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
------------------------------------------------------------------------------
(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: November 30, 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.
Semi-Annual Report
November 30, 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)
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Chairman's
LETTER TO SHAREHOLDERS
Photo of: Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
Once again, I am pleased to report that over the six-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 update you on some important news about Nuveen Investments. The
firm recently was acquired by a group led by Madison Dearborn Partners, LLC.
While this affected the corporate structure of Nuveen Investments, it has no
impact on the investment objectives, portfolio management strategies or dividend
policy of your Fund.
With the recent volatility in the stock market, many have begun to wonder which
way the market is headed, and whether they need to adjust their holdings of
investments. No one knows what the future will bring, which is why we think a
well-balanced portfolio that is structured and carefully monitored with the help
of an investment professional is an important component in achieving your long
term financial goals. A well-diversified portfolio may actually help to reduce
your overall investment risk, and we believe that investments like your Nuveen
Investments Fund can be important building blocks in a portfolio crafted to
perform well through a variety of market conditions.
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.
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
January 15, 2008
Portfolio Managers' COMMENTS
Nuveen Investments Municipal Closed-End Funds
NTC, NFC, NGK, NGO
NMT, NMB, NGX, NOM
Portfolio managers Cathryn Steeves and Scott Romans discuss key investment
strategies and the six-month performance of these eight Nuveen Funds. Cathryn,
who joined Nuveen in 1996, has managed the Connecticut and Massachusetts Funds
since 2006. Scott, who has been with Nuveen since 2000, assumed portfolio
management responsibility for NOM in 2003.
WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THE SIX-MONTH
REPORTING PERIOD ENDED NOVEMBER 30, 2007?
Over the course of this period, we saw the municipal yield curve steepen, as
interest rates at the short end of the yield curve declined and longer-term
rates generally rose. In this environment, our investment strategies continued
to focus on finding relative value. We looked for undervalued sectors and
credits with the potential to perform well over the long term. The majority of
our purchases were attractively-priced bonds with longer maturities, typically
in the 30-year part of the yield curve. These purchases helped to offset the
shortening of the Funds' portfolio durations due to bond calls and the natural
tendency of bond durations to shorten as time passes.
Our focus in the Connecticut and Massachusetts Funds was on buying bonds that
provided liquidity and facilitated trading. In Missouri, market conditions
resulted in a number of lower-rated, uninsured health care offerings coming to
market at the same time. To ensure buyer interest, these deals were offered at
very attractive prices. We took advantage of opportunities to purchase some of
these bonds, which 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.
When the liquidity crisis in August led the market to discount lower-quality and
higher-yielding bonds, we found several opportunities to add lower-rated
hospital and continuing care retirement community bonds, to NMT, NMB, and NOM.
In addition, the Connecticut Funds purchased single-family housing bonds at
discounts as a way to add both performance potential and favorable
income-generation capabilities. The four Connecticut Funds also added higher
education bonds and a public utility issue. We also bought some short-term
insured bonds in the Massachusetts Funds. These bonds, many of which had
underlying credits with which we were familiar through our research efforts,
offered attractive yields and pricing in the aftermath of the liquidity crisis.
Discussions of specific investments are for illustrative purposes only and are
not intended as recommendations of individual investments. The views expressed
in this commentary represent those of the portfolio managers as of the date of
this report and are subject to change at any time, based on market conditions
and other factors. The Funds disclaim any obligation to advise shareholders of
such changes.
4
In NOM, which had a large exposure to the shorter end of the yield curve
relative to our strategic target, we continued to work to restructure the Fund,
watching for opportunities that would help extend the Fund's duration. We also
focused on augmenting NOM's income stream by buying credits backed by some of
the nontraditional insurers, bonds with structures that were out of favor with
the market but which we believed were undervalued, and long credit positions
that offered attractive income potential.
To help generate cash for purchases and move the Funds' durations closer to our
strategic range, we selectively sold holdings with shorter durations. Selling
shorter duration bonds and reinvesting further out on the yield curve also
helped to improve the Funds' overall call protection profile.
We continued to emphasize a disciplined approach to duration1 management. As
part of our duration management strategies, we used inverse floating rate
securities,2 a type of derivative financial instrument, in NOM. The inverse
floaters had the dual benefit of bringing the duration of this Fund closer to
our strategic target and enhancing its income-generation capabilities. In
addition, the four Connecticut Funds and the three Massachusetts Funds used
forward interest rate swaps, another type of derivative instrument. The goal of
this strategy was 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.
1 Duration is a measure of a bond's price sensitivity as interest rates
change, with longer duration bonds displaying more sensitivity to these
changes than bonds with shorter durations.
2 An inverse floating rate security is a financial instrument designed to pay
long-term tax-exempt interest at a rate that varies inversely with a
short-term tax-exempt interest rate index. For the Nuveen Funds, the index
typically used is the Securities Industry and Financial Markets (SIFM)
Municipal Swap Index (previously referred to as the Bond Market Association
Index or BMA). Inverse floaters, including those inverse floating rate
securities in which the Funds invested during the reporting period, are
further defined within the Notes to Financial Statements and Glossary of
Terms Used in This Report sections of this report.
5
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 11/30/07
6-Month 1-Year 5-Year 10-Year
Connecticut Funds
NTC 2.63% 1.86% 5.44% 6.04%
NFC 2.78% 2.20% 5.96% NA
NGK 3.23% 2.64% 5.99% NA
NGO 2.06% 1.49% 5.76% NA
Massachusetts Funds
NMT 2.02% 1.32% 5.41% 5.74%
NMB 1.92% 1.21% 6.29% NA
Missouri Fund
NOM 0.92% 0.00% 5.18% 5.68%
Lehman Brothers
Municipal Bond Index3 2.40% 2.71% 4.68% 5.30%
Insured Massachusetts Fund
NGX 2.96% 2.03% 5.71% NA
Lehman Brothers
Insured Municipal
Bond Index3 2.50% 2.60% 4.86% 5.48%
Lipper Other States
Municipal Debt Funds
Average4 1.10% 0.46% 5.91% 5.75%
For the six months ended November 30, 2007, the cumulative returns on NAV for
NTC, NFC and NGK exceeded the return on the national Lehman Brothers Municipal
Bond Index, while the returns of NGO, NMT, NMB, and NOM trailed the index. For
the same period, NGX outperformed the return on the Lehman Brothers Insured
Municipal Bond Index. NTC, NFC, NGK, NGO, NMT, NMB and NGX all outperformed the
average return for the Lipper Other States Municipal Debt Funds Average, while
NOM underperformed this 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.
