NMB exceeded the return on the national Lehman Brothers
Municipal Bond Index, NTC performed in line with this Lehman index, while NOM
trailed the index. For the same period, NGX outperformed the return on the
Lehman Brothers Insured Municipal Bond Index. During this 12 month period, NGO
and NMT outperformed the average return for the Lipper Other States Municipal
Debt Funds Average, while the other Funds lagged the group average. Shareholders
should note that the performance of the Lipper Other States Municipal Debt Funds
Average represents the overall average of returns for funds from 10 different
states with a wide variety of municipal market conditions, making direct
comparisons less meaningful.
Factors that influenced the Funds' returns during this period included yield
curve and duration positioning, exposure to lower-rated credits, individual
security selection and sector allocations, and advance refunding activity.
As the yield curve continued to flatten over the course of this period,
municipal bonds with maturities of 15 years and longer, as measured by the
Lehman Brothers Municipal Bond Index, performed best, generally outpacing
municipal bonds with shorter maturities, especially those with maturities of 5
years and less. While our strategies during this period included adding longer
bonds to all of our portfolios, most of these Funds remained short of our
strategic target range in terms of their holdings of bonds in the longest part
of the yield curve, which was negative for performance. In the Connecticut and
Massachusetts Funds, this was offset to a large degree by these Funds' heavier
exposure to the intermediate part of the curve and their lower allocations to
the shorter part of the curve. The yield curve and duration positioning of the
Connecticut and Massachusetts Funds during this period was a positive
contributor to their performance.
Due in part to a large number of advance refundings over the past two years,
however, NOM had heavy exposure to the short part of the yield curve that did
not perform well, including holdings of higher coupon and pre-refunded bonds
that had final maturities in 2009-2012 or that were priced to calls in that time
span. This had a major negative impact on NOM's performance for this period. As
previously mentioned, we worked on restructuring NOM's portfolio during this
period by extending the Fund's duration and reducing its exposure to the part of
the curve that underperformed.
With bonds rated BBB or lower and non-rated bonds generally outperforming other
credit quality sectors during this period, all of these Funds benefited from
their weightings in lower-quality credits. The outperformance of these credit
sectors was largely the result of investor demand for the higher yields
typically associated with lower-rated bonds, which drove up their value. As
Dividend Advantage Funds, NFC,
9
NGK, NGO, and NMB can invest up to 20% of their assets in below-investment-grade
securities (bonds rated BB or below) or in non-rated bonds judged to be in the
same credit quality category. The exposure of these four Funds to the
subinvestment-grade sector, together with a fee reimbursement agreement,
contributed to the performance of these Funds during this period. In addition,
NGO had the heaviest weighting of bonds rated BBB across all eight of these
Funds, which further benefited its performance. The insured NGX, which can
invest up to 20% of its assets in uninsured investment-grade quality securities,
held 2% of its assets in bonds rated BBB as of May 31, 2007.
Among the lower-rated holdings making positive contributions to the Funds'
returns for this period were industrial development bonds and health-care
(including hospitals and long-term care facilities) credits, which ranked as the
top performing revenue sectors in the Lehman Brothers Municipal Bond Index.
Lower-rated bonds backed by the 1998 master tobacco settlement agreement also
performed well. As of May 31, 2007, the Connecticut Funds held approximately 2%
to 3% of their portfolios in lower-rated tobacco bonds, while NMT had allocated
less than 1% of its portfolio to these bonds. NMB, NGX, and NOM did not hold any
tobacco bonds.
Additional sectors that helped the Funds' performances during this period
included tax-appropriation and TIF bonds. The Funds' holdings of noncallable
bonds also provided a positive impact on performance for this period.
We continued to see positive contributions from advance refunding activity,
which benefited the Funds through price appreciation and enhanced credit
quality. All of the Funds saw healthy levels of pre-refunding activity. In
particular, NMT's performance received a boost from its newly pre-refunded
holdings. However, NTC had only about half as many advance refundings as the
other three Connecticut Funds, which hampered its performance relative to its
peers.
At the same time, older, previously pre-refunded bonds tended to underperform
the general municipal market during this period, due primarily to their shorter
effective maturities. In addition, holdings of single-family housing bonds
negatively impacted the performances of all of these Funds (with the exception
of NGX, which did not hold any single-family housing bonds), due to the
underperformance of this sector as the municipal market rallied.
10
We should also note that all of these Funds continued to use financial leverage
to provide opportunities for additional income and total return for common
shareholders. This strategy can also add volatility to a Fund's NAV and share
price. Over this period, the use of leverage was generally a positive factor in
the Funds' total return performance, especially in relation to that of the
unleveraged Lehman Brothers Municipal Bond Index.
11
Dividend and Share Price
INFORMATION
As previously noted, all eight of the Funds in this report use leverage to
potentially enhance opportunities for additional income for common shareholders.
Although the Funds' use of this strategy continued to provide incremental
income, the extent of this benefit was somewhat reduced during this period due
to high short-term interest rates that, in turn, kept the Funds' borrowing costs
high. The Funds' income streams were also impacted as the proceeds from older,
higher-yielding bonds that matured or were called or sold were reinvested into
bonds currently available in the market, which generally offered lower yields.
The combination of these factors resulted in one monthly dividend reduction in
NTC and NGO and two in NFC, NGK, NMT, NMB, and NOM over the 12-month period
ended May 31, 2007. In NGX, however, we were able to increase the dividend
effective November 2006.
Due to normal portfolio activity, common shareholders of the following Funds
received capital gains and net ordinary income distributions at the end of
December 2006 as follows:
Short-Term Capital Gains
Long-Term Capital Gains and/or Ordinary Income
(per share) (per share)
NTC $0.0652 $0.0043
NGK $0.0363 $0.0008
NMT $0.0049 $0.0027
NOM $0.0048 --
All of the Funds in this report seek to pay stable dividends at rates that
reflect each Fund's past results and projected future performance. During
certain periods, each Fund may pay dividends at a rate that may be more or less
than the amount of net investment income actually earned by the Fund during the
period. If a Fund has cumulatively earned more than it has paid in dividends, it
holds the excess in reserve as undistributed net investment income (UNII) as
part of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in
excess of its earnings, the excess constitutes negative UNII that is likewise
reflected in the Fund's NAV. Each Fund will, over time, pay all of its net
investment income as dividends to shareholders. As of May 31, 2007, all of the
Funds in this report had positive UNII balances for tax purposes and negative
UNII balances for financial statement purposes.
12
As of May 31, 2007, the Funds' share prices were trading at premiums or
discounts to their NAVs as shown in the accompanying chart:
5/31/07 12-Month Average
Premium/Discount Premium/Discount
NTC +3.61% -1.52%
NFC +10.91% +5.44%
NGK +10.30% +5.52%
NGO +2.80% -2.15%
NMT -1.58% -1.61%
NMB +9.70% +2.60%
NGX -0.34% -5.25%
NOM +16.05% +11.81%
13
NTC
Performance
OVERVIEW
Nuveen Connecticut Premium Income Municipal Fund
as of 5-31-07
Pie Chart:
Credit Quality (as a % of total investments)
AAA/U.S. Guaranteed 78%
AA 13%
BBB 8%
N/R 1%
Bar Chart:
Monthly Tax-Free Dividends Per Share -- 2006-20072
Jun 0.0545
Jul 0.0545
Aug 0.0545
Sep 0.0545
Oct 0.0545
Nov 0.0545
Dec 0.0545
Jan 0.0545
Feb 0.0545
Mar 0.052
Apr 0.052
May 0.052
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Jun 1, 2006 14.1
14.21
14.01
13.9
13.71
13.73
13.7
14.2
14.34
13.85
13.7801
13.89
13.72
13.68
13.72
13.58
13.58
13.5
13.59
13.73
13.55
13.81
13.85
13.64
13.67
13.91
13.79
13.68
13.63
13.66
13.8
13.79
13.8
13.88
13.72
13.8
13.85
13.9
13.72
13.8212
13.76
14.01
13.96
14.05
13.88
14.2401
14.16
14.26
14.26
14.3
14.26
14.26
14.15
14.3
14.33
14.22
14.22
14.22
14.3
14.38
14.21
14.29
14.27
14.38
14.42
14.53
14.55
14.32
14.32
14.24
14.5
14.6
14.72
14.75
14.55
14.64
14.69
14.47
14.47
14.52
14.74
14.85
14.63
14.88
14.57
14.57
14.53
14.68
14.59
14.6
14.54
14.53
14.6489
14.54
14.68
14.54
14.41
14.51
14.45
14.4
14.49
14.4
14.4
14.34
14.6
14.39
14.39
14.39
14.38
14.6
14.47
14.47
14.39
14.54
14.52
14.46
14.37
14.48
14.42
14.37
14.37
14.31
14.37
14.37
14.37
14.35
14.36
14.37
14.39
14.29
14.27
14.23
14.23
14.17
14.34
14.49
14.5
14.26
14.35
14.36
14.15
14.2
14.19
14.04
14.13
14.04
14
14.08
14.07
14.07
14.08
14.13
14.2
14.26
14.31
14.48
14.37
14.37
14.22
14.33
14.41
14.35
14.4
14.43
14.44
14.39
14.37
14.33
14.37
14.35
14.5
14.57
14.57
14.5
14.52
14.52
14.56
14.52
14.45
14.45
14.501
14.44
14.65
14.53
14.66
14.52
14.51
14.55
14.59
14.68
14.64
14.64
14.56
14.51
14.59
14.6066
14.66
14.66
14.58
14.64
14.56
14.53
14.49
14.65
14.51
14.52
14.63
14.56
14.52
14.52
14.49
14.49
14.6
14.51
14.55
14.53
14.63
14.56
14.61
14.564
14.46
14.51
14.5285
14.55
14.48
14.59
14.6
14.59
14.5475
14.58
14.62
14.62
14.64
14.56
14.47
14.6
14.65
14.91
14.94
15
14.82
15
15.01
15.01
15.02
14.99
14.9
14.85
14.91
14.95
14.91
14.9
14.77
May 31, 2007 14.91
FUND SNAPSHOT
------------------------------------
Common Share Price $14.91
------------------------------------
Common Share
Net Asset Value $14.39
------------------------------------
Premium/(Discount) to NAV 3.61%
------------------------------------
Market Yield 4.19%
------------------------------------
Taxable-Equivalent Yield1 6.13%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $77,151
------------------------------------
Average Effective Maturity
on Securities (Years) 15.58
------------------------------------
Leverage-Adjusted Duration 8.28
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 5/20/93)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
1-Year 12.33% 4.79%
------------------------------------
5-Year 4.16% 5.86%
------------------------------------
10-Year 6.12% 6.52%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Education and Civic
Organizations 19.7%
------------------------------------
Tax Obligation/General 17.5%
------------------------------------
U.S. Guaranteed 13.3%
------------------------------------
Tax Obligation/Limited 12.0%
------------------------------------
Water and Sewer 11.0%
------------------------------------
Health Care 8.7%
------------------------------------
Long-Term Care 4.9%
------------------------------------
Other 12.9%
------------------------------------
1 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.6%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
2 The Fund paid shareholders capital gains and net ordinary income
distributions in December 2006 of $0.0695 per share.
14
NFC
Performance
OVERVIEW
Nuveen Connecticut Dividend Advantage Municipal Fund
as of 5-31-07
Pie Chart:
Credit Quality (as a % of total investments)
AAA/U.S. Guaranteed 67%
AA 17%
A 4%
BBB 11%
N/R 1%
Bar Chart:
Monthly Tax-Free Dividends Per Share -- 2006-2007
Jun 0.0635
Jul 0.0635
Aug 0.0635
Sep 0.0605
Oct 0.0605
Nov 0.0605
Dec 0.0605
Jan 0.0605
Feb 0.0605
Mar 0.058
Apr 0.058
May 0.058
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Jun 1, 2006 16.6
16.56
15.75
15.75
15.9
15.99
16.03
15.88
15.88
15.8
15.8
15.5
15.41
15.21
15.39
15.15
15.15
15.47
15.2
15.23
15.23
15.37
15.68
15.79
15.8
16.15
16.07
16.07
16
16
16.09
16.09
16.0899
16.43
16.15
16.04
16.25
16.18
16.01
16.22
15.71
15.95
15.88
15.8
15.72
15.77
15.75
15.8
15.8
15.7
15.8
15.8
15.97
15.9
15.95
16.05
16.32
16.54
16.62
16.4
16.14
16.05
16.22
16.22
16.39
16.48
16.4422
16.11
16.11
16.09
16.08
16.22
16.22
16.1
16.21
16.1951
16.26
16.29
16.15
15.94
15.92
16.21
16.4
16.26
16.43
16.43
16.2
16.26
15.9
16.09
15.87
15.9
16.13
15.61
15.17
15.27
15.62
15.72
15.72
15.73
15.73
15.6
15.81
15.94
15.94
15.72
15.72
15.73
15.9
15.63
15.6
15.6
15.85
16.24
15.97
15.92
15.51
15.84
15.81
15.81
15.38
15.4
15.75
15.26
15.508
15.4
15.5
15.5
15.64
15.41
15.32
15.45
15.26
15.33
15.16
15.31
15.49
15.44
15.4
15.42
15.59
15.59
15.4
15.4
15.35
15.74
15.9199
15.78
15.65
15.65
15.73
15.12
15.4
15.62
15.8701
15.5
15.46
15.38
15.42
15.33
15.25
15.1
15.07
15.09
15.08
15.04
14.96
14.85
15
14.96
14.93
14.97
15.02
15.09
15.25
15.2999
15.28
15.24
15.16
15.18
15.25
15.269
15.38
15.34
15.37
15.38
15.38
15.35
15.37
15.4
15.29
15.33
15.37
15.5
15.38
15.36
15.55
15.4
15.37
15.45
15.43
15.35
15.49
15.36
15.7
15.62
15.4
15.35
15.4605
15.46
15.59
15.59
15.53
15.59
15.81
15.7
15.68
15.91
15.81
15.98
15.85
15.91
15.93
16.0799
16.15
16.41
16.29
16.15
16.04
15.92
15.7
15.7
15.65
15.6501
15.6
15.7
15.74
16.02
16.0001
16.06
16.0001
15.95
16.1
16.16
16.05
16.05
16.14
16.2
16.25
16.25
16.25
16.33
16.43
May 31, 2007 16.37
FUND SNAPSHOT
------------------------------------
Common Share Price $16.37
------------------------------------
Common Share
Net Asset Value $14.76
------------------------------------
Premium/(Discount) to NAV 10.91%
------------------------------------
Market Yield 4.25%
------------------------------------
Taxable-Equivalent Yield1 6.21%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $38,024
------------------------------------
Average Effective Maturity
on Securities (Years) 14.63
------------------------------------
Leverage-Adjusted Duration 8.47
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 1/26/01)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
1-Year 5.46% 5.05%
------------------------------------
5-Year 6.17% 6.49%
------------------------------------
Since
Inception 6.82% 6.20%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
U.S. Guaranteed 28.5%
------------------------------------
Tax Obligation/Limited 14.5%
------------------------------------
Education and Civic
Organizations 14.0%
------------------------------------
Water and Sewer 9.4%
------------------------------------
Tax Obligation/General 8.7%
------------------------------------
Health Care 5.7%
------------------------------------
Transportation 4.5%
------------------------------------
Other 14.7%
------------------------------------
1 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.6%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
15
NGK
Performance
OVERVIEW
Nuveen Connecticut Dividend Advantage Municipal Fund 2
as of 5-31-07
Pie Chart:
Credit Quality (as a % of total investments)
AAA/U.S. Guaranteed 73%
AA 18%
A 1%
BBB 8%
Bar Chart:
Monthly Tax-Free Dividends Per Share -- 2006-20072
Jun 0.0635
Jul 0.0635
Aug 0.0635
Sep 0.0605
Oct 0.0605
Nov 0.0605
Dec 0.0605
Jan 0.0605
Feb 0.0605
Mar 0.058
Apr 0.058
May 0.058
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Jun 1, 2006 16.68
16.78
16.4
16.51
16.35
16.16
16.49
16.04
16.04
16
15.99
16.1
16.2
16.1
16.27
16.1
15.9
16
15.76
15.76
15.55
15.75
15.99
15.87
15.87
16
16.01
16.19
15.95
15.95
15.95
15.95
15.95
15.95
15.95
15.6
15.75
15.85
16.11
16.2178
16.2
16
16.0266
16.06
15.95
16.09
16.09
15.85
15.85
15.85
15.68
15.68
16.15
15.99
15.82
16.23
16.1
15.95
15.86
15.88
15.88
15.85
15.8282
15.82
15.95
15.93
15.77
15.54
15.7
15.77
15.78
15.95
15.89
15.96
15.82
15.81
15.81
15.85
15.85
15.85
15.81
15.81
16.03
15.85
15.85
15.85
15.96
16.2
16.2
16.37
16.2
16.0001
16.0001
16.0001
15.65
15.64
15.64
15.5201
15.5201
15.5201
15.7
15.86
15.86
15.75
15.9
15.77
15.85
16
15.78
16.09
15.67
15.71
15.71
15.85
15.7
15.71
15.65
15.6
15.75
15.55
15.46
15.5
15.58
15.58
15.58
15.53
15.53
15.52
15.61
15.47
15.41
15.53
15.58
15.46
15.53
15.57
15.61
15.55
15.4
15.41
15.4
15.4
15.5
15.4
15.26
15.26
15.32
15.34
15.32
15.32
15.48
15.49
15.65
15.6
15.6
15.3
15.96
15.9
15.6
15.8
15.8
15.55
15.8
15.8
15.45
15.65
15.66
15.57
15.35
15.5
15.6
15.78
15.78
15.9
15.6501
15.65
15.65
15.4
15.35
15.35
15.7
16
15.95
16.31
16.18
16.2
16.11
16.03
16.06
16.31
16.17
16.31
16.3
16.18
16.16
16.13
16.22
16.38
16.27
16.25
16.31
16.12
16.11
16.11
16.08
16.04
16.15
16
15.98
15.93
16.06
16.06
16.08
16.15
16.06
16.06
16.06
16.06
15.84
15.86
15.78
15.79
15.8
15.69
15.64
15.59
15.65
15.65
15.65
15.65
15.53
15.59
15.6
15.85
15.85
15.89
15.88
15.72
16.17
16.15
15.9
15.89
16.1
16.2
16.05
16.05
15.9
15.91
15.97
16.5
16.25
16.5
16.4
May 31, 2007 16.38
FUND SNAPSHOT
------------------------------------
Common Share Price $16.38
------------------------------------
Common Share
Net Asset Value $14.85
------------------------------------
Premium/(Discount) to NAV 10.30%
------------------------------------
Market Yield 4.25%
------------------------------------
Taxable-Equivalent Yield1 6.21%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $34,366
------------------------------------
Average Effective Maturity
on Securities (Years) 13.70
------------------------------------
Leverage-Adjusted Duration 8.72
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 3/25/02)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
1-Year 3.58% 5.13%
------------------------------------
5-Year 7.64% 6.55%
------------------------------------
Since
Inception 7.52% 6.62%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
U.S. Guaranteed 32.5%
------------------------------------
Tax Obligation/General 14.7%
------------------------------------
Education and Civic
Organizations 12.1%
------------------------------------
Tax Obligation/Limited 8.4%
------------------------------------
Water and Sewer 8.0%
------------------------------------
Health Care 6.8%
------------------------------------
Transportation 4.2%
------------------------------------
Other 13.3%
------------------------------------
1 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.6%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
2 The Fund paid shareholders a capital gains and net ordinary income
distributions in December 2006 of $0.0371 per share.
16
NGO
Performance
OVERVIEW
Nuveen Connecticut Dividend Advantage Municipal Fund 3
as of 5-31-07
Pie Chart:
Credit Quality (as a % of total investments)
AAA/U.S. Guaranteed 72%
AA 13%
A 1%
BBB 13%
N/R 1%
Bar Chart:
Monthly Tax-Free Dividends Per Share -- 2006-2007
Jun 0.054
Jul 0.054
Aug 0.054
Sep 0.054
Oct 0.054
Nov 0.054
Dec 0.054
Jan 0.054
Feb 0.054
Mar 0.052
Apr 0.052
May 0.052
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Jun 1, 2006 14.37
14.16
14.18
14.15
13.84
14.14
14.14
13.9
14
14.03
13.79
13.81
13.87
13.81
13.81
13.57
13.34
13.4
13.36
13.35
13.35
13.28
13.36
13.46
13.45
13.33
13.33
13.33
13.35
13.29
13.29
13.24
13.275
13.44
13.52
13.75
13.68
13.68
13.85
14.01
13.91
13.96
14.14
14.02
14.1
13.97
14.25
14.25
14.15
14.2
14.11
14.11
14.02
14.25
14.25
14.37
14.2
14.2
14.2
14.11
14.05
14.09
14.2212
14.3
14.37
14.4
14.34
13.97
14.1924
14.26
14.32
14.32
14.19
14.15
14.2
14.3
14.24
14.3
14.35
14.55
14.44
14.55
14.49
14.5
14.58
14.58
14.58
14.5
14.5
14.36
14.34
14.27
14.3
14.35
14.35
14.16
14.2
14.21
13.92
14.09
14.1
14.06
14
14.1
13.96
14.02
14.03
14
14.1
14
14
14.13
14
14.09
14.06
14.17
13.97
13.95
14
14.08
14
13.99
14.04
13.97
14.02
14.09
14.05
14.05
14.05
13.95
14.02
14.15
13.99
14.02
14.06
14.03
14.12
14.12
14.14
14.05
14.04
14.0099
13.81
13.9
13.93
13.86
13.95
14
14.07
14.07
14.09
13.99
13.9501
13.95
14.0699
14.07
14.1
14.02
14
13.98
13.9823
14.05
13.93
13.9501
14.12
14
13.82
13.93
14.05
14.08
14.01
14.24
14.1
14.09
14.1
13.99
14
14
14
13.91
13.95
14.15
14.12
14.12
14.06
13.95
14
14.13
14.17
14.25
14.09
14.22
14.2
14.2
14.3
14.26
14.42
14.4
14.46
14.46
14.46
14.31
14.27
14.36
14.46
14.35
14.35
14.28
14.28
14.26
14.32
14.32
14.2
14.26
14.34
14.3
14.41
14.35
14.41
14.28
14.1
14.22
14.172
14.0405
14.13
14.21
14.26
14.2624
14.28
14.19
14.23
14.28
14.34
14.3
14.5
14.4
14.3
14.33
14.58
14.6
14.6
14.6
14.65
14.6
14.6
14.61
14.51
14.6
14.74
14.62
14.8
14.7
14.75
May 31, 2007 14.7
FUND SNAPSHOT
------------------------------------
Common Share Price $14.70
------------------------------------
Common Share
Net Asset Value $14.30
------------------------------------
Premium/(Discount) to NAV 2.80%
------------------------------------
Market Yield 4.24%
------------------------------------
Taxable-Equivalent Yield1 6.20%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $62,325
------------------------------------
Average Effective Maturity
on Securities (Years) 14.79
------------------------------------
Leverage-Adjusted Duration 8.46
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 9/26/02)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
1-Year 9.15% 5.42%
------------------------------------
Since
Inception 4.72% 5.06%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
U.S. Guaranteed 21.6%
------------------------------------
Tax Obligation/General 18.1%
------------------------------------
Tax Obligation/Limited 14.8%
------------------------------------
Water and Sewer 11.5%
------------------------------------
Education and Civic
Organizations 9.6%
------------------------------------
Long-Term Care 8.3%
------------------------------------
Health Care 4.3%
------------------------------------
Other 11.8%
------------------------------------
1 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.6%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
17
NMT
Performance
OVERVIEW
Nuveen Massachusetts Premium Income Municipal Fund
as of 5-31-07
Pie Chart:
Credit Quality (as a % of total investments)
AAA/U.S. Guaranteed 67%
AA 18%
A 3%
BBB 9%
BB or Lower 1%
N/R 2%
Bar Chart:
Monthly Tax-Free Dividends Per Share -- 2006-20072
Jun 0.059
Jul 0.059
Aug 0.059
Sep 0.056
Oct 0.056
Nov 0.056
Dec 0.0535
Jan 0.0535
Feb 0.0535
Mar 0.0535
Apr 0.0535
May 0.0535
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Jun 1, 2006 14.53
14.5
14.5
14.58
14.31
14.5
14.3
14.13
14.07
14.17
14.09
13.95
14.1
14.22
13.9
13.9
13.9096
13.9
14.05
14.17
14.16
14.16
14.03
14.18
14.11
14.17
14.09
14.09
14.2
14.1
14.05
14.11
14.11
14.38
14.05
14.4
14.17
14.17
14.18
14.4
14.27
14.36
14.41
14.36
14.22
14.35
14.47
14.32
14.38
14.7
14.45
14.29
14.74
14.65
14.65
14.46
14.52
14.47
14.65
14.88
14.9
14.84
14.7
14.64
14.88
14.67
14.7
14.58
14.69
14.77
14.82
14.7
14.89
14.72
14.83
14.87
14.77
14.62
14.98
14.65
14.692
14.87
14.87
14.67
14.7
14.7
14.78
14.74
14.78
14.69
14.79
14.79
14.62
14.74
14.73
14.7
14.71
14.71
14.61
14.68
14.68
14.55
14.5
14.5535
14.49
14.59
14.69
14.74
14.71
14.8
14.81
14.7
14.7
14.44
14.45
14.77
14.6
14.64
14.56
14.59
14.51
14.63
14.85
14.62
14.72
14.87
14.66
14.63
14.6
14.79
14.68
14.75
14.67
14.69
14.65
14.63
14.67
14.5
14.44
14.39
14.33
14.53
14.33
14.26
14.26
14.25
14.21
14.18
14.39
14.39
14.44
14.39
14.43
14.49
14.4
14.38
14.35
14.37
14.33
14.3
14.29
14.26
14.28
14.28
14.24
14.2
14.23
14.17
14.19
14.18
14.32
14.22
14.21
14.21
14.17
14.11
14.1
14.15
14.2
14.16
14.24
14.29
14.38
14.27
14.27
14.29
14.18
14.28
14.21
14.3
14.34
14.36
14.23
14.42
14.42
14.35
14.4
14.44
14.54
14.37
14.37
14.33
14.31
14.37
14.47
14.37
14.36
14.42
14.42
14.37
14.37
14.37
14.51
14.562
14.6
14.67
14.63
14.74
14.56
14.54
14.47
14.42
14.42
14.45
14.479
14.479
14.56
14.43
14.39
14.44
14.51
14.62
14.58
14.6
14.63
14.82
14.54
14.6
14.6
14.66
14.62
14.6
14.54
14.65
14.87
14.6505
14.55
14.5
14.4
14.37
14.32
14.28
14.2894
May 31, 2007 14.33
FUND SNAPSHOT
------------------------------------
Common Share Price $14.33
------------------------------------
Common Share
Net Asset Value $14.56
------------------------------------
Premium/(Discount) to NAV -1.58%
------------------------------------
Market Yield 4.48%
------------------------------------
Taxable-Equivalent Yield1 6.57%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $69,323
------------------------------------
Average Effective Maturity
on Securities (Years) 15.62
------------------------------------
Leverage-Adjusted Duration 8.42
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 3/18/93)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
1-Year 4.60% 5.47%
------------------------------------
5-Year 3.61% 5.90%
------------------------------------
10-Year 5.25% 6.22%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
U.S. Guaranteed 16.8%
------------------------------------
Education and Civic
Organizations 15.1%
------------------------------------
Tax Obligation/General 13.7%
------------------------------------
Health Care 12.0%
------------------------------------
Tax Obligation/Limited 10.1%
------------------------------------
Transportation 7.9%
------------------------------------
Water and Sewer 7.4%
------------------------------------
Housing/Multifamily 5.4%
------------------------------------
Other 11.6%
------------------------------------
1 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.8%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
2 The Fund paid shareholders capital gains and net ordinary income
distributions in December 2006 of $0.0076 per share.