One of the factors contributing to the six-month performance of these Funds,
especially relative to the returns of the unleveraged Lehman Brothers Municipal
Bond Index and Lehman Brothers Insured Municipal Bond Index, was the use of
financial leverage. The returns of NTC, NFC, NGK, NGO and NGX were positively
impacted by their use of leverage, while NMT, NMB and NOM were negatively
impacted. Although leveraging
*Six-month returns are cumulative. One-year, five-year and ten-year returns are
annualized.
Past performance is not predictive of future results. Current performance may be
higher or lower than the data shown. Returns do not reflect the deduction of
taxes that shareholders may have to pay on Fund distributions or upon the sale
of Fund shares.
For additional information, see the individual Performance Overview for your
Fund in this report.
3 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.
4 The Lipper Other States Municipal Debt Funds Average is calculated using
the returns of all closed-end funds in this category for each period as
follows: 6 months, 46 funds; 1 year, 46 funds; 5 years, 46 funds; and 10
years, 18 funds. 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. Fund
and Lipper returns assume reinvestment of dividends.
6
provides opportunities for additional income and total returns for common
shareholders, it can also expose shareholders to additional risk. With the
fluctuations in yields on longer municipal bonds and other market variations,
the impact of valuation changes in the Funds' holdings--both positive and
negative--was magnified by the use of leverage.
Other major factors that influenced the Funds' returns included yield curve and
duration positioning, the use of derivatives, sector allocations and credit
exposure.
During this six-month period, bonds in the Lehman Brothers Municipal Bond Index
with maturities between two and twelve years, especially those maturing in
approximately six to eight years, benefited the most from changes in the
interest rate environment. As a result, these bonds generally outperformed
credits with longer maturities, with bonds having the longest maturities (22
years and longer) posting the worst returns. While our strategies during this
period included adding longer bonds to our portfolios, the Funds continued to be
relatively underweighted in the underperforming longer part of the yield curve,
and their overall portfolio durations remained short of our strategic target.
Consequently, duration and yield curve positioning were net positives for the
Funds' performances.
The forward interest rate swaps in place in the four Connecticut Funds and three
Massachusetts Funds also had a positive impact on the return performance of
these Funds. These derivative instruments provided exposure to taxable markets
during a period when, in contrast to historical trends, the Treasury market and
the municipal market moved in opposite directions. As municipal market
performance lagged the significant gains made by Treasuries, the forward
interest rate swaps performed well. At the same time, the inverse floaters in
NOM had a negative impact on the performance of this Fund, because they
effectively increased NOM's exposure to longer maturity bonds during a period
when shorter maturities were in favor in the market. However, these inverse
floaters also benefited NOM by helping to support its income stream.
Sectors of the market that generally made positive contributions to the Funds'
performances included water and sewer, transportation, and education. General
obligation credits and pre-refunded bonds, especially those that were advance
refunded before longer municipal interest rates began to rise in mid-2007, also
performed very well. In addition, the short-term insured bonds that we added to
the Massachusetts Funds later in the period posted strong returns.
On the other hand, bonds that carried any credit risk, regardless of sector,
generally tended to perform poorly. Revenue bonds as a whole, and specifically
the industrial development and health care sectors that had ranked among the top
performers in the Lehman Brothers Municipal Bond Index over the past few years
underperformed the general municipal market.
As interest rates on longer municipal bonds rose and credit spreads widened,
lower credit quality bonds also generally underperformed the municipal market as
a whole for the first time in several years. As of November 30, 2007, the
Connecticut Funds
7
had weightings of bonds rated BBB or lower and non-rated bonds ranging from
approximately 8% in NTC and NGK to 11% in NFC and 13% in NGO, while the
Massachusetts Funds' allocations totaled approximately 12% in NMT and 14% in
NMB. 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 November 30,
2007, and the Fund's overall higher credit quality benefited its return. At 22%,
NOM had the heaviest weighting of bonds rated BBB or lower and non-rated bonds
across all eight of these Funds, which marred its performance.
Another factor that had a negative impact on the performance of the Connecticut
and Massachusetts Funds was their small position in bonds backed by certain
municipal insurers, specifically Radian Asset Assurance (Radian). NOM also had a
very small position (less than 1%) in bonds insured by ACA Financial Guaranty
Corporation (ACA). As concern increased about these two companies, prices on
bonds insured by Radian and ACA declined to levels close to what one would
expect for uninsured bonds from the underlying municipal issuers, detracting
from the performances of these Funds. It is important to note that these Nuveen
Municipal Closed-End Funds had no exposure to the collateralized debt products
that were at the center of the recent liquidity crisis.
RECENT MARKET EVENTS
Many of the municipal bonds in the portfolios are covered by policies of
insurance, issued by one of several municipal bond insurers, under which the
insurer guarantees the timely payment of interest and principal on the bonds.
[NGX has a policy of investing at least 80% of its net assets in such insured
bonds.] Certain of those insurers, including AMBAC, MBIA and FGIC, historically
rated AAA (the highest grade), also insure investment vehicles representing
interests in subprime mortgages, which suffered severe credit deterioration
during the semi-annual period covered by this report. The defaults and/or credit
deterioration of the subprime mortgage investments they insured have caused
losses to the insurers, which has reduced the insurers' capital and called into
question the insurers' continued ability to pay interest and principal on
insured bonds for the life of those bonds. One rating agency has already reduced
the rating for AMBAC-insured bonds to AA, and other rating agencies may follow,
and this rating may fall even further. While the major rating agencies continue
to give the other affected insurers their highest rating, as of the date this
report was written one or more rating agencies have placed each of these
insurers on "negative credit watch", which may presage one or more rating
reductions in the future. The value of the insurance associated with bonds held
by the Funds in this report (a component of the value of the bond/insurance
combination) generally declined during and after the reporting period, and
further credit deterioration or rating downgrades of the insurers could cause
further declines in the value of the insurance component of an insured bond,
although it has not and should not affect the creditworthiness of the municipal
issuer of, and the uninsured value of, the underlying bond.
8
Dividend and Share Price
INFORMATION
As previously noted, these eight Funds use leverage to potentially enhance
opportunities for additional income for common shareholders. The Funds' use of
this strategy continued to provide incremental income, although the extent of
this benefit was reduced to a degree in some of the Funds by short-term interest
rates that remained relatively high during most of this period. This, in turn,
kept the Funds' borrowing costs high. The Funds' income streams were also
somewhat impacted as the proceeds from older, higher-yielding bonds that matured
or were called were reinvested into bonds currently available in the market,
which generally offered lower yields during much of this period. The combination
of these factors resulted in one monthly dividend reduction in NGK and NGO over
the six-month period ended November 30, 2007. In NGX, we were able to increase
the dividend effective August 2007, while the dividends of NTC, NFC, NMT, NMB
and NOM remained stable throughout this reporting period.
All of the Funds in this report seek to pay stable dividends at rates that
reflect each Fund's past results and projected future performance. During
certain periods, each Fund may pay dividends at a rate that may be more or less
than the amount of net investment income actually earned by the Fund during the
period. If a Fund has cumulatively earned more than it has paid in dividends, it
holds the excess in reserve as undistributed net investment income (UNII) as
part of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in
excess of its earnings, the excess constitutes negative UNII that is likewise
reflected in the Fund's NAV. Each Fund will, over time, pay all of its net
investment income as dividends to shareholders. As of November 30, 2007, all of
the Funds in this report had negative UNII balances for financial statement
purposes and positive UNII balances, based upon our best estimate, for tax
purposes.
As of November 30, 2007, the Funds' share prices were trading at premiums and/or
discounts to their NAVs as shown in the accompanying chart:
11/30/07 Six-Month Average
Premium/Discount Premium/Discount
NTC -7.40% -0.22%
NFC -4.86% +3.84%
NGK -5.21% +4.42%
NGO -6.09% -0.81%
NMT -9.83% -5.07%
NMB -4.60% -0.43%
NGX -4.25% -2.15%
NOM +0.92% +4.23%
9
NTC
Performance
OVERVIEW
Nuveen Connecticut
Premium Income
Municipal Fund
as of November 30, 2007
Pie Chart:
Credit Quality (as a % of total investments)1
AAA/U.S. Guaranteed 76%
AA 16%
BBB 8%
Bar Chart:
2006-2007 Monthly Tax-Free Dividends Per Share3
Dec 0.0545
Jan 0.0545
Feb 0.0545
Mar 0.052
Apr 0.052
May 0.052
Jun 0.052
Jul 0.052
Aug 0.052
Sep 0.052
Oct 0.052
Nov 0.052
Line Chart:
Share Price Performance -- Weekly Closing Price
12/01/06 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
14.91
15.18
14.83
15.11
15.33
15.29
15.29
15.02
14.85
14.75
14.8
15.11
15.4
15.26
15.4399
15.14
14.5
14.71
14.84
15.19
15.2
15.2
15.2
15.01
15.01
14.87
14.76
14.86
14.84
15
14.82
14.76
14.74
14.79
14.7
14.8
14.85
14.62
14.58
14.61
14.41
14.4
14.37
14.41
14.31
14.16
14.52
14.52
14.54
14.38
14.39
14.34
14.39
14.35
14.05
14
13.9
14
13.924
13.94
13.94
13.7
13.89
14.0154
13.95
13.93
14.04
14.05
14.09
14.1
14.18
14.18
14.54
14.6
14.26
14.14
14.33
14.18
14.04
14.05
14.09
14.0301
14.15
14.03
13.97
14.2
14.2
14.204
14.25
14.15
14.13
13.97
13.91
13.85
13.79
13.75
13.67
13.67
13.66
13.65
13.66
13.64
13.79
13.84
13.78
13.72
13.71
13.68
13.61
13.58
13.64
13.65
13.56
13.55
13.55
13.41
13.51
13.31
13.12
13.21
13.08
13.01
12.95
13.03
13.0999
13.1
13.32
13.49
13.45
13.36
11/30/07 13.38
FUND SNAPSHOT
------------------------------------
Common Share Price $13.38
------------------------------------
Common Share
Net Asset Value $14.45
------------------------------------
Premium/(Discount) to NAV -7.40%
------------------------------------
Market Yield 4.66%
------------------------------------
Taxable-Equivalent Yield2 6.81%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $77,494
------------------------------------
Average Effective Maturity
on Securities (Years) 16.81
------------------------------------
Leverage-Adjusted Duration 9.40
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 5/20/93)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) -8.24% 2.63%
------------------------------------
1-Year -2.33% 1.86%
------------------------------------
5-Year 1.79% 5.44%
------------------------------------
10-Year 4.14% 6.04%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Education and Civic
Organizations 21.9%
------------------------------------
Tax Obligation/General 19.6%
------------------------------------
Tax Obligation/Limited 14.2%
------------------------------------
Health Care 10.9%
------------------------------------
Water and Sewer 8.1%
------------------------------------
U.S. Guaranteed 7.7%
------------------------------------
Utilities 4.6%
------------------------------------
Other 13.0%
------------------------------------
1 The percentage of AAA ratings shown in the foregoing chart reflects the AAA
ratings on certain bonds insured by AMBAC, FGIC or MBIA as of November 30,
2007. As explained earlier in the Portfolio Managers' Comments section of
this report, one rating agency has reduced the rating for AMBAC to AA, and
one or more rating agencies have placed each of these insurers on "negative
credit watch", which may presage one or more rating reductions for such
insurer or insurers in the future. If one or more insurers' ratings are
reduced below AAA by these rating agencies, it would likely reduce the
effective rating of many of the bonds insured by that insurer or insurers,
and thereby reduce the percentage of the portfolio rated AAA from the
percentage shown in the foregoing chart.