18
NMB
Performance
OVERVIEW
Nuveen Massachusetts Dividend Advantage Municipal Fund
as of 5-31-07
Pie Chart:
Credit Quality (as a % of total investments)
AAA/U.S. Guaranteed 60%
AA 23%
A 4%
BBB 10%
BB or Lower 3%
Bar Chart:
Monthly Tax-Free Dividends Per Share -- 2006-2007
Jun 0.065
Jul 0.065
Aug 0.065
Sep 0.062
Oct 0.062
Nov 0.062
Dec 0.062
Jan 0.062
Feb 0.062
Mar 0.0595
Apr 0.0595
May 0.0595
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Jun 1, 2006 15.51
15.56
15.59
15.6
15.56
15.48
15.51
15.48
15.33
15.29
15.28
15.15
15.12
15.12
15.09
15.2
14.75
14.75
14.75
14.85
14.89
15.1
15.1
15.16
15.02
15.06
15
15.1
15.11
15.15
15.2
15.1
15
15.19
15.24
15.15
15.13
15.13
15.1
15.19
15.15
15.14
15.24
15.3
15.35
15.24
15.27
15.3
15.3
15.4
15.29
15.34
15.4
15.45
15.45
15.4
15.35
15.32
15.32
15.4
15.58
15.58
15.47
15.49
15.43
15.52
15.55
15.5
15.5
15.46
15.35
15.3
15.3
15.28
15.34
15.35
15.39
15.32
15.4
15.26
15.4
15.35
15.4
15.4
15.4
15.4
15.4
15.45
15.6
15.51
15.51
15.51
15.56
15.56
15.53
15.45
15.55
15.55
15.55
15.52
15.52
15.32
15.35
15.35
15.44
15.44
15.35
15.4
15.41
15.42
15.44
15.44
15.44
15.57
15.54
15.54
15.59
15.6
15.55
15.55
15.64
15.64
15.55
15.6
15.55
15.5514
15.55
15.5
15.74
15.74
15.7
15.65
15.74
15.74
15.73
15.75
15.75
15.66
15.48
15.4
15.11
15.21
15.29
15.29
15.15
15.21
15.25
15.15
15.18
15.18
15.19
15.17
15.24
15.16
15.22
15.15
15.23
15.07
15.19
15.19
15.06
15.0755
15.19
15.19
15.07
15.04
14.95
15.04
15.01
15.05
15.05
15.08
15.03
14.87
14.99
14.97
14.97
14.94
14.99
14.99
15.05
15.05
15.14
15.14
15.14
15.17
15.2
15.16
15.28
15.25
15.33
15.38
15.43
15.48
15.53
15.53
15.5
15.5
15.55
15.55
15.49
15.51
15.51
15.473
15.47
15.38
15.37
15.46
15.47
15.48
15.52
15.52
15.52
15.52
15.57
15.7
15.75
15.8
15.7
15.61
15.61
15.61
15.61
15.55
15.55
15.7
15.7
15.7
15.75
15.65
15.6
15.85
15.75
15.7
15.75
15.75
15.74
15.94
15.92
15.92
15.92
15.89
15.84
15.84
16.1
16.05
16.4
16.1
16.11
16.11
16.11
16.0001
16.0001
May 31, 2007 16.2799
FUND SNAPSHOT
------------------------------------
Common Share Price $16.28
------------------------------------
Common Share
Net Asset Value $14.84
------------------------------------
Premium/(Discount) to NAV 9.70%
------------------------------------
Market Yield 4.39%
------------------------------------
Taxable-Equivalent Yield1 6.44%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $29,072
------------------------------------
Average Effective Maturity
on Securities (Years) 18.27
------------------------------------
Leverage-Adjusted Duration 8.60
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 1/30/01)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
1-Year 10.04% 5.14%
------------------------------------
5-Year 6.41% 7.35%
------------------------------------
Since
Inception 7.27% 6.85%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Education and Civic
Organizations 18.4%
------------------------------------
Health Care 14.3%
------------------------------------
U.S. Guaranteed 11.7%
------------------------------------
Tax Obligation/Limited 10.3%
------------------------------------
Tax Obligation/General 10.0%
------------------------------------
Water and Sewer 9.5%
------------------------------------
Housing/Multifamily 8.2%
------------------------------------
Long-Term Care 4.9%
------------------------------------
Other 12.7%
------------------------------------
1 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.8%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
19
NGX
Performance
OVERVIEW
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund
as of 5-31-07
Pie Chart:
Credit Quality (as a % of total investments)
Insured 52%
U.S. Guaranteed 27%
GNMA/FNMA/FHA Guaranteed 3%
AAA (Uninsured) 5%
AA (Uninsured) 8%
A (Uninsured) 3%
BBB (Uninsured) 2%
Bar Chart:
Monthly Tax-Free Dividends Per Share -- 2006-2007
Jun 0.051
Jul 0.051
Aug 0.051
Sep 0.051
Oct 0.051
Nov 0.0525
Dec 0.0525
Jan 0.0525
Feb 0.0525
Mar 0.0525
Apr 0.0525
May 0.0525
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Jun 1, 2006 13.71
13.7401
13.61
13.71
13.7
13.82
13.78
13.6501
13.78
13.78
13.65
13.49
13.49
13.49
13.45
13.35
13.17
13.08
13.05
13.13
13.09
13.1301
13.27
13.2899
13.23
13.28
13.29
13.29
13.24
13.32
13.32
13.32
13.38
13.28
13.28
13.28
13.25
13.4
13.31
13.37
13.44
13.45
13.38
13.25
13.31
13.35
13.57
13.42
13.44
13.46
13.36
13.46
13.46
13.53
13.64
13.66
13.75
13.72
13.76
13.76
13.83
13.84
13.8
13.75
13.8
13.8
13.62
13.52
13.5
13.7
13.62
13.77
13.83
13.73
13.77
13.73
13.8
13.85
13.84
13.84
13.85
13.92
13.9612
14.1
14.13
14.13
13.95
14
14.15
14.11
14.02
13.99
13.94
13.91
13.83
13.73
13.74
13.74
13.74
13.58
13.57
13.54
13.68
13.65
13.65
13.71
13.81
13.81
13.81
13.93
13.85
13.8
13.8
13.73
13.76
13.88
13.88
13.9
13.9
13.96
13.9218
13.91
13.92
13.91
13.9
13.75
13.75
13.75
13.78
13.86
13.93
13.94
13.88
13.95
14
13.9
13.9
13.86
13.88
13.81
13.81
13.86
13.81
13.81
13.88
13.84
13.82
13.87
13.85
13.85
13.9
13.9
13.86
13.86
13.82
13.8
13.8
13.88
13.91
13.77
13.75
13.64
13.68
13.78
13.8
13.77
13.78
13.78
13.78
13.66
13.9
13.99
13.9896
13.76
13.81
13.9
14
13.94
13.95
13.99
14.35
14.35
14.24
14.21
14.2
14.1
14.07
14.2
14.2
14.2
14.216
14.24
14.25
14.22
14.2
14.2
14.15
14.17
14.16
14.16
14.16
14.16
14
13.96
13.96
13.97
14.06
14.1
14.2
14
14.04
14.04
14.09
14.23
14.19
14.48
14.39
14.16
14.15
14.15
14.15
14.1601
14.2299
14.4
14.2601
14.31
14.35
14.39
14.25
14.5
14.5
14.187
14.19
14.43
14.5
14.65
14.6299
14.63
14.6
14.64
14.48
14.6499
14.6499
14.53
14.58
14.58
14.65
14.6499
14.62
14.65
14.62
14.43
14.49
May 31, 2007 14.4501
FUND SNAPSHOT
------------------------------------
Common Share Price $14.45
------------------------------------
Common Share
Net Asset Value $14.50
------------------------------------
Premium/(Discount) to NAV -0.34%
------------------------------------
Market Yield 4.36%
------------------------------------
Taxable-Equivalent Yield1 6.39%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $39,458
------------------------------------
Average Effective Maturity
on Securities (Years) 17.32
------------------------------------
Leverage-Adjusted Duration 8.40
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 11/21/02)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
1-Year 12.49% 5.12%
------------------------------------
Since
Inception 4.24% 5.57%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
U.S. Guaranteed 26.9%
------------------------------------
Tax Obligation/General 17.7%
------------------------------------
Tax Obligation/Limited 17.7%
------------------------------------
Education and Civic
Organizations 10.0%
------------------------------------
Water and Sewer 8.9%
------------------------------------
Health Care 6.9%
------------------------------------
Housing/Multifamily 6.8%
------------------------------------
Other 5.1%
------------------------------------
1 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.8%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
20
NOM
Performance
OVERVIEW
Nuveen Missouri Premium Income Municipal Fund
as of 5-31-07
Pie Chart:
Credit Quality (as a % of total investments)
AAA/U.S. Guaranteed 65%
AA 12%
A 2%
BBB 7%
N/R 14%
Bar Chart:
Monthly Tax-Free Dividends Per Share -- 2006-20072
Jun 0.063
Jul 0.063
Aug 0.063
Sep 0.06
Oct 0.06
Nov 0.06
Dec 0.06
Jan 0.06
Feb 0.06
Mar 0.0575
Apr 0.0575
May 0.0575
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Jun 1, 2006 16.25
16.15
16.3
16.15
16.15
16.2
16.24
16.24
16.05
15.88
15.9
15.83
15.65
15.45
15.01
15
15.24
15.23
15.2
15.44
15.44
15.44
15.25
15.44
15.7
15.7
15.6
15.6
15.35
15.35
15.35
14.93
14.7
14.66
14.66
14.7
14.9
14.85
14.56
14.66
14.61
14.95
14.65
14.83
14.89
15.04
15.04
15.13
15.07
15.08
15.02
14.99
15.05
15.1401
16.15
16.15
16.1
16.02
15.81
15.86
15.9767
16
15.81
15.89
16
16
16.1
16.1
16.17
16.17
16.15
16.15
15.95
16.2
16.24
16.24
16.2
16.2
16.25
16.29
16.21
16.25
16.05
16.05
16.04
16.04
15.99
16
15.95
16.22
16.25
16.2
16.2
16.15
16.15
16.14
16.14
16.14
16.14
16.38
16.4015
16.4015
16.4015
16.15
16.33
16.6
16.55
16.52
16.5
16.55
16.55
16.75
16.75
16.75
16.75
16.75
16.79
16.7
16.7
16.7
16.65
16.65
16.6
16.55
16.55
16.55
16.74
16.78
16.89
16.9
16.9
16.81
16.99
16.9
16.9
16.99
16.87
16.9
16.85
16.85
16.85
16.85
16.8
16.8
16.9
17
17
17
17
17
17.01
17.01
16.99
16.99
16.9
16.9
16.99
17.01
16.85
16.4
16.4
16.31
16.29
16.18
16.18
16.2
16.37
16.17
16.1636
16.01
16.08
16.22
16.23
16.23
16.23
16
16
16.01
16.01
16.01
16
16.03
16.05
16.05
16.15
16.3
16.47
16.72
16.6
16.6
16.53
16.53
16.39
16.75
17
17.06
16.82
16.65
16.63
16.63
16.62
16.48
16.53
16.53
16.2
16.27
16.27
16.21
16.11
16.11
16.11
16.11
16.11
16.2
16.4
16.22
16.5
16.62
16.59
16.65
16.65
16.71
16.43
16.62
16.7
16.71
16.47
16.47
16.47
16.43
16.43
16.43
16.43
16.64
16.855
16.93
16.894
16.87
17.15
17.12
17.07
17.03
17
16.95
16.87
16.87
16.87
16.84
16.8
16.3704
16.58
16.59
16.59
May 31, 2007 16.56
FUND SNAPSHOT
------------------------------------
Common Share Price $16.56
------------------------------------
Common Share
Net Asset Value $14.27
------------------------------------
Premium/(Discount) to NAV 16.05%
------------------------------------
Market Yield 4.17%
------------------------------------
Taxable-Equivalent Yield1 6.16%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $32,826
------------------------------------
Average Effective Maturity
on Securities (Years) 15.51
------------------------------------
Leverage-Adjusted Duration 9.68
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 5/20/93)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
1-Year 5.98% 4.17%
------------------------------------
5-Year 6.79% 5.85%
------------------------------------
10-Year 7.93% 6.26%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Tax Obligation/Limited 19.8%
------------------------------------
Tax Obligation/General 18.5%
------------------------------------
U.S. Guaranteed 15.8%
------------------------------------
Health Care 12.4%
------------------------------------
Water and Sewer 9.9%
------------------------------------
Housing/Single Family 5.8%
------------------------------------
Long-Term Care 4.6%
------------------------------------
Other 13.2%
------------------------------------
1 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 32.3%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
2 The Fund paid shareholders capital gains distribution in December 2006 of
$0.0048 per share.
21
Report of
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND
NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND
NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2
NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3
NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND
NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND
NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND
NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Nuveen Connecticut Premium Income Municipal
Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut
Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage
Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen
Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts
Tax-Free Advantage Municipal Fund and Nuveen Missouri Premium Income Municipal
Fund (the Funds) as of May 31, 2007, and the related statements of operations
for the year then ended, the statements of changes in net assets for each of the
two years in the period then ended, and the financial highlights for each of the
periods indicated therein. These financial statements and financial highlights
are the responsibility of the Funds' management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Funds' internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Funds' internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of May 31, 2007, by correspondence with the custodian and
brokers or by other appropriate auditing procedures where replies from brokers
were not received. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial positions of
Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend
Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund
2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts
Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal
Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund and Nuveen
Missouri Premium Income Municipal Fund at May 31, 2007, the results of their
operations for the year then ended, changes in their net assets for each of the
two years in the period then ended, and their financial highlights for each of
the periods indicated therein in conformity with U.S. generally accepted
accounting principles.
/s/ Ernst & Young LLP
Chicago, Illinois
July 19, 2007
22
NTC
Nuveen Connecticut Premium Income Municipal Fund
Portfolio of INVESTMENTS
as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 2.8% (1.9% OF TOTAL INVESTMENTS)
$ 600 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 $ 620,208
Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41
1,500 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 1,569,750
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
------------------------------------------------------------------------------------------------------------------------------------
2,100 Total Consumer Staples 2,189,958
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 29.2% (19.7% OF TOTAL INVESTMENTS)
1,100 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 1,168,926
of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 -
RAAI Insured
925 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 961,057
Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 -
MBIA Insured
200 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 206,552
Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 -
RAAI Insured
500 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call AAA 533,515
Bonds, Connecticut State University System, Series 2003F,
5.000%, 11/01/13 - FSA Insured
2,115 Connecticut Health and Educational Facilities Authority, Revenue 11/15 at 100.00 AAA 2,263,558
Bonds, Connecticut State University System, Series 2005H,
5.000%, 11/01/17 - FSA Insured
725 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 102.00 AAA 744,749
Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 -
MBIA Insured
750 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 782,385
Bonds, Horace Bushnell Memorial Hall, Series 1999A,
5.625%, 7/01/29 - MBIA Insured
640 Connecticut Health and Educational Facilities Authority, Revenue 7/07 at 100.00 AAA 647,181
Bonds, Loomis Chaffee School, Series 1996C, 5.500%, 7/01/16 -
MBIA Insured
800 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 883,328
Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 -
AMBAC Insured
1,375 Connecticut Health and Educational Facilities Authority, Revenue 7/14 at 100.00 AAA 1,449,498
Bonds, Trinity College, Series 2004H, 5.000%, 7/01/21 -
MBIA Insured
2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 2,094,960
Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 -
RAAI Insured
1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,532,160
Bonds, Yale University, Series 2002W, 5.125%, 7/01/27
1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 1,555,215
Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42
315 Connecticut Higher Education Supplemental Loan Authority, 11/09 at 102.00 AAA 317,567
Revenue Bonds, Family Education Loan Program, Series 1999A,
6.000%, 11/15/18 - AMBAC Insured (Alternative Minimum Tax)
740 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 765,789
Revenue Bonds, Family Education Loan Program, Series 2001A,
5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax)
305 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA 317,224
Revenue Bonds, Chase Collegiate School, Series 2007A,
5.000%, 7/01/27 (WI/DD, Settling 6/07/07) - RAAI Insured
23
NTC
Nuveen Connecticut Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS (continued)
University of Connecticut, General Obligation Bonds, Series 2004A:
$ 1,000 5.000%, 1/15/18 - MBIA Insured 1/14 at 100.00 AAA $ 1,058,820
2,000 5.000%, 1/15/19 - MBIA Insured 1/14 at 100.00 AAA 2,111,680
1,220 University of Connecticut, General Obligation Bonds, Series 2005A, 2/15 at 100.00 AAA 1,305,912
5.000%, 2/15/17 - FSA Insured
685 University of Connecticut, General Obligation Bonds, Series 2006A, 2/16 at 100.00 AAA 728,422
5.000%, 2/15/23 - FGIC Insured
1,000 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AAA 1,068,200
Series 2002A, 5.250%, 11/15/19 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
21,395 Total Education and Civic Organizations 24,496,698
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 12.8% (8.7% OF TOTAL INVESTMENTS)
500 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 533,385
Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/21 -
RAAI Insured
645 Connecticut Health and Educational Facilities Authority, Revenue 7/10 at 101.00 AA 685,532
Bonds, Eastern Connecticut Health Network, Series 2000A,
6.000%, 7/01/25 - RAAI Insured
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Griffin Hospital, Series 2005B:
800 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 835,368
500 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 520,030
1,100 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 1,156,089
Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 -
FSA Insured
2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 2,051,480
Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 -
MBIA Insured
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,051,760
Bonds, Yale-New Haven Hospital, Series 2006J-1,
5.000%, 7/01/31 - AMBAC Insured
3,000 Connecticut Health and Educational Facilities Authority, Revenue 7/07 at 101.00 Aaa 3,032,340
Refunding Bonds, Middlesex Health Services, Series 1997H,
5.125%, 7/01/27 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
9,545 Total Health Care 9,865,984
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 2.7% (1.8% OF TOTAL INVESTMENTS)
1,000 Connecticut Housing Finance Authority, Housing Mortgage Finance 12/09 at 100.00 AAA 1,046,680
Program Bonds, Series 1999D-2, 6.200%, 11/15/41
(Alternative Minimum Tax)
1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 999,330
Mortgage Finance Program Bonds, Series 2006G-2,
4.800%, 11/15/27 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,000 Total Housing/Multifamily 2,046,010
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 4.6% (3.1% OF TOTAL INVESTMENTS)
1,000 Connecticut Housing Finance Authority, Housing Mortgage Finance 11/10 at 100.00 AAA 1,016,200
Program Bonds, Series 2001C, 5.300%, 11/15/33
(Alternative Minimum Tax)
Connecticut Housing Finance Authority, Housing Mortgage Finance
Program Bonds, Series 2006-A1:
205 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 202,753
220 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 217,963
2,100 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 2,119,110
Program Bonds, Series 2006D, 4.650%, 11/15/27
------------------------------------------------------------------------------------------------------------------------------------
3,525 Total Housing/Single Family 3,556,026
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 2.4% (1.6% OF TOTAL INVESTMENTS)
1,750 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,824,148
American Ref-Fuel Company of Southeastern Connecticut LP,
Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
24
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 7.2% (4.9% OF TOTAL INVESTMENTS)
$ 750 Connecticut Development Authority, First Mortgage Gross Revenue 10/07 at 102.00 BBB- $ 771,848
Refunding Healthcare Bonds, Church Homes Inc. - Congregational
Avery Heights, Series 1997, 5.700%, 4/01/12
615 Connecticut Development Authority, First Mortgage Gross Revenue 9/09 at 102.00 AA 645,080
Refunding Healthcare Bonds, Connecticut Baptist Homes Inc.,
Series 1999, 5.500%, 9/01/15 - RAAI Insured
700 Connecticut Development Authority, Health Facilities Revenue 8/07 at 100.00 N/R 701,638
Refunding Bonds, Alzheimer's Resource Center of Connecticut
Inc., Series 1994A, 7.000%, 8/15/09
Connecticut Development Authority, Revenue Refunding Bonds,
Duncaster Inc., Series 1999A:
1,000 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 AA 1,036,170
1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 1,041,520
1,300 Connecticut Health and Educational Facilities Authority, 8/08 at 102.00 AAA 1,334,333
FHA-Insured Mortgage Revenue Bonds, Hebrew Home and
Hospital, Series 1999B, 5.200%, 8/01/38
------------------------------------------------------------------------------------------------------------------------------------
5,365 Total Long-Term Care 5,530,589
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 25.8% (17.5% OF TOTAL INVESTMENTS)
500 Bridgeport, Connecticut, General Obligation Bonds, Series 2004C, No Opt. Call AAA 540,485
5.250%, 8/15/14 - MBIA Insured
750 Bridgeport, Connecticut, General Obligation Refunding Bonds, 8/12 at 100.00 Aaa 799,253
Series 2002A, 5.375%, 8/15/19 - FGIC Insured
1,520 Capitol Region Education Council, Connecticut, Revenue Bonds, 10/07 at 100.00 BBB 1,531,567
Series 1995, 6.700%, 10/15/10
1,110 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 1,165,245
5.000%, 4/01/23 - FGIC Insured
2,000 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 2,064,240
4.750%, 12/15/24
1,300 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 1,381,783
5.000%, 6/01/23 - FSA Insured
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
775 5.000%, 8/01/20 - FSA Insured 8/15 at 100.00 AAA 821,291
525 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 521,215
500 North Haven, Connecticut, General Obligation Bonds, No Opt. Call Aa2 549,435
Series 2006, 5.000%, 7/15/24
1,860 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 2,112,476
Series 2001A, 5.500%, 7/01/20 - MBIA Insured
Regional School District 16, Beacon Falls and Prospect,
Connecticut, General Obligation Bonds, Series 2000:
350 5.500%, 3/15/18 - FSA Insured 3/10 at 101.00 Aaa 367,927
350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 369,166
350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aaa 369,852
1,420 Regional School District 16, Connecticut, General Obligation 3/13 at 101.00 Aaa 1,513,109
Bonds, Series 2003, 5.000%, 3/15/16 - AMBAC Insured
2,105 Stratford, Connecticut, General Obligation Bonds, Series 2002, 2/12 at 100.00 AAA 2,118,640
4.000%, 2/15/15 - FSA Insured
Suffield, Connecticut, General Obligation Bonds, Series 2005:
465 5.000%, 6/15/17 No Opt. Call AA 503,930
460 5.000%, 6/15/19 No Opt. Call AA 501,533
1,000 5.000%, 6/15/21 No Opt. Call AA 1,092,530
1,500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 1,607,535
Series 2005B, 5.000%, 10/01/18
------------------------------------------------------------------------------------------------------------------------------------
18,840 Total Tax Obligation/General 19,931,212
------------------------------------------------------------------------------------------------------------------------------------
25
NTC
Nuveen Connecticut Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 17.7% (12.0% OF TOTAL INVESTMENTS)
$ 1,000 Connecticut Health and Educational Facilities Authority, Child Care 7/16 at 100.00 AAA $ 1,037,280
Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 -
AGC Insured
1,945 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 102.00 AAA 2,046,937
Bonds, Child Care Facilities Program, Series 1999C,
5.625%, 7/01/29 - AMBAC Insured
Connecticut, Special Tax Obligation Transportation Infrastructure
Purpose Bonds, Series 2002B:
2,000 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,093,340
1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,044,920
500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 525,420
Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue
Bonds, Series 2005A:
960 0.000%, 7/01/32 - FGIC Insured No Opt. Call AAA 305,818
2,615 0.000%, 7/01/33 - FGIC Insured No Opt. Call AAA 797,915
2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 8/12 at 100.00 AAA 2,122,240
5.250%, 8/01/21 - FSA Insured
2,400 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 2,567,928
5.000%, 8/01/16 - FSA Insured
1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/14 at 100.00 AAA 1,080,690
Loan Note, Series 2003, 5.250%, 10/01/19 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
15,420 Total Tax Obligation/Limited 13,622,488
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.9% (0.6% OF TOTAL INVESTMENTS)
750 Connecticut, General Airport Revenue Bonds, Bradley International 4/11 at 101.00 AAA 772,410
Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 19.6% (13.3% OF TOTAL INVESTMENTS) (4)
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Eastern Connecticut Health Network, Series 2000A:
1,305 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 1,398,373
50 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 53,548
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/07 at 102.00 AAA 1,021,330
Bonds, Connecticut College, Series 1997C-1, 5.500%, 7/01/20
(Pre-refunded 7/01/07) - MBIA Insured
450 Connecticut Health and Educational Facilities Authority, Revenue 3/11 at 101.00 AAA 472,185
Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32
(Pre-refunded 3/01/11) - FSA Insured
650 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 (4) 696,345
Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23
(Pre-refunded 7/01/11)
500 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AAA 525,510
Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31
(Pre-refunded 7/01/11) - AMBAC Insured
1,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 1,066,660
5.500%, 10/01/20 (Pre-refunded 10/01/11)
40 Connecticut, General Obligation Bonds, Series 1993E, No Opt. Call AA (4) 43,716
6.000%, 3/15/12 (ETM)
1,500 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (4) 1,612,005
5.500%, 6/15/21 (Pre-refunded 6/15/12)
1,000 Hartford, Connecticut, Parking System Revenue Bonds, 7/10 at 100.00 Baa2 (4) 1,072,980
Series 2000A, 6.400%, 7/01/20 (Pre-refunded 7/01/10)
400 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 AAA 425,488
Series 2000A, 6.000%, 6/01/20 (Pre-refunded 6/01/10) -
ACA Insured
26
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED (4) (continued)
$ 1,000 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA $ 1,063,620
Bonds, Series 2000A, 5.500%, 10/01/40
655 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 674,630
Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20
(Pre-refunded 7/01/10)
1,100 University of Connecticut, General Obligation Bonds, Series 2003A, 2/13 at 100.00 AAA 1,169,135
5.125%, 2/15/21 (Pre-refunded 2/15/13) - MBIA Insured
1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan 10/10 at 101.00 BBB+ (4) 1,089,750
Note, Series 1999A, 6.500%, 10/01/24 (Pre-refunded 10/01/10)
1,000 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 1,066,390
5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured
1,630 Westport, Connecticut, General Obligation Bonds, Series 2003, 2/12 at 100.00 Aaa 1,693,097
4.750%, 2/01/19 (Pre-refunded 2/01/12)
------------------------------------------------------------------------------------------------------------------------------------
14,280 Total U.S. Guaranteed 15,144,762
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 5.7% (3.9% OF TOTAL INVESTMENTS)
1,575 Bristol Resource Recovery Facility Operating Committee, No Opt. Call AAA 1,656,743
Connecticut, Solid Waste Revenue Bonds, Covanta Bristol Inc.,
Series 2005, 5.000%, 7/01/12 - AMBAC Insured
1,000 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 1,040,250
Refunding Bonds, Connecticut Light and Power Company,
Series 1993A, 5.850%, 9/01/28
Eastern Connecticut Resource Recovery Authority, Solid Waste
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
395 5.500%, 1/01/14 (Alternative Minimum Tax) 7/07 at 100.00 BBB 396,067
1,290 5.500%, 1/01/20 (Alternative Minimum Tax) 7/07 at 100.00 BBB 1,293,483
------------------------------------------------------------------------------------------------------------------------------------
4,260 Total Utilities 4,386,543
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 16.3% (11.0% OF TOTAL INVESTMENTS)
2,550 Connecticut Development Authority, Water Facilities Revenue 9/07 at 101.00 Aaa 2,605,055
Bonds, Bridgeport Hydraulic Company, Series 1996,
6.000%, 9/01/36 - AMBAC Insured (Alternative Minimum Tax)
1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,254,050
Series 2003A, 5.000%, 10/01/16
27
NTC
Nuveen Connecticut Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER (continued)
Greater New Haven Water Pollution Control Authority, Connecticut,
Regional Wastewater System Revenue Bonds, Series 2005A:
$ 900 5.000%, 11/15/16 - MBIA Insured 11/15 at 100.00 AAA $ 965,214
1,520 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 1,596,380
2,260 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 2,367,034
South Central Connecticut Regional Water Authority, Water System
Revenue Bonds, Eighteenth Series 2003A:
1,000 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 1,048,819
1,525 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,583,452
1,100 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 1,144,868
Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
------------------------------------------------------------------------------------------------------------------------------------
12,040 Total Water and Sewer 12,564,872
------------------------------------------------------------------------------------------------------------------------------------
$ 111,270 Total Investments (cost $111,190,476) - 147.7% 113,931,700
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.9% 1,519,522
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (49.6)% (38,300,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 77,151,222
====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED
NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION
COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (5) DATE (DEPRECIATION)
------------------------------------------------------------------------------------------------------------------------------------
JPMorgan $1,250,000 Pay 3-Month USD LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $(39,197)
Morgan Stanley 5,500,000 Pay 3-Month USD LIBOR 5.559 Semi-Annually 4/23/08 4/23/23 (8,689)
------------------------------------------------------------------------------------------------------------------------------------
$(47,886)
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
The Fund may invest in "zero coupon" securities. A zero
coupon security does not pay a regular interest coupon
to its holders during the life of the security.
Tax-exempt income to the holder of the security comes
from accretion of the difference between the original
purchase price of the security at issuance and the par
value of the security at maturity and is effectively
paid at maturity. Such securities are included in the
portfolio with a 0.00% coupon rate in their
description. The market prices of zero coupon
securities generally are more volatile than the market
prices of securities that pay interest periodically.
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Optional Call Provisions (not covered by the report of
independent registered public accounting firm): Dates
(month and year) and prices of the earliest optional
call or redemption. There may be other call provisions
at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic
principal paydowns.
(3) Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating. Ratings below BBB
by Standard & Poor's Group or Baa by Moody's Investor
Service, Inc. are considered to be below investment
grade.
(4) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which
ensure the timely payment of principal and interest.
Such investments are normally considered to be
equivalent to AAA rated securities.
(5) Effective date represents the date on which both the
Fund and counterparty commence interest payment
accruals on each forward swap contract.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
(ETM) Escrowed to maturity.
See accompanying notes to financial statements.
28
NFC
Nuveen Connecticut Dividend Advantage Municipal Fund
Portfolio of INVESTMENTS
as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 5.0% (3.3% OF TOTAL INVESTMENTS)
Guam Economic Development Authority, Tobacco Settlement
Asset-Backed Bonds, Series 2001A:
$ 65 5.000%, 5/15/22 5/11 at 100.00 Baa3 $ 65,788
500 5.400%, 5/15/31 5/11 at 100.00 Baa3 514,670
1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 1,312,774
Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41
------------------------------------------------------------------------------------------------------------------------------------
1,835 Total Consumer Staples 1,893,232
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 20.9% (14.0% OF TOTAL INVESTMENTS)
500 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 531,330
of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 -
RAAI Insured
100 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 103,276
Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 -
RAAI Insured
500 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call AAA 533,515
Bonds, Connecticut State University System, Series 2003F,
5.000%, 11/01/13 - FSA Insured
440 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 484,484
Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/18 -
AMBAC Insured
50 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 101.00 AA 50,771
Bonds, Sacred Heart University, Series 1998E, 5.000%, 7/01/28 -
RAAI Insured
350 Connecticut Health and Educational Facilities Authority, Revenue 7/14 at 100.00 AAA 371,949
Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 -
MBIA Insured
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 1,047,480
Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 -
RAAI Insured
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,021,440
Bonds, Yale University, Series 2002W, 5.125%, 7/01/27
570 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 589,865
Revenue Bonds, Family Education Loan Program, Series 2001A,
5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax)
150 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA 156,012
Revenue Bonds, Chase Collegiate School, Series 2007A,
5.000%, 7/01/27 (WI/DD, Settling 6/07/07) - RAAI Insured
Puerto Rico Industrial, Tourist, Educational, Medical and
Environmental Control Facilities Financing Authority, Higher
Education Revenue Bonds, Ana G. Mendez University System,
Series 1999:
125 5.375%, 2/01/19 2/09 at 101.00 BBB- 127,979
270 5.375%, 2/01/29 2/09 at 101.00 BBB- 275,740
University of Connecticut, General Obligation Bonds, Series 2001A:
1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,025,760
1,000 4.750%, 4/01/21 4/11 at 101.00 AA 1,024,000
585 University of Connecticut, General Obligation Bonds, Series 2006A, 2/16 at 100.00 AAA 622,083
5.000%, 2/15/23 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
7,640 Total Education and Civic Organizations 7,965,684
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 8.5% (5.7% OF TOTAL INVESTMENTS)
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 1,065,590
Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 -
RAAI Insured
29
NFC
Nuveen Connecticut Dividend Advantage Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (continued)
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Griffin Hospital, Series 2005B:
$ 500 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 $ 522,105
250 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 260,015
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Hospital for Special Care, Series 1997B:
135 5.375%, 7/01/17 7/07 at 102.00 BBB- 137,252
75 5.500%, 7/01/27 7/07 at 102.00 BBB- 76,226
125 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 128,218
Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 -
MBIA Insured
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,051,760
Bonds, Yale-New Haven Hospital, Series 2006J-1,
5.000%, 7/01/31 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
3,085 Total Health Care 3,241,166
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 3.3% (2.2% OF TOTAL INVESTMENTS)
500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 499,665
Mortgage Finance Program Bonds, Series 2006G-2,
4.800%, 11/15/27 (Alternative Minimum Tax)
750 Stamford Housing Authority, Connecticut, Multifamily Housing No Opt. Call A- 757,058
Revenue Bonds, Fairfield Apartments, Series 1998,
4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative
Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,250 Total Housing/Multifamily 1,256,723
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 4.5% (3.0% OF TOTAL INVESTMENTS)
1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,016,200
Finance Program Bonds, Series 2001C, 5.300%, 11/15/33
(Alternative Minimum Tax)
700 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 706,370
Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
------------------------------------------------------------------------------------------------------------------------------------
1,700 Total Housing/Single Family 1,722,570
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 2.7% (1.8% OF TOTAL INVESTMENTS)
1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,042,370
American Ref-Fuel Company of Southeastern Connecticut LP,
Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 2.6% (1.7% OF TOTAL INVESTMENTS)
300 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 316,866
Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003,
5.750%, 12/01/23
110 Connecticut Development Authority, First Mortgage Gross Revenue 10/07 at 102.00 BBB- 113,504
Refunding Healthcare Bonds, Church Homes Inc. - Congregational
Avery Heights, Series 1997, 5.800%, 4/01/21
500 Connecticut Development Authority, Health Facilities Revenue 8/07 at 100.00 N/R 501,230
Refunding Bonds, Alzheimer's Resource Center of Connecticut
Inc., Series 1994A, 7.250%, 8/15/21
------------------------------------------------------------------------------------------------------------------------------------
910 Total Long-Term Care 931,600
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 13.0% (8.7% OF TOTAL INVESTMENTS)
500 Bridgeport, Connecticut, General Obligation Bonds, Series 2004C, No Opt. Call AAA 540,485
5.250%, 8/15/14 - MBIA Insured
560 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 587,871
5.000%, 4/01/23 - FGIC Insured
700 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 722,484
4.750%, 12/15/24
400 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 425,164
5.000%, 6/01/23 - FSA Insured
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 380,736
240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 238,270
400 North Haven, Connecticut, General Obligation Bonds, No Opt. Call Aa2 439,548
Series 2006, 5.000%, 7/15/24
30
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL (continued)
Suffield, Connecticut, General Obligation Bonds, Series 2005:
$ 335 5.000%, 6/15/17 No Opt. Call AA $ 363,046
335 5.000%, 6/15/19 No Opt. Call AA 365,247
810 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 868,069
Series 2005B, 5.000%, 10/01/18
------------------------------------------------------------------------------------------------------------------------------------
4,640 Total Tax Obligation/General 4,930,920
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 21.8% (14.5% OF TOTAL INVESTMENTS)
500 Connecticut Health and Educational Facilities Authority, Child Care 7/16 at 100.00 AAA 518,640
Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 -
AGC Insured
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 105.00 A 1,070,850
Bonds, New Opportunities for Waterbury Inc., Series 1998A,
6.750%, 7/01/28
Connecticut, Certificates of Participation, Juvenile Training School,
Series 2001:
600 5.000%, 12/15/20 12/11 at 101.00 AA- 623,340
1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 1,030,930
1,475 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AAA 1,595,758
Purpose Bonds, Series 1998B, 5.500%, 11/01/12 - FSA Insured
600 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 680,562
Revenue Bonds, Series 2007N, 5.250%, 7/01/31 -
AMBAC Insured
470 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 149,723
Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured
1,200 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 1,283,964
5.000%, 8/01/16 - FSA Insured
750 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 809,520
Loan Note, Series 1999A, 6.375%, 10/01/19
500 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 AA 512,815
Refunding Bonds, Matching Fund Loan Note, Series 1998A,
5.500%, 10/01/18 - RAAI Insured
------------------------------------------------------------------------------------------------------------------------------------
8,095 Total Tax Obligation/Limited 8,276,102
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 6.8% (4.5% OF TOTAL INVESTMENTS)
2,500 Connecticut, General Airport Revenue Bonds, Bradley International 4/11 at 101.00 AAA 2,574,700
Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 42.7% (28.5% OF TOTAL INVESTMENTS) (4)
625 Connecticut Health and Educational Facilities Authority, Revenue 3/11 at 101.00 AAA 655,813
Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32
(Pre-refunded 3/01/11) - FSA Insured
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 (4) 1,071,300
Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23
(Pre-refunded 7/01/11)
1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AAA 1,576,530
Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31
(Pre-refunded 7/01/11) - AMBAC Insured
2,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 2,133,320
5.500%, 10/01/20 (Pre-refunded 10/01/11)
500 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (4) 537,335
5.500%, 6/15/21 (Pre-refunded 6/15/12)
500 East Lyme, Connecticut, General Obligation Bonds, Series 2001, 7/11 at 102.00 Aaa 533,065
5.125%, 7/15/20 (Pre-refunded 7/15/11) - FGIC Insured
Hamden, Connecticut, General Obligation Bonds, Series 2001:
640 5.250%, 8/15/18 (Pre-refunded 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 686,387
635 5.000%, 8/15/19 (Pre-refunded 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 674,910
300 5.000%, 8/15/20 (Pre-refunded 8/15/11) - MBIA Insured 8/11 at 102.00 AAA 318,855
31
NFC
Nuveen Connecticut Dividend Advantage Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED (4) (continued)
New Haven, Connecticut, General Obligation Bonds, Series 2001A:
$ 220 5.000%, 11/01/20 (Pre-refunded 11/01/11) - FGIC Insured 11/11 at 100.00 AAA $ 229,772
780 5.000%, 11/01/20 (Pre-refunded 11/01/10) - FGIC Insured 11/10 at 101.00 AAA 816,941
250 Northern Mariana Islands, General Obligation Bonds, Series 2000A, 6/10 at 100.00 AAA 265,930
6.000%, 6/01/20 (Pre-refunded 6/01/10) - ACA Insured
1,975 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 2,079,537
Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) -
FSA Insured
1,425 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 1,516,585
Bonds, Series 2000A, 5.500%, 10/01/32
1,300 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 1,382,706
Bonds, Series 2000A, 5.500%, 10/01/40
320 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 329,590
Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20
(Pre-refunded 7/01/10)
1,000 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 1,066,390
5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured
370 Windsor, Connecticut, General Obligation Bonds, Series 2001, 7/09 at 100.00 Aa2 (4) 379,220
5.000%, 7/15/20 (Pre-refunded 7/15/09)
------------------------------------------------------------------------------------------------------------------------------------
15,340 Total U.S. Guaranteed 16,254,186
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 4.0% (2.7% OF TOTAL INVESTMENTS)
500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 520,125
Refunding Bonds, Connecticut Light and Power Company,
Series 1993A, 5.850%, 9/01/28
1,000 Eastern Connecticut Resource Recovery Authority, Solid Waste 7/07 at 100.00 BBB 1,002,700
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A,
5.500%, 1/01/14 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,500 Total Utilities 1,522,825
------------------------------------------------------------------------------------------------------------------------------------
32
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 14.0% (9.4% OF TOTAL INVESTMENTS)
$ 1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA $ 1,254,050
Series 2003A, 5.000%, 10/01/16
Greater New Haven Water Pollution Control Authority, Connecticut,
Regional Wastewater System Revenue Bonds, Series 2005A:
450 5.000%, 11/15/17 - MBIA Insured 11/15 at 100.00 AAA 481,707
720 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 756,180
1,110 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 1,162,570
140 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 152,656
System Revenue Bonds, Series 2005, 6.000%, 7/01/25
South Central Connecticut Regional Water Authority, Water System
Revenue Bonds, Eighteenth Series 2003A:
750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 786,614
720 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 747,597
------------------------------------------------------------------------------------------------------------------------------------
5,075 Total Water and Sewer 5,341,374
------------------------------------------------------------------------------------------------------------------------------------
$ 54,570 Total Investments (cost $55,218,349) - 149.8% 56,953,452
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.5% 570,793
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (51.3)% (19,500,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 38,024,245
====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED
NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION
COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (5) DATE (DEPRECIATION)
------------------------------------------------------------------------------------------------------------------------------------
JPMorgan $1,000,000 Pay 3-Month USD LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $(31,358)
Morgan Stanley 4,000,000 Pay 3-Month USD LIBOR 5.559 Semi-Annually 4/23/08 4/23/23 (6,319)
------------------------------------------------------------------------------------------------------------------------------------
$(37,677)
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
The Fund may invest in "zero coupon" securities.