2 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.6%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
3 The Fund paid shareholders capital gains and net ordinary income
distributions in December 2006 of $0.0695 per share.
10
NFC
Performance
OVERVIEW
Nuveen Connecticut
Dividend Advantage
Municipal Fund
as of November 30, 2007
Pie Chart:
Credit Quality (as a % of total investments)1
AAA/U.S. Guaranteed 67%
AA 19%
A 3%
BBB 11%
Bar Chart:
2006-2007 Monthly Tax-Free Dividends Per Share
Dec 0.0605
Jan 0.0605
Feb 0.0605
Mar 0.058
Apr 0.058
May 0.058
Jun 0.0555
Jul 0.0555
Aug 0.0555
Sep 0.0555
Oct 0.0555
Nov 0.0555
Line Chart:
Share Price Performance -- Weekly Closing Price
12/01/06 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
16.37
16.3
16.3
16.38
16.2
15.65
16
16.19
15.99
16.33
16.33
16.21
16.51
16.6067
16.73
16.46
16.28
16.28
16.15
16.28
16.2
15.92
15.92
15.8899
15.71
15.8
15.78
15.93
15.97
15.8
15.8
15.8
15.75
14.88
15.02
15.07
15.12
15.14
15.3
15.35
15.3
15.3
15.3
15.58
15.48
15.06
15.34
15.4
15.38
15.38
15.37
16.5
16.3
15.51
15.32
15
15.3
15.05
14.61
15.04
15
14.64
14.94
14.95
15.08
15.1
15.2
15.2
15.25
15.25
15.25
15.22
15.26
15.61
15.42
15.42
15.48
15.47
15.47
15.14
15.14
15.216
15.62
15.143
15.06
15.07
15.07
15.08
15.06
15
14.9475
14.9176
14.81
14.79
14.65
14.65
14.55
14.51
14.53
14.53
14.4449
14.4
14.36
14.39
14.54
14.54
14.47
14.34
14.4
14.39
14.32
14.44
14.29
14.28
14.28
14.24
14.21
14.15
14.04
13.88
13.88
13.9
14.02
13.84
13.868
13.82
13.86
13.8
13.87
13.92
11/30/07 14.11
FUND SNAPSHOT
------------------------------------
Common Share Price $14.11
------------------------------------
Common Share
Net Asset Value $14.83
------------------------------------
Premium/(Discount) to NAV -4.86%
------------------------------------
Market Yield 4.72%
------------------------------------
Taxable-Equivalent Yield2 6.90%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $38,232
------------------------------------
Average Effective Maturity
on Securities (Years) 16.65
------------------------------------
Leverage-Adjusted Duration 9.30
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 1/26/01)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) -11.82% 2.78%
------------------------------------
1-Year -5.52% 2.20%
------------------------------------
5-Year 4.06% 5.96%
------------------------------------
Since
Inception 4.37% 6.16%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
U.S. Guaranteed 19.9%
------------------------------------
Education and Civic
Organizations 19.2%
------------------------------------
Tax Obligation/Limited 16.9%
------------------------------------
Water and Sewer 8.8%
------------------------------------
Tax Obligation/General 8.4%
------------------------------------
Health Care 7.7%
------------------------------------
Transportation 4.3%
------------------------------------
Other 14.8%
------------------------------------
1 The percentage of AAA ratings shown in the foregoing chart reflects the AAA
ratings on certain bonds insured by AMBAC, FGIC or MBIA as of November 30,
2007. As explained earlier in the Portfolio Managers' Comments section of
this report, one rating agency has reduced the rating for AMBAC to AA, and
one or more rating agencies have placed each of these insurers on "negative
credit watch", which may presage one or more rating reductions for such
insurer or insurers in the future. If one or more insurers' ratings are
reduced below AAA by these rating agencies, it would likely reduce the
effective rating of many of the bonds insured by that insurer or insurers,
and thereby reduce the percentage of the portfolio rated AAA from the
percentage shown in the foregoing chart.
2 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.6%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
11
NGK
Performance
OVERVIEW
Nuveen Connecticut
Dividend Advantage
Municipal Fund 2
as of November 30, 2007
Pie Chart:
Credit Quality (as a % of total investments)1
AAA/U.S. Guaranteed 72%
AA 19%
A 1%
BBB 8%
Bar Chart:
2006-2007 Monthly Tax-Free Dividends Per Share3
Dec 0.0605
Jan 0.0605
Feb 0.0605
Mar 0.058
Apr 0.058
May 0.058
Jun 0.058
Jul 0.058
Aug 0.058
Sep 0.058
Oct 0.055
Nov 0.055
Line Chart:
Share Price Performance -- Weekly Closing Price
12/01/06 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
16.38
16.65
16.6701
16.47
16.4701
16.77
16.55
16.26
16.48
16.45
16.35
16.1401
16.14
16.21
16.61
16.42
16.33
16.29
16.1
15.95
15.95
15.8
15.8
15.6
15.57
15.8
15.79
15.79
15.79
15.79
15.79
15.79
15.75
15.75
15.65
16
15.7
15.62
15.7
15.7
15.31
15.55
15.6
15.67
15.96
15.85
15.8
15.8
15.8
15.6
15.48
15.5
15.84
15.7
15.94
15.67
15.35
15.65
15.2
15.2
15.25
15.695
15.45
15.22
15.22
15.47
15.3
15.5
15.5
15.5
15.9
16.05
16.05
16.3
16
16
16
16
16
16
16
15.5
15.5
15.5
15.4
15.39
15.39
15.28
15.25
15.1485
14.65
14.58
14.71
14.76
14.69
14.69
14.5
14.5
14.38
14.39
14.26
14.29
14.31
14.3
14.44
14.51
14.5399
14.36
14.36
14.3999
14.4
14.45
14.44
14.26
14.35
14.34
14.34
14.31
14.31
14.2
14.2
13.93
14.08
14.09
14.09
14.05
14.3
14.05
13.998
13.95
11/30/07 14.2
FUND SNAPSHOT
------------------------------------
Common Share Price $14.20
------------------------------------
Common Share
Net Asset Value $14.98
------------------------------------
Premium/(Discount) to NAV -5.21%
------------------------------------
Market Yield 4.65%
------------------------------------
Taxable-Equivalent Yield2 6.80%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $34,682
------------------------------------
Average Effective Maturity
on Securities (Years) 15.65
------------------------------------
Leverage-Adjusted Duration 10.11
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 3/25/02)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) -11.27% 3.23%
------------------------------------
1-Year -4.52% 2.64%
------------------------------------
5-Year 4.47% 5.99%
------------------------------------
Since
Inception 4.61% 6.61%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
U.S. Guaranteed 24.0%
------------------------------------
Education and Civic
Organizations 17.0%
------------------------------------
Tax Obligation/General 14.7%
------------------------------------
Tax Obligation/Limited 10.7%
------------------------------------
Health Care 8.6%
------------------------------------
Water and Sewer 6.9%
------------------------------------
Transportation 4.1%
------------------------------------
Other 14.0%
------------------------------------
1 The percentage of AAA ratings shown in the foregoing chart reflects the AAA
ratings on certain bonds insured by AMBAC, FGIC or MBIA as of November 30,
2007. As explained earlier in the Portfolio Managers' Comments section of
this report, one rating agency has reduced the rating for AMBAC to AA, and
one or more rating agencies have placed each of these insurers on "negative
credit watch", which may presage one or more rating reductions for such
insurer or insurers in the future. If one or more insurers' ratings are
reduced below AAA by these rating agencies, it would likely reduce the
effective rating of many of the bonds insured by that insurer or insurers,
and thereby reduce the percentage of the portfolio rated AAA from the
percentage shown in the foregoing chart.
2 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.6%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
3 The Fund paid shareholders capital gains and net ordinary income
distributions in December 2006 of $0.0371 per share.
12
NGO
Performance
OVERVIEW
Nuveen Connecticut
Dividend Advantage
Municipal Fund 3
as of November 30, 2007
Pie Chart:
Credit Quality (as a % of total investments)1
AAA/U.S. Guaranteed 70%
AA 16%
A 1%
BBB 13%
Bar Chart:
2006-2007 Monthly Tax-Free Dividends Per Share
Dec 0.054
Jan 0.054
Feb 0.054
Mar 0.052
Apr 0.052
May 0.052
Jun 0.052
Jul 0.052
Aug 0.052
Sep 0.052
Oct 0.0505
Nov 0.0505
Line Chart:
Share Price Performance -- Weekly Closing Price
12/31/06 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
14.7
14.8
14.5501
14.8
14.652
14.75
14.6014
14.5
14.52
14.91
14.61
14.99
14.75
14.5101
14.94
15.15
14.87
14.63
14.63
14.63
14.5
14.6
14.6
14.39
14.39
14.49
14.9
14.8799
14.85
14.7
14.7
14.4
14.38
14.4
14.35
14.4
14.4
14.43
14.4
14.4
14.32
14.38
14.38
14.48
14.45
14.09
14.29
14.15
14.13
14.05
13.94
13.91
13.85
13.95
13.8
13.74
13.83
13.93
13.93
13.85
14
14
14.05
14.05
13.863
14.2
14
13.97
14.17
14.27
14.13
14.5
14.55
14.5001
14.35
14.2501
14.2
13.9
13.85
14.29
14.1
14.0999
13.9
13.95
14.02
13.96
13.96
13.96
13.8
13.72
13.69
13.65
13.6
13.65
13.63
13.428
13.35
13.3601
13.3
13.46
13.5499
13.42
13.36
13.42
13.55
13.4401
13.5001
13.5
13.5
13.36
13.55
13.51
13.4001
13.2
13.25
13.15
13.15
13.0133
12.9
12.9
12.97
12.9601
12.76
12.8
12.76
12.75
13.02
13.08
13.43
13.4
11/30/07 13.41
FUND SNAPSHOT
------------------------------------
Common Share Price $13.41
------------------------------------
Common Share
Net Asset Value $14.28
------------------------------------
Premium/(Discount) to NAV -6.09%
------------------------------------
Market Yield 4.52%
------------------------------------
Taxable-Equivalent Yield2 6.61%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $62,307
------------------------------------
Average Effective Maturity
on Securities (Years) 16.58
------------------------------------
Leverage-Adjusted Duration 9.29
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 9/26/02)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) -6.72% 2.06%
------------------------------------
1-Year -0.20% 1.49%
------------------------------------
5-Year 3.49% 5.76%
------------------------------------
Since
Inception 2.86% 4.97%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Tax Obligation/General 20.9%
------------------------------------
Tax Obligation/Limited 14.6%
------------------------------------
U.S. Guaranteed 14.2%
------------------------------------
Education and Civic
Organizations 12.5%
------------------------------------
Water and Sewer 10.1%
------------------------------------
Long-Term Care 8.5%
------------------------------------
Health Care 6.3%
------------------------------------
Other 12.9%
------------------------------------
1 The percentage of AAA ratings shown in the foregoing chart reflects the AAA
ratings on certain bonds insured by AMBAC, FGIC or MBIA as of November 30,
2007. As explained earlier in the Portfolio Managers' Comments section of
this report, one rating agency has reduced the rating for AMBAC to AA, and
one or more rating agencies have placed each of these insurers on "negative
credit watch", which may presage one or more rating reductions for such
insurer or insurers in the future. If one or more insurers' ratings are
reduced below AAA by these rating agencies, it would likely reduce the
effective rating of many of the bonds insured by that insurer or insurers,
and thereby reduce the percentage of the portfolio rated AAA from the
percentage shown in the foregoing chart.