A zero coupon security does not pay a regular interest
coupon to its holders during the life of the security.
Tax-exempt income to the holder of the security comes
from accretion of the difference between the original
purchase price of the security at issuance and the par
value of the security at maturity and is effectively
paid at maturity. Such securities are included in the
portfolio with a 0.00% coupon rate in their
description. The market prices of zero coupon
securities generally are more volatile than the market
prices of securities that pay interest periodically.
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Optional Call Provisions (not covered by the report of
independent registered public accounting firm): Dates
(month and year) and prices of the earliest optional
call or redemption. There may be other call provisions
at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic
principal paydowns.
(3) Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating. Ratings below BBB
by Standard & Poor's Group or Baa by Moody's Investor
Service, Inc. are considered to be below investment
grade.
(4) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which
ensure the timely payment of principal and interest.
Such investments are normally considered to be
equivalent to AAA rated securities.
(5) Effective date represents the date on which both the
Fund and counterparty commence interest payment
accruals on each forward swap contract.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
See accompanying notes to financial statements.
33
NGK
Nuveen Connecticut Dividend Advantage Municipal Fund 2
Portfolio of INVESTMENTS
as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 3.1% (2.1% OF TOTAL INVESTMENTS)
$ 250 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 $ 258,420
Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41
755 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 790,108
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
------------------------------------------------------------------------------------------------------------------------------------
1,005 Total Consumer Staples 1,048,528
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 18.0% (12.1% OF TOTAL INVESTMENTS)
500 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 531,330
of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 -
RAAI Insured
100 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 103,276
Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 -
RAAI Insured
95 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 102.00 AAA 97,588
Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 -
MBIA Insured
500 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 101.00 AAA 510,610
Bonds, Hopkins School, Series 1998A, 5.000%, 7/01/20 -
AMBAC Insured
215 Connecticut Health and Educational Facilities Authority, Revenue 1/15 at 100.00 Aaa 229,444
Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 -
MBIA Insured
310 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 342,290
Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 -
AMBAC Insured
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, University of Hartford, Series 2002E:
590 5.500%, 7/01/22 - RAAI Insured 7/12 at 101.00 AA 631,914
1,000 5.250%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 1,047,480
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,021,440
Bonds, Yale University, Series 2002W, 5.125%, 7/01/27
135 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA 140,411
Revenue Bonds, Chase Collegiate School, Series 2007A,
5.000%, 7/01/27 (WI/DD, Settling 6/07/07) - RAAI Insured
University of Connecticut, General Obligation Bonds, Series 2006A:
450 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AAA 481,892
490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AAA 521,061
500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AAA 533,695
Series 2002A, 5.250%, 11/15/22 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
5,885 Total Education and Civic Organizations 6,192,431
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 10.2% (6.8% OF TOTAL INVESTMENTS)
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Eastern Connecticut Health Network, Series 2000A:
20 6.125%, 7/01/20 - RAAI Insured 7/10 at 101.00 AA 21,329
65 6.000%, 7/01/25 - RAAI Insured 7/10 at 101.00 AA 69,085
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Griffin Hospital, Series 2005B:
300 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 313,263
300 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 312,018
34
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (continued)
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Hospital for Special Care, Series 1997B:
$ 105 5.375%, 7/01/17 7/07 at 102.00 BBB- $ 106,751
45 5.500%, 7/01/27 7/07 at 102.00 BBB- 45,736
500 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 525,495
Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 -
FSA Insured
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 1,031,950
Bonds, St. Francis Hospital and Medical Center, Series 2002D,
5.000%, 7/01/22 - RAAI Insured
25 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 25,712
Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 -
MBIA Insured
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,051,760
Bonds, Yale-New Haven Hospital, Series 2006J-1,
5.000%, 7/01/31 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
3,360 Total Health Care 3,503,099
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 2.9% (2.0% OF TOTAL INVESTMENTS)
500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 499,665
Mortgage Finance Program Bonds, Series 2006G-2,
4.800%, 11/15/27 (Alternative Minimum Tax)
500 Stamford Housing Authority, Connecticut, Multifamily Housing No Opt. Call A- 504,705
Revenue Bonds, Fairfield Apartments, Series 1998,
4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative
Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,000 Total Housing/Multifamily 1,004,370
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 3.6% (2.4% OF TOTAL INVESTMENTS)
Connecticut Housing Finance Authority, Housing Mortgage Finance
Program Bonds, Series 2006-A1:
305 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 301,657
330 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 326,944
600 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 605,460
Program Bonds, Series 2006D, 4.650%, 11/15/27
------------------------------------------------------------------------------------------------------------------------------------
1,235 Total Housing/Single Family 1,234,061
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 3.0% (2.1% OF TOTAL INVESTMENTS)
1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,042,370
American Ref-Fuel Company of Southeastern Connecticut LP,
Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 3.3% (2.2% OF TOTAL INVESTMENTS)
320 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 337,990
Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003,
5.750%, 12/01/23
325 Connecticut Development Authority, First Mortgage Gross Revenue 10/07 at 102.00 BBB- 334,467
Refunding Healthcare Bonds, Church Homes Inc. - Congregational
Avery Heights, Series 1997, 5.700%, 4/01/12
450 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AAA 471,717
Bonds, Village for Families and Children Inc., Series 2002A,
5.000%, 7/01/19 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
1,095 Total Long-Term Care 1,144,174
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 21.9% (14.7% OF TOTAL INVESTMENTS)
875 Bridgeport, Connecticut, General Obligation Bonds, Series 2004C, No Opt. Call AAA 945,849
5.250%, 8/15/14 - MBIA Insured
600 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 619,272
4.750%, 12/15/24
400 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 425,164
5.000%, 6/01/23 - FSA Insured
Farmington, Connecticut, General Obligation Bonds, Series 2002:
1,000 5.000%, 9/15/20 9/12 at 101.00 Aa1 1,057,010
1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,529,475
35
NGK
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL (continued)
$ 1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ $ 1,371,960
Obligation Bonds, Series 2002, 5.000%, 4/01/22
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 380,736
240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 238,270
400 Suffield, Connecticut, General Obligation Bonds, Series 2005, No Opt. Call AA 437,012
5.000%, 6/15/21
500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 537,420
Series 2005B, 5.000%, 10/01/17
------------------------------------------------------------------------------------------------------------------------------------
7,130 Total Tax Obligation/General 7,542,168
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 12.5% (8.4% OF TOTAL INVESTMENTS)
500 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 518,640
Child Care Facilities Program Revenue Bonds, Series 2006F,
5.000%, 7/01/36 - AGC Insured
500 Connecticut, Special Tax Obligation Transportation Infrastructure 10/11 at 100.00 AAA 529,730
Purpose Bonds, Series 2001B, 5.375%, 10/01/13 - FSA Insured
1,625 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 1,729,488
Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured
500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 567,135
Revenue Bonds, Series 2007N, 5.250%, 7/01/31 -
AMBAC Insured
430 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 136,981
Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured
750 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 802,478
5.000%, 8/01/16 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
4,305 Total Tax Obligation/Limited 4,284,452
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 6.3% (4.2% OF TOTAL INVESTMENTS)
1,950 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call AAA 2,148,549
Parking Facility, Series 2002, 5.375%, 12/01/15 -
AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 48.5% (32.5% OF TOTAL INVESTMENTS) (4)
2,250 Connecticut Health and Educational Facilities Authority, Revenue 11/11 at 100.00 AAA 2,355,503
Bonds, Connecticut State University System, Series 2002D-2,
5.000%, 11/01/21 (Pre-refunded 11/01/11) - FSA Insured
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Eastern Connecticut Health Network, Series 2000A:
100 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 107,516
30 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 32,237
130 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 139,302
5 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 5,355
1,000 Connecticut Health and Educational Facilities Authority, Revenue 3/11 at 101.00 AAA 1,049,300
Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32
(Pre-refunded 3/01/11) - FSA Insured
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 (4) 1,061,930
Bonds, Loomis Chaffee School, Series 2001D, 5.250%, 7/01/31
(Pre-refunded 7/01/11)
500 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA (4) 533,445
5.375%, 4/15/19 (Pre-refunded 4/15/12)
2,105 Fairfield, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 2,210,250
5.000%, 4/01/16 (Pre-refunded 4/01/12)
36
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED (4) (continued)
$ 1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA $ 1,052,930
Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) -
FSA Insured
1,000 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 1,064,270
Bonds, Series 2000A, 5.500%, 10/01/32
2,000 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 2,127,240
Bonds, Series 2000A, 5.500%, 10/01/40
Regional School District 8, Andover, Hebron and Marlborough,
Connecticut, General Obligation Bonds, Series 2002:
1,390 5.000%, 5/01/20 (Pre-refunded 5/01/11) - FSA Insured 5/11 at 101.00 Aaa 1,460,821
1,535 5.000%, 5/01/22 (Pre-refunded 5/01/11) - FSA Insured 5/11 at 101.00 Aaa 1,613,208
1,230 University of Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA (4) 1,311,660
5.375%, 4/01/19 (Pre-refunded 4/01/12)
500 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 533,195
5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
15,775 Total U.S. Guaranteed 16,658,162
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 3.7% (2.5% OF TOTAL INVESTMENTS)
500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 520,125
Refunding Bonds, Connecticut Light and Power Company,
Series 1993A, 5.850%, 9/01/28
Eastern Connecticut Resource Recovery Authority, Solid Waste
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
250 5.500%, 1/01/15 (Alternative Minimum Tax) 8/07 at 100.00 BBB 250,675
510 5.500%, 1/01/20 (Alternative Minimum Tax) 7/07 at 100.00 BBB 511,377
------------------------------------------------------------------------------------------------------------------------------------
1,260 Total Utilities 1,282,177
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 12.0% (8.0% OF TOTAL INVESTMENTS)
70 Connecticut Development Authority, Water Facilities Revenue 9/07 at 101.00 Aaa 71,511
Bonds, Bridgeport Hydraulic Company, Series 1996,
6.000%, 9/01/36 - AMBAC Insured (Alternative Minimum Tax)
785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 830,742
Series 2003A, 5.000%, 10/01/16
Greater New Haven Water Pollution Control Authority, Connecticut,
Regional Wastewater System Revenue Bonds, Series 2005A:
500 5.000%, 11/15/16 - MBIA Insured 11/15 at 100.00 AAA 536,230
690 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 724,673
320 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 335,154
37
NGK
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER (continued)
$ 130 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 $ 141,751
System Revenue Bonds, Series 2005, 6.000%, 7/01/25
South Central Connecticut Regional Water Authority, Water System
Revenue Bonds, Eighteenth Series 2003A:
750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 786,613
660 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 685,296
------------------------------------------------------------------------------------------------------------------------------------
3,905 Total Water and Sewer 4,111,970
------------------------------------------------------------------------------------------------------------------------------------
$ 48,905 Total Investments (cost $49,452,258) - 149.0% 51,196,511
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.9% 669,432
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (50.9)% (17,500,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 34,365,943
====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED
NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION
COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (5) DATE (DEPRECIATION)
------------------------------------------------------------------------------------------------------------------------------------
JPMorgan $ 750,000 Pay 3-Month USD-LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $(23,519)
Morgan Stanley 3,000,000 Pay 3-Month USD-LIBOR 5.559 Semi-Annually 4/23/08 4/23/23 (4,739)
------------------------------------------------------------------------------------------------------------------------------------
$(28,258)
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
The Fund may invest in "zero coupon" securities. A zero
coupon security does not pay a regular interest coupon
to its holders during the life of the security.
Tax-exempt income to the holder of the security comes
from accretion of the difference between the original
purchase price of the security at issuance and the par
value of the security at maturity and is effectively
paid at maturity. Such securities are included in the
portfolio with a 0.00% coupon rate in their
description. The market prices of zero coupon
securities generally are more volatile than the market
prices of securities that pay interest periodically.
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Optional Call Provisions (not covered by the report of
independent registered public accounting firm): Dates
(month and year) and prices of the earliest optional
call or redemption. There may be other call provisions
at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic
principal paydowns.
(3) Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating. Ratings below BBB
by Standard & Poor's Group or Baa by Moody's Investor
Service, Inc. are considered to be below investment
grade.
(4) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which
ensure the timely payment of principal and interest.
Such investments are normally considered to be
equivalent to AAA rated securities.
(5) Effective date represents the date on which both the
Fund and counterparty commence interest payment
accruals on each forward swap contract.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
See accompanying notes to financial statements.
38
NGO
Nuveen Connecticut Dividend Advantage Municipal Fund 3
Portfolio of INVESTMENTS
as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 4.0% (2.7% OF TOTAL INVESTMENTS)
$ 2,405 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 2,516,833
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 14.4% (9.6% OF TOTAL INVESTMENTS)
1,000 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 986,170
Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 -
MBIA Insured
650 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 690,729
of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 -
RAAI Insured
150 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA 154,914
Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 -
RAAI Insured
1,700 Connecticut Health and Educational Facilities Authority, Revenue 11/15 at 100.00 AAA 1,819,408
Bonds, Connecticut State University System, Series 2005H,
5.000%, 11/01/17 - FSA Insured
285 Connecticut Health and Educational Facilities Authority, Revenue 1/15 at 100.00 Aaa 304,146
Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 -
MBIA Insured
400 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 441,664
Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 -
AMBAC Insured
750 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 803,280
Bonds, University of Hartford, Series 2002E, 5.500%, 7/01/22 -
RAAI Insured
1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,532,160
Bonds, Yale University, Series 2002W, 5.125%, 7/01/27
250 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA 260,020
Revenue Bonds, Chase Collegiate School, Series 2007A,
5.000%, 7/01/27 (WI/DD, Settling 6/07/07) - RAAI Insured
University of Connecticut, General Obligation Bonds, Series 2006A:
850 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AAA 910,240
490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AAA 521,061
500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AAA 533,695
Series 2002A, 5.250%, 11/15/22 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
8,525 Total Education and Civic Organizations 8,957,487
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 6.5% (4.3% OF TOTAL INVESTMENTS)
500 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 533,385
Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/21 -
RAAI Insured
800 Connecticut Health and Educational Facilities Authority, Revenue 7/15 at 100.00 Aa3 835,368
Bonds, Griffin Hospital, Series 2005B, 5.000%, 7/01/20 -
RAAI Insured
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Hospital for Special Care, Series 1997B:
235 5.375%, 7/01/17 7/07 at 102.00 BBB- 238,920
225 5.500%, 7/01/27 7/07 at 102.00 BBB- 228,679
900 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 945,891
Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 -
FSA Insured
200 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 205,694
Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 -
MBIA Insured
39
NGO
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (continued)
$ 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA $ 1,051,760
Bonds, Yale-New Haven Hospital, Series 2006J-1,
5.000%, 7/01/31 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
3,860 Total Health Care 4,039,697
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 2.8% (1.9% OF TOTAL INVESTMENTS)
1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 999,330
Mortgage Finance Program Bonds, Series 2006G-2,
4.800%, 11/15/27 (Alternative Minimum Tax)
750 Stamford Housing Authority, Connecticut, Multifamily Housing No Opt. Call A- 757,058
Revenue Bonds, Fairfield Apartments, Series 1998,
4.750%, 12/01/28 (Mandatory put 12/01/08)
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,750 Total Housing/Multifamily 1,756,388
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 3.2% (2.2% OF TOTAL INVESTMENTS)
Connecticut Housing Finance Authority, Housing Mortgage Finance
Program Bonds, Series 2006-A1:
435 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 430,232
465 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 460,694
1,100 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 1,110,010
Program Bonds, Series 2006D, 4.650%, 11/15/27
------------------------------------------------------------------------------------------------------------------------------------
2,000 Total Housing/Single Family 2,000,936
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 3.3% (2.2% OF TOTAL INVESTMENTS)
2,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 2,084,740
American Ref-Fuel Company of Southeastern Connecticut LP,
Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG TERM-CARE - 12.4% (8.3% OF TOTAL INVESTMENTS)
500 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 528,110
Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003,
5.750%, 12/01/23
600 Connecticut Development Authority, First Mortgage Gross Revenue 10/07 at 102.00 BBB- 617,478
Refunding Healthcare Bonds, Church Homes Inc. - Congregational
Avery Heights, Series 1997, 5.700%, 4/01/12
Connecticut Development Authority, Revenue Bonds, Duncaster Inc.,
Series 2002:
650 5.125%, 8/01/22 - RAAI Insured 8/12 at 101.00 AA 677,177
1,025 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 AA 1,031,437
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Village for Families and Children Inc., Series 2002A:
430 5.000%, 7/01/18 - AMBAC Insured 7/12 at 101.00 AAA 451,461
475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 AAA 496,883
260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 AAA 270,772
1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 AAA 1,039,800
Connecticut Housing Finance Authority, Special Needs Housing
Mortgage Finance Program Special Obligation Bonds,
Series 2002SNH-1:
1,000 5.000%, 6/15/22 - AMBAC Insured 6/12 at 101.00 AAA 1,045,820
1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 AAA 1,557,630
------------------------------------------------------------------------------------------------------------------------------------
7,440 Total Long-Term Care 7,716,568
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 27.1% (18.1% OF TOTAL INVESTMENTS)
Bethel, Connecticut, General Obligation Bonds, Series 2002:
525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aaa 549,675
525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aaa 549,150
525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aaa 549,150
525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aaa 549,150
525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aaa 547,208
1,000 Bridgeport, Connecticut, General Obligation Bonds, Series 2004C, No Opt. Call AAA 1,080,970
5.250%, 8/15/14 - MBIA Insured
1,200 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 1,238,544
4.750%, 12/15/24
40
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL (continued)
$ 700 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA $ 744,037
5.000%, 6/01/23 - FSA Insured
450 Farmington, Connecticut, General Obligation Bonds, Series 2002, 9/12 at 101.00 Aa1 475,655
5.000%, 9/15/20
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
600 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 634,560
400 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 397,116
New Canaan, Connecticut, General Obligation Bonds, Series 2002A:
950 4.500%, 5/01/19 5/11 at 100.00 Aaa 964,345
900 4.600%, 5/01/20 5/11 at 100.00 Aaa 915,741
500 4.700%, 5/01/21 5/11 at 100.00 Aaa 509,885
Southbury, Connecticut, General Obligation Bonds, Series 2002:
500 4.250%, 12/15/14 12/11 at 101.00 Aa3 509,285
500 4.375%, 12/15/15 12/11 at 101.00 Aa3 511,370
500 4.375%, 12/15/16 12/11 at 101.00 Aa3 510,620
500 4.500%, 12/15/17 12/11 at 101.00 Aa3 512,205
500 4.625%, 12/15/18 12/11 at 101.00 Aa3 514,505
500 4.625%, 12/15/19 12/11 at 101.00 Aa3 512,505
500 4.875%, 12/15/20 12/11 at 101.00 Aa3 518,140
500 4.875%, 12/15/21 12/11 at 101.00 Aa3 517,140
500 5.000%, 12/15/22 12/11 at 101.00 Aa3 522,590
Stratford, Connecticut, General Obligation Bonds, Series 2002:
1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,364,014
630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 627,499
500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 535,845
Series 2005B, 5.000%, 10/01/18
------------------------------------------------------------------------------------------------------------------------------------
16,330 Total Tax Obligation/General 16,860,904
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 22.1% (14.8% OF TOTAL INVESTMENTS)
930 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 964,670
Child Care Facilities Program Revenue Bonds, Series 2006F,
5.000%, 7/01/36 - AGC Insured
60 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AA 65,125
Purpose Bonds, Series 1992B, 6.125%, 9/01/12
Connecticut, Special Tax Obligation Transportation Infrastructure
Purpose Bonds, Series 2002B:
2,810 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,941,143
1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,044,920
1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AAA 1,042,920
500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 525,420
Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured
1,000 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 1,134,270
Revenue Bonds, Series 2007N, 5.250%, 7/01/31 -
AMBAC Insured
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue
Bonds, Series 2005A:
780 0.000%, 7/01/32 - FGIC Insured No Opt. Call AAA 248,477
2,120 0.000%, 7/01/33 - FGIC Insured No Opt. Call AAA 646,876
Puerto Rico Public Buildings Authority, Guaranteed Government
Facilities Revenue Bonds, Series 2002G:
890 5.250%, 7/01/17 7/12 at 100.00 BBB- 929,650
1,000 5.250%, 7/01/20 7/12 at 100.00 BBB- 1,044,090
1,045 5.250%, 7/01/21 7/12 at 100.00 BBB- 1,090,102
1,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,105,273
Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 -
AMBAC Insured
195 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 BBB- 204,787
Appropriation Bonds, Series 2002E, 5.500%, 8/01/29
41
NGO
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED (continued)
$ 750 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 BBB $ 769,418
Refunding Bonds, Matching Fund Loan Note, Series 1998A,
5.500%, 10/01/22
------------------------------------------------------------------------------------------------------------------------------------
15,090 Total Tax Obligation/Limited 13,757,141
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.7% (0.6% OF TOTAL INVESTMENTS)
415 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call AAA 457,255
Parking Facility, Series 2002, 5.375%, 12/01/15 -
AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 32.3% (21.6% OF TOTAL INVESTMENTS) (4)
500 Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 9/13 at 100.00 AAA 537,725
5.250%, 9/15/23 (Pre-refunded 9/15/13) - FSA Insured
1,595 Connecticut Health and Educational Facilities Authority, Revenue 11/11 at 100.00 AAA 1,669,790
Bonds, Connecticut State University System, Series 2002D-2,
5.000%, 11/01/21 (Pre-refunded 11/01/11) - FSA Insured
3,100 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AAA 3,258,162
Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21
(Pre-refunded 7/01/11) - AMBAC Insured
1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA (4) 1,050,380
5.000%, 4/15/21 (Pre-refunded 4/15/12)
400 Connecticut, Special Tax Obligation Transportation Infrastructure 10/11 at 100.00 AAA 415,256
Purpose Bonds, Series 2001A, 4.800%, 10/01/18
(Pre-refunded 10/01/11) - FSA Insured
40 New Haven, Connecticut, General Obligation Bonds, Series 2002A, 11/11 at 101.00 AAA 42,625
5.250%, 11/01/17 - AMBAC Insured (ETM)
1,405 New Haven, Connecticut, General Obligation Bonds, Series 2002A, 11/11 at 101.00 AAA 1,496,901
5.250%, 11/01/17 (Pre-refunded 11/01/11) - AMBAC Insured
3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,211,437
Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) -
FSA Insured
3,000 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 3,190,860
Bonds, Series 2000A, 5.500%, 10/01/40
2,000 Puerto Rico Infrastructure Financing Authority, Special Tax 1/08 at 101.00 AAA 2,035,840
Revenue Bonds, Series 1997A, 5.000%, 7/01/28
(Pre-refunded 1/01/08) - AMBAC Insured
570 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 Aaa 608,914
Appropriation Bonds, Series 2002E, 5.500%, 8/01/29
(Pre-refunded 2/01/12)
1,410 Puerto Rico, General Obligation and Public Improvement Refunding 7/08 at 101.00 AAA 1,444,686
Bonds, Series 1998B, 5.000%, 7/01/24 (Pre-refunded 7/01/08) -
MBIA Insured
1,100 University of Connecticut, General Obligation Bonds, Series 2003A, 2/13 at 100.00 AAA 1,169,135
5.125%, 2/15/21 (Pre-refunded 2/15/13) - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
19,170 Total U.S. Guaranteed 20,131,711
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 3.3% (2.2% OF TOTAL INVESTMENTS)
720 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 748,980
Refunding Bonds, Connecticut Light and Power Company,
Series 1993A, 5.850%, 9/01/28
Eastern Connecticut Resource Recovery Authority, Solid Waste
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
1,000 5.500%, 1/01/14 (Alternative Minimum Tax) 7/07 at 100.00 BBB 1,002,700
305 5.500%, 1/01/20 (Alternative Minimum Tax) 7/07 at 100.00 BBB 305,824
------------------------------------------------------------------------------------------------------------------------------------
2,025 Total Utilities 2,057,504
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 17.2% (11.5% OF TOTAL INVESTMENTS)
765 Connecticut Development Authority, Water Facilities Revenue 9/07 at 101.00 N/R 781,310
Bonds, Bridgeport Hydraulic Company, Series 1996,
6.000%, 9/01/36 (Alternative Minimum Tax)
1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,254,050
Series 2003A, 5.000%, 10/01/16
42
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER (continued)
Greater New Haven Water Pollution Control Authority,
Connecticut, Regional Wastewater System Revenue Bonds, Series
2005A:
$ 770 5.000%, 11/15/16 - MBIA Insured 11/15 at 100.00 AAA $ 825,794
1,230 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 1,291,808
640 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 670,310
230 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 250,794
System Revenue Bonds, Series 2005, 6.000%, 7/01/25
South Central Connecticut Regional Water Authority, Water System
Revenue Bonds, Eighteenth Series 2003A:
2,050 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 2,150,081
1,140 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,183,695
1,840 South Central Connecticut Regional Water Authority, 8/16 at 100.00 AAA 1,943,038
Water System Revenue Bonds, Twentieth Series, 2007A,
5.000%, 8/01/30 - MBIA Insured
350 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 364,275
Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
------------------------------------------------------------------------------------------------------------------------------------
10,200 Total Water and Sewer 10,715,155
------------------------------------------------------------------------------------------------------------------------------------
$ 91,210 Total Investments (cost $91,413,059) - 149.3% 93,052,319
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 2.0% 1,272,346
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (51.3)% (32,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 62,324,665
====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED
NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION
COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (5) DATE (DEPRECIATION)
------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley $2,500,000 Pay 3-Month USD-LIBOR 5.559% Semi-Annually 4/23/08 4/23/23 $(3,949)
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank
Offered Rate) The Fund may invest in "zero coupon"
securities. A zero coupon security does not pay a
regular interest coupon to its holders during the life
of the security. Tax-exempt income to the holder of the
security comes from accretion of the difference between
the original purchase price of the security at issuance
and the par value of the security at maturity and is
effectively paid at maturity. Such securities are
included in the portfolio with a 0.00% coupon rate in
their description. The market prices of zero coupon
securities generally are more volatile than the market
prices of securities that pay interest periodically.
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Optional Call Provisions (not covered by the report of
independent registered public accounting firm): Dates
(month and year) and prices of the earliest optional
call or redemption. There may be other call provisions
at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic
principal paydowns.
(3) Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating. Ratings below BBB
by Standard & Poor's Group or Baa by Moody's Investor
Service, Inc. are considered to be below investment
grade.
(4) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which
ensure the timely payment of principal and interest.
Such investments are normally considered to be
equivalent to AAA rated securities.
(5) Effective date represents the date on which both the
Fund and counterparty commence interest payment
accruals on each forward swap contract.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
(ETM) Escrowed to maturity.
See accompanying notes to financial statements.