2 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.6%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
13
NMT
Performance
OVERVIEW
Nuveen Massachusetts
Premium Income
Municipal Fund
as of November 30, 2007
Pie Chart:
Credit Quality (as a % of total investments)1
AAA/U.S. Guaranteed 65%
AA 19%
A 4%
BBB 9%
BB or Lower 1%
N/R 2%
Bar Chart:
2006-2007 Monthly Tax-Free Dividends Per Share3
Dec 0.0535
Jan 0.0535
Feb 0.0535
Mar 0.0535
Apr 0.0535
May 0.0535
Jun 0.0515
Jul 0.0515
Aug 0.0515
Sep 0.0515
Oct 0.0515
Nov 0.0515
Line Chart:
Share Price Performance -- Weekly Closing Price
12/31/06 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
14.33
14.3
14.28
14.26
14.5
14.25
14.37
14.28
14.25
14.2
14.19
14.19
14.08
14.1
14.05
14.11
14.1
13.98
14.1
14.35
14.22
14.23
14.23
14.13
14.12
13.86
13.9
13.96
13.91
13.93
13.802
13.8
13.75
13.76
13.67
13.67
13.86
13.77
14.04
14.04
13.96
14.19
14.1
14.24
13.85
13.51
13.64
13.65
13.578
13.45
13.35
13.16
13.2
13.25
13.25
13.26
13.53
13.42
13.48
13.48
13.33
13.25
13.25
13.24
13.38
13.29
13.4
13.39
13.4
13.47
13.67
13.94
14
13.93
13.82
13.84
13.59
13.85
14
13.758
13.8042
13.73
13.52
13.52
13.55
13.65
13.65
13.67
13.7
13.65
13.7801
13.66
13.66
13.43
13.54
13.46
13.5
13.525
13.39
13.27
13.31
13.3601
13.42
13.35
13.32
13.36
13.33
13.42
13.41
13.3901
13.42
13.42
13.46
13.41
13.27
13.18
13.14
13.05
13.09
13.29
13.08
13.04
13.07
12.89
12.9
13.03
12.9
12.89
12.97
12.91
11/30/07 13.11
FUND SNAPSHOT
------------------------------------
Common Share Price $13.11
------------------------------------
Common Share
Net Asset Value $14.54
------------------------------------
Premium/(Discount) to NAV -9.83%
------------------------------------
Market Yield 4.71%
------------------------------------
Taxable-Equivalent Yield2 6.91%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $69,255
------------------------------------
Average Effective Maturity
on Securities (Years) 15.94
------------------------------------
Leverage-Adjusted Duration 9.41
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 3/18/93)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) -6.42% 2.02%
------------------------------------
1-Year -6.04% 1.32%
------------------------------------
5-Year 2.19% 5.41%
------------------------------------
10-Year 3.62% 5.74%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
U.S. Guaranteed 16.6%
------------------------------------
Education and Civic
Organizations 15.9%
------------------------------------
Health Care 13.3%
------------------------------------
Tax Obligation/General 12.3%
------------------------------------
Transportation 9.1%
------------------------------------
Tax Obligation/Limited 8.2%
------------------------------------
Water and Sewer 7.6%
------------------------------------
Housing/Multifamily 5.5%
------------------------------------
Other 11.5%
------------------------------------
1 The percentage of AAA ratings shown in the foregoing chart reflects the AAA
ratings on certain bonds insured by AMBAC, FGIC or MBIA as of November 30,
2007. As explained earlier in the Portfolio Managers' Comments section of
this report, one rating agency has reduced the rating for AMBAC to AA, and
one or more rating agencies have placed each of these insurers on "negative
credit watch", which may presage one or more rating reductions for such
insurer or insurers in the future. If one or more insurers' ratings are
reduced below AAA by these rating agencies, it would likely reduce the
effective rating of many of the bonds insured by that insurer or insurers,
and thereby reduce the percentage of the portfolio rated AAA from the
percentage shown in the foregoing chart.
2 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.8%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
3 The Fund paid shareholders capital gains and net ordinary income
distributions in December 2006 of $0.0076 per share.
14
NMB
Performance
OVERVIEW
Nuveen Massachusetts
Dividend Advantage
Municipal Fund
as of November 30, 2007
Pie Chart:
Credit Quality (as a % of total investments)1
AAA/U.S. Guaranteed 57%
AA 22%
A 7%
BBB 11%
BB or Lower 3%
Bar Chart:
2006-2007 Monthly Tax-Free Dividends Per Share
Dec 0.062
Jan 0.062
Feb 0.062
Mar 0.0595
Apr 0.0595
May 0.0595
Jun 0.0565
Jul 0.0565
Aug 0.0565
Sep 0.0565
Oct 0.0565
Nov 0.0565
Line Chart:
Share Price Performance -- Weekly Closing Price
12/01/06 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
16.2799
16.15
16.24
16.24
16.24
16.17
16.44
16.44
16.17
15.85
15.67
15.42
15.41
15.59
15.4
15.4
15.35
15.06
14.9801
15.25
14.9
15.07
15.07
15.0101
15.01
14.93
15.01
15.11
15
14.862
14.862
14.8
14.61
14.61
14.644
14.644
14.88
14.9
14.9
15.15
14.99
15.35
15.15
14.54
14.66
14.48
14.7
14.75
14.65
14.75
14.85
14.44
14.44
14.43
14.4
14.11
14.21
14.4
14.4
14.4
14.37
14.4
14.4
14.15
14.22
14.26
14.26
14.217
14.5
14.65
14.57
14.65
14.58
14.53
14.35
14.53
14.3
14.16
14.29
14.29
14.3
14.3
14.3
14.35
14.35
14.35
14.35
14.23
14.33
14.27
14.18
14.08
14.13
13.99
14.15
14.02
14.1
14.15
14.07
14.25
14.05
14.03
14.11
14.11
14.15
14.09
14
14.15
14.1
14.14
14.1
14.13
14.15
14.05
13.93
13.86
13.84
13.86
13.99
14.01
14.03
13.93
13.75
13.7
13.7
13.67
13.63
13.59
13.49
13.5001
11/30/07 14.0999
FUND SNAPSHOT
------------------------------------
Common Share Price $14.10
------------------------------------
Common Share
Net Asset Value $14.78
------------------------------------
Premium/(Discount) to NAV -4.60%
------------------------------------
Market Yield 4.81%
------------------------------------
Taxable-Equivalent Yield2 7.05%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $28,968
------------------------------------
Average Effective Maturity
on Securities (Years) 18.08
------------------------------------
Leverage-Adjusted Duration 9.15
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 1/30/01)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) -11.33% 1.92%
------------------------------------
1-Year -6.06% 1.21%
------------------------------------
5-Year 2.48% 6.29%
------------------------------------
Since
Inception 4.86% 6.63%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Education and Civic
Organizations 20.9%
------------------------------------
Health Care 14.3%
------------------------------------
U.S. Guaranteed 12.1%
------------------------------------
Tax Obligation/General 11.4%
------------------------------------
Water and Sewer 9.4%
------------------------------------
Housing/Multifamily 8.1%
------------------------------------
Tax Obligation/Limited 7.6%
------------------------------------
Long-Term Care 5.1%
------------------------------------
Other 11.1%
------------------------------------
1 The percentage of AAA ratings shown in the foregoing chart reflects the AAA
ratings on certain bonds insured by AMBAC, FGIC or MBIA as of November 30,
2007. As explained earlier in the Portfolio Managers' Comments section of
this report, one rating agency has reduced the rating for AMBAC to AA, and
one or more rating agencies have placed each of these insurers on "negative
credit watch", which may presage one or more rating reductions for such
insurer or insurers in the future. If one or more insurers' ratings are
reduced below AAA by these rating agencies, it would likely reduce the
effective rating of many of the bonds insured by that insurer or insurers,
and thereby reduce the percentage of the portfolio rated AAA from the
percentage shown in the foregoing chart.
2 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.8%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
15
NGX
Performance
OVERVIEW
Nuveen Insured
Massachusetts Tax-Free
Advantage Municipal Fund
as of November 30, 2007
Pie Chart:
Credit Quality (as a % of total investments)1
Insured 56%
U.S. Guaranteed 28%
GNMA Guaranteed 3%
AAA (Uninsured) 2%
AA (Uninsured) 7%
A (Uninsured) 2%
BBB (Uninsured) 2%
Bar Chart:
2006-2007 Monthly Tax-Free Dividends Per Share
Dec 0.0525
Jan 0.0525
Feb 0.0525
Mar 0.0525
Apr 0.0525
May 0.0525
Jun 0.0525
Jul 0.0525
Aug 0.0545
Sep 0.0545
Oct 0.0545
Nov 0.0545
Line Chart:
Share Price Performance -- Weekly Closing Price
12/01/06 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
14.4501
14.54
14.43
14.7
14.4424
14.43
14.37
14.4099
14.2
14.15
14
14.1
14.12
14.21
14.22
14.13
14.03
14.11
14.21
14.41
14.2
14.25
14.25
14.05
14.25
14.15
14.05
14.02
14.22
14.03
13.95
14
13.95
13.95
13.9
13.93
14.25
14.15
14.45
14.35
14.18
14.13
13.96
13.71
13.9
13.97
13.98
13.96
13.92
14
14.2
14.0936
14.072
14.05
13.98
13.56
13.98
14.08
14.33
14.4
14.41
14.34
14.4499
14.06
13.88
13.85
13.83
13.88
13.8501
14.2
14.59
14.39
14.6
14.38
14.16
14.4
14.49
14.24
14.06
14.1
14.1
14.06
14.03
13.96
13.96
13.9101
13.9101
14.01
14.05
14.1
14.05
14
13.97
13.9
13.98
14.02
14.2
13.9999
13.9001
13.9001
13.95
13.95
13.94
14.05
13.95
13.97
13.9
14.05
14.14
14.0001
13.95
13.92
13.9714
13.9
13.85
13.866
13.85
13.85
13.71
13.82
13.55
13.54
13.55
13.4
13.6
13.51
13.36
13.5
13.73
13.8
11/30/07 13.98
FUND SNAPSHOT
------------------------------------
Common Share Price $13.98
------------------------------------
Common Share
Net Asset Value $14.60
------------------------------------
Premium/(Discount) to NAV -4.25%
------------------------------------
Market Yield 4.68%
------------------------------------
Taxable-Equivalent Yield2 6.86%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $39,752
------------------------------------
Average Effective Maturity
on Securities (Years) 17.15
------------------------------------
Leverage-Adjusted Duration 8.34
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 11/21/02)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) -1.01% 2.96%
------------------------------------
1-Year 6.14% 2.03%
------------------------------------
5-Year 3.34% 5.71%
------------------------------------
Since
Inception 3.60% 5.62%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
U.S. Guaranteed 27.6%
------------------------------------
Tax Obligation/Limited 17.8%
------------------------------------
Tax Obligation/General 16.2%
------------------------------------
Education and Civic
Organizations 10.8%
------------------------------------
Water and Sewer 9.0%
------------------------------------
Housing/Multifamily 6.9%
------------------------------------
Health Care 6.8%
------------------------------------
Other 4.9%
------------------------------------
1 The percentage of AAA ratings shown in the foregoing chart reflects the AAA
ratings on certain bonds insured by AMBAC, FGIC or MBIA as of November 30,
2007. As explained earlier in the Portfolio Managers' Comments section of
this report, one rating agency has reduced the rating for AMBAC to AA, and
one or more rating agencies have placed each of these insurers on "negative
credit watch", which may presage one or more rating reductions for such
insurer or insurers in the future. If one or more insurers' ratings are
reduced below AAA by these rating agencies, it would likely reduce the
effective rating of many of the bonds insured by that insurer or insurers,
and thereby reduce the percentage of the portfolio rated AAA from the
percentage shown in the foregoing chart.