43
NMT
Nuveen Massachusetts Premium Income Municipal Fund
Portfolio of INVESTMENTS
as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 2.2% (1.5% OF TOTAL INVESTMENTS)
$ 1,485 Boston Industrial Development Financing Authority, Massachusetts, 9/12 at 102.00 Ba3 $ 1,537,747
Senior Revenue Bonds, Crosstown Center Project, Series 2002,
6.500%, 9/01/35 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 0.9% (0.6% OF TOTAL INVESTMENTS)
550 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 568,524
Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 22.4% (15.1% OF TOTAL INVESTMENTS)
750 Massachusetts Development Finance Agency, Revenue Bonds, 9/15 at 100.00 AAA 779,483
Western New England College, Series 2005A, 5.000%, 9/01/33 -
AGC Insured
890 Massachusetts Development Finance Authority, Revenue Bonds, 3/09 at 101.00 A 922,476
Curry College, Series 2000A, 6.000%, 3/01/20 - ACA Insured
1,000 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A3 1,074,020
Massachusetts College of Pharmacy and Allied Health Sciences,
Series 2003C, 5.750%, 7/01/33
1,745 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 1,806,494
Massachusetts College of Pharmacy and Allied Health Sciences,
Series 2005D, 5.000%, 7/01/27 - AGC Insured
750 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 AA- 794,858
Milton Academy, Series 2003A, 5.000%, 9/01/19
1,090 Massachusetts Development Finance Authority, Revenue Refunding No Opt. Call A3 1,278,439
Bonds, Boston University, Series 1999P, 6.000%, 5/15/29
85 Massachusetts Education Loan Authority, Student Loan Revenue 7/07 at 100.00 AAA 85,088
Bonds, Issue E, Series 1995, 6.150%, 7/01/10 - AMBAC Insured
(Alternative Minimum Tax)
1,550 Massachusetts Educational Finance Authority, Educational Loan 1/12 at 100.00 AAA 1,587,200
Revenue Bonds, Series 2002E, 5.000%, 1/01/13 - AMBAC Insured
(Alternative Minimum Tax)
2,000 Massachusetts Health and Educational Facilities Authority, Revenue 6/13 at 100.00 AA- 2,129,440
Bonds, Boston College, Series 2003N, 5.250%, 6/01/18
500 Massachusetts Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AA+ 519,355
Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26
555 Massachusetts Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AA+ 580,874
Bonds, Williams College, Series 2003H, 5.000%, 7/01/21
1,380 Massachusetts Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AA+ 1,451,429
Bonds, Williams College, Series 2007L, 5.000%, 7/01/31
500 Massachusetts Health and Educational Facilities Authority, Revenue 11/12 at 100.00 AAA 518,690
Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 -
AMBAC Insured
1,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 7/07 at 100.00 Aa1 1,646,431
Whitehead Institute for Biomedical Research, Series 1993,
5.125%, 7/01/26
375 Puerto Rico Industrial, Tourist, Educational, Medical and 2/09 at 101.00 BBB- 383,936
Environmental Control Facilities Financing Authority, Higher
Education Revenue Bonds, Ana G. Mendez University System,
Series 1999, 5.375%, 2/01/19
------------------------------------------------------------------------------------------------------------------------------------
14,815 Total Education and Civic Organizations 15,558,213
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 17.9% (12.0% OF TOTAL INVESTMENTS)
1,250 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 1,337,575
Revenue Bonds, Berkshire Health System, Series 2001E,
6.250%, 10/01/31
44
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (continued)
$ 1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 AA $ 1,039,590
Revenue Bonds, Cape Cod Health Care Inc., Series 2001C,
5.250%, 11/15/31 - RAAI Insured
1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 1,083,110
Revenue Bonds, Caritas Christi Obligated Group, Series 2002B,
6.250%, 7/01/22
935 Massachusetts Health and Educational Facilities Authority, Revenue 8/15 at 100.00 AA 957,365
Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 -
RAAI Insured
1,000 Massachusetts Health and Educational Facilities Authority, Revenue 8/15 at 100.00 AAA 1,050,380
Bonds, Lahey Clinic Medical Center, Series 2005C,
5.000%, 8/15/21 - FGIC Insured
585 Massachusetts Health and Educational Facilities Authority, Revenue 7/17 at 100.00 BBB- 587,966
Bonds, Milford Regional Medical Center, Series 2007E,
5.000%, 7/15/32
1,000 Massachusetts Health and Educational Facilities Authority, Revenue 7/15 at 100.00 BBB- 1,022,420
Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30
1,500 Massachusetts Health and Educational Facilities Authority, Revenue 7/07 at 100.00 AAA 1,501,545
Bonds, New England Medical Center Hospitals, Series 1993G-1,
5.375%, 7/01/24 - MBIA Insured
600 Massachusetts Health and Educational Facilities Authority, Revenue 5/12 at 100.00 AAA 634,392
Bonds, New England Medical Center Hospitals, Series 2002H,
5.375%, 5/15/19 - FGIC Insured
2,000 Massachusetts Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AA 2,143,300
Bonds, Partners HealthCare System Inc., Series 2001C,
5.750%, 7/01/32
375 Massachusetts Health and Educational Facilities Authority, Revenue 7/11 at 100.00 BBB 406,076
Bonds, UMass Memorial Health Care, Series 2001C,
6.625%, 7/01/32
615 Massachusetts Health and Educational Facilities Authority, Revenue 7/15 at 100.00 BBB 618,020
Bonds, UMass Memorial Health Care, Series 2005D,
5.000%, 7/01/33
------------------------------------------------------------------------------------------------------------------------------------
11,860 Total Health Care 12,381,739
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 8.1% (5.4% OF TOTAL INVESTMENTS)
1,335 Massachusetts Development Finance Authority, Multifamily Housing 7/17 at 100.00 AAA 1,329,927
Revenue Bonds, Emerson Manor Project, Series 2007,
4.800%, 7/20/48 (WI/DD, Settling 6/13/07)
1,875 Massachusetts Development Financing Authority, Assisted Living 12/09 at 102.00 N/R 1,955,175
Revenue Bonds, Prospect House Apartments, Series 1999,
7.000%, 12/01/31
335 Massachusetts Housing Finance Agency, Housing Bonds, 6/15 at 100.00 AA- 339,945
Series 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax)
500 Massachusetts Housing Finance Agency, Housing Revenue Bonds, 6/13 at 100.00 AA- 509,580
Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax)
385 Massachusetts Housing Finance Agency, Rental Housing Mortgage 7/10 at 101.00 AAA 399,703
Revenue Bonds, Series 1999D, 5.500%, 7/01/13 -
AMBAC Insured (Alternative Minimum Tax)
1,000 Somerville Housing Authority, Massachusetts, GNMA Collateralized 5/12 at 103.00 AAA 1,050,730
Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002,
5.200%, 11/20/22
------------------------------------------------------------------------------------------------------------------------------------
5,430 Total Housing/Multifamily 5,585,060
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 3.5% (2.4% OF TOTAL INVESTMENTS)
990 Massachusetts Housing Finance Agency, Single Family Housing 6/15 at 100.00 AA 988,436
Revenue Bonds, Series 2006-122, 4.875%, 12/01/37
(Alternative Minimum Tax)
1,500 Massachusetts Housing Finance Agency, Single Family Housing 6/16 at 100.00 AA 1,451,415
Revenue Bonds, Series 2006-126, 4.625%, 6/01/32
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,490 Total Housing/Single Family 2,439,851
------------------------------------------------------------------------------------------------------------------------------------
45
NMT
Nuveen Massachusetts Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 1.2% (0.8% OF TOTAL INVESTMENTS)
$ 415 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R $ 420,536
Resource Recovery Revenue Bonds, Eco/Springfield LLC,
Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)
400 Massachusetts Development Finance Agency, Solid Waste Disposal No Opt. Call BBB 421,056
Revenue Bonds, Waste Management Inc., Series 2003,
5.450%, 6/01/14
------------------------------------------------------------------------------------------------------------------------------------
815 Total Industrials 841,592
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 6.4% (4.3% OF TOTAL INVESTMENTS)
1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, 10/08 at 105.00 AAA 1,361,542
Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31
655 Massachusetts Development Finance Agency, Revenue Bonds, 10/12 at 102.00 BBB- 666,718
Orchard Cove, Series 2007, 5.250%, 10/01/26
1,500 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,648,605
Collateralized Assisted Living Facility Revenue Bonds, Arbors at
Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative
Minimum Tax)
355 Massachusetts Industrial Finance Agency, FHA-Insured Project 8/07 at 101.00 AAA 358,468
Revenue Bonds, Heights Crossing LP, Series 1995,
6.000%, 2/01/15 (Alternative Minimum Tax)
400 Massachusetts Industrial Finance Agency, First Mortgage Revenue 1/11 at 101.00 BBB- 397,928
Bonds, Berkshire Retirement Community, Series 1994B,
4.750%, 7/01/17
------------------------------------------------------------------------------------------------------------------------------------
4,180 Total Long-Term Care 4,433,261
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 16.0% (10.8% OF TOTAL INVESTMENTS)
500 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 Aaa 540,275
5.250%, 5/15/23 - AMBAC Insured
1,250 Boston, Massachusetts, General Obligation Bonds, Series 2005A, 1/15 at 100.00 AA+ 1,337,788
5.000%, 1/01/17
1,000 Fall River, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 AAA 1,055,020
5.000%, 2/01/21 - FSA Insured
2,500 Massachusetts Bay Transportation Authority, General Obligation No Opt. Call AAA 3,055,525
Transportation System Bonds, Series 1991A, 7.000%, 3/01/21
1,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 1,425,501
Series 2001D, 6.000%, 11/01/13 - MBIA Insured
980 Monson, Massachusetts, General Obligation Bonds, Series 2002, 5/12 at 101.00 Aaa 1,040,427
5.250%, 5/15/22 - AMBAC Insured
1,260 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AAA 1,374,307
5.000%, 11/15/20 - FGIC Insured
1,220 Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 7/15 at 100.00 AAA 1,295,725
5.000%, 7/01/19 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
9,985 Total Tax Obligation/General 11,124,568
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 15.0% (10.1% OF TOTAL INVESTMENTS)
210 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA 219,923
Series 2004, 5.000%, 5/01/26 - AMBAC Insured
940 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/15 at 100.00 AAA 1,001,673
Series 2005A, 5.000%, 7/01/18
385 Massachusetts Bay Transportation Authority, Senior Lien Sales Tax No Opt. Call AAA 427,851
Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21
1,000 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/18 at 100.00 AAA 1,064,340
Revenue Bonds, Series 2006, 5.000%, 7/01/26
550 Massachusetts College Building Authority, Project Revenue Bonds, 5/14 at 100.00 AAA 579,871
Series 2004A, 5.000%, 5/01/19 - MBIA Insured
325 Massachusetts College Building Authority, Project Revenue Bonds, 5/16 at 100.00 AAA 341,322
Series 2006A, 5.000%, 5/01/31 - AMBAC Insured
1,000 Massachusetts College Building Authority, Project Revenue No Opt. Call AAA 1,126,030
Refunding Bonds, Series 2003B, 5.375%, 5/01/23 -
XLCA Insured
46
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED (continued)
$ 1,300 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA $ 1,377,961
Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured
540 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AAA 582,692
Series 2005, 5.000%, 1/01/20 - FGIC Insured
1,000 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aaa 1,060,920
Highway Grant Anticipation Note Program, Series 2003A,
5.000%, 12/15/13 - FSA Insured
1,000 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 1,129,450
Revenue Bonds, Series 2007N, 5.250%, 7/01/30 -
AMBAC Insured
240 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 45,614
Revenue Bonds, Series 2005A, 0.000%, 7/01/43 -
AMBAC Insured
1,300 Puerto Rico, Highway Revenue Bonds, Highway and Transportation No Opt. Call AAA 1,472,679
Authority, Series 2003AA, 5.500%, 7/01/19 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
9,790 Total Tax Obligation/Limited 10,430,326
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 11.8% (7.9% OF TOTAL INVESTMENTS)
2,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 2,079,600
5.000%, 7/01/33 - MBIA Insured
1,700 Massachusetts Port Authority, Revenue Bonds, Series 2005A, 7/15 at 100.00 AAA 1,791,749
5.000%, 7/01/23 - AMBAC Insured
225 Massachusetts Port Authority, Special Facilities Revenue Bonds, 1/11 at 101.00 AAA 228,665
Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 -
AMBAC Insured (Alternative Minimum Tax)
4,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 9/07 at 101.00 AAA 4,086,320
US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 -
MBIA Insured (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
7,925 Total Transportation 8,186,334
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 25.0% (16.8% OF TOTAL INVESTMENTS) (4)
2,500 Massachusetts Development Finance Authority, GNMA 10/11 at 105.00 AAA 2,906,075
Collateralized Revenue Bonds, VOA Concord Assisted Living Inc.,
Series 2000A, 6.900%, 10/20/41 (Pre-refunded 10/20/11)
500 Massachusetts Development Finance Authority, Revenue Bonds, 9/11 at 101.00 A (4) 533,205
Belmont Hills School, Series 2001, 5.375%, 9/01/23
(Pre-refunded 9/01/11)
410 Massachusetts Health and Educational Facilities Authority, 7/21 at 100.00 AAA 444,817
Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25
(Pre-refunded 7/01/21) - MBIA Insured
1,500 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 AAA 1,580,850
Revenue Bonds, University of Massachusetts - Worcester
Campus, Series 2001B, 5.250%, 10/01/31 (Pre-refunded 10/01/11) -
FGIC Insured
2,300 Massachusetts Industrial Finance Agency, Revenue Bonds, 9/08 at 101.00 A (4) 2,365,136
Belmont Hill School, Series 1998, 5.250%, 9/01/28
(Pre-refunded 9/01/08)
705 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/07 at 100.00 AAA 904,240
13.000%, 7/01/13 (ETM)
1,440 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 Aaa 1,527,221
Program Bonds, Series 9, 5.000%, 8/01/22
(Pre-refunded 8/01/13)
1,250 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 AA (4) 1,327,550
Series 2004B, 5.000%, 8/01/24 (Pre-refunded 8/01/14)
1,500 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 AAA 1,607,985
Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) -
FGIC Insured
1,615 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 1,725,305
Series 2003, 5.250%, 1/15/23 (Pre-refunded 1/15/13) -
MBIA Insured
1,200 University of Massachusetts Building Authority, Senior Lien Project 11/13 at 100.00 AAA 1,292,196
Revenue Bonds, Series 2003-1, 5.250%, 11/01/18
(Pre-refunded 11/01/13) - AMBAC Insured
47
NMT
Nuveen Massachusetts Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED (4) (continued)
$ 1,000 University of Massachusetts Building Authority, Senior Lien Project 11/14 at 100.00 AAA $ 1,086,520
Revenue Bonds, Series 2004-1, 5.250%, 11/01/24
(Pre-refunded 11/01/14) - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
15,920 Total U.S. Guaranteed 17,301,100
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 3.0% (2.0% OF TOTAL INVESTMENTS)
1,000 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AAA 1,074,430
Revenue Bonds, SEMass System, Series 2001A,
5.625%, 1/01/16 - MBIA Insured
1,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 1,034,610
Revenue Refunding Bonds, Ogden Haverhill Project,
Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,000 Total Utilities 2,109,040
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 11.0% (7.4% OF TOTAL INVESTMENTS)
2,000 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 2,097,740
General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25
285 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/14 at 100.00 AAA 297,534
Program Bonds, Series 10, 5.000%, 8/01/26
750 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 746,310
Program Bonds, Series 11, 4.500%, 8/01/29
1,000 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 968,040
Program Bonds, Series 12, 4.375%, 8/01/31
60 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 AAA 62,647
Program Bonds, Series 9, 5.000%, 8/01/22
1,250 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 1,321,312
MWRA Loan Program, Series 2002A, 5.250%, 8/01/20
1,500 Massachusetts Water Resources Authority, General Revenue 8/17 at 100.00 AAA 1,587,554
Bonds, Series 2005A, 5.000%, 8/01/28 - MBIA Insured
625 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 541,180
Bonds, Series 2006A, 4.000%, 8/01/46
------------------------------------------------------------------------------------------------------------------------------------
7,470 Total Water and Sewer 7,622,317
------------------------------------------------------------------------------------------------------------------------------------
$ 94,715 Total Long-Term Investments (cost $96,864,892) - 144.4% 100,119,672
=============-----------------------------------------------------------------------------------------------------------------------
48
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 4.3% (2.9% OF TOTAL INVESTMENTS)
$ 2,950 Puerto Rico Government Development Bank, Adjustable Refunding VMIG-1 $ 2,950,000
Bonds, Variable Rate Demand Obligations, Series 1985,
3.610%, 12/01/15 - MBIA Insured (5)
------------------------------------------------------------------------------------------------------------------------------------
$ 2,950 Total Short-Term Investments (cost $2,950,000) 2,950,000
=============-----------------------------------------------------------------------------------------------------------------------
Total Investments (cost $99,814,892) - 148.7% 103,069,672
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 0.3% 253,824
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (49.0)% (34,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 69,323,496
====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED
NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION
COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (6) DATE (DEPRECIATION)
------------------------------------------------------------------------------------------------------------------------------------
JPMorgan $1,250,000 Pay 3-Month USD-LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $(39,197)
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
The Fund may invest in "zero coupon" securities. A zero
coupon security does not pay a regular interest coupon
to its holders during the life of the security.
Tax-exempt income to the holder of the security comes
from accretion of the difference between the original
purchase price of the security at issuance and the par
value of the security at maturity and is effectively
paid at maturity. Such securities are included in the
portfolio with a 0.00% coupon rate in their
description. The market prices of zero coupon
securities generally are more volatile than the market
prices of securities that pay interest periodically.
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Optional Call Provisions (not covered by the report of
independent registered public accounting firm): Dates
(month and year) and prices of the earliest optional
call or redemption. There may be other call provisions
at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic
principal paydowns.
(3) Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating. Ratings below BBB
by Standard & Poor's Group or Baa by Moody's Investor
Service, Inc. are considered to be below investment
grade.
(4) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which
ensure the timely payment of principal and interest.
Such investments are normally considered to be
equivalent to AAA rated securities.
(5) Investment has a maturity of more than one year, but
has variable rate and demand features which qualify it
as a short-term investment. The rate disclosed is that
in effect at the end of the reporting period. This rate
changes periodically based on market conditions or a
specified market index.
(6) Effective date represents the date on which both the
Fund and counterparty commence interest payment
accruals on each forward swap contract.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
(ETM) Escrowed to maturity.
See accompanying notes to financial statements.
49
NMB
Nuveen Massachusetts Dividend Advantage Municipal Fund
Portfolio of INVESTMENTS
as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.8% (1.2% OF TOTAL INVESTMENTS)
$ 495 Boston Industrial Development Financing Authority, 9/12 at 102.00 Ba3 $ 512,582
Massachusetts, Senior Revenue Bonds, Crosstown Center
Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 27.1% (18.4% OF TOTAL INVESTMENTS)
450 Massachusetts Development Finance Agency, Revenue Bonds, 9/15 at 100.00 AAA 467,690
Western New England College, Series 2005A, 5.000%, 9/01/33 -
AGC Insured
495 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 512,444
Massachusetts College of Pharmacy and Allied Health Sciences,
Series 2005D, 5.000%, 7/01/27 - AGC Insured
500 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 AA- 529,905
Milton Academy, Series 2003A, 5.000%, 9/01/19
1,000 Massachusetts Development Finance Authority, Revenue Refunding 5/29 at 105.00 A3 1,201,120
Bonds, Boston University, Series 1999P, 6.000%, 5/15/59
1,085 Massachusetts Educational Finance Authority, Educational Loan 7/10 at 100.00 AAA 1,110,660
Revenue Bonds, Series 2001E, 5.300%, 1/01/16 - AMBAC Insured
(Alternative Minimum Tax)
1,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,064,720
Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18
2,000 Massachusetts Health and Educational Facilities Authority, 2/11 at 100.00 AA- 2,100,840
Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36
590 Massachusetts Health and Educational Facilities Authority, 7/16 at 100.00 AA+ 620,538
Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31
250 University of Massachusetts Building Authority, Senior Lien No Opt. Call AAA 267,655
Project Revenue Bonds, Series 2005-1, 5.000%, 5/01/15 -
AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
7,370 Total Education and Civic Organizations 7,875,572
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 21.1% (14.3% OF TOTAL INVESTMENTS)
500 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 535,030
Revenue Bonds, Berkshire Health System, Series 2001E,
6.250%, 10/01/31
250 Massachusetts Health and Educational Facilities Authority, 1/09 at 101.00 BBB 255,973
Revenue Bonds, Caritas Christi Obligated Group, Series 1999A,
5.625%, 7/01/20
375 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A 402,956
Revenue Bonds, Covenant Health Systems Obligated Group,
Series 2002, 6.000%, 7/01/31
315 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AA 322,535
Revenue Bonds, Emerson Hospital, Series 2005E,
5.000%, 8/15/35 - RAAI Insured
600 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AAA 630,228
Revenue Bonds, Lahey Clinic Medical Center, Series 2005C,
5.000%, 8/15/21 - FGIC Insured
290 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 291,470
Revenue Bonds, Milford Regional Medical Center, Series 2007E,
5.000%, 7/15/32
500 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 511,210
Revenue Bonds, Milton Hospital Project, Series 2005D,
5.250%, 7/01/30
500 Massachusetts Health and Educational Facilities Authority, 7/14 at 100.00 BB- 531,130
Revenue Bonds, Northern Berkshire Community Services Inc.,
Series 2004B, 6.375%, 7/01/34
1,000 Massachusetts Health and Educational Facilities Authority, 7/09 at 101.00 AA 1,027,000
Revenue Bonds, Partners HealthCare System Inc., Series 1999B,
5.125%, 7/01/19
50
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (continued)
$ 1,000 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA $ 1,071,650
Revenue Bonds, Partners HealthCare System Inc., Series 2001C,
5.750%, 7/01/32
500 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 541,435
Revenue Bonds, UMass Memorial Health Care, Series 2001C,
6.625%, 7/01/32
------------------------------------------------------------------------------------------------------------------------------------
5,830 Total Health Care 6,120,617
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 12.1% (8.2% OF TOTAL INVESTMENTS)
570 Massachusetts Development Finance Authority, Multifamily 7/17 at 100.00 AAA 567,834
Housing Revenue Bonds, Emerson Manor Project, Series 2007,
4.800%, 7/20/48 (WI/DD, Settling 6/13/07)
135 Massachusetts Housing Finance Agency, Housing Bonds, 6/15 at 100.00 AA- 136,993
Series 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax)
500 Massachusetts Housing Finance Agency, Housing Revenue Bonds, 6/13 at 100.00 AA- 509,580
Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax)
1,215 Massachusetts Housing Finance Agency, Rental Housing 1/11 at 100.00 AAA 1,249,919
Mortgage Revenue Bonds, Series 2001A, 5.850%, 7/01/35 -
AMBAC Insured (Alternative Minimum Tax)
1,000 Somerville Housing Authority, Massachusetts, GNMA Collateralized 5/12 at 103.00 AAA 1,050,730
Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002,
5.200%, 11/20/22
------------------------------------------------------------------------------------------------------------------------------------
3,420 Total Housing/Multifamily 3,515,056
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 3.5% (2.4% OF TOTAL INVESTMENTS)
395 Massachusetts Housing Finance Agency, Single Family Housing 6/15 at 100.00 AA 394,376
Revenue Bonds, Series 2006-122, 4.875%, 12/01/37
(Alternative Minimum Tax)
650 Massachusetts Housing Finance Agency, Single Family Housing 6/16 at 100.00 AA 628,947
Revenue Bonds, Series 2006-126, 4.625%, 6/01/32
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,045 Total Housing/Single Family 1,023,323
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 1.3% (0.9% OF TOTAL INVESTMENTS)
195 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 197,601
Resource Recovery Revenue Bonds, Eco/Springfield LLC,
Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)
200 Massachusetts Development Finance Agency, Solid Waste Disposal No Opt. Call BBB 210,528
Revenue Bonds, Waste Management Inc., Series 2003,
5.450%, 6/01/14
------------------------------------------------------------------------------------------------------------------------------------
395 Total Industrials 408,129
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 7.2% (4.9% OF TOTAL INVESTMENTS)
285 Massachusetts Development Finance Agency, Revenue Bonds, 10/12 at 102.00 BBB- 290,099
Orchard Cove, Series 2007, 5.250%, 10/01/26
655 Massachusetts Development Finance Authority, First Mortgage 7/11 at 102.00 BBB- 714,782
Revenue Bonds, Berkshire Retirement Community - Edgecombe
Project, Series 2001A, 6.750%, 7/01/21
1,000 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,099,070
Collateralized Assisted Living Facility Revenue Bonds, Arbors
at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative
Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,940 Total Long-Term Care 2,103,951
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 14.8% (10.0% OF TOTAL INVESTMENTS)
310 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 Aaa 334,971
5.250%, 5/15/23 - AMBAC Insured
2,000 Brookline, Massachusetts, General Obligation Bonds, Series 2000, 4/10 at 101.00 Aaa 2,098,860
5.375%, 4/01/17
440 Fall River, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 AAA 464,209
5.000%, 2/01/21 - FSA Insured
750 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AA 846,293
Series 2002D, 5.500%, 8/01/19
500 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AAA 545,360
5.000%, 11/15/20 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
4,000 Total Tax Obligation/General 4,289,693
------------------------------------------------------------------------------------------------------------------------------------
51
NMB
Nuveen Massachusetts Dividend Advantage Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 15.3% (10.3% OF TOTAL INVESTMENTS)
$ 395 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA $ 413,664
Series 2004, 5.000%, 5/01/26 - AMBAC Insured
210 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/10 at 100.00 AAA 217,413
Series 2000A, 5.250%, 7/01/30
450 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/15 at 100.00 AAA 479,525
Series 2005A, 5.000%, 7/01/18
385 Massachusetts Bay Transportation Authority, Senior Lien Sales No Opt. Call AAA 427,851
Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21
230 Massachusetts College Building Authority, Project Revenue Bonds, 5/14 at 100.00 AAA 242,491
Series 2004A, 5.000%, 5/01/19 - MBIA Insured
250 Massachusetts College Building Authority, Project Revenue Bonds, 5/16 at 100.00 AAA 262,555
Series 2006A, 5.000%, 5/01/31 - AMBAC Insured
500 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA 529,985
Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured
500 Massachusetts School Building Authority, Dedicated Sales Tax 8/17 at 100.00 AAA 511,545
Revenue Bonds, Series 2007A, 4.750%, 8/15/32 -
AMBAC Insured
230 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AAA 248,184
Series 2005, 5.000%, 1/01/20 - FGIC Insured
500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 564,725
Revenue Bonds, Series 2007N, 5.250%, 7/01/30 -
AMBAC Insured
500 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 539,680
Loan Note, Series 1999A, 6.375%, 10/01/19
------------------------------------------------------------------------------------------------------------------------------------
4,150 Total Tax Obligation/Limited 4,437,618
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 6.4% (4.3% OF TOTAL INVESTMENTS)
800 Massachusetts Port Authority, Revenue Bonds, Series 2005A, 7/15 at 100.00 AAA 843,176
5.000%, 7/01/23 - AMBAC Insured
1,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 7/07 at 102.00 AAA 1,021,020
BOSFUEL Corporation, Series 1997, 5.500%, 7/01/18 -
MBIA Insured (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,800 Total Transportation 1,864,196
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 17.3% (11.7% OF TOTAL INVESTMENTS) (4)
1,000 Boston, Massachusetts, General Obligation Bonds, Series 2001A, 2/11 at 100.00 AA+ (4) 1,039,440
5.000%, 2/01/20 (Pre-refunded 2/01/11)
1,675 Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 2/11 at 100.00 Aaa 1,741,062
5.000%, 2/01/21 (Pre-refunded 2/01/11) - AMBAC Insured
500 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 AA (4) 531,020
Series 2004B, 5.000%, 8/01/24 (Pre-refunded 8/01/14)
750 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 AAA 803,993
Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) -
FGIC Insured
600 University of Massachusetts Building Authority, Senior Lien 11/13 at 100.00 AAA 646,098
Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18
(Pre-refunded 11/01/13) - AMBAC Insured
250 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 271,630
Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24
(Pre-refunded 11/01/14) - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
4,775 Total U.S. Guaranteed 5,033,243
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 5.7% (3.9% OF TOTAL INVESTMENTS)
1,070 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AAA 1,148,720
Revenue Bonds, SEMass System, Series 2001A,
5.625%, 1/01/14 - MBIA Insured
500 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 517,305
Revenue Refunding Bonds, Ogden Haverhill Project,
Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,570 Total Utilities 1,666,025
------------------------------------------------------------------------------------------------------------------------------------
52
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 14.0% (9.5% OF TOTAL INVESTMENTS)
$ 530 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA $ 555,901
General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25
125 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 136,301
System Revenue Bonds, Series 2005, 6.000%, 7/01/25
500 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 497,540
Program Bonds, Series 11, 4.500%, 8/01/29
400 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 387,216
Program Bonds, Series 12, 4.375%, 8/01/31
500 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 528,524
MWRA Loan Program, Series 2002A, 5.250%, 8/01/20
1,405 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/09 at 101.00 AAA 1,471,034
MWRA Loan Program, Subordinate Series 1999A,
5.750%, 8/01/29
250 Massachusetts Water Resources Authority, General Revenue 8/17 at 100.00 AAA 264,592
Bonds, Series 2005A, 5.000%, 8/01/28 - MBIA Insured
250 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 216,472
Bonds, Series 2006A, 4.000%, 8/01/46
------------------------------------------------------------------------------------------------------------------------------------
3,960 Total Water and Sewer 4,057,580
------------------------------------------------------------------------------------------------------------------------------------
$ 40,750 Total Investments (cost $41,590,201) - 147.6% 42,907,585
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 4.0% 1,164,200
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (51.6)% (15,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 29,071,785
====================================================================================================================
FORWARD SWAPS OUTSTANDING AT MAY 31, 2007:
FUND FIXED RATE UNREALIZED
NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION
COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (5) DATE (DEPRECIATION)
------------------------------------------------------------------------------------------------------------------------------------
JPMorgan $500,000 Pay 3-Month USD-LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $(15,679)
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Optional Call Provisions (not covered by the report of
independent registered public accounting firm): Dates
(month and year) and prices of the earliest optional
call or redemption. There may be other call provisions
at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic
principal paydowns.
(3) Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating. Ratings below BBB
by Standard & Poor's Group or Baa by Moody's Investor
Service, Inc. are considered to be below investment
grade.
(4) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which
ensure the timely payment of principal and interest.
Such investments are normally considered to be
equivalent to AAA rated securities.
(5) Effective date represents the date on which both the
Fund and counterparty commence interest payment
accruals on each forward swap contract.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
See accompanying notes to financial statements.
53
NGX
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund
Portfolio of INVESTMENTS
as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 15.2% (10.0% OF TOTAL INVESTMENTS)
$ 500 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A3 $ 561,280
Massachusetts College of Pharmacy and Allied Health Sciences,
Series 2003C, 6.375%, 7/01/23
1,250 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 A1 1,284,663
Middlesex School, Series 2003, 5.000%, 9/01/33
2,500 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,595,750
Revenue Bonds, Boston College, Series 2003N, 5.125%, 6/01/37
1,500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 AAA 1,556,070
Revenue Bonds, Worcester State College, Series 2002,
5.000%, 11/01/32 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
5,750 Total Education and Civic Organizations 5,997,763
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 10.5% (6.9% OF TOTAL INVESTMENTS)
500 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 513,330
Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 -
MBIA Insured
585 Massachusetts Health and Educational Facilities Authority, Revenue 7/17 at 100.00 BBB- 587,966
Bonds, Milford Regional Medical Center, Series 2007E,
5.000%, 7/15/32
200 Massachusetts Health and Educational Facilities Authority, Revenue 7/15 at 100.00 BBB- 204,484
Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30
2,500 Massachusetts Health and Educational Facilities Authority, Revenue 5/12 at 100.00 AAA 2,590,850
Bonds, New England Medical Center Hospitals, Series 2002H,
5.000%, 5/15/25 - FGIC Insured
250 Massachusetts Health and Educational Facilities Authority, Revenue 7/15 at 100.00 BBB 251,228
Bonds, UMass Memorial Health Care, Series 2005D,
5.000%, 7/01/33
------------------------------------------------------------------------------------------------------------------------------------
4,035 Total Health Care 4,147,858
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 10.4% (6.8% OF TOTAL INVESTMENTS)
775 Massachusetts Development Finance Authority, Multifamily Housing 7/17 at 100.00 AAA 772,055
Revenue Bonds, Emerson Manor Project, Series 2007,
4.800%, 7/20/48 (WI/DD, Settling 6/13/07)
2,000 Massachusetts Housing Finance Agency, Housing Bonds, 12/12 at 100.00 AA- 2,025,320
Series 2003H, 5.125%, 6/01/43
1,265 Massachusetts Housing Finance Agency, Rental Housing 7/12 at 100.00 AAA 1,288,162
Mortgage Revenue Bonds, Series 2002H, 5.200%, 7/01/42 -
FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
4,040 Total Housing/Multifamily 4,085,537
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 4.9% (3.3% OF TOTAL INVESTMENTS)
1,750 Massachusetts Development Finance Authority, GNMA 12/12 at 105.00 AAA 1,951,565
Collateralized Revenue Bonds, Neville Communities,
Series 2002A, 6.000%, 6/20/44
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 26.9% (17.7% OF TOTAL INVESTMENTS)
1,280 Littleton, Massachusetts, General Obligation Bonds, Series 2003, 1/13 at 101.00 AAA 1,349,760
5.000%, 1/15/21 - FGIC Insured
1,000 Malden, Massachusetts, General Obligation Bonds, Series 2005, No Opt. Call AAA 1,080,280
5.000%, 8/01/16 - FGIC Insured
3,000 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,335,278
Series 2004B, 5.250%, 8/01/21 - FSA Insured
1,025 Maynard, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 Aaa 1,111,213
5.500%, 2/01/19 - MBIA Insured
1,705 North Attleborough, Massachusetts, General Obligation Bonds, 7/14 at 101.00 Aaa 1,831,767
Series 2004, 5.000%, 7/15/15 - FGIC Insured
54
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL (continued)
$ 1,500 Pittsfield, Massachusetts, General Obligation Bonds, 4/12 at 101.00 AAA $ 1,576,410
Series 2002, 5.000%, 4/15/18 - MBIA Insured
300 Woburn, Massachusetts, General Obligation Bonds, 11/15 at 100.00 Aaa 320,670
Series 2005, 5.000%, 11/15/19 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
9,810 Total Tax Obligation/General 10,605,378
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 26.9% (17.7% OF TOTAL INVESTMENTS)
3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/13 at 100.00 AAA 3,116,520
Series 2002, 5.000%, 5/01/32 - AMBAC Insured
2,790 Massachusetts College Building Authority, Project Revenue 5/13 at 100.00 AAA 2,944,203
Refunding Bonds, Series 2003A, 5.250%, 5/01/22 -
XLCA Insured
Massachusetts Development Finance Authority, Revenue Bonds, 100
Cambridge Street Redevelopment, M/SRBC Project, Series 2002A:
1,475 5.125%, 8/01/28 - MBIA Insured 2/12 at 100.00 AAA 1,531,552
1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AAA 1,557,510
1,100 Massachusetts School Building Authority, Dedicated Sales Tax 8/17 at 100.00 AAA 1,125,399
Revenue Bonds, Series 2007A, 4.750%, 8/15/32 - AMBAC Insured
300 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AAA 323,718
Series 2005, 5.000%, 1/01/20 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
10,165 Total Tax Obligation/Limited 10,598,902
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 2.7% (1.8% OF TOTAL INVESTMENTS)
1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 1,039,800
5.000%, 7/01/33 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 40.8% (26.9% OF TOTAL INVESTMENTS) (4)
2,000 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/12 at 100.00 AAA 2,103,800
Revenue Refunding Bonds, Series 2002A, 5.000%, 7/01/27
(Pre-refunded 7/01/12) - FGIC Insured
705 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/07 at 100.00 AAA 904,240
13.000%, 7/01/13 (ETM)
2,000 Massachusetts, General Obligation Bonds, Consolidated Loan, 11/11 at 100.00 AAA 2,089,640
Series 2001D, 5.000%, 11/01/20 (Pre-refunded 11/01/11) -
MBIA Insured
2,145 Massachusetts, General Obligation Bonds, Consolidated Loan, 1/13 at 100.00 AAA 2,283,975
Series 2003A, 5.250%, 1/01/18 (Pre-refunded 1/01/13) -
AMBAC Insured
1,000 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 AAA 1,071,990
Series 2004, 5.250%, 1/01/21 (Pre-refunded 1/01/14) -
FGIC Insured
1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,579,395
Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) -
FSA Insured
500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/12 at 101.00 AAA 534,115
Series 2002II, 5.125%, 7/01/26 (Pre-refunded 7/01/12) -
FSA Insured
3,000 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 3,204,900
Series 2003, 5.250%, 1/15/22 (Pre-refunded 1/15/13) -
MBIA Insured
2,140 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 2,342,251
Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21
(Pre-refunded 11/01/14) - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
14,990 Total U.S. Guaranteed 16,114,306
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 13.5% (8.9% OF TOTAL INVESTMENTS)
1,900 Lynn Water and Sewer Commission, Massachusetts, General 12/13 at 100.00 AAA 1,980,199
Revenue Bonds, Series 2003A, 5.000%, 12/01/32 - MBIA Insured
600 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 580,824
Program Bonds, Series 12, 4.375%, 8/01/31
55
NGX
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER (continued)
$ 1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA $ 1,104,700
Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured
1,000 Massachusetts Water Resources Authority, General Revenue 8/13 at 100.00 AAA 1,043,010
Bonds, Series 2004D, 5.000%, 8/01/24 - MBIA Insured
125 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 108,236
Bonds, Series 2006A, 4.000%, 8/01/46
495 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 AAA 525,725
General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 -
MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
5,120 Total Water and Sewer 5,342,694
------------------------------------------------------------------------------------------------------------------------------------
$ 56,660 Total Investments (cost $58,097,568) - 151.8% 59,883,803
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 0.2% 74,380
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (52.0)% (20,500,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 39,458,183
====================================================================================================================
At least 80% of the Fund's net assets (including net
assets attributable to Preferred shares) are invested
in municipal securities that are either covered by
Original Issue Insurance, Secondary Market Insurance or
Portfolio Insurance which ensures the timely payment of
principal and interest. Up to 20% of the Fund's net
assets (including net assets attributable to Preferred
shares) may be invested in municipal securities that
are (i) either backed by an escrow or trust containing
sufficient U.S. Government or U.S. Government agency
securities (also ensuring the timely payment of
principal and interest), or (ii) rated, at the time of
investment, within the four highest grades (Baa or BBB
or better by Moody's, S&P or Fitch) or unrated but
judged to be of comparable quality by the Adviser.
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Optional Call Provisions (not covered by the report of
independent registered public accounting firm): Dates
(month and year) and prices of the earliest optional
call or redemption. There may be other call provisions
at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic
principal paydowns.
(3) Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating. Ratings below BBB
by Standard & Poor's Group or Baa by Moody's Investor
Service, Inc. are considered to be below investment
grade.
(4) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which
ensure the timely payment of principal and interest.
WI/DD Purchased on a when-issued or delayed delivery basis.
(ETM) Escrowed to maturity.
See accompanying notes to financial statements.
56
NOM
Nuveen Missouri Premium Income Municipal Fund
Portfolio of INVESTMENTS
as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 3.3% (2.2% OF TOTAL INVESTMENTS)
$ 1,000 Missouri Development Finance Board, Solid Waste Disposal No Opt. Call AA- $ 1,088,460
Revenue Bonds, Procter and Gamble Inc., Series 1999,
5.200%, 3/15/29 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 2.7% (1.8% OF TOTAL INVESTMENTS)
500 Missouri Health and Educational Facilities Authority, Revenue 2/08 at 101.00 A3 509,410
Bonds, St. Louis Priory School, Series 2000, 5.650%, 2/01/25
365 Missouri Health and Educational Facilities Authority, Revenue 4/11 at 100.00 Aaa 385,385
Bonds, Webster University, Series 2001, 5.500%, 4/01/18 -
MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
865 Total Education and Civic Organizations 894,795
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 19.0% (12.4% OF TOTAL INVESTMENTS)
710 Cape Girardeau County Industrial Development Authority, Missouri, 6/17 at 100.00 N/R 720,891
Health Facilities Revenue Bonds, Southeast Missouri Hospital
Association, Series 2007, 5.000%, 6/01/27
480 Clinton County Industrial Development Authority, Missouri, Revenue 12/17 at 100.00 N/R 477,024
Bonds, Cameron Regional Medical Center, Series 2007,
5.000%, 12/01/37
750 Joplin Industrial Development Authority, Missouri, Health Facilities 2/15 at 102.00 BBB+ 795,975
Revenue Bonds, Freeman Health System, Series 2004,
5.500%, 2/15/29
500 Missouri Health & Educational Facilities Authority, Saint Lukes 6/11 at 101.00 AAA 520,825
Episcopal-Presbyterian Hospitals Revenue Bonds, Series 2001,
5.250%, 12/01/26 - FSA Insured
Missouri Health and Educational Facilities Authority, Revenue
Bonds, BJC Health System, Series 2003:
1,500 5.125%, 5/15/25 5/13 at 100.00 AA 1,546,500
1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,200,703
425 Missouri Health and Educational Facilities Authority, Revenue 8/07 at 101.00 BBB+ 429,883
Bonds, Lake Regional Health System, Series 1996,
6.500%, 2/15/21
500 Missouri Health and Educational Facilities Authority, Revenue 2/14 at 100.00 BBB+ 529,025
Bonds, Lake Regional Health System, Series 2003,
5.700%, 2/15/34
------------------------------------------------------------------------------------------------------------------------------------
6,020 Total Health Care 6,220,826
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 6.8% (4.5% OF TOTAL INVESTMENTS)
550 Missouri Housing Development Commission, Multifamily Housing 12/11 at 100.00 AA 569,965
Revenue Bonds, Series 2001II, 5.250%, 12/01/16
500 St. Charles County Industrial Development Authority, Missouri, 4/08 at 102.00 AAA 506,965
FHA-Insured Multifamily Housing Revenue Bonds, Ashwood
Apartments, Series 1998A, 5.600%, 4/01/30 - FSA Insured
(Alternative Minimum Tax)
545 St. Louis County Industrial Development Authority, Missouri, 10/07 at 102.00 AAA 557,263
GNMA Collateralized Multifamily Housing Revenue Refunding
Bonds, South Summit Apartments, Series 1997A, 5.950%, 4/20/17
600 St. Louis County Industrial Development Authority, Missouri, 10/07 at 102.00 AAA 613,524
GNMA Collateralized Multifamily Housing Revenue Refunding
Bonds, South Summit Apartments, Series 1997B, 6.000%, 10/20/15
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,195 Total Housing/Multifamily 2,247,717
------------------------------------------------------------------------------------------------------------------------------------
57
NOM
Nuveen Missouri Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 8.9% (5.8% OF TOTAL INVESTMENTS)
$ 50 Missouri Housing Development Commission, Single Family 9/07 at 104.00 AAA $ 50,694
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 1995C, 7.250%, 9/01/26 (Alternative Minimum Tax)
110 Missouri Housing Development Commission, Single Family 3/10 at 100.00 AAA 112,028
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax)
750 Missouri Housing Development Commission, Single Family 3/16 at 104.50 AAA 801,195
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 2006E-1, 5.600%, 3/01/37 (Alternative Minimum Tax)
1,000 Missouri Housing Development Commission, Single Family 9/16 at 100.00 AAA 978,580
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 2007A-1, 4.700%, 9/01/27 (Alternative Minimum Tax)
1,000 Missouri Housing Development Commission, Single Family 3/17 at 100.00 AAA 983,230
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 2007C-1, 4.800%, 9/01/38 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,910 Total Housing/Single Family 2,925,727
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 7.0% (4.6% OF TOTAL INVESTMENTS)
1,750 Cole County Industrial Development Authority, Missouri, Revenue 2/14 at 100.00 N/R 1,834,315
Bonds, Lutheran Senior Services - Heisinger Project,
Series 2004, 5.500%, 2/01/35
475 Lees Summit Industrial Development Authority, Missouri, Revenue 8/17 at 100.00 N/R 480,990
Bonds, John Knox Village Obligated Group, Series 2007A,
5.125%, 8/15/32
------------------------------------------------------------------------------------------------------------------------------------
2,225 Total Long-Term Care 2,315,305
------------------------------------------------------------------------------------------------------------------------------------
MATERIALS - 2.4% (1.6% OF TOTAL INVESTMENTS)
750 Sugar Creek, Missouri, Industrial Development Revenue Bonds, 6/13 at 101.00 BBB 789,938
Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 28.4% (18.5% OF TOTAL INVESTMENTS)
300 Branson Reorganized School District R-4, Taney County, Missouri, 3/15 at 100.00 AAA 314,805
General Obligation Bonds, Series 2005, 5.000%, 3/01/25 -
FSA Insured
1,500 Camdenton Reorganized School District R3, Camden County, No Opt. Call AAA 1,610,865
Missouri, General Obligation Bonds, Series 2005,
5.250%, 3/01/24 - FSA Insured
500 Jackson County School District R-7, Lees Summit, Missouri, 3/12 at 100.00 AAA 527,095
General Obligation Refunding and Improvement Bonds,
Series 2002, 5.250%, 3/01/18 - FSA Insured
1,630 North Kansas City School District, Missouri, General Obligation 3/13 at 100.00 AA+ 1,695,901
Bonds, Series 2003A, 5.000%, 3/01/23
1,000 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 1,135,740
Series 2001A, 5.500%, 7/01/20 - MBIA Insured
2,020 Ritenour Consolidated School District, St. Louis County, Missouri, No Opt. Call AAA 2,267,793
General Obligation Bonds, Series 1995, 7.375%, 2/01/12 -
FGIC Insured
1,405 St. Louis Board of Education, Missouri, General Obligation 4/13 at 100.00 AAA 1,473,283
Refunding Bonds, Series 2003A, 5.000%, 4/01/19 - FSA Insured
270 St. Louis County Pattonville School District R3, Missouri, General 3/14 at 100.00 AAA 288,951
Obligation Bonds, Series 2004, 5.250%, 3/01/20 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
8,625 Total Tax Obligation/General 9,314,433
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 30.3% (19.8% OF TOTAL INVESTMENTS)
600 Chesterfield, Missouri, Certificates of Participation, Series 2005, 12/15 at 100.00 Aaa 629,424
5.000%, 12/01/24 - FGIC Insured
80 Cottleville, Missouri, Certificates of Participation, Series 2006, 8/14 at 100.00 N/R 81,549
5.250%, 8/01/31
490 Fenton, Missouri, Tax Increment Revenue Bonds, Gravois Bluffs 4/14 at 100.00 N/R 490,858
Redevelopment Project, Series 2006, 4.500%, 4/01/21
58
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED (continued)
$ 315 Fulton, Missouri, Tax Increment Revenue Bonds, Fulton Commons 6/16 at 100.00 N/R $ 307,204
Redevelopment Project, Series 2006, 5.000%, 6/01/28
475 Kansas City Tax Increment Financing District, Missouri, Tax 6/14 at 102.00 N/R 485,697
Increment Revenue Bonds, Briarcliff West Project, Series 2006A,
5.400%, 6/01/24
415 Missouri Development Finance Board, Independence, Infrastructure 3/16 at 100.00 A+ 425,915
Facilities Revenue Bonds, Crackerneck Creek Project,
Series 2006C, 5.000%, 3/01/28
360 Missouri Development Finance Board, Infrastructure Facilities 6/15 at 100.00 BBB+ 369,065
Revenue Bonds, Branson Landing Project, Series 2005A,
5.000%, 6/01/35
450 Monarch-Chesterfield Levee District, St. Louis County, Missouri, 3/10 at 101.00 AAA 475,709
Levee District Improvement Bonds, Series 1999,
5.750%, 3/01/19 - MBIA Insured
500 Osage Beach, Missouri, Tax Increment Revenue Bonds, Prewitts 5/12 at 102.00 N/R 495,915
Point Transportation Development District, Series 2006,
5.000%, 5/01/23
1,135 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,382,589
Appropriation Bonds, Series 2002E, 6.000%, 8/01/26 -
AGC Insured
200 Riverside Industrial Development Authority, Missouri, Industrial 5/17 at 100.00 A 205,344
Development Revenue Bonds, Riverside Horizon, Series 2007A,
5.000%, 5/01/27 - ACA Insured
600 Riverside, Missouri, L-385 Levee Redevelopment Plan Tax 5/15 at 100.00 BBB 618,582
Increment Revenue Bonds, Series 2004, 5.250%, 5/01/20
1,380 Springfield Center City Development Corporation, Missouri, 11/11 at 100.00 Aaa 1,430,232
Lease Revenue Bonds, Jordan Valley Park Parking Garage,
Series 2002D, 5.000%, 11/01/22 - AMBAC Insured
2,000 Springfield Public Building Corporation, Missouri, Lease Revenue 6/10 at 100.00 AAA 2,125,720
Bonds, Jordan Valley Park Projects, Series 2000A,
6.125%, 6/01/21 - AMBAC Insured
400 St. Joseph Industrial Development Authority, Missouri, Tax 11/14 at 100.00 N/R 408,396
Increment Bonds, Shoppes at North Village Project,
Series 2005A, 5.500%, 11/01/27
------------------------------------------------------------------------------------------------------------------------------------
9,400 Total Tax Obligation/Limited 9,932,199
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 4.8% (3.1% OF TOTAL INVESTMENTS)
500 Kansas City, Missouri, Passenger Facility Charge Revenue Bonds, 4/11 at 101.00 AAA 513,965
Kansas City International Airport, Series 2001, 5.000%, 4/01/23 -
AMBAC Insured (Alternative Minimum Tax)
1,000 St. Louis Land Clearance Redevelopment Authority, Missouri, 9/09 at 102.00 N/R 1,049,250
Revenue Refunding and Improvement Bonds, LCRA Parking
Facilities, Series 1999C, 7.000%, 9/01/19
------------------------------------------------------------------------------------------------------------------------------------
1,500 Total Transportation 1,563,215
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 24.3% (15.8% OF TOTAL INVESTMENTS) (4)
685 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R (4) 757,185
Revenue Bonds, Gravois Bluffs Redevelopment Project,
Series 2002, 6.125%, 10/01/21 (Pre-refunded 10/01/12)
50 Lees Summit Industrial Development Authority, Missouri, Health 8/09 at 101.00 N/R (4) 52,476
Facilities Revenue Bonds, John Knox Village, Series 1999,
6.000%, 8/15/17 (Pre-refunded 8/15/09)
625 Missouri Health and Educational Facilities Authority, Revenue 6/10 at 100.00 Baa2 (4) 673,988
Bonds, Maryville University of St. Louis, Series 2000,
6.750%, 6/15/30 (Pre-refunded 6/15/10)
2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 2,646,723
Bonds, SSM Healthcare System, Series 2001A, 5.250%, 6/01/28
(Pre-refunded 6/01/11) - AMBAC Insured
1,000 Missouri Health and Educational Facilities Authority, Revenue 12/10 at 101.00 A (4) 1,085,100
Bonds, St. Anthony's Medical Center, Series 2000,
6.250%, 12/01/30 (Pre-refunded 12/01/10)
80 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 86,227
General Obligation Bonds, Series 2004, 5.250%, 3/01/20
(Pre-refunded 3/01/14) - FSA Insured
500 St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue No Opt. Call AAA 546,775
Bonds, Series 1993D, 5.650%, 7/01/20
(Alternative Minimum Tax) (ETM)
59
NOM
Nuveen Missouri Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS as of 5-31-07
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED (continued)
$ 1,000 St. Louis Municipal Finance Corporation, Missouri, Leasehold 2/12 at 100.00 Aaa $ 1,078,100
Revenue Bonds, Carnahan Courthouse, Series 2002A,
5.750%, 2/15/16 (Pre-refunded 2/15/12) - FGIC Insured
950 Texas County, Missouri, Hospital Revenue Bonds, Texas County 6/10 at 100.00 N/R (4) 1,037,077
Memorial Hospital, Series 2000, 7.250%, 6/15/25
(Pre-refunded 6/15/10)
------------------------------------------------------------------------------------------------------------------------------------
7,390 Total U.S. Guaranteed 7,963,651
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 15.2% (9.9% OF TOTAL INVESTMENTS)
640 Metropolitan St. Louis Sewerage District, Missouri, Revenue 5/14 at 100.00 AAA 673,971
Bonds, Wastewater System, Series 2004A, 5.000%, 5/01/20 -
MBIA Insured
2,965 Missouri Environmental Improvement and Energy Resources 12/16 at 100.00 AAA 2,884,737
Authority, Water Facility Revenue Bonds, Missouri-American
Water Company, Series 2006, 4.600%, 12/01/36 - AMBAC
Insured (Alternative Minimum Tax) (UB)
1,000 Missouri Environmental Improvement and Energy Resources 1/13 at 100.00 Aaa 1,052,440
Authority, Water Pollution Control and Drinking Water Revenue
Bonds, Series 2003B, 5.125%, 1/01/21
350 Missouri Environmental Improvement and Energy Resources No Opt. Call Aaa 391,559
Authority, Water Pollution Control Revenue Bonds, State Revolving
Fund Program - Kansas City Project, Series 1997C,
6.750%, 1/01/12
------------------------------------------------------------------------------------------------------------------------------------
4,955 Total Water and Sewer 5,002,707
------------------------------------------------------------------------------------------------------------------------------------
$ 47,835 Total Investments (cost $48,605,748) - 153.1% 50,258,973
=============-----------------------------------------------------------------------------------------------------------------------
Floating Rate Obligation - (6.0)% (1,975,000)
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.6% 542,242
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (48.7)% (16,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 32,826,215
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Optional Call Provisions (not covered by the report of
independent registered public accounting firm): Dates
(month and year) and prices of the earliest optional
call or redemption. There may be other call provisions
at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic
principal paydowns.
(3) Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating. Ratings below BBB
by Standard & Poor's Group or Baa by Moody's Investor
Service, Inc. are considered to be below investment
grade.
(4) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which
ensure the timely payment of principal and interest.
Such investments are normally considered to be
equivalent to AAA rated securities.
N/R Not rated.
(ETM) Escrowed to maturity.
(UB) Underlying bond of an inverse floating rate trust
reflected as a financing transaction pursuant to the
provisions of SFAS No. 140.
See accompanying notes to financial statements.
60
Statement of
ASSETS & LIABILITIES
May 31, 2007
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $111,190,476, $55,218,349,
$49,452,258 and $91,413,059, respectively) $113,931,700 $56,953,452 $51,196,511 $93,052,319
Cash 159,574 -- 225,975 395,881
Receivables:
Interest 1,691,539 764,214 656,198 1,336,064
Investments sold 145,000 70,000 -- --
Other assets 8,643 7,713 216 4,535
------------------------------------------------------------------------------------------------------------------------------------
Total assets 115,936,456 57,795,379 52,078,900 94,788,799
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Cash overdraft -- 34,749 -- --
Floating rate obligations -- -- -- --
Payable for investments purchased 317,224 156,012 140,411 395,469
Unrealized depreciation on forward swaps 47,886 37,677 28,258 3,949
Accrued expenses:
Management fees 62,352 21,242 16,944 25,168
Other 35,006 18,782 25,906 31,655
Preferred share dividends payable 22,766 2,672 1,438 7,893
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 485,234 271,134 212,957 464,134
------------------------------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 77,151,222 $38,024,245 $34,365,943 $62,324,665
====================================================================================================================================
Common shares outstanding 5,360,061 2,576,013 2,314,714 4,359,370
====================================================================================================================================
Net asset value per Common share outstanding
(net assets applicable to Common shares,
divided by Common shares outstanding) $ 14.39 $ 14.76 $ 14.85 $ 14.30
====================================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 53,601 $ 25,760 $ 23,147 $ 43,594
Paid-in surplus 74,471,105 36,539,270 32,777,468 61,520,563
Undistributed (Over-distribution of) net investment income (13,624) (44,395) (33,086) (183,233)
Accumulated net realized gain (loss) from investments
and derivative transactions (53,198) (193,816) (117,581) (691,570)
Net unrealized appreciation (depreciation) of investments
and derivative transactions 2,693,338 1,697,426 1,715,995 1,635,311
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 77,151,222 $38,024,245 $34,365,943 $62,324,665
====================================================================================================================================
Authorized shares:
Common Unlimited Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited Unlimited
====================================================================================================================================
See accompanying notes to financial statements.
61
Statement of
ASSETS & LIABILITIES (continued)
May 31, 2007
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $99,814,892, $41,590,201,
$58,097,568 and $48,605,748, respectively) $103,069,672 $42,907,585 $59,883,803 $50,258,973
Cash 311,281 240,649 -- --
Receivables:
Interest 1,556,346 698,413 905,797 745,871
Investments sold 90,000 840,000 75,000 --
Other assets 6,633 7,664 6,101 2,812
------------------------------------------------------------------------------------------------------------------------------------
Total assets 105,033,932 44,694,311 60,870,701 51,007,656
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Cash overdraft -- -- 97,727 147,956
Floating rate obligations -- -- -- 1,975,000
Payable for investments purchased 1,570,792 570,988 776,343 --
Unrealized depreciation on forward swaps 39,197 15,679 -- --
Accrued expenses:
Management fees 55,789 16,275 16,006 26,392
Other 31,616 17,284 20,336 20,368
Preferred share dividends payable 13,042 2,300 2,106 11,725
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 1,710,436 622,526 912,518 2,181,441
------------------------------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 69,323,496 $29,071,785 $39,458,183 $32,826,215
====================================================================================================================================
Common shares outstanding 4,762,396 1,958,685 2,722,095 2,300,050
====================================================================================================================================
Net asset value per Common share outstanding
(net assets applicable to Common shares,
divided by Common shares outstanding) $ 14.56 $ 14.84 $ 14.50 $ 14.27
====================================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 47,624 $ 19,587 $ 27,221 $ 23,001
Paid-in surplus 66,129,814 27,733,890 38,358,608 30,836,066
Undistributed (Over-distribution of) net investment income (55,735) (33,440) (49,118) (29,959)
Accumulated net realized gain (loss) from investments
and derivative transactions (13,790) 50,043 (664,763) 343,882
Net unrealized appreciation (depreciation) of investments
and derivative transactions 3,215,583 1,301,705 1,786,235 1,653,225
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 69,323,496 $29,071,785 $39,458,183 $32,826,215
====================================================================================================================================
Authorized shares:
Common Unlimited Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited Unlimited
====================================================================================================================================
See accompanying notes to financial statements.
62
Statement of
OPERATIONS
Year Ended May 31, 2007
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME $ 5,397,200 $2,716,928 $2,404,565 $4,210,842
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 739,815 367,813 332,100 602,555
Preferred shares -- auction fees 95,750 48,749 43,749 80,001
Preferred shares -- dividend disbursing agent fees 10,000 10,000 10,000 10,000
Shareholders' servicing agent fees and expenses 11,642 1,483 1,317 1,262
Floating rate obligations interest expense and fees -- -- -- --
Custodian's fees and expenses 34,730 23,010 26,469 38,154
Trustees' fees and expenses 2,780 1,424 1,303 2,298
Professional fees 13,893 11,672 11,470 12,941
Shareholders' reports -- printing and mailing expenses 17,968 10,032 10,636 19,635
Stock exchange listing fees 9,791 219 197 371
Investor relations expense 15,979 7,525 6,911 12,359
Other expenses 15,776 13,553 12,370 13,447
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense reimbursement 968,124 495,480 456,522 793,023
Custodian fee credit (18,847) (8,337) (7,395) (11,697)
Expense reimbursement -- (135,231) (152,487) (303,560)
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 949,277 351,912 296,640 477,766
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 4,447,923 2,365,016 2,107,925 3,733,076
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments 72,769 124,379 144,586 (42,201)
Net realized gain (loss) from forward swaps -- -- -- --
Net realized gain (loss) from futures 28,706 (18,408) (2,992) (14,700)
Change in net unrealized appreciation (depreciation) of investments 346,705 38,540 36,334 617,398
Change in net unrealized appreciation (depreciation) of forward swaps (47,886) (37,677) (28,258) (3,949)
------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 400,294 106,834 149,670 556,548
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (1,082,148) (569,903) (499,055) (992,233)
From accumulated net realized gains (74,762) -- (18,854) --
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common shares
from distributions to Preferred shareholders (1,156,910) (569,903) (517,909) (992,233)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common shares
from operations $ 3,691,307 $1,901,947 $1,739,686 $3,297,391
====================================================================================================================================
See accompanying notes to financial statements.
63
Statement of
OPERATIONS (continued)
Year Ended May 31, 2007
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME $ 5,041,884 $2,106,403 $2,768,508 $2,513,392
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 660,465 281,997 383,427 313,236
Preferred shares -- auction fees 85,001 37,500 51,250 40,000
Preferred shares -- dividend disbursing agent fees 10,000 10,000 10,000 10,000
Shareholders' servicing agent fees and expenses 6,810 547 340 4,115
Floating rate obligations interest expense and fees -- -- -- 32,332
Custodian's fees and expenses 30,669 18,999 19,287 21,026
Trustees' fees and expenses 2,595 1,209 1,561 1,219
Professional fees 13,639 11,318 11,830 11,417
Shareholders' reports -- printing and mailing expenses 18,363 9,484 12,598 11,098
Stock exchange listing fees 9,791 166 231 194
Investor relations expense 14,190 5,712 7,816 6,918
Other expenses 14,221 12,673 11,145 12,855
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense reimbursement 865,744 389,605 509,485 464,410
Custodian fee credit (6,084) (6,673) (7,938) (8,606)
Expense reimbursement -- (103,678) (193,166) --
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 859,660 279,254 308,381 455,804
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 4,182,224 1,827,149 2,460,127 2,057,588
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments (13,789) 55,772 27,964 352,272
Net realized gain (loss) from forward swaps -- -- 27,938 --
Net realized gain (loss) from futures -- -- -- --
Change in net unrealized appreciation (depreciation) of investments 713,731 86,124 246,559 (540,979)
Change in net unrealized appreciation (depreciation) of forward swaps (39,197) (15,679) (117,661) --
------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 660,745 126,217 184,800 (188,707)
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (1,116,532) (479,691) (671,046) (524,016)
From accumulated net realized gains (5,552) -- -- (2,414)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common shares
from distributions to Preferred shareholders (1,122,084) (479,691) (671,046) (526,430)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common shares
from operations $ 3,720,885 $1,473,675 $1,973,881 $1,342,451
====================================================================================================================================
See accompanying notes to financial statements.
64
Statement of
CHANGES in NET ASSETS
CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK)
----------------------------- ---------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
5/31/07 5/31/06 5/31/07 5/31/06 5/31/07 5/31/06
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 4,447,923 $ 4,510,683 $ 2,365,016 $ 2,376,879 $ 2,107,925 $ 2,100,792
Net realized gain (loss)
from investments 72,769 1,038,893 124,379 162,050 144,586 168,414
Net realized gain (loss) from
forward swaps -- -- -- (31,610) -- (54,360)
Net realized gain (loss) from
futures 28,706 -- (18,408) -- (2,992) --
Change in net unrealized
appreciation (depreciation)
of investments 346,705 (3,933,261) 38,540 (1,588,460) 36,334 (1,580,479)
Change in net unrealized
appreciation (depreciation)
of forward swaps (47,886) -- (37,677) 33,381 (28,258) 74,208
Distributions to Preferred Shareholders:
From net investment income (1,082,148) (768,349) (569,903) (435,046) (499,055) (388,712)
From accumulated net
realized gains (74,762) (136,473) -- -- (18,854) (21,427)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from operations 3,691,307 711,493 1,901,947 517,194 1,739,686 298,436
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (3,464,778) (3,998,729) (1,872,256) (2,175,963) (1,683,074) (1,906,258)
From accumulated net
realized gains (372,181) (1,198,895) -- -- (85,757) (191,089)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to
Common shares from distributions
to Common shareholders (3,836,959) (5,197,624) (1,872,256) (2,175,963) (1,768,831) (2,097,347)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common shares
issued to shareholders due to
reinvestment of distributions 18,479 235,372 89,571 99,657 43,271 45,455
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
applicable to Common shares
from capital share transactions 18,479 235,372 89,571 99,657 43,271 45,455
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares (127,173) (4,250,759) 119,262 (1,559,112) 14,126 (1,753,456)
Net assets applicable to
Common shares at the
beginning of year 77,278,395 81,529,154 37,904,983 39,464,095 34,351,817 36,105,273
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of year $77,151,222 $77,278,395 $38,024,245 $37,904,983 $34,365,943 $34,351,817
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income at the
end of year $ (13,624) $ 86,674 $ (44,395) $ 32,924 $ (33,086) $ 41,113
====================================================================================================================================
See accompanying notes to financial statements.
65
Statement of
CHANGES in NET ASSETS (continued)
CONNECTICUT MASSACHUSETTS PREMIUM MASSACHUSETTS
DIVIDEND ADVANTAGE 3 (NGO) INCOME (NMT) DIVIDEND ADVANTAGE (NMB)
----------------------------- ---------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
5/31/07 5/31/06 5/31/07 5/31/06 5/31/07 5/31/06
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 3,733,076 $ 3,661,633 $ 4,182,224 $ 4,204,930 $ 1,827,149 $ 1,857,558
Net realized gain (loss)
from investments (42,201) 142,433 (13,789) 555,694 55,772 339,371
Net realized gain (loss) from
forward swaps -- (181,623) -- -- -- (71,318)
Net realized gain (loss) from
futures (14,700) -- -- -- -- --
Change in net unrealized
appreciation (depreciation)
of investments 617,398 (2,545,916) 713,731 (2,946,941) 86,124 (1,392,484)
Change in net unrealized
appreciation (depreciation)
of forward swaps (3,949) 233,665 (39,197) -- (15,679) 70,423
Distributions to
Preferred Shareholders:
From net investment income (992,233) (798,637) (1,116,532) (838,696) (479,691) (323,165)
From accumulated net
realized gains -- -- (5,552) (21,978) -- (37,056)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from operations 3,297,391 511,555 3,720,885 953,009 1,473,675 443,329
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (2,798,715) (3,135,629) (3,183,927) (3,856,188) (1,459,044) (1,664,118)
From accumulated net
realized gains -- -- (23,558) (211,089) -- (379,860)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to
Common shares from distributions
to Common shareholders (2,798,715) (3,135,629) (3,207,485) (4,067,277) (1,459,044) (2,043,978)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common shares
issued to shareholders due to
reinvestment of distributions -- 125,585 33,601 243,110 52,919 65,523
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
applicable to Common shares
from capital share transactions -- 125,585 33,601 243,110 52,919 65,523
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets applicable
to Common shares 498,676 (2,498,489) 547,001 (2,871,158) 67,550 (1,535,126)
Net assets applicable
to Common shares at the
beginning of year 61,825,989 64,324,478 68,776,495 71,647,653 29,004,235 30,539,361
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of year $62,324,665 $61,825,989 $69,323,496 $68,776,495 $29,071,785 $29,004,235
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income at the
end of year $ (183,233) $ (125,361) $ (55,735) $ 62,905 $ (33,440) $ 78,410
====================================================================================================================================
See accompanying notes to financial statements.
66
INSURED MASSACHUSETTS MISSOURI PREMIUM
TAX-FREE ADVANTAGE (NGX) INCOME (NOM)
---------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
5/31/07 5/31/06 5/31/07 5/31/06
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 2,460,127 $ 2,456,151 $ 2,057,588 $ 2,085,068
Net realized gain (loss) from investments 27,964 143,049 352,272 65,625
Net realized gain (loss) from forward swaps 27,938 (256,863) -- --
Net realized gain (loss) from futures -- -- -- --
Change in net unrealized appreciation
(depreciation) of investments 246,559 (1,806,995) (540,979) (1,267,962)
Change in net unrealized appreciation
(depreciation) of forward swaps (117,661) 477,230 -- --
Distributions to Preferred Shareholders:
From net investment income (671,046) (544,231) (524,016) (388,654)
From accumulated net realized gains -- -- (2,414) (26,592)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from operations 1,973,881 468,341 1,342,451 467,485
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (1,694,504) (1,943,091) (1,656,219) (1,919,195)
From accumulated net realized gains -- -- (11,028) (220,543)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to
Common shares from distributions
to Common shareholders (1,694,504) (1,943,091) (1,667,247) (2,139,738)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common shares
issued to shareholders due to
reinvestment of distributions -- 42,322 216,543 387,418
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
applicable to Common shares
from capital share transactions -- 42,322 216,545 387,418
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares 279,377 (1,432,428) (108,253) (1,284,835)
Net assets applicable to Common
shares at the beginning of year 39,178,806 40,611,234 32,934,468 34,219,303
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of year $39,458,183 $39,178,806 $32,826,215 $32,934,468
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income at the
end of year $ (49,118) $ (143,695) $ (29,959) $ 92,688
====================================================================================================================================
See accompanying notes to financial statements.
67
Notes to
FINANCIAL STATEMENTS
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The funds (the "Funds") covered in this report and their corresponding Common
share stock exchange symbols are Nuveen Connecticut Premium Income Municipal
Fund (NTC), Nuveen Connecticut Dividend Advantage Municipal Fund (NFC), Nuveen
Connecticut Dividend Advantage Municipal Fund 2 (NGK), Nuveen Connecticut
Dividend Advantage Municipal Fund 3 (NGO), Nuveen Massachusetts Premium Income
Municipal Fund (NMT), Nuveen Massachusetts Dividend Advantage Municipal Fund
(NMB), Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) and
Nuveen Missouri Premium Income Municipal Fund (NOM). Common shares of
Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are
traded on the New York Stock Exchange while Common shares of Connecticut
Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut
Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB), Insured
Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM) are
traded on the American Stock Exchange. The Funds are registered under the
Investment Company Act of 1940, as amended, as closed-end management investment
companies.
Each Fund seeks to provide current income exempt from both regular federal and
designated state income taxes, and in the case of Insured Massachusetts Tax-Free
Advantage (NGX) the alternative minimum tax applicable to individuals, by
investing primarily in a diversified portfolio of municipal obligations issued
by state and local government authorities within a single state or certain U.S.
territories.
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements in accordance with U.S.
generally accepted accounting principles.
Investment Valuation
The prices of municipal bonds in each Fund's investment portfolio are provided
by a pricing service approved by the Fund's Board of Trustees. When market price
quotes are not readily available (which is usually the case for municipal
securities), the pricing service may establish fair value based on yields or
prices of municipal bonds of comparable quality, type of issue, coupon, maturity
and rating, indications of value from securities dealers, evaluations of
anticipated cash flows or collateral and general market conditions. Prices of
forward swap contracts are also provided by an independent pricing service
approved by each Fund's Board of Trustees. Futures contracts are valued using
the closing settlement price, or, in the absence of such a price, at the mean of
the bid and asked prices. If the pricing service is unable to supply a price for
a municipal bond, forward swap contract or futures contract, each Fund may use a
market price or fair market value quote provided by a major broker/dealer in
such investments. If it is determined that the market price or fair market value
for an investment is unavailable or inappropriate, the Board of Trustees of the
Funds, or its designee, may establish a fair value for the investment. Temporary
investments in securities that have variable rate and demand features qualifying
them as short-term investments are valued at amortized cost, which approximates
market value.
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and
losses from transactions are determined on the specific identification method.
Investments purchased on a when-issued/delayed delivery basis may have extended
settlement periods. Any investments so purchased are subject to market
fluctuation during this period. The Funds have instructed the custodian to
segregate assets with a current value at least equal to the amount of the
when-issued/delayed delivery purchase commitments. At May 31, 2007, Connecticut
Premium Income (NTC), Connecticut Dividend Advantage (NFC), Connecticut Dividend
Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Premium
Income (NMT), Massachusetts Dividend Advantage (NMB) and Insured Massachusetts
Tax-Free Advantage (NGX) had outstanding when-issued/delayed delivery purchase
commitments of $317,224, $156,012, $140,411, $260,020, $1,337,314, $570,988 and
$776,343, respectively. There were no such outstanding purchase commitments in
Missouri Premium Income (NOM) at May 31, 2007.
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
Investment income also includes paydown gains and losses, if any.
68
Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund
intends to distribute substantially all net investment income and net capital
gains to shareholders and to otherwise comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies. Therefore, no federal income tax provision is required. Furthermore,
each Fund intends to satisfy conditions which will enable interest from
municipal securities, which is exempt from regular federal and designated state
income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX)
the alternative minimum tax applicable to individuals, to retain such tax-exempt
status when distributed to shareholders of the Funds. Net realized capital gains
and ordinary income distributions paid by the Funds are subject to federal
taxation.
Dividends and Distributions to Common Shareholders
Dividends from tax-exempt net investment income are declared monthly. Net
realized capital gains and/or market discount from investment transactions, if
any, are distributed to shareholders not less frequently than annually.
Furthermore, capital gains are distributed only to the extent they exceed
available capital loss carryforwards.
Distributions to Common shareholders of tax-exempt net investment income, net
realized capital gains and/or market discount, if any, are recorded on the
ex-dividend date. The amount and timing of distributions are determined in
accordance with federal income tax regulations, which may differ from U.S.
generally accepted accounting principles.
Preferred Shares
The Funds have issued and outstanding Preferred shares, $25,000 stated value per
share, as a means of effecting financial leverage. Each Fund's Preferred shares
are issued in one Series. The dividend rate paid by the Funds on each Series is
determined every seven days, pursuant to a dutch auction process overseen by the
auction agent, and is payable at the end of each rate period. The number of
Preferred shares outstanding for each Fund is as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
=====================================================================================================================
Number of shares:
Series T -- 780 -- --
Series W -- -- 700 --
Series TH 1,532 -- -- --
Series F -- -- -- 1,280
=====================================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
=====================================================================================================================
Number of shares:
Series T -- 600 -- --
Series W -- -- 820 --
Series TH 1,360 -- -- 640
Series F -- -- -- --
=====================================================================================================================
Insurance
Insured Massachusetts Tax-Free Advantage (NGX) invests at least 80% of its net
assets (including net assets attributable to Preferred shares) in municipal
securities that are covered by insurance. The Fund may also invest up to 20% of
its net assets (including net assets attributable to Preferred shares) in
municipal securities which are either (i) backed by an escrow or trust
containing sufficient U.S. Government or U.S. Government agency securities, or
(ii) rated, at the time of investment, within the four highest grades (Baa or
BBB or better by Moody's, S&P or Fitch) or unrated but judged to be of
comparable quality by Nuveen Asset Management (the "Adviser").
Each insured municipal security is covered by Original Issue Insurance,
Secondary Market Insurance or Portfolio Insurance. Such insurance does not
guarantee the market value of the municipal securities or the value of the
Fund's Common shares. Original Issue Insurance and Secondary Market Insurance
remain in effect as long as the municipal securities covered thereby remain
outstanding and the insurer remains in business, regardless of whether the Fund
ultimately disposes of such municipal securities. Consequently, the market value
of the municipal securities covered by Original Issue Insurance or Secondary
Market Insurance may reflect value attributable to the insurance. Portfolio
Insurance, in contrast, is effective only while the municipal securities are
held by the Fund. Accordingly, neither the prices used in determining the market
value of the underlying municipal securities nor
69
the Common share net asset value of the Fund includes value, if any,
attributable to the Portfolio Insurance. Each policy of the Portfolio Insurance
does, however, give the Fund the right to obtain permanent insurance with
respect to the municipal security covered by the Portfolio Insurance policy at
the time of its sale.
Inverse Floating Rate Securities
Each Fund may invest in inverse floating rate securities. An inverse floating
rate security is created by depositing a municipal bond, typically with a fixed
interest rate, into a special purpose trust created by a broker-dealer. In turn,
this trust (a) issues floating rate certificates, in face amounts equal to some
fraction of the deposited bond's par amount or market value, that typically pay
short-term tax-exempt interest rates to third parties, and (b) issues to a
long-term investor (such as one of the Funds) an inverse floating rate
certificate (sometimes referred to as an "inverse floater") that represents all
remaining or residual interest in the trust. The income received by the inverse
floater holder varies inversely with the short-term rate paid to the floating
rate certificates' holders, and in most circumstances the inverse floater holder
bears substantially all of the underlying bond's downside investment risk and
also benefits disproportionately from any potential appreciation of the
underlying bond's value. The price of an inverse floating rate security will be
more volatile than that of the underlying bond because the interest rate is
dependent on not only the fixed coupon rate of the underlying bond but also on
the short-term interest paid on the floating rate certificates, and because the
inverse floating rate security essentially bears the risk of loss of the greater
face value of the underlying bond.
A Fund may purchase an inverse floating rate security in a secondary market
transaction without first owning the underlying bond (referred to as an
"externally-deposited inverse floater"), or instead by first selling a
fixed-rate bond to a broker-dealer deposit into the special purpose trust and
receiving in turn the residual interest in the trust (referred to as a
"self-deposited inverse floater"). An investment in an externally-deposited
inverse floater is identified in the Portfolio of Investments as an "Inverse
floating rate investment". An investment in a self-deposited inverse floater is
accounted for as a financing transaction in accordance with Statement of
Financial Accounting Standards (SFAS) No. 140 "Accounting for Transfers and
Servicing of Financial Assets and Extinguishment of Liabilities". In such
instances, a fixed-rate bond deposited into a special purpose trust is
identified in the Portfolio of Investments as an "Underlying bond of an inverse
floating rate trust", with the Fund accounting for the short-term floating rate
certificates issued by the trust as "Floating rate obligations" on the Statement
of Assets and Liabilities. In addition, the Fund reflects in Investment Income
the entire earnings of the underlying bond and accounts for the related interest
paid to the holders of the short-term floating rate certificates as "Floating
rate obligations interest expense and fees" in the Statement of Operations.
During the fiscal year ended May 31, 2007, Missouri Premium Income (NOM)
invested in externally deposited inverse floaters and/or self-deposited inverse
floaters. None of the other Funds invested in such instruments during the fiscal
year ended May 31, 2007.
The average floating rate obligations outstanding and average annual interest
rate and fees related to self-deposited inverse floaters during the fiscal year
ended May 31, 2007, were as follows:
MISSOURI
PREMIUM
INCOME
(NOM)
================================================================================
Average floating rate obligations $838,699
Average annual interest rate and fees 3.86%
================================================================================
Forward Swap Transactions
The Funds are authorized to invest in certain derivative financial instruments.
Each Funds' use of forward interest rate swap transactions is intended to help
the Fund manage its overall interest rate sensitivity, either shorter or longer,
generally to more closely align the Fund's interest rate sensitivity with that
of the broader municipal market. Forward interest rate swap transactions involve
each Fund's agreement with a counterparty to pay, in the future, a fixed or
variable rate payment in exchange for the counterparty paying the Fund a
variable or fixed rate payment, the accruals for which would begin at a
specified date in the future (the "effective date"). The amount of the payment
obligation is based on the notional amount of the forward swap contract and the
termination date of the swap (which is akin to a bond's maturity). The value of
the Fund's swap commitment would increase or decrease based primarily on the
extent to which long-term interest rates for bonds having a maturity of the
swap's termination date increases or decreases. The Funds may terminate a swap
contract prior to the effective date, at which point a realized gain or loss is
recognized. When a forward swap is terminated, it ordinarily does not involve
the delivery of securities or other underlying assets or principal, but rather
is settled in cash on a net basis. Each Fund intends, but is not obligated, to
terminate its forward swaps before the effective date. Accordingly, the risk of
loss with respect to the swap counterparty on such transactions is limited to
the credit risk associated with a counterparty failing to honor its commitment
to pay any realized gain to the Fund upon termination. To reduce such credit
risk, all counterparties are required to pledge collateral daily (based on the
daily valuation of each swap) on behalf of each Fund with a value approximately
equal to the amount of any unrealized gain above a pre-determined threshold.
Reciprocally, when any of the Funds have an unrealized loss on a swap contract,
the Funds have instructed the
70
custodian to pledge assets of the Funds as collateral with a value approximately
equal to the amount of the unrealized loss above a pre-determined threshold.
Collateral pledges are monitored and subsequently adjusted if and when the swap
valuations fluctuate, either up or down, by at least the predetermined threshold
amount.
Futures Contracts
The Funds are authorized to invest in futures contracts. Upon entering into a
futures contract, a Fund is required to deposit with the broker an amount of
cash or liquid securities equal to a specified percentage of the contract
amount. This is known as the "initial margin." Subsequent payments ("variation
margin") are made or received by a Fund each day, depending on the daily
fluctuation of the value of the contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as an unrealized gain or loss by "marking-to-market" on
a daily basis to reflect the changes in market value of the contract. When the
contract is closed or expired, a Fund records a realized gain or loss equal to
the difference between the value of the contract on the closing date and value
of the contract when originally entered into. Cash held by the broker to cover
initial margin requirements on open futures contracts, if any, is recognized in
the Statement of Assets and Liabilities. Additionally, the Statement of Assets
and Liabilities reflects a receivable or payable for the variation margin when
applicable.
Risks of investments in futures contracts include the possible adverse movement
of the securities or indices underlying the contracts, the possibility that
there may not be a liquid secondary market for the contracts and/or that a
change in the value of the contract may not correlate with a change in the value
of the underlying securities or indices.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on each Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Indemnifications
Under the Funds' organizational documents, their Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Funds. In addition, in the normal course of business, the Funds
enter into contracts that provide general indemnifications to other parties. The
Funds' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds have not had prior claims or losses pursuant to
these contracts and expect the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of increases and
decreases in net assets applicable to Common shares from operations during the
reporting period. Actual results may differ from those estimates.
2. FUND SHARES
Transactions in Common shares were as follows:
CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND
PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK)
--------------------- -------------------- --------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
5/31/07 5/31/06 5/31/07 5/31/06 5/31/07 5/31/06
==================================================================================================================
Common shares issued to shareholders
due to reinvestment of distributions 1,268 14,913 5,695 6,035 2,746 2,780
==================================================================================================================
CONNECTICUT DIVIDEND MASSACHUSETTS MASSACHUSETTS DIVIDEND
ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) ADVANTAGE (NMB)
--------------------- -------------------- --------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
5/31/07 5/31/06 5/31/07 5/31/06 5/31/07 5/31/06
==================================================================================================================
Common shares issued to shareholders
due to reinvestment of distributions -- 8,575 2,282 15,179 3,459 3,933
==================================================================================================================
INSURED
MASSACHUSETTS TAX-FREE MISSOURI
ADVANTAGE (NGX) PREMIUM INCOME (NOM)
-------------------- --------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
5/31/07 5/31/06 5/31/07 5/31/06
==================================================================================================================
Common shares issued to shareholders
due to reinvestment of distributions -- 2,688 13,593 22,403
==================================================================================================================
71
3. INVESTMENT TRANSACTIONS
Purchases and sales (including maturities but excluding short-term investments
and derivative transactions) during the fiscal year ended May 31, 2007, were as
follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
=====================================================================================================================
Purchases $11,961,808 $5,312,943 $6,061,657 $13,777,695
Sales and maturities 9,546,768 4,953,092 6,190,277 13,606,914
=====================================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
=====================================================================================================================
Purchases $ 9,064,550 $3,941,414 $4,819,956 $10,152,081
Sales and maturities 10,686,705 4,366,348 3,381,197 7,802,739
=====================================================================================================================
4. INCOME TAX INFORMATION
The following information is presented on an income tax basis. Differences
between amounts for financial statement and federal income tax purposes are
primarily due to the treatment of paydown gains and losses, timing differences
in recognizing taxable market discount, timing differences in recognizing
certain gains and losses on investment transactions and the treatment of
investments in inverse floating rate transactions subject to SFAS No. 140. To
the extent that differences arise that are permanent in nature, such amounts are
reclassified within the capital accounts on the Statement of Assets and
Liabilities presented in the annual report, based on their federal tax basis
treatment; temporary differences do not require reclassification. Temporary and
permanent differences do not impact the net asset values of the Funds.
At May 31, 2007, the cost of investments was as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
=====================================================================================================================
Cost of investments $111,166,801 $55,242,601 $49,580,711 $91,498,794
=====================================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
=====================================================================================================================
Cost of investments $99,742,640 $41,571,231 $58,249,635 $46,616,539
=====================================================================================================================
Gross unrealized appreciation and gross unrealized depreciation of investments
at May 31, 2007, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
=====================================================================================================================
Gross unrealized:
Appreciation $3,040,478 $1,856,798 $1,859,212 $1,938,448
Depreciation (275,579) (145,947) (243,412) (384,923)
---------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $2,764,899 $1,710,851 $1,615,800 $1,553,525
=====================================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
=====================================================================================================================
Gross unrealized:
Appreciation $3,614,438 $1,466,130 $1,899,580 $1,833,407
Depreciation (287,406) (129,776) (265,412) (166,108)
---------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $3,327,032 $1,336,354 $1,634,168 $1,667,299
=====================================================================================================================
72
The tax components of undistributed net tax-exempt income, net ordinary income
and net long-term capital gains at May 31, 2007, the Funds' tax year end, were
as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
=====================================================================================================================
Undistributed net tax-exempt income* $264,190 $67,363 $76,195 $23,467
Undistributed net ordinary income ** 564 136 -- 102
Undistributed net long-term capital gains -- -- 37,281 --
---------------------------------------------------------------------------------------------------------------------
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
=====================================================================================================================
Undistributed net tax-exempt income* $139,845 $60,434 $95,820 $99,945
Undistributed net ordinary income ** -- -- -- --
Undistributed net long-term capital gains -- 56,036 -- 343,882
=====================================================================================================================
* Undistributed net tax-exempt income (on a tax basis) has not been reduced
for the dividend declared on May 1, 2007, paid on June 1, 2007.
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
The tax character of distributions paid during the tax years ended May 31, 2007
and May 31, 2006, was designated for purposes of the dividends paid deduction as
follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
2007 (NTC) (NFC) (NGK) (NGO)
=====================================================================================================================
Distributions from net tax-exempt income *** $4,570,640 $2,466,418 $2,210,985 $3,816,478
Distributions from net ordinary income ** 41,683 -- 82 --
Distributions from net long-term capital gains **** 405,561 -- 104,613 --
=====================================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
2007 (NMT) (NMB) (NGX) (NOM)
=====================================================================================================================
Distributions from net tax-exempt income *** $4,336,292 $1,953,268 $2,384,976 $2,195,931
Distributions from net ordinary income ** 15,666 -- -- 7
Distributions from net long-term capital gains **** 28,705 -- -- 13,435
=====================================================================================================================
73
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
2006 (NTC) (NFC) (NGK) (NGO)
=====================================================================================================================
Distributions from net tax-exempt income $4,827,926 $2,623,472 $2,298,314 $3,958,800
Distributions from net ordinary income ** 775 -- 27,100 --
Distributions from net long-term capital gains 1,335,368 -- 185,416 --
---------------------------------------------------------------------------------------------------------------------
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
2006 (NMT) (NMB) (NGX) (NOM)
=====================================================================================================================
Distributions from net tax-exempt income $4,681,999 $2,003,840 $2,512,850 $2,310,010
Distributions from net ordinary income ** 37,794 -- -- 8,293
Distributions from net long-term capital gains 233,067 409,848 -- 247,249
=====================================================================================================================
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
*** The Funds hereby designate these amounts paid during the fiscal year ended
May 31, 2007, as Exempt Interest Dividends.
**** The Funds hereby designate these amounts paid during the fiscal year ended
May 31, 2007, as long-term capital gain dividends pursuant to Internal
Revenue Code Section 852(b)(3).
At May 31, 2007, the following Funds had unused capital loss carryforwards
available for federal income tax purposes to be applied against future capital
gains, if any. If not applied, the carryforwards will expire as follows:
INSURED
CONNECTICUT CONNECTICUT MASSACHUSETTS MASSACHUSETTS
DIVIDEND DIVIDEND PREMIUM TAX-FREE
ADVANTAGE ADVANTAGE 3 INCOME ADVANTAGE
(NFC) (NGO) (NMT) (NGX)
================================================================================
Expiration year:
2011 $ -- $ 69,710 $ -- $ --
2012 76,491 106,107 -- --
2013 44,122 79,696 -- 85,485
2014 -- 111,331 -- 427,135
2015 -- 211,213 13,790 --
--------------------------------------------------------------------------------
Total $120,613 $578,057 $13,790 $512,620
================================================================================
The following Funds have elected to defer net realized losses from investments
incurred from November 1, 2006 through May 31, 2007 ("post-October losses") in
accordance with federal income tax regulations. Post-October losses are treated
as having arisen on the first day of the following taxable year.
CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND
INCOME ADVANTAGE
(NTC) (NFC)
================================================================================
$53,762 $8,607
================================================================================
74
5. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Each Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by the
Adviser, a wholly owned subsidiary of Nuveen Investments, Inc. ("Nuveen"), and a
specific fund-level component, based only on the amount of assets within each
individual fund. This pricing structure enables Nuveen fund shareholders to
benefit from growth in the assets within each individual fund as well as from
growth in the amount of complex-wide assets managed by the Adviser.
The annual fund-level fee, payable monthly, for each Fund is based upon the
average daily net assets (including net assets attributable to Preferred shares)
of each Fund as follows:
CONNECTICUT PREMIUM INCOME (NTC)
AVERAGE DAILY NET ASSETS MASSACHUSETTS PREMIUM INCOME (NMT)
(INCLUDING NET ASSETS MISSOURI PREMIUM INCOME (NOM)
ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE
================================================================================
For the first $125 million .4500%
For the next $125 million .4375
For the next $250 million .4250
For the next $500 million .4125
For the next $1 billion .4000
For the next $3 billion .3875
For net assets over $5 billion .3750
================================================================================
CONNECTICUT DIVIDEND ADVANTAGE (NFC)
CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK)
CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO)
AVERAGE DAILY NET ASSETS MASSACHUSETTS DIVIDEND ADVANTAGE (NMB)
(INCLUDING NET ASSETS INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX)
ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE
================================================================================
For the first $125 million .4500%
For the next $125 million .4375
For the next $250 million .4250
For the next $500 million .4125
For the next $1 billion .4000
For net assets over $2 billion .3750
================================================================================
The annual complex-level fee, payable monthly, which is additive to the
fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the
aggregate amount of total fund assets managed as stated in the table below. As
of May 31, 2007, the complex-level fee rate was .1824%.
COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE
================================================================================
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion (2) .1400
================================================================================
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
preferred stock issued by or borrowings by the Nuveen funds) of
Nuveen-sponsored funds in the U.S.
(2) With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level
fee rate for such complex-wide Managed Assets shall be .1400% until such
time as a different rate or rates is determined.
75
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Funds pay no
compensation directly to those of its Trustees who are affiliated with the
Adviser or to its Officers, all of whom receive remuneration for their services
to the Funds from the Adviser or its affiliates. The Board of Trustees has
adopted a deferred compensation plan for independent Trustees that enables
Trustees to elect to defer receipt of all or a portion of the annual
compensation they are entitled to receive from certain Nuveen advised funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised funds.
For the first ten years of Connecticut Dividend Advantage's (NFC) and
Massachusetts Dividend Advantage's (NMB) operations, the Adviser has agreed to
reimburse the Funds, as a percentage of average daily net assets (including net
assets attributable to Preferred shares), for fees and expenses in the amounts
and for the time periods set forth below:
YEAR ENDING YEAR ENDING
JANUARY 31, JANUARY 31,
================================================================================
2001* .30% 2007 .25%
2002 .30 2008 .20
2003 .30 2009 .15
2004 .30 2010 .10
2005 .30 2011 .05
2006 .30
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Connecticut Dividend Advantage (NFC) and
Massachusetts Dividend Advantage (NMB) for any portion of its fees and expenses
beyond January 31, 2011.
For the first ten years of Connecticut Dividend Advantage 2's (NGK) operations,
the Adviser has agreed to reimburse the Fund, as a percentage of average daily
net assets (including net assets attributable to Preferred shares), for fees and
expenses in the amounts and for the time periods set forth below:
YEAR ENDING YEAR ENDING
MARCH 31, MARCH 31,
================================================================================
2002* .30% 2008 .25%
2003 .30 2009 .20
2004 .30 2010 .15
2005 .30 2011 .10
2006 .30 2012 .05
2007 .30
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Connecticut Dividend Advantage 2 (NGK)
for any portion of its fees and expenses beyond March 31, 2012.
For the first eight years of Connecticut Dividend Advantage 3's (NGO)
operations, the Adviser has agreed to reimburse the Fund, as a percentage of
average daily net assets (including net assets attributable to Preferred
shares), for fees and expenses in the amounts and for the time periods set forth
below:
YEAR ENDING YEAR ENDING
SEPTEMBER 30, SEPTEMBER 30,
================================================================================
2002* .32% 2007 .32%
2003 .32 2008 .24
2004 .32 2009 .16
2005 .32 2010 .08
2006 .32
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Connecticut Dividend Advantage 3 (NGO)
for any portion of its fees and expenses beyond September 30, 2010.
76
For the first eight years of Insured Massachusetts Tax-Free Advantage's (NGX)
operations, the Adviser has agreed to reimburse the Fund, as a percentage of
average daily net assets (including net assets attributable to Preferred
shares), for fees and expenses in the amounts and for the time periods set forth
below:
YEAR ENDING YEAR ENDING
NOVEMBER 30, NOVEMBER 30,
================================================================================
2002* .32% 2007 .32%
2003 .32 2008 .24
2004 .32 2009 .16
2005 .32 2010 .08
2006 .32
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Insured Massachusetts Tax-Free Advantage
(NGX) for any portion of its fees and expenses beyond November 30, 2010.
6. NEW ACCOUNTING PRONOUNCEMENTS
Financial Accounting Standards Board Interpretation No. 48
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" (FIN 48).
FIN 48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Funds' tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006, and is to be
applied to all open tax years as of the effective date. Recent SEC guidance
allows funds to delay implementing FIN 48 into NAV calculations until the fund's
last NAV calculation in the first required financial statement reporting period.
As a result, the Funds must begin to incorporate FIN 48 into their NAV
calculations by November 30, 2007. At this time, management is continuing to
evaluate the implications of FIN 48 and does not expect the adoption of FIN 48
will have a significant impact on the net assets or results of operations of the
Funds.
Financial Accounting Standards Board Statement of Financial Accounting Standards
No. 157
In September 2006, the Financial Accounting Standards Board (FASB) issued
Statement of Financial Accounting Standards (SFAS) No. 157, "Fair Value
Measurements." This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and requires
additional disclosures about fair value measurements. SFAS No. 157 applies to
fair value measurements already required or permitted by existing standards.
SFAS No. 157 is effective for financial statements issued for fiscal years
beginning after November 15, 2007, and interim periods within those fiscal
years. The changes to current generally accepted accounting principles from the
application of this standard relate to the definition of fair value, the methods
used to measure fair value, and the expanded disclosures about fair value
measurements. As of May 31, 2007, the Funds do not believe the adoption of SFAS
No. 157 will impact the financial statement amounts; however, additional
disclosures may be required about the inputs used to develop the measurements
and the effect of certain of the measurements included within the Statement of
Operations for the period.
77
7. SUBSEQUENT EVENTS
Distributions to Common Shareholders
The Funds declared Common share dividend distributions from their tax-exempt net
investment income which were paid on July 2, 2007, to shareholders of record on
June 15, 2007, as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
=====================================================================================================================
Dividend per share $.0520 $.0555 $.0580 $.0520
=====================================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
=====================================================================================================================
Dividend per share $.0515 $.0565 $.0525 $.0545
=====================================================================================================================
Agreement and Plan of Merger
On June 20, 2007, Nuveen Investments announced that it had entered into a
definitive Agreement and Plan of Merger ("Merger Agreement") with an investor
group majority-led by Madison Dearborn Partners, LLC. Madison Dearborn Partners,
LLC is a private equity investment firm based in Chicago, Illinois. The investor
group includes affiliates of Merrill Lynch, Wachovia, Citigroup, Deutsche Bank
and Morgan Stanley. It is anticipated that Merrill Lynch and its affiliates will
be indirect "affiliated persons" (as that term is defined in the Investment
Company Act of 1940) of the Funds. Under the terms of the merger, each
outstanding share of Nuveen Investments' common stock (other than dissenting
shares) will be converted into the right to receive a specified amount of cash,
without interest. The merger is expected to be completed by the end of the year,
subject to customary conditions, including obtaining the approval of Nuveen
Investments shareholders, obtaining necessary fund and client consents
sufficient to satisfy the terms of the Merger Agreement, and expiration of
certain regulatory waiting periods. The obligations of Madison Dearborn
Partners, LLC to consummate the merger are not conditioned on its obtaining
financing. The Merger Agreement includes a "go shop" provision through July 19,
2007, during which Nuveen Investments may actively solicit and negotiate
competing takeover proposals.
The consummation of the merger will be deemed to be an "assignment" (as defined
in the 1940 Act) of the investment management agreement between each Fund and
the Adviser, and will result in the automatic termination of each Fund's
agreement. Prior to the consummation of the merger, it is anticipated that the
Board of Trustees of each Fund will consider a new investment management
agreement with the Adviser. If approved by the Board, the new agreement would be
presented to the Fund's shareholders for approval, and, if so approved by
shareholders, would take effect upon consummation of the merger. There can be no
assurance that the merger described above will be consummated as contemplated or
that necessary shareholder approvals will be obtained.
78
Financial
HIGHLIGHTS
79
Financial
HIGHLIGHTS
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
----------------------------------------------------------------- ----------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ Preferred Preferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
====================================================================================================================================
CONNECTICUT PREMIUM
INCOME (NTC)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $14.42 $ .83 $ .07 $(.20) $(.01) $ .69 $(.65) $(.07) $(.72)
2006 15.26 .84 (.54) (.14) (.03) .13 (.75) (.22) (.97)
2005 14.60 .88 .75 (.09) -- 1.54 (.87) (.01) (.88)
2004 15.56 .93 (.96) (.05) -- (.08) (.88) -- (.88)
2003 14.46 .98 1.07 (.07) -- 1.98 (.88) -- (.88)
CONNECTICUT DIVIDEND
ADVANTAGE (NFC)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 14.75 .92 .04 (.22) -- .74 (.73) -- (.73)
2006 15.39 .93 (.55) (.17) -- .21 (.85) -- (.85)
2005 14.56 .95 .86 (.09) -- 1.72 (.89) -- (.89)
2004 15.53 .97 (1.00) (.05) -- (.08) (.89) -- (.89)
2003 14.24 1.00 1.19 (.07) -- 2.12 (.84) -- (.84)
====================================================================================================================================
Total Returns
----------------------
Offering Based
Costs and Ending on
Preferred Common Based Common
Share Share Ending on Share Net
Underwriting Net Asset Market Market Asset
Discounts Value Value Value* Value*
==========================================================================================
CONNECTICUT PREMIUM
INCOME (NTC)
------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $ -- $14.39 $14.91 12.33% 4.79%
2006 -- 14.42 13.95 (6.00) .88
2005 -- 15.26 15.81 15.61 10.82
2004 -- 14.60 14.47 (10.80) (.51)
2003 -- 15.56 17.14 12.63 14.08
CONNECTICUT DIVIDEND
ADVANTAGE (NFC)
------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 -- 14.76 16.37 5.46 5.05
2006 -- 14.75 16.26 8.79 1.38
2005 -- 15.39 15.73 17.89 12.06
2004 -- 14.56 14.12 (8.64) (.56)
2003 .01 15.53 16.35 9.19 15.38
==========================================================================================
Ratios/Supplemental Data
-------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets Ratios to Average Net Assets
Applicable to Common Shares Applicable to Common Shares
Before Credit/Reimbursement After Credit/Reimbursement**
-------------------------------------------- -------------------------------------------
Ending
Net
Assets
Applicable Expenses Expenses Net Expenses Expenses Net Portfolio
to Common Including Excluding Investment Including Excluding Investment Turnover
Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate
====================================================================================================================================
CONNECTICUT
PREMIUM
INCOME (NTC)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $77,151 1.24% 1.24% 5.67% 1.21% 1.21% 5.69% 8%
2006 77,278 1.25 1.25 5.66 1.23 1.23 5.68 16
2005 81,529 1.24 1.24 5.81 1.24 1.24 5.82 12
2004 77,725 1.23 1.23 6.16 1.23 1.23 6.16 15
2003 82,492 1.27 1.27 6.57 1.26 1.26 6.58 23
CONNECTICUT
DIVIDEND
ADVANTAGE (NFC)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 38,024 1.29 1.29 5.78 .92 .92 6.16 9
2006 37,905 1.29 1.29 5.70 .84 .84 6.14 14
2005 39,464 1.29 1.29 5.81 .83 .83 6.27 9
2004 37,238 1.26 1.26 5.97 .80 .80 6.44 4
2003 39,625 1.27 1.27 6.29 .81 .81 6.76 7
====================================================================================================================================
Floating Rate Obligations
Preferred Shares at End of Period at End of Period
-------------------------------------- --------------------------
Aggregate Liquidation Aggregate
Amount and Market Asset Amount Asset
Outstanding Value Coverage Outstanding Coverage
(000) Per Share Per Share (000) Per $1,000
================================================================================
CONNECTICUT PREMIUM
INCOME (NTC)
--------------------------------------------------------------------------------
Year Ended 5/31:
2007 $38,300 $25,000 $75,360 $ -- $ --
2006 38,300 25,000 75,443 -- --
2005 38,300 25,000 78,217 -- --
2004 38,300 25,000 75,734 -- --
2003 38,300 25,000 78,846 -- --
CONNECTICUT DIVIDEND
ADVANTAGE (NFC)
--------------------------------------------------------------------------------
Year Ended 5/31:
2007 19,500 25,000 73,749 -- --
2006 19,500 25,000 73,596 -- --
2005 19,500 25,000 75,595 -- --
2004 19,500 25,000 72,740 -- --
2003 19,500 25,000 75,801 -- --
================================================================================
* Total Return on Market Value is the combination of changes in the market
price per share and the effect of reinvested dividend income and reinvested
capital gains distributions, if any, at the average price paid per share at
the time of reinvestment. Total Return on Common Share Net Asset Value is
the combination of changes in Common share net asset value, reinvested
dividend income at net asset value and reinvested capital gains
distributions at net asset value, if any. Total returns are not annualized.
** After custodian fee credit and expense reimbursement, where applicable.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Preferred
shareholders; income ratios reflect income earned on assets attributable to
Preferred shares.
(a) Interest expense arises from the application of SFAS No. 140 to certain
inverse floating rate transactions entered into by the Fund as more fully
described in Footnote 1 - Inverse Floating Rate Securities.
See accompanying notes to financial statements.
81-82 spread
Financial
HIGHLIGHTS (continued)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
----------------------------------------------------------------- ----------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ Preferred Preferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
====================================================================================================================================
CONNECTICUT DIVIDEND
ADVANTAGE 2 (NGK)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $14.86 $.91 $ .08 $(.22) $(.01) $ .76 $(.73) $(.04) $(.77)
2006 15.64 .91 (.60) (.17) (.01) .13 (.83) (.08) (.91)
2005 15.01 .92 .74 (.09) -- 1.57 (.87) (.07) (.94)
2004 16.23 .96 (1.13) (.04) (.01) (.22) (.87) (.12) (.99)
2003 14.48 .98 1.74 (.07) (.01) 2.64 (.83) (.06) (.89)
CONNECTICUT DIVIDEND
ADVANTAGE 3 (NGO)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 14.18 .86 .13 (.23) -- .76 (.64) -- (.64)
2006 14.78 .84 (.54) (.18) -- .12 (.72) -- (.72)
2005 13.97 .86 .83 (.10) -- 1.59 (.78) -- (.78)
2004 15.06 .88 (1.14) (.05) -- (.31) (.78) -- (.78)
2003(b) 14.33 .51 .93 (.04) -- 1.40 (.46) -- (.46)
====================================================================================================================================
Total Returns
----------------------
Offering Based
Costs and Ending on
Preferred Common Based Common
Share Share Ending on Share Net
Underwriting Net Asset Market Market Asset
Discounts Value Value Value** Value**
==============================================================================================
CONNECTICUT DIVIDEND
ADVANTAGE 2 (NGK)
----------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $ -- $14.85 $16.38 3.58% 5.13%
2006 -- 14.86 16.60 9.78 .84
2005 -- 15.64 15.98 19.92 10.70
2004 (.01) 15.01 14.14 (4.65) (1.48)
2003 -- 16.23 15.80 11.16 18.77
CONNECTICUT DIVIDEND
ADVANTAGE 3 (NGO)
----------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 -- 14.30 14.70 9.15 5.42
2006 -- 14.18 14.09 1.84 .83
2005 -- 14.78 14.54 18.17 11.60
2004 -- 13.97 13.00 (8.92) (2.08)
2003(b) (.21) 15.06 15.09 3.71 8.46
==============================================================================================
Ratios/Supplemental Data
-------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets Ratios to Average Net Assets
Applicable to Common Shares Applicable to Common Shares
Before Credit/Reimbursement After Credit/Reimbursement***
-------------------------------------------- ------------------------------------------
Ending
Net
Assets
Applicable Expenses Expenses Net Expenses Expenses Net Portfolio
to Common Including Excluding Investment Including Excluding Investment Turnover
Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate
====================================================================================================================================
CONNECTICUT DIVIDEND
ADVANTAGE 2 (NGK)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $34,366 1.31% 1.31% 5.60% .85% .85% 6.06% 12%
2006 34,352 1.29 1.29 5.51 .83 .83 5.97 11
2005 36,105 1.28 1.28 5.52 .82 .82 5.98 12
2004 34,646 1.25 1.25 5.73 .80 .80 6.18 10
2003 37,441 1.31 1.31 5.94 .82 .82 6.43 13
CONNECTICUT DIVIDEND
ADVANTAGE 3 (NGO)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 62,325 1.26 1.26 5.44 .76 .76 5.94 15
2006 61,826 1.24 1.24 5.30 .74 .74 5.80 9
2005 64,324 1.24 1.24 5.40 .76 .76 5.89 9
2004 60,774 1.24 1.24 5.58 .74 .74 6.08 14
2003(b) 65,324 1.19* 1.19* 4.72* .71* .71* 5.20* 18
====================================================================================================================================
Floating Rate Obligations
Preferred Shares at End of Period at End of Period
-------------------------------------- --------------------------
Aggregate Liquidation Aggregate
Amount and Market Asset Amount Asset
Outstanding Value Coverage Outstanding Coverage
(000) Per Share Per Share (000) Per $1,000
================================================================================
CONNECTICUT DIVIDEND
ADVANTAGE 2 (NGK)
--------------------------------------------------------------------------------
Year Ended 5/31:
2007 $17,500 $25,000 $74,094 $ -- $ --
2006 17,500 25,000 74,074 -- --
2005 17,500 25,000 76,579 -- --
2004 17,500 25,000 74,495 -- --
2003 17,500 25,000 78,487 -- --
CONNECTICUT DIVIDEND
ADVANTAGE 3 (NGO)
--------------------------------------------------------------------------------
Year Ended 5/31:
2007 32,000 25,000 73,691 -- --
2006 32,000 25,000 73,302 -- --
2005 32,000 25,000 75,253 -- --
2004 32,000 25,000 72,480 -- --
2003(b) 32,000 25,000 76,034 -- --
================================================================================
* Annualized.
** Total Return on Market Value is the combination of changes in the market
price per share and the effect of reinvested dividend income and reinvested
capital gains distributions, if any, at the average price paid per share at
the time of reinvestment. Total Return on Common Share Net Asset Value is
the combination of changes in Common share net asset value, reinvested
dividend income at net asset value and reinvested capital gains
distributions at net asset value, if any. Total returns are not annualized.
*** After custodian fee credit and expense reimbursement, where applicable.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Preferred
shareholders; income ratios reflect income earned on assets attributable to
Preferred shares.
(a) Interest expense arises from the application of SFAS No. 140 to certain
inverse floating rate transactions entered into by the Fund as more fully
described in Footnote 1 - Inverse Floating Rate Securities.
(b) For the period September 26, 2002 (commencement of operations) through May
31, 2003.
See accompanying notes to financial statements.
82-83 spread
Financial
HIGHLIGHTS (continued)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
----------------------------------------------------------------- ----------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ Preferred Preferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
====================================================================================================================================
MASSACHUSETTS
PREMIUM INCOME
(NMT)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $14.45 $ .88 $ .13 $(.23) $ --* $ .78 $(.67) $ --* $ (.67)
2006 15.10 .88 (.50) (.18) -- .20 (.81) (.04) (.85)
2005 14.34 .91 .81 (.08) -- 1.64 (.88) -- (.88)
2004 15.30 .94 (.97) (.05) -- (.08) (.88) -- (.88)
2003 14.48 .98 .78 (.07) -- 1.69 (.87) -- (.87)
MASSACHUSETTS
DIVIDEND ADVANTAGE
(NMB)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 14.83 .93 .08 (.25) -- .76 (.75) -- (.75)
2006 15.65 .95 (.54) (.17) (.02) .22 (.85) (.19) (1.04)
2005 14.84 .97 .95 (.08) -- 1.84 (.92) (.11) (1.03)
2004 16.00 1.00 (1.11) (.04) (.01) (.16) (.92) (.08) (1.00)
2003 14.16 1.04 1.74 (.07) -- 2.71 (.88) -- (.88)
====================================================================================================================================
Total Returns
----------------------
Offering Based
Costs and Ending on
Preferred Common Based Common
Share Share Ending on Share Net
Underwriting Net Asset Market Market Asset
Discounts Value Value Value** Value**
=========================================================================================
MASSACHUSETTS
PREMIUM INCOME
(NMT)
-----------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $ -- $14.56 $14.33 4.60% 5.47%
2006 -- 14.45 14.35 (6.14) 1.41
2005 -- 15.10 16.14 18.97 11.74
2004 -- 14.34 14.35 (9.51) (.51)
2003 -- 15.30 16.80 12.98 12.02
MASSACHUSETTS
DIVIDEND ADVANTAGE
(NMB)
-----------------------------------------------------------------------------------------
Year Ended 5/31:
2007 -- 14.84 16.28 10.04 5.14
2006 -- 14.83 15.53 (5.23) 1.49
2005 -- 15.65 17.45 24.96 12.76
2004 -- 14.84 14.88 (3.74) (1.03)
2003 .01 16.00 16.45 8.76 19.74
=========================================================================================
Ratios/Supplemental Data
--------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets Ratios to Average Net Assets
Applicable to Common Shares Applicable to Common Shares
Before Credit/Reimbursement After Credit/Reimbursement***
------------------------------------------- -------------------------------------------
Ending
Net
Assets
Applicable Expenses Expenses Net Expenses Expenses Net Portfolio
to Common Including Excluding Investment Including Excluding Investment Turnover
Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate
====================================================================================================================================
MASSACHUSETTS
PREMIUM INCOME (NMT)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $69,323 1.24% 1.24% 5.97% 1.23% 1.23% 5.98% 9%
2006 68,776 1.25 1.25 5.98 1.24 1.24 6.00 13
2005 71,648 1.24 1.24 6.15 1.24 1.24 6.16 18
2004 67,806 1.24 1.24 6.37 1.23 1.23 6.38 22
2003 72,003 1.28 1.28 6.61 1.27 1.27 6.63 18
MASSACHUSETTS
DIVIDEND ADVANTAGE (NMB)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 29,072 1.33 1.33 5.84 .95 .95 6.21 9
2006 29,004 1.29 1.29 5.79 .83 .83 6.24 13
2005 30,539 1.31 1.31 5.83 .86 .86 6.28 12
2004 28,904 1.27 1.27 6.05 .81 .81 6.51 26
2003 31,134 1.29 1.29 6.49 .83 .83 6.95 8
====================================================================================================================================
Floating Rate Obligations
Preferred Shares at End of Period at End of Period
-------------------------------------- --------------------------
Aggregate Liquidation Aggregate
Amount and Market Asset Amount Asset
Outstanding Value Coverage Outstanding Coverage
(000) Per Share Per Share (000) Per $1,000
================================================================================
MASSACHUSETTS PREMIUM INCOME (NMT)
--------------------------------------------------------------------------------
Year Ended 5/31:
2007 $34,000 $25,000 $75,973 $ -- $ --
2006 34,000 25,000 75,571 -- --
2005 34,000 25,000 77,682 -- --
2004 34,000 25,000 74,857 -- --
2003 34,000 25,000 77,943 -- --
MASSACHUSETTS DIVIDEND ADVANTAGE (NMB)
--------------------------------------------------------------------------------
Year Ended 5/31:
2007 15,000 25,000 73,453 -- --
2006 15,000 25,000 73,340 -- --
2005 15,000 25,000 75,899 -- --
2004 15,000 25,000 73,173 -- --
2003 15,000 25,000 76,891 -- --
================================================================================
* Per share Distributions from Capital Gains to Preferred Shareholders and
Distributions from Capital Gains to Common Shareholders round to less than
$.01 per share.
** Total Return on Market Value is the combination of changes in the market
price per share and the effect of reinvested dividend income and reinvested
capital gains distributions, if any, at the average price paid per share at
the time of reinvestment. Total Return on Common Share Net Asset Value is
the combination of changes in Common share net asset value, reinvested
dividend income at net asset value and reinvested capital gains
distributions at net asset value, if any. Total returns are not annualized.
*** After custodian fee credit and expense reimbursement, where applicable.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Preferred
shareholders; income ratios reflect income earned on assets attributable to
Preferred shares.
(a) Interest expense arises from the application of SFAS No. 140 to certain
inverse floating rate transactions entered into by the Fund as more fully
described in Footnote 1 - Inverse Floating Rate Securities.
See accompanying notes to financial statements.
84-85 spread
Financial
HIGHLIGHTS (continued)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
----------------------------------------------------------------- ----------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ Preferred Preferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
====================================================================================================================================
INSURED MASSACHUSETTS
TAX-FREE ADVANTAGE (NGX)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $14.39 $ .90 $ .08 $(.25) $ -- $ .73 $(.62) $ -- $(.62)
2006 14.93 .90 (.53) (.20) -- .17 (.71) -- (.71)
2005 14.04 .92 .90 (.09) -- 1.73 (.84) -- (.84)
2004 15.25 .94 (1.22) (.06) -- (.34) (.86) (.01) (.87)
2003(b) 14.33 .35 1.21 (.03) -- 1.53 (.37) -- (.37)
MISSOURI PREMIUM
INCOME (NOM)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 14.40 .90 (.08) (.23) --* .59 (.72) --* (.72)
2006 15.11 .92 (.51) (.17) (.01) .23 (.84) (.10) (.94)
2005 14.37 .94 .77 (.09) -- 1.62 (.88) -- (.88)
2004 15.40 .96 (1.05) (.06) -- (.15) (.88) -- (.88)
2003 14.35 .97 1.02 (.07) -- 1.92 (.87) -- (.87)
====================================================================================================================================
Total Returns
----------------------
Offering Based
Costs and Ending on
Preferred Common Based Common
Share Share Ending on Share Net
Underwriting Net Asset Market Market Asset
Discounts Value Value Value** Value**
===========================================================================================
INSURED
MASSACHUSETTS
TAX-FREE
ADVANTAGE (NGX)
-------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $ -- $14.50 $14.45 12.49% 5.12%
2006 -- 14.39 13.43 (11.62) 1.20
2005 -- 14.93 15.94 20.95 12.62
2004 -- 14.04 13.90 (6.83) (2.18)
2003(b) (.24) 15.25 15.78 7.69 9.07
MISSOURI PREMIUM
INCOME (NOM)
-------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 -- 14.27 16.56 5.98 4.17
2006 -- 14.40 16.35 (3.53) 1.57
2005 -- 15.11 17.90 24.38 11.54
2004 -- 14.37 15.15 (5.35) (1.00)
2003 -- 15.40 16.87 15.39 13.75
===========================================================================================
Ratios/Supplemental Data
-------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets Ratios to Average Net Assets
Applicable to Common Shares Applicable to Common Shares
Before Credit/Reimbursement After Credit/Reimbursement***
------------------------------------------ -------------------------------------------
Ending
Net
Assets
Applicable Expenses Expenses Net Expenses Expenses Net Portfolio
to Common Including Excluding Investment Including Excluding Investment Turnover
Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate
====================================================================================================================================
INSURED
MASSACHUSETTS
TAX-FREE
ADVANTAGE (NGX)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 $39,458 1.28% 1.28% 5.67% .77% .77% 6.17% 6%
2006 39,179 1.29 1.29 5.66 .79 .79 6.16 5
2005 40,611 1.27 1.27 5.83 .79 .79 6.31 2
2004 38,121 1.28 1.28 5.94 .75 .75 6.46 97
2003(b) 41,297 1.14* 1.14* 4.17* .68* .68* 4.64* 19
MISSOURI PREMIUM
INCOME (NOM)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2007 32,826 1.39 1.30 6.15 1.37 1.27 6.18 16
2006 32,934 1.29 1.29 6.20 1.27 1.27 6.22 9
2005 34,219 1.29 1.29 6.29 1.28 1.28 6.30 17
2004 32,231 1.27 1.27 6.44 1.26 1.26 6.45 24
2003 34,228 1.34 1.34 6.56 1.32 1.32 6.58 15
====================================================================================================================================
Floating Rate Obligations
Preferred Shares at End of Period at End of Period
-------------------------------------- --------------------------
Aggregate Liquidation Aggregate
Amount and Market Asset Amount Asset
Outstanding Value Coverage Outstanding Coverage
(000) Per Share Per Share (000) Per $1,000
================================================================================
INSURED MASSACHUSETTS
TAX-FREE ADVANTAGE (NGX)
--------------------------------------------------------------------------------
Year Ended 5/31:
2007 $20,500 $25,000 $73,120 $ -- $ --
2006 20,500 25,000 72,779 -- --
2005 20,500 25,000 74,526 -- --
2004 20,500 25,000 71,489 -- --
2003(b) 20,500 25,000 75,362 -- --
MISSOURI PREMIUM
INCOME (NOM)
--------------------------------------------------------------------------------
Year Ended 5/31:
2007 16,000 25,000 76,291 1,975 25,722
2006 16,000 25,000 76,460 -- --
2005 16,000 25,000 78,468 -- --
2004 16,000 25,000 75,360 -- --
2003 16,000 25,000 78,481 -- --
================================================================================
* Per share Distributions from Capital Gains to Preferred Shareholders and
Distributions from Capital Gains to Common Shareholders round to less than
$.01 per share.
** Total Return on Market Value is the combination of changes in the market
price per share and the effect of reinvested dividend income and reinvested
capital gains distributions, if any, at the average price paid per share at
the time of reinvestment. Total Return on Common Share Net Asset Value is
the combination of changes in Common share net asset value, reinvested
dividend income at net asset value and reinvested capital gains
distributions at net asset value, if any. Total returns are not annualized.
*** After custodian fee credit and expense reimbursement, where applicable.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Preferred
shareholders; income ratios reflect income earned on assets attributable to
Preferred shares.
(a) Interest expense arises from the application of SFAS No. 140 to certain
inverse floating rate transactions entered into by the Fund as more fully
described in Footnote 1 - Inverse Floating Rate Securities.
(b) For the period November 21, 2002 (commencement of operations) through May
31, 2003.
See accompanying notes to financial statements.
86-87 spread
Board Members & OFFICERS
The management of the Funds, including general supervision of the duties
performed for the Funds by the Adviser, is the responsibility of the Board
Members of the Funds. The number of board members of the Fund is currently set
at nine. None of the board members who are not "interested" persons of the Funds
has ever been a director or employee of, or consultant to, Nuveen or its
affiliates. The names and business addresses of the board members and officers
of the Funds, their principal occupations and other affiliations during the past
five years, the number of portfolios each oversees and other directorships they
hold are set forth below.
NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL
BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S)
& ADDRESS APPOINTED IN FUND COMPLEX INCLUDING OTHER
AND TERM(2) OVERSEEN BY DIRECTORSHIPS
BOARD MEMBER DURING PAST 5 YEARS
BOARD MEMBER WHO IS AN INTERESTED PERSON OF THE FUNDS:
o TIMOTHY R. SCHWERTFEGER(1) Director (since 1996) and Non-executive
3/28/49 Chairman of 1994 Chairman (since July 1, 2007) formerly,
333 W. Wacker Drive the Board ANNUAL 176 Chairman (1996-June 30, 2007) of Nuveen
Chicago, IL 60606 and Board Member Investments, Inc., Nuveen Investments, LLC;
Chairman and Director (since 1997) of Nuveen
Asset Management; Chairman and Director of
Rittenhouse Asset Management, Inc. (since
1999); Chairman of Nuveen Investments
Advisers Inc. (since 2002); formerly,
Chairman and Director (1996-2004) Nuveen
Advisory Corp. and Nuveen Institutional
Advisory Corp.(3); formerly, Director
(1996-2006) of Institutional Capital
Corporation.
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS:
o ROBERT P. BREMNER Private Investor and Management Consultant.
8/22/40 Lead 1997
333 W. Wacker Drive Independent CLASS III 176
Chicago, IL 60606 Board member
o JACK B. EVANS President, The Hall-Perrine Foundation, a
10/22/48 1999 private philanthropic corporation (since
333 W. Wacker Drive Board member CLASS III 176 1996); Director and Vice Chairman, United
Chicago, IL 60606 Fire Group, a publicly held company; Member
of the Board of Regents for the State of
Iowa University System; Director, Gazette
Companies; Life Trustee of Coe College and
Iowa College Foundation; Member of the
Advisory Council of the Department of
Finance in the Tippie College of Business,
University of Iowa; formerly, Director,
Alliant Energy; formerly, Director, Federal
Reserve Bank of Chicago; formerly, President
and Chief Operating Officer, SCI Financial
Group, Inc., a regional financial services
firm.
o WILLIAM C. HUNTER Dean, Tippie College of Business, University
3/6/48 2004 of Iowa (since July 2006); formerly, Dean
333 W. Wacker Drive Board member CLASS II 176 and Distinguished Professor of Finance,
Chicago, IL 60606 School of Business at the University of
Connecticut (2003-2006); previously, Senior
Vice President and Director of Research at
the Federal Reserve Bank of Chicago
(1995-2003); Director (since 1997), Credit
Research Center at Georgetown University;
Director (since 2004) of Xerox Corporation;
Director, SS&C Technologies, Inc. (May
2005-October 2005).
88
NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL
BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S)
& ADDRESS APPOINTED IN FUND COMPLEX INCLUDING OTHER
AND TERM(2) OVERSEEN BY DIRECTORSHIPS
BOARD MEMBER DURING PAST 5 YEARS
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS:
o DAVID J. KUNDERT Director, Northwestern Mutual Wealth
10/28/42 2005 Management Company; Retired (since 2004) as
333 W. Wacker Drive Board member CLASS II 174 Chairman, JPMorgan Fleming Asset Management,
Chicago, IL 60606 President and CEO, Banc One Investment
Advisors Corporation, and President, One
Group Mutual Funds; prior thereto, Executive
Vice President, Banc One Corporation and
Chairman and CEO, Banc One Investment
Management Group; Board of Regents, Luther
College; member of the Wisconsin Bar
Association; member of Board of Directors,
Friends of Boerner Botanical Gardens; member
of Board of Directors, Milwaukee Repertory
Theater.
o WILLIAM J. SCHNEIDER Chairman of Miller-Valentine Partners Ltd.,
9/24/44 1997 a real estate investment company; formerly,
333 W. Wacker Drive Board member ANNUAL 176 Senior Partner and Chief Operating Officer
Chicago, IL 60606 (retired, 2004) of Miller-Valentine Group;
formerly, Vice President, Miller-Valentine
Realty; Board Member, Chair of the Finance
Committee and member of the Audit Committee
of Premier Health Partners, the
not-for-profit company of Miami Valley
Hospital; Vice President, Dayton
Philharmonic Orchestra Association; Board
Member, Regional Leaders Forum, which
promotes cooperation on economic development
issues; Director, Dayton Development
Coalition; formerly, Member, Community
Advisory Board, National City Bank, Dayton,
Ohio and Business Advisory Council,
Cleveland Federal Reserve Bank.
o JUDITH M. STOCKDALE Executive Director, Gaylord and Dorothy
12/29/47 1997 Donnelley Foundation (since 1994); prior
333 W. Wacker Drive Board member CLASS I 176 thereto, Executive Director, Great Lakes
Chicago, IL 60606 Protection Fund (from 1990 to 1994).
o CAROLE E. STONE Director, Chicago Board Options Exchange
6/28/47 2007 (since 2006); Chair New York Racing
333 West Wacker Drive Board member CLASS I 176 Association Oversight Board (since 2005);
Chicago, IL 60606 Commissioner, New York State Commission on
Public Authority Reform (since 2005);
formerly Director, New York State Division
of the Budget (2000-2004), Chair, Public
Authorities Control Board (2000-2004) and
Director, Local Government Assistance
Corporation (2000-2004).
o EUGENE S. SUNSHINE Senior Vice President for Business and
1/22/50 2005 Finance, Northwestern University (since
333 W. Wacker Drive Board member CLASS II 176 1997); Director (since 2003), Chicago Board
Chicago, IL 60606 Options Exchange; Chairman (since 1997),
Board of Directors, Rubicon, a pure captive
insurance company owned by Northwestern
University; Director (since 1997), Evanston
Chamber of Commerce and Evanston Inventure,
a business development organization;
Director (since 2006), Pathways, a provider
of therapy and related information for
physically disabled infants and young
children; formerly, Director (2003-2006),
National Mentor Holdings, a privately-held,
national provider of home and
community-based services.
89
NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL
BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S)
AND ADDRESS APPOINTED(4) IN FUND COMPLEX DURING PAST 5 YEARS
OVERSEEN
BY OFFICER
OFFICERS OF THE FUND:
o GIFFORD R. ZIMMERMAN Managing Director (since 2002), Assistant
9/9/56 Chief Secretary and Associate General Counsel,
333 W. Wacker Drive Administrative 1988 176 formerly, Vice President and Assistant
Chicago, IL 60606 Officer General Counsel, of Nuveen Investments, LLC;
Managing Director (since 2002) and Assistant
Secretary and Associate General Counsel,
formerly, Vice President (since 1997), of
Nuveen Asset Management; Managing Director
(since 2004) and Assistant Secretary (since
1994) of Nuveen Investments, Inc.; Assistant
Secretary of NWQ Investment Management
Company, LLC. (since 2002); Vice President
and Assistant Secretary of Nuveen
Investments Advisers Inc. (since 2002);
Managing Director, Associate General Counsel
Assistant Secretary of Rittenhouse Asset
Management, Inc., Symphony Asset Management
LLC (since 2003), Tradewinds Global
Investors, LLC and Santa Barbara Asset
Management, LLC; (since 2006); formerly,
Managing Director (2002-2004), General
Counsel (1998-2004) and Assistant Secretary,
formerly, Vice President of Nuveen Advisory
Corp. and Nuveen Institutional Advisory
Corp.(3); Chartered Financial Analyst.
o WILLIAMS ADAMS IV Executive Vice President, U.S. Structured
6/9/55 Products of Nuveen Investments, LLC, (since
333 West Wacker Drive Vice President 2007 119 1999), prior thereto, Managing Director of
Chicago, IL 60606 Structured Investments.
o JULIA L. ANTONATOS Managing Director (since 2005), formerly
9/22/63 Vice President (since 2002) of Nuveen
333 W. Wacker Drive Vice President 2004 176 Investments, LLC; Chartered Financial
Chicago, IL 60606 Analyst.
o CEDRIC H. ANTOSIEWICZ Managing Director, (since 2004) previously,
1/11/62 Vice President (1993-2004) of Nuveen
333 W. Wacker Drive Vice President 2007 119 Investments, LLC.
Chicago, IL 60606
o MICHAEL T. ATKINSON Vice President (since 2002) of Nuveen
2/3/66 Vice President Investments, LLC.
333 W. Wacker Drive and Assistant 2000 176
Chicago, IL 60606 Secretary
o PETER H. D'ARRIGO Vice President and Treasurer of Nuveen
11/28/67 Investments, LLC and of Nuveen Investments,
333 W. Wacker Drive Vice President 1999 176 Inc. (since 1999); Vice President and
Chicago, IL 60606 Treasurer of Nuveen Asset Management (since
2002) and of Nuveen Investments Advisers
Inc. (since 2002); Assistant Treasurer of
NWQ Investment Management Company, LLC.
(since 2002); Vice President and Treasurer
of Nuveen Rittenhouse Asset Management, Inc.
(since 2003); Treasurer of Symphony Asset
Management LLC (since 2003) and Santa
Barbara Asset Management, LLC (since 2006);
Assistant Treasurer, Tradewinds Global
Investors, LLC (since 2006); formerly, Vice
President and Treasurer (1999-2004) of
Nuveen Advisory Corp. and Nuveen
Institutional Advisory Corp.(3); Chartered
Financial Analyst.
o LORNA C. FERGUSON Managing Director (since 2004), formerly,
10/24/45 Vice President of Nuveen Investments, LLC,
333 W. Wacker Drive Vice President 1998 176 Managing Director (2004) formerly, Vice
Chicago, IL 60606 President (1998-2004) of Nuveen Advisory
Corp. and Nuveen Institutional Advisory
Corp.(3); Managing Director (since 2005) of
Nuveen Asset Management.
90
NAME, POSITION(S) HELD YEAR FIRST NUMBER PRINCIPAL
BIRTHDATE WITH THE FUNDS ELECTED OR OF PORTFOLIOS OCCUPATION(S)
AND ADDRESS APPOINTED(4) IN FUND COMPLEX DURING PAST 5 YEARS
OVERSEEN
BY OFFICER
OFFICERS OF THE FUND:
o WILLIAM M. FITZGERALD Managing Director (since 2002), formerly,
3/2/64 Vice President of Nuveen Investments, LLC;
333 W. Wacker Drive Vice President 1995 176 Managing Director (1997-2004) of Nuveen
Chicago, IL 60606 Advisory Corp. and Nuveen Institutional
Advisory Corp.(3); Managing Director (since
2001) of Nuveen Asset Management; Vice
President (since 2002) of Nuveen Investments
Advisers Inc.; Chartered Financial Analyst.
o STEPHEN D. FOY Vice President (since 1993) and Funds
5/31/54 Vice President Controller (since 1998) of Nuveen
333 W. Wacker Drive and Controller 1998 176 Investments, LLC; formerly, Vice President
Chicago, IL 60606 and Funds Controller (1998-2004) of Nuveen
Investments, Inc.; Certified Public
Accountant.
o WALTER M. KELLY Assistant Vice President and Assistant
2/24/70 Chief Compliance Secretary of the Nuveen Funds (2003-2006);
333 West Wacker Drive Officer and 2003 176 Vice President (since 2006) formerly,
Chicago, IL 60606 Vice President Assistant Vice President and Assistant
General Counsel (2003-2006) of Nuveen
Investments, LLC; previously, Associate
(2001-2003) at the law firm of Vedder,
Price, Kaufman & Kammholz.
o DAVID J. LAMB Vice President (since 2000) of Nuveen
3/22/63 Investments, LLC; Certified Public
333 W. Wacker Drive Vice President 2000 176 Accountant.
Chicago, IL 60606
o TINA M. LAZAR Vice President of Nuveen Investments, LLC
8/27/61 (since 1999).
333 W. Wacker Drive Vice President 2002 176
Chicago, IL 60606
o LARRY W. MARTIN Vice President, Assistant Secretary and
7/27/51 Vice President Assistant General Counsel of Nuveen
333 W. Wacker Drive and Assistant 1988 176 Investments, LLC; formerly, Vice President
Chicago, IL 60606 Secretary and Assistant Secretary of Nuveen Advisory
Corp. and Nuveen Institutional Advisory
Corp.(3); Vice President (since 2005) and
Assistant Secretary of Nuveen Investments,
Inc.; Vice President (since 2005) and
Assistant Secretary (since 1997) of Nuveen
Asset Management; Vice President (since
2000), Assistant Secretary and Assistant
General Counsel (since 1998) of Rittenhouse
Asset Management, Inc.; Vice President and
Assistant Secretary of Nuveen Investments
Advisers Inc. (since 2002); Assistant
Secretary of NWQ Investment Management
Company, LLC (since 2002), Symphony Asset
Management LLC (since 2003) and Tradewinds
Global Investors, LLC and Santa Barbara
Asset Management, LLC (since 2006).
o KEVIN J. MCCARTHY Vice President and Assistant General
3/26/66 Vice President Counsel, Nuveen Investments, LLC (since
333 W. Wacker Drive and Secretary 2007 176 2007); prior thereto, Partner, Bell, Boyd &
Chicago, IL 60606 Lloyd LLP (1997-2007)
o JOHN V. MILLER Managing Director (since 2007), formerly,
4/10/67 Vice President (2002-2007) of Nuveen
333 W. Wacker Drive Vice President 2007 176 Investments, LLC; Chartered Financial
Chicago, IL 60606 Analyst.
(1) Mr. Schwertfeger is an "interested person" of the Funds, as defined in the
Investment Company Act of 1940, because he is an officer and board member
of the Adviser.
(2) Board Members serve three year terms, except for two board members who are
elected by the holders of Preferred Shares. The Board of Trustees is
divided into three classes, Class I, Class II, and Class III, with each
being elected to serve until the third succeeding annual shareholders'
meeting subsequent to its election or thereafter in each case when its
respective successors are duly elected or appointed, except two board
members are elected by the holders of Preferred Shares to serve until the
next annual shareholders' meeting subsequent to its election or thereafter
in each case when its respective successors are duly elected or appointed.
The first year elected or appointed represents the year in which the board
member was first elected or appointed to any fund in the Nuveen Complex.
(3) Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. were
reorganized into Nuveen Asset Management, effective January 1, 2005.
(4) Officers serve one year terms through July of each year. The year first
elected or appointed represents the year in which the Officer was first
elected or appointed to any fund in the Nuveen Complex.
91
Annual Investment
Management Agreement
APPROVAL PROCESS
The Board of Trustees is responsible for overseeing the performance of the
investment adviser to the Funds and determining whether to continue the advisory
arrangements. At a meeting held on May 21-23, 2007 (the "May Meeting"), the
Board of Trustees of the Funds, including the independent Trustees, unanimously
approved the continuance of the Investment Management Agreement between each
Fund and NAM (the "Fund Adviser").
THE APPROVAL PROCESS
During the course of the year, the Board received a wide variety of materials
relating to the services provided by the Fund Adviser and the performance of the
Funds. At each of its quarterly meetings, the Board reviews investment
performance and various matters relating to the respective Fund's operations,
including the Fund's compliance program, shareholder services, valuation,
custody, distribution and other information relating to the nature, extent and
quality of services provided by the Fund Adviser. Between the regularly
scheduled quarterly meetings, the Trustees received information on particular
matters as the need arose. In considering whether to renew the respective
advisory contract with the Fund Adviser at the May Meeting, the independent
Trustees also received extensive materials well in advance of their meeting
which outlined, among other things:
o the nature, extent and quality of services provided by the Fund Adviser;
o the organization and business operations of the Fund Adviser, including the
responsibilities of various departments and key personnel;
o the Fund's past performance as well as the Fund's performance compared to
funds with similar investment objectives based on data and information
provided by an independent third party and to customized benchmarks;
o the profitability of the Fund Adviser and certain industry profitability
analyses for unaffiliated advisers;
o the expenses of the Fund Adviser in providing the various services;
o the advisory fees and total expense ratios of the Fund, including
comparisons of such fees and expenses with those of comparable,
unaffiliated funds based on information and data provided by an independent
third party (the "Peer Universe") as well as compared to a subset of funds
within the Peer Universe (the "Peer Group") of the respective Fund (as
applicable);
o the advisory fees the Fund Adviser assesses to other types of investment
products or clients;
o the soft dollar practices of the Fund Adviser, if any; and
o from independent legal counsel, a legal memorandum describing among other
things, applicable laws, regulations and duties in reviewing and approving
advisory contracts.
At the May Meeting, the Fund Adviser made a presentation to and responded to
questions from the Board.
Prior to and after the presentations and reviewing the written materials, the
independent Trustees met privately with their legal counsel to review the
Board's duties in reviewing advisory contracts and consider the renewal of the
advisory contracts. The independent Trustees, in consultation with independent
counsel, reviewed the factors set out in judicial decisions and SEC directives
relating to the renewal of advisory contracts. As outlined in more detail below,
the Trustees considered all factors they believed relevant with respect to each
Fund, including, but not limited to, the following: (a) the nature, extent and
quality of the services to be provided by the Fund Adviser; (b) the investment
performance of the Fund and the Fund Adviser; (c) the costs of the services to
be provided and profits to be realized by the Fund Adviser and its affiliates;
(d) the extent to which economies of scale would be realized; and (e) whether
fee levels reflect these economies of scale for the benefit of Fund investors.
In addition, as noted, the Trustees met regularly throughout the year to oversee
the Funds. In evaluating the advisory contracts, the Trustees also relied upon
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their knowledge resulting from their meetings and other interactions throughout
the year of the Fund Adviser, its services and the Funds. It is with this
background that the Trustees considered each advisory contract.
A. NATURE, EXTENT AND QUALITY OF SERVICES
In reviewing the Fund Adviser, the Trustees considered the nature, extent and
quality of the Fund Adviser's services. The Trustees reviewed materials
outlining, among other things, the Fund Adviser's organization and business; the
types of services that the Fund Adviser or its affiliates provide and are
expected to provide to the Funds; the performance record of the applicable Fund
(as described in further detail below); and any initiatives Nuveen has taken for
the municipal fund product line. As noted, the Trustees are already familiar
with the organization, operations and personnel of the Fund Adviser due to the
Trustees' experience in governing the respective Fund and working with NAM on
matters relating to the Funds. With respect to personnel, the Trustees
recognized NAM's investment in additional qualified personnel throughout the
various groups in the organization and recommended to NAM that it continue to
review staffing needs as necessary. In addition, with respect to the municipal
funds advised by NAM, the Trustees reviewed materials describing the current
status and, in particular, the developments in 2006 with respect to NAM's
investment process, investment strategies (including additional tools used in
executing such strategies), personnel (including portfolio management and
research teams), trading process, hedging team, risk management team (e.g.,
reviewing credit quality, duration limits, derivative use, as applicable), and
investment operations (such as, enhancements to trading procedures, pricing
procedures, and client services). The Trustees recognized NAM's investment of
resources and efforts to continue to enhance and refine its investment process.
In addition to advisory services, the independent Trustees considered the
quality of any administrative or non-advisory services provided. With respect to
NAM, NAM provides the Funds with a wide variety of services and officers and
other personnel as are necessary for the operations of the respective Fund,
including,
o product management;
o fund administration;
o oversight of shareholder services and other fund service providers;
o administration of Board relations;
o regulatory and portfolio compliance; and
o legal support services.
As the Funds operate in a highly regulated industry and given the importance of
compliance, the Trustees considered, in particular, NAM's compliance activities
for the Funds and enhancements thereto. In this regard, the Trustees recognized
the quality of NAM's compliance team. The Trustees further noted NAM's
negotiations with other service providers and the corresponding reduction in
certain service providers' fees.
With respect to closed-end funds, in addition to the foregoing services, the
Trustees also noted the additional services that NAM or its affiliates provide
to closed-end funds, including, in particular, its secondary market support
activities. The Trustees recognized Nuveen's continued commitment to supporting
the secondary market for the common shares of its closed-end funds through a
variety of programs designed to raise investor and analyst awareness and
understanding of closed-end funds. These efforts include:
o maintaining shareholder communications;
o providing advertising for closed-end funds;
o maintaining its closed-end fund website;
o continual contact with financial advisers;
o providing educational symposia;
o conducting research with investors and financial analysis regarding
closed-end funds; and
o evaluating secondary market performance.
93
With respect to Funds that utilize leverage through the issuance of preferred
shares, the Trustees noted Nuveen's continued support for the preferred shares
by, among other things:
o maintaining an in-house trading desk;
o maintaining a product manager for the preferred shares;
o developing distribution for preferred shares with new market participants;
o maintaining an orderly auction process;
o managing leverage and risk management of leverage; and
o maintaining systems necessary to test compliance with rating agency
criteria.
Based on their review, the Trustees found that, overall, the nature, extent and
quality of services provided (and expected to be provided) to the respective
Funds under the Investment Management Agreements were satisfactory.
B. THE INVESTMENT PERFORMANCE OF THE FUNDS AND FUND ADVISER
The Board considered the investment performance for each Fund, including the
Fund's historic performance as well as its performance compared to funds with
similar investment objectives (the "Performance Peer Group") based on data
provided by an independent third party (as described below). With respect to
municipal funds, the Trustees reviewed portfolio level performance against
customized benchmarks, as described in further detail below.
In evaluating the performance information, in certain instances, the Trustees
noted that the closest Performance Peer Group for a Fund may not adequately
reflect such Fund's investment objectives and strategies, thereby limiting the
usefulness of the comparisons of such Fund's performance with that of the
Performance Peer Group.
With respect to state specific municipal funds, the Trustees also recognized
that certain state municipal funds do not have a corresponding state specific
Performance Peer Group in which case their performance is measured against a
more general municipal category for various states. With respect to municipal
closed-end funds, municipal funds that do not have corresponding state-specific
Performance Peer Groups are from all states other than New York, California,
Florida, New Jersey, Michigan, and Pennsylvania. However, with respect to Funds
based on Florida, New Jersey, Michigan and Pennsylvania, the peer group may be
so small or the Nuveen Funds may dominate the category to such an extent that
performance information for such Funds was also compared to the more general
category for all states (other than New York and California).
With respect to municipal funds, the Trustees reviewed performance information
including, among other things, total return information compared with the Fund's
Performance Peer Group for the one-, three- and five-year periods (as
applicable) ending December 31, 2006. The Trustees also reviewed the Fund's
portfolio level performance (which does not reflect fund level fees and
expenses) compared to customized portfolio-level benchmarks for the one- and
three-year periods ending December 31, 2006 (as applicable). This analysis is
designed to assess the efficacy of investment decisions against appropriate
measures of risk and total return, within specific market segments. This
information supplements the Fund performance information provided to the Board
at each of its quarterly meetings. Based on their review, the Trustees
determined that the respective Fund's absolute and relative investment
performance over time had been satisfactory, subject to the following. With
respect to various municipal closed-end funds, the Trustees have noted the
relative total return underperformance in recent years compared to peers. The
Trustees reviewed materials and discussed with the Fund Adviser the factors
contributing to the shift in performance including, among other things, the
degree of risk undertaken by peers compared to the Funds (such as through the
increased use of leverage or taking concentrated positions in high risk
credits). In addition, the Trustees also considered a Fund's dividend
performance and the extent of any secondary market discounts. The Trustees noted
NAM's efforts to evaluate the factors affecting performance and determine
whether modification to a Fund's investment strategy is necessary or appropriate
and are satisfied with the steps being taken.
94
C. FEES, EXPENSES AND PROFITABILITY
1. FEES AND EXPENSES
In evaluating the management fees and expenses of a Fund, the Board
reviewed, among other things, the Fund's advisory fees (net and gross
management fees) and total expense ratios (before and after expense
reimbursements and/or waivers) in absolute terms as well as comparisons to
the gross management fees (before waivers), net management fees (after
waivers) and total expense ratios (before and after waivers) of comparable
funds in the Peer Universe and the Peer Group. In reviewing the fee
schedule for a Fund, the Trustees considered the fund-level and
complex-wide breakpoint schedules (described in further detail below) and
any fee waivers and reimbursements provided by Nuveen (applicable, in
particular, for certain Funds launched since 1999). The Trustees further
reviewed data regarding the construction of Peer Groups as well as the
methods of measurement for the fee and expense analysis and the performance
analysis. In certain cases, due to the small number of peers in the Peer
Universe, the Peer Universe and Peer Group may be the same. In reviewing
the comparison of fee and expense information, the Trustees recognized that
in certain cases, the Fund size relative to peers, the small size and odd
composition of the Peer Group (including differences in objectives and
strategies), expense anomalies, timing of information used or other factors
impact the comparisons thereby limiting some of their usefulness. With
respect to municipal closed-end funds, the Trustees also considered the
differences in the use of leverage. Based on their review of the fee and
expense information provided, the Trustees determined that each Fund's net
total expense ratio was within an acceptable range compared to peers.
2. COMPARISONS WITH THE FEES OF OTHER CLIENTS
The Trustees further reviewed data comparing the advisory fees of NAM with
fees NAM charges to other clients. With respect to municipal funds, such
other clients include municipal managed accounts. In general, the advisory
fees charged for separate accounts are somewhat lower than the advisory
fees assessed to the Funds. The Trustees considered the differences in the
product types, including, but not limited to, the services provided, the
structure and operations, product distribution and costs thereof, portfolio
investment policies, investor profiles, account sizes and regulatory
requirements. The Trustees noted, in particular, that the range of services
provided to the Funds (as discussed above) is more extensive than that
provided to separately managed accounts. As described in further detail
above, such additional services include, but are not limited to, providing:
product management, fund administration, oversight of third party service
providers, administration of Board relations, and legal support. Funds
further operate in a highly regulated industry requiring extensive
compliance functions compared to the other investment products. Given the
inherent differences in the products, particularly the extensive services
provided to the Funds, the Trustees believe such facts justify the
different levels of fees.
3. PROFITABILITY OF FUND ADVISERS
In conjunction with its review of fees, the Trustees also considered the
profitability of Nuveen for its advisory activities (which incorporated
Nuveen's wholly-owned affiliated sub-advisers) and its financial condition.
The Trustees reviewed the revenues and expenses of Nuveen's advisory
activities for the last three years, the allocation methodology used in
preparing the profitability data as well as the 2006 Annual Report for
Nuveen. The Trustees noted this information supplements the profitability
information requested and received during the year to help keep them
apprised of developments affecting profitability (such as changes in fee
waivers and expense reimbursement commitments). In this regard, the
Trustees noted the enhanced dialogue and information regarding
profitability with NAM during the year, including more frequent meetings
and updates from Nuveen's corporate finance group. The Trustees also
reviewed data comparing Nuveen's profitability with other fund sponsors
prepared by three independent third party service providers as well as
comparisons of the revenues, expenses and profit margins of various
unaffiliated management firms with similar amounts of assets under
management prepared by Nuveen.
In reviewing profitability, the Trustees have recognized the subjective
nature in determining profitability which may be affected by numerous
factors, including, the allocation of expenses. Further, the Trustees
95
have recognized the difficulties in making comparisons as the profitability
of other advisers generally is not publicly available and the profitability
information that is available for certain advisers or management firms may
not be representative of the industry and may be affected by, among other
things, the adviser's particular business mix, capital costs, types of
funds managed and expense allocations.
Notwithstanding the foregoing, the Trustees reviewed Nuveen's methodology and
assumptions for allocating expenses across product lines to determine
profitability. Last year, the Trustees also designated an independent Trustee as
a point person for the Board to review the methodology determinations during the
year and any refinements thereto and report back to them. The Trustees also
reviewed the comparisons of Nuveen's profitability margins (including pre- and
post-marketing profit margins) with the profitability of various unaffiliated
management firms. In reviewing profitability, the Trustees recognized Nuveen's
increased investment into its fund business. Based on its review, the Trustees
concluded that they were satisfied that Nuveen's level of profitability for its
advisory activities was reasonable in light of the services provided.
In evaluating the reasonableness of the compensation, the Trustees also
considered any other revenues paid to the Fund Adviser as well as any indirect
benefits (such as soft dollar arrangements, if any) the Fund Adviser and its
affiliates are expected to receive that are directly attributable to their
management of the Funds, if any. See Section E below for additional information.
Based on their review of the overall fee arrangements of the applicable Fund,
the Trustees determined that the advisory fees and expenses of the respective
Fund were reasonable.
D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE
With respect to economies of scale, the Trustees recognized the potential
benefits resulting from the costs of a Fund being spread over a larger asset
base. To help ensure the shareholders share in these benefits, the Trustees have
reviewed and considered the breakpoints in the advisory fee schedules that
reduce advisory fees. In addition to advisory fee breakpoints, the Board also
approved in 2004 a complex-wide fee arrangement. Pursuant to the complex-wide
fee arrangement, the fees of the funds in the Nuveen complex, including the
Funds, are reduced as the assets in the fund complex reach certain levels. In
evaluating the complex-wide fee arrangement, the Trustees noted that the last
breakpoint for the complex-wide fee schedule is at the $91 billion level and
anticipate further review and/or negotiations prior to the assets of the Nuveen
complex reaching such threshold. Based on their review, the Trustees concluded
that the breakpoint schedule and complex-wide fee arrangement currently was
acceptable and desirable in providing benefits from economies of scale to
shareholders subject to further evaluation of the complex-wide fee schedule as
assets in the complex increase.
E. INDIRECT BENEFITS
In evaluating fees, the Trustees also considered any indirect benefits or
profits the Fund Adviser or its affiliates may receive as a result of its
relationship with each Fund. With respect to closed-end funds, the Trustees
considered revenues received by affiliates of NAM for serving as agent at
Nuveen's preferred trading desk and for serving as a co-manager in the initial
public offering of new closed-end exchange traded funds.
In addition to the above, the Trustees considered whether the Fund Adviser
received any benefits from soft dollar arrangements whereby a portion of the
commissions paid by a Fund for brokerage may be used to acquire research that
may be useful to the Fund Adviser in managing the assets of the Fund and other
clients. With respect to NAM, the Trustees noted that NAM does not currently
have any soft dollar arrangements; however, to the extent certain bona fide
agency transactions that occur on markets that traditionally trade on a
principal basis and riskless principal transactions are considered as generating
"commissions," NAM intends to comply with the applicable safe harbor provisions.
F. OTHER CONSIDERATIONS
The Trustees did not identify any single factor discussed previously as
all-important or controlling. The Trustees, including the independent Trustees,
unanimously concluded that the terms of the NAM Investment Management Agreements
are fair and reasonable, that the Fund Adviser's fees are reasonable in light of
the services provided to each Fund and that the renewal of the NAM Investment
Management Agreements should be approved.
96
Reinvest Automatically
EASILY and CONVENIENTLY
NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET UP YOUR
REINVESTMENT ACCOUNT.
NUVEEN CLOSED-END FUNDS DIVIDEND REINVESTMENT PLAN
Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or
capital gains distributions in additional Fund shares.
By choosing to reinvest, you'll be able to invest money regularly and
automatically, and watch your investment grow through the power of tax-free
compounding. Just like dividends or distributions in cash, there may be times
when income or capital gains taxes may be payable on dividends or distributions
that are reinvested.
It is important to note that an automatic reinvestment plan does not ensure a
profit, nor does it protect you against loss in a declining market.
EASY AND CONVENIENT
To make recordkeeping easy and convenient, each month you'll receive a statement
showing your total dividends and distributions, the date of investment, the
shares acquired and the price per share, and the total number of shares you own.
HOW SHARES ARE PURCHASED
The shares you acquire by reinvesting will either be purchased on the open
market or newly issued by the Fund. If the shares are trading at or above net
asset value at the time of valuation, the Fund will issue new shares at the
greater of the net asset value or 95% of the then-current market price. If the
shares are trading at less than net asset value, shares for your account will be
purchased on the open market. If the Plan Agent begins purchasing Fund shares on
the open market while shares are trading below net asset value, but the Fund's
shares subsequently trade at or above their net asset value before the Plan
Agent is able to complete its purchases, the Plan Agent may cease open-market
purchases and may invest the uninvested portion of the distribution in
newly-issued Fund shares at a price equal to the greater of the shares' net
asset value or 95% of the shares' market value on the last business day
immediately prior to the purchase date. Dividends and distributions received to
purchase shares in the open market will normally be invested shortly after the
dividend payment date. No interest will be paid on dividends and distributions
awaiting reinvestment. Because the market price of the shares may increase
before purchases are completed, the average purchase price per share may exceed
the market price at the time of valuation, resulting in the acquisition of fewer
shares than if the dividend or distribution had been paid in shares issued by
the Fund. A pro rata portion of any applicable brokerage commissions on open
market purchases will be paid by Plan participants. These commissions usually
will be lower than those charged on individual transactions.
97
FLEXIBLE
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
You can reinvest whether your shares are registered in your name, or in the name
of a brokerage firm, bank, or other nominee. Ask your investment advisor if his
or her firm will participate on your behalf. Participants whose shares are
registered in the name of one firm may not be able to transfer the shares to
another firm and continue to participate in the Plan.
The Fund reserves the right to amend or terminate the Plan at any time. Although
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants, there is no direct service charge to participants
in the Plan at this time.
CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in
or withdraw from the Plan, speak with your financial advisor or call us at (800)
257-8787.
98
Other Useful INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
Each Fund's (i) quarterly portfolio of investments, (ii) information regarding
how the Funds voted proxies relating to portfolio securities held during the
12-month period ended June 30, 2006, and (iii) a description of the policies and
procedures that the Funds used to determine how to vote proxies relating to
portfolio securities are available without charge, upon request, by calling
Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at
www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities
and Exchange Commission ("SEC"). The SEC may charge a copying fee for this
information. Visit the SEC on-line at http://www.sec.gov or in person at the
SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090
for room hours and operation. You may also request Fund information by sending
an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public
References Section at 450 Fifth Street NW, Washington, D.C. 20549.
CEO CERTIFICATION DISCLOSURE
For Funds listed on the New York Stock Exchange, each Fund's Chief Executive
Officer has submitted to the Exchange the annual CEO certification as required
by Section 303A.12(a) of the NYSE Listed Company Manual.
Each Fund has filed with the Securities and Exchange Commission the
certification of its Chief Executive Officer and Chief Financial Officer
required by Section 302 of the Sarbanes-Oxley Act.
INVESTMENT POLICY CHANGE
In February 2007, the Board of Trustees voted to remove investment policy
restrictions that limited the territorial bond holdings of these Funds to a
maximum of 10 percent of net assets. This change will give the Funds' portfolio
managers greater flexibility to achieve its investment objectives.
GLOSSARY OF TERMS USED IN THIS REPORT
o AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period.
It expresses the return that would have been necessary each year to equal
the investment's actual cumulative performance (including change in NAV or
market price and reinvested dividends and capital gains distributions, if
any) over the time period being considered.
o AVERAGE EFFECTIVE MATURITY: The average of the number of years to maturity
of the bonds in a Fund's portfolio, computed by weighting each bond's time
to maturity (the date the security comes due) by the market value of the
security. This figure does not account for the likelihood of prepayments or
the exercise of call provisions unless an escrow account has been
established to redeem the bond before maturity. The market value weighting
for an investment in an inverse floating rate security is the value of the
portfolio's residual interest in the inverse floating rate trust, and does
not include the value of the floating rate securities issued by the trust.
o INVERSE FLOATERS: Inverse floating rate securities are created by
depositing a municipal bond, typically with a fixed interest rate, into a
special purpose trust created by a broker-dealer. This trust, in turn, (a)
issues floating rate certificates typically paying short-term tax-exempt
interest rates to third parties in amounts equal to some fraction of the
deposited bond's par amount or market value, and (b) issues an inverse
floating rate certificate (sometimes referred to as an "inverse floater")
to an investor (such as a Fund) interested in gaining investment exposure
to a long-term municipal bond. The income received by the holder of the
inverse floater varies inversely with the short-term rate paid to the
floating rate certificates' holders, and in most circumstances the holder
of the inverse floater bears substantially all of the underlying bond's
downside investment risk. The holder of the inverse floater typically also
benefits disproportionately from any potential appreciation of the
underlying bond's value. Hence, an inverse floater essentially represents
an investment in the underlying bond on a leveraged basis.
o LEVERAGE-ADJUSTED DURATION: Duration is a measure of the expected period
over which a bond's principal and interest will be paid, and consequently
is a measure of the sensitivity of a bond's or bond Fund's value to changes
when market interest rates change. Generally, the longer a bond's or Fund's
duration, the more the price of the bond or Fund will change as interest
rates change. Leverage-adjusted duration takes into account the leveraging
process for a Fund and therefore is longer than the duration of the Fund's
portfolio of bonds.
o MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An
investment's current annualized dividend divided by its current market
price.
o NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by
subtracting the liabilities of the Fund (including any MuniPreferred shares
issued in order to leverage the Fund) from its total assets and then
dividing the remainder by the number of shares outstanding. Fund NAVs are
calculated at the end of each business day.
o TAXABLE-EQUIVALENT YIELD: The yield necessary from a fully taxable
investment to equal, on an after-tax basis, the yield of a municipal bond
investment.
BOARD OF TRUSTEES
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Carol E. Stone
Eugene S. Sunshine
FUND MANAGER
Nuveen Asset Management
333 West Wacker Drive
Chicago, IL 60606
CUSTODIAN
State Street Bank & Trust Company
Boston, MA
TRANSFER AGENT AND
SHAREHOLDER SERVICES
State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
LEGAL COUNSEL
Chapman and Cutler LLP
Chicago, IL
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
Chicago, IL
Each Fund intends to repurchase shares of its own common or preferred stock in
the future at such times and in such amounts as is deemed advisable. No shares
were repurchased during the period covered by this report. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
99
Nuveen Investments:
-------------------
SERVING INVESTORS FOR GENERATIONS
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. For the past century,
Nuveen Investments has adhered to the belief that the best approach to investing
is to apply conservative risk-management principles to help minimize volatility.
Building on this tradition, we today offer a range of high quality equity and
fixed-income solutions that are integral to a well-diversified core portfolio.
Our clients have come to appreciate this diversity, as well as our continued
adherence to proven, long-term investing principles.
We offer many different investing solutions for our clients' different needs.
Managing $166 billion in assets, as of March 31, 2007, Nuveen Investments offers
access to a number of different asset classes and investing solutions through a
variety of products. Nuveen Investments markets its capabilities under six
distinct brands: NWQ, specializing in value-style equities; Nuveen, managing
fixed-income investments; Santa Barbara, committed to growth equities;
Tradewinds, specializing in global value equities; Rittenhouse, focused on
"blue-chip" growth equities; and Symphony, with expertise in alternative
investments as well as equity and income portfolios.
Find out how we can help you reach your financial goals.
To learn more about the products and services Nuveen Investments offers, talk to
your financial advisor, or call us at (800) 257-8787. Please read the
information provided carefully before you invest. Be sure to obtain a
prospectus, where applicable. Investors should consider the investment objective
and policies, risk considerations, charges and expenses of the Fund carefully
before investing. The prospectus contains this and other information relevant to
an investment in the Fund. For a prospectus, please contact your securities
representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606.
Please read the prospectus carefully before you invest or send money.
Learn more about Nuveen Funds at: www.nuveen.com/etf
Share prices
Fund details
Daily financial news
Investor education
Interactive planning tools
EAN-B-0507D
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a
code of ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions. There were no amendments to or waivers
from the Code during the period covered by this report. The registrant has
posted the code of ethics on its website at www.nuveen.com/etf. (To view the
code, click on the Investor Resources drop down menu box, click on Fund
Governance and then click on Code of Conduct.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Directors or Trustees determined that the registrant
has at least one "audit committee financial expert" (as defined in Item 3 of
Form N-CSR) serving on its Audit Committee. The registrant's audit committee
financial expert is Jack B. Evans, Chairman of the Audit Committee, who is
"independent" for purposes of Item 3 of Form N-CSR.
Mr. Evans was formerly President and Chief Operating Officer of SCI Financial
Group, Inc., a full service registered broker-dealer and registered investment
adviser ("SCI"). As part of his role as President and Chief Operating Officer,
Mr. Evans actively supervised the Chief Financial Officer (the "CFO") and
actively supervised the CFO's preparation of financial statements and other
filings with various regulatory authorities. In such capacity, Mr. Evans was
actively involved in the preparation of SCI's financial statements and the
resolution of issues raised in connection therewith. Mr. Evans has also served
on the audit committee of various reporting companies. At such companies, Mr.
Evans was involved in the oversight of audits, audit plans, and the preparation
of financial statements. Mr. Evans also formerly chaired the audit committee of
the Federal Reserve Bank of Chicago.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Nuveen Massachusetts Premium Income Municipal Fund
The following tables show the amount of fees that Ernst & Young LLP, the Fund's
auditor, billed to the Fund during the Fund's last two full fiscal years. For
engagements with Ernst & Young LLP the Audit Committee approved in advance all
audit services and non-audit services that Ernst & Young LLP provided to the
Fund, except for those non-audit services that were subject to the pre-approval
exception under Rule 2-01 of Regulation S-X (the "pre-approval exception"). The
pre-approval exception for services provided directly to the Fund waives the
pre-approval requirement for services other than audit, review or attest
services if: (A) the aggregate amount of all such services provided constitutes
no more than 5% of the total amount of revenues paid by the Fund to its
accountant during the fiscal year in which the services are provided; (B) the
Fund did not recognize the services as non-audit services at the time of the
engagement; and (C) the services are promptly brought to the Audit Committee's
attention, and the Committee (or its delegate) approves the services before the
audit is completed.
The Audit Committee has delegated certain pre-approval responsibilities to its
Chairman (or, in his absence, any other member of the Audit Committee).
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE FUND
AUDIT FEES BILLED AUDIT-RELATED FEES TAX FEES ALL OTHER FEES
FISCAL YEAR ENDED TO FUND (1) BILLED TO FUND (2) BILLED TO FUND (3) BILLED TO FUND (4)
--------------------------------------------------------------------------------------------------------------------------
May 31, 2007 $ 9,097 $ 0 $ 0 $ 2,250
--------------------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0% 0%
pursuant to
pre-approval
exception
--------------------------------------------------------------------------------------------------------------------------
May 31, 2006 $ 8,626 $ 0 $404 $ 2,850
--------------------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0% 0%
pursuant to
pre-approval
exception
--------------------------------------------------------------------------------------------------------------------------
(1) "Audit Fees" are the aggregate fees billed for professional services for
the audit of the Fund's annual financial statements and services provided
in connection with statutory and regulatory filings or engagements.
(2) "Audit Related Fees" are the aggregate fees billed for assurance and
related services reasonably related to the performance of the audit or
review of financial statements and are not reported under "Audit Fees".
(3) "Tax Fees" are the aggregate fees billed for professional services for tax
advice, tax compliance, and tax planning.
(4) "All Other Fees" are the aggregate fees billed for products and services
other than "Audit Fees", "Audit Related Fees", and "Tax Fees".
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE
ADVISER AND AFFILIATED FUND SERVICE PROVIDERS
The following tables show the amount of fees billed by Ernst & Young LLP to
Nuveen Asset Management ("NAM" or the "Adviser"), and any entity controlling,
controlled by or under common control with NAM ("Control Affiliate") that
provides ongoing services to the Fund ("Affiliated Fund Service Provider"), for
engagements directly related to the Fund's operations and financial reporting,
during the Fund's last two full fiscal years.
The tables also show the percentage of fees subject to the pre-approval
exception. The pre-approval exception for services provided to the Adviser and
any Affiliated Fund Service Provider (other than audit, review or attest
services) waives the pre-approval requirement if: (A) the aggregate amount of
all such services provided constitutes no more than 5% of the total amount of
revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund
Service Providers during the fiscal year in which the services are provided that
would have to be pre-approved by the Audit Committee; (B) the Fund did not
recognize the services as non-audit services at the time of the engagement; and
(C) the services are promptly brought to the Audit Committee's attention, and
the Committee (or its delegate) approves the services before the Fund's audit is
completed.
FISCAL YEAR ENDED AUDIT-RELATED FEES TAX FEES BILLED TO ALL OTHER FEES
BILLED TO ADVISER AND ADVISER AND BILLED TO ADVISER
AFFILIATED FUND AFFILIATED FUND AND AFFILIATED FUND
SERVICE PROVIDERS SERVICE PROVIDERS (1) SERVICE PROVIDERS
--------------------------------------------------------------------------------------------------------------
May 31, 2007 $ 0 $ 0 $ 0
--------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0%
pursuant to
pre-approval
exception
--------------------------------------------------------------------------------------------------------------
May 31, 2006 $ 0 $ 2,400 $ 0
--------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0%
pursuant to
pre-approval
exception
--------------------------------------------------------------------------------------------------------------
(1) The amounts reported for the Fund under the column heading "Tax Fees"
represents amounts billed to the Adviser exclusively for the preparation
for the Fund's tax return, the cost of which is borne by the Adviser. In
the aggregate, for all Nuveen funds for which Ernst & Young LLP serves as
independent registered public accounting firm, these fees amounted to
$161,400 in 2006. Beginning with fund fiscal years ending August 31, 2006,
Ernst & Young LLP will no longer prepare the fund tax returns.
NON-AUDIT SERVICES
The following table shows the amount of fees that Ernst & Young LLP billed
during the Fund's last two full fiscal years for non-audit services. The Audit
Committee is required to pre-approve non-audit services that Ernst & Young LLP
provides to the Adviser and any Affiliated Fund Services Provider, if the
engagement related directly to the Fund's operations and financial reporting
(except for those subject to the de minimis exception described above). The
Audit Committee requested and received information from Ernst & Young LLP about
any non-audit services that Ernst & Young LLP rendered during the Fund's last
fiscal year to the Adviser and any Affiliated Fund Service Provider. The
Committee considered this information in evaluating Ernst & Young LLP's
independence.
FISCAL YEAR ENDED TOTAL NON-AUDIT FEES
BILLED TO ADVISER AND
AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES
PROVIDERS (ENGAGEMENTS BILLED TO ADVISER AND
RELATED DIRECTLY TO THE AFFILIATED FUND SERVICE
TOTAL NON-AUDIT FEES OPERATIONS AND FINANCIAL PROVIDERS (ALL OTHER
BILLED TO FUND REPORTING OF THE FUND) ENGAGEMENTS) TOTAL
------------------------------------------------------------------------------------------------------------------------------------
May 31, 2007 $ 2,250 $ 0 $ 0 $ 2,250
May 31, 2006 $ 3,254 $ 2,400 $ 0 $ 5,654
"Non-Audit Fees billed to Adviser" for both fiscal year ends represent "Tax
Fees" billed to Adviser in their respective amounts from the previous table.
Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit
Committee must approve (i) all non-audit services to be performed for the Fund
by the Fund's independent accountants and (ii) all audit and non-audit services
to be performed by the Fund's independent accountants for the Affiliated Fund
Service Providers with respect to operations and financial reporting of the
Fund. Regarding tax and research projects conducted by the independent
accountants for the Fund and Affiliated Fund Service Providers (with respect to
operations and financial reports of the Fund) such engagements will be (i)
pre-approved by the Audit Committee if they are expected to be for amounts
greater than $10,000; (ii) reported to the Audit Committee chairman for his
verbal approval prior to engagement if they are expected to be for amounts under
$10,000 but greater than $5,000; and (iii) reported to the Audit Committee at
the next Audit Committee meeting if they are expected to be for an amount under
$5,000.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant's Board of Directors or Trustees has a separately designated
Audit Committee established in accordance with Section 3(a)(58)(A) of the
Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The
members of the audit committee are Robert P. Bremner, Jack B. Evans, William J.
Schneider, Eugene S. Sunshine and David J. Kundert.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The registrant invests its assets primarily in municipal bonds and cash
management securities. On rare occasions the registrant may acquire, directly or
through a special purpose vehicle, equity securities of a municipal bond issuer
whose bonds the registrant already owns when such bonds have deteriorated or are
expected shortly to deteriorate significantly in credit quality. The purpose of
acquiring equity securities generally will be to acquire control of the
municipal bond issuer and to seek to prevent the credit deterioration or
facilitate the liquidation or other workout of the distressed issuer's credit
problem. In the course of exercising control of a distressed municipal issuer,
NAM may pursue the registrant's interests in a variety of ways, which may entail
negotiating and executing consents, agreements and other arrangements, and
otherwise influencing the management of the issuer. NAM does not consider such
activities proxy voting for purposes of Rule 206(4)-6 under the 1940 Act, but
nevertheless provides reports to the registrant's Board of Trustees on its
control activities on a quarterly basis.
In the rare event that a municipal issuer were to issue a proxy or that the
registrant were to receive a proxy issued by a cash management security, NAM
would either engage an independent third party to determine how the proxy should
be voted or vote the proxy with the consent, or based on the instructions, of
the registrant's Board of Trustees or its representative. A member of NAM's
legal department would oversee the administration of the voting, and ensure that
records were maintained in accordance with Rule 206(4)-6, reports were filed
with the SEC on Form N-PX, and the results provided to the registrant's Board of
Trustees and made available to shareholders as required by applicable rules.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
THE PORTFOLIO MANAGER
The following individual has primary responsibility for the day-to-day
implementation of the registrant's investment strategies:
NAME FUND
CATHRYN P. STEEVES Nuveen Massachusetts Premium Income Municipal Fund
Other Accounts Managed. In addition to managing the registrant, the
portfolio manager is also primarily responsible for the day-to-day portfolio
management of the following accounts:
TYPE OF ACCOUNT NUMBER OF
PORTFOLIO MANAGER MANAGED ACCOUNTS ASSETS
---------------------------------------------------------------------------------------------------------------------------
Cathryn P. Steeves Registered Investment Company 41 $8.242 billion
Other Pooled Investment Vehicles -0- $0
Other Accounts -0- $0
* Assets are as of May 31, 2007. None of the assets in these accounts are
subject to an advisory fee based on performance.
Compensation. Each portfolio manager's compensation consists of three basic
elements--base salary, cash bonus and long-term incentive compensation. The
compensation strategy is to annually compare overall compensation, including
these three elements, to the market in order to create a compensation structure
that is competitive and consistent with similar financial services companies. As
discussed below, several factors are considered in determining each portfolio
manager's total compensation. In any year these factors may include, among
others, the effectiveness of the investment strategies recommended by the
portfolio manager's investment team, the investment performance of the accounts
managed by the portfolio manager, and the overall performance of Nuveen
Investments, Inc. (the parent company of NAM). Although investment performance
is a factor in determining the portfolio manager's compensation, it is not
necessarily a decisive factor. The portfolio manager's performance is evaluated
in part by comparing manager's performance against a specified investment
benchmark. This fund-specific benchmark is a customized subset (limited to bonds
in each Fund's specific state and with certain maturity parameters) of the
S&P/Investortools Municipal Bond index, an index comprised of bonds held by
managed municipal bond fund customers of Standard & Poor's Securities Pricing,
Inc. that are priced daily and whose fund holdings aggregate at least $2
million. As of April 30, 2007, the S&P/Investortools Municipal Bond index was
comprised of 50,300 securities with an aggregate current market value of
$985.260 billion.
Base salary. Each portfolio manager is paid a base salary that is set at a
level determined by NAM in accordance with its overall compensation strategy
discussed above. NAM is not under any current contractual obligation to increase
a portfolio manager's base salary.
Cash bonus. Each portfolio manager is also eligible to receive an annual
cash bonus. The level of this bonus is based upon evaluations and determinations
made by each portfolio manager's supervisors, along with reviews submitted by
his peers. These reviews and evaluations often take into account a number of
factors, including the effectiveness of the investment strategies recommended to
the NAM's investment team, the performance of the accounts for which he serves
as portfolio manager relative to any benchmarks established for those accounts,
his effectiveness in communicating investment performance to stockholders and
their representatives, and his contribution to the NAM's investment process and
to the execution of investment strategies. The cash bonus component is also
impacted by the overall performance of Nuveen Investments, Inc. in achieving its
business objectives.
Long-term incentive compensation. Each portfolio manager is eligible to
receive bonus compensation in the form of equity-based awards issued in
securities issued by Nuveen Investments, Inc. The amount of such compensation is
dependent upon the same factors articulated for cash bonus awards but also
factors in his long-term potential with the firm.
Material Conflicts of Interest. Each portfolio manager's simultaneous
management of the registrant and the other accounts noted above may present
actual or apparent conflicts of interest with respect to the allocation and
aggregation of securities orders placed on behalf of the Registrant and the
other account. NAM, however, believes that such potential conflicts are
mitigated by the fact that the NAM has adopted several policies that address
potential conflicts of interest, including best execution and trade allocation
policies that are designed to ensure (1) that portfolio management is seeking
the best price for portfolio securities under the circumstances, (2) fair and
equitable allocation of investment opportunities among accounts over time and
(3) compliance with applicable regulatory requirements. All accounts are to be
treated in a non-preferential manner, such that allocations are not based upon
account performance, fee structure or preference of the portfolio manager. In
addition, NAM has adopted a Code of Conduct that sets forth policies regarding
conflicts of interest.
Beneficial Ownership of Securities. As of the May 31, 2007, the portfolio
manager beneficially owned the following dollar range of equity securities
issued by the Registrant and other Nuveen Funds managed by NAM's municipal
investment team.
-------------------------- ---------------------------------------------- ----------------- ----------------------
DOLLAR RANGE OF
EQUITY SECURITIES
DOLLAR RANGE OF BENEFICIALLY OWNED
EQUITY IN THE REMAINDER OF
SECURITIES NUVEEN FUNDS MANAGED
BENEFICIALLY BY NAM'S MUNICIPAL
NAME OF PORTFOLIO MANAGER FUND OWNED IN FUND INVESTMENT TEAM
-------------------------- ---------------------------------------------- ----------------- ----------------------
Cathryn Steeves Nuveen Massachusetts Premium Income $0 $10,000-$50,000
Municipal Fund
-------------------------- ---------------------------------------------- ----------------- ----------------------
PORTFOLIO MANAGER BIO:
Cathryn Steeves, PhD is currently a portfolio manager for 42 state-specific
municipal bond funds. She joined Nuveen in 1996 and worked as a senior analyst
in the healthcare sector. Cathryn has an undergraduate degree from Wake Forest
University, an MA, MPhil and a PhD from Columbia University.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrants Board implemented after the registrant
last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of this report that includes the disclosure
required by this paragraph, based on their evaluation of the controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (the "Exchange Act")
(17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter
of the period covered by this report that has materially affected, or
is reasonably likely to materially affect, the registrant's internal
control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable
because the code is posted on registrant's website at www.nuveen.com/etf and
there were no amendments during the period covered by this report. (To view the
code, click on the Investor Resources drop down menu box, click on Fund
Governance and then Code of Conduct.)
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT
Attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons. Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference. Ex-99.906 CERT attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Massachusetts Premium Income Municipal Fund
-----------------------------------------------------------
By (Signature and Title)* /s/ Kevin J. McCarthy
----------------------------------------------
Kevin J. McCarthy
Vice President and Secretary
Date: August 8, 2007
-------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Gifford R. Zimmerman
----------------------------------------------
Gifford R. Zimmerman
Chief Administrative Officer
(principal executive officer)
Date: August 8, 2007
-------------------------------------------------------------------
By (Signature and Title)* /s/ Stephen D. Foy
----------------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: August 8, 2007
-------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.