2 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 31.8%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
16
NOM
Performance
OVERVIEW
Nuveen Missouri
Premium Income
Municipal Fund
as of November 30, 2007
Pie Chart:
Credit Quality (as a % of total investments)1
AAA/U.S. Guaranteed 64%
AA 12%
A 2%
BBB 7%
N/R 15%
Bar Chart:
2006-2007 Monthly Tax-Free Dividends Per Share3
Dec 0.06
Jan 0.06
Feb 0.06
Mar 0.0575
Apr 0.0575
May 0.0575
Jun 0.0545
Jul 0.0545
Aug 0.0545
Sep 0.0545
Oct 0.0545
Nov 0.0545
Line Chart:
Share Price Performance -- Weekly Closing Price
12/01/06 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
16.56
16.56
16.66
16.66
16.47
16.4
16.4
16.4
15.7
15.42
15.47
15.5
15.52
15.47
15.47
15.37
15.43
15.33
15.3
15.3
15.3
15.35
15.35
15.27
15.25
15.0001
15.09
14.99
15.11
15.1
15.16
15.06
14.84
14.77
14.7882
14.627
14.55
14.45
14.52
14.5
14.25
14.3
14.76
14.76
14.51
14.43
14.42
14.42
14.42
14.42
14.41
14.17
14.14
14.1
14.1
14
13.848
13.98
13.9
14.31
14.27
14.04
14.19
14.27
14.1
14.15
14.1
14.1
14.16
14.1001
14.34
14.36
14.55
14.39
14.39
14.39
14.39
14.52
14.45
14.45
14.45
14.44
14.04
14.05
14.05
14.03
14.03
14.05
14.1185
14.03
14.1
14.04
14.1975
14.25
14.22
14.22
14.1
14
14.1
14.15
14.17
14.2
14.25
14.25
14.14
14.16
14.15
14.22
14.3
14.3
14.2
14.47
14.57
14.7
14.25
14.15
14.15
14.15
14.15
14.43
14.43
14.44
14.44
14.54
14.48
14.35
14.15
14.15
14.2
14.15
11/30/07 14.2
FUND SNAPSHOT
------------------------------------
Common Share Price $14.20
------------------------------------
Common Share
Net Asset Value $14.07
------------------------------------
Premium/(Discount) to NAV 0.92%
------------------------------------
Market Yield 4.61%
------------------------------------
Taxable-Equivalent Yield2 6.81%
------------------------------------
Net Assets Applicable to
Common Shares ($000) $32,397
------------------------------------
Average Effective Maturity
on Securities (Years) 15.33
------------------------------------
Leverage-Adjusted Duration 9.61
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 5/20/93)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(Cumulative) -12.25% 0.92%
------------------------------------
1-Year -12.03% 0.00%
------------------------------------
5-Year 2.97% 5.18%
------------------------------------
10-Year 5.47% 5.68%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Tax Obligation/General 19.0%
------------------------------------
U.S. Guaranteed 17.4%
------------------------------------
Tax Obligation/Limited 16.7%
------------------------------------
Health Care 13.0%
------------------------------------
Water and Sewer 9.8%
------------------------------------
Housing/Single Family 5.7%
------------------------------------
Long-Term Care 5.4%
------------------------------------
Other 13.0%
------------------------------------
1 The percentage of AAA ratings shown in the foregoing chart reflects the AAA
ratings on certain bonds insured by AMBAC, FGIC or MBIA as of November 30,
2007. As explained earlier in the Portfolio Managers' Comments section of
this report, one rating agency has reduced the rating for AMBAC to AA, and
one or more rating agencies have placed each of these insurers on "negative
credit watch", which may presage one or more rating reductions for such
insurer or insurers in the future. If one or more insurers' ratings are
reduced below AAA by these rating agencies, it would likely reduce the
effective rating of many of the bonds insured by that insurer or insurers,
and thereby reduce the percentage of the portfolio rated AAA from the
percentage shown in the foregoing chart.
2 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a combined federal and state income tax
rate of 32.3%. When comparing this Fund to investments that generate
qualified dividend income, the Taxable-Equivalent Yield is lower.
3 The Fund paid shareholders a capital gains distribution in December 2006 of
$0.0048 per share.
17
NTC
NFC
NGK
Shareholder MEETING REPORT
The annual meeting of shareholders was held in the offices of Nuveen Investments
on October 12, 2007.
NTC NFC NGK
------------------------------------------------------------------------------------------------------------------------------------
TO APPROVE A NEW INVESTMENT
MANAGEMENT AGREEMENT:
Common and Common and Common and
MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred
shares voting shares voting shares voting shares voting shares voting shares voting
together together together together together together
as a class as a class as a class as a class as a class as a class
------------------------------------------------------------------------------------------------------------------------------------
For 2,742,129 -- 1,352,640 -- 1,226,482 --
Against 90,160 -- 44,156 -- 63,446 --
Abstain 84,429 -- 45,082 -- 25,929 --
Broker Non-Votes 1,035,545 -- 456,203 -- 465,577 --
------------------------------------------------------------------------------------------------------------------------------------
Total 3,952,263 -- 1,898,081 -- 1,781,434 --
====================================================================================================================================
APPROVAL OF THE BOARD MEMBERS
WAS REACHED AS FOLLOWS:
William J. Schneider
For -- 1,026 -- 532 -- 479
Withhold -- 4 -- 16 -- --
------------------------------------------------------------------------------------------------------------------------------------
Total -- 1,030 -- 548 -- 479
====================================================================================================================================
Timothy R. Schwertfeger
For -- 1,026 -- 532 -- 479
Withhold -- 4 -- 16 -- --
------------------------------------------------------------------------------------------------------------------------------------
Total -- 1,030 -- 548 -- 479
====================================================================================================================================
Judith M. Stockdale
For 3,856,847 -- 1,815,721 -- 1,713,026 --
Withhold 95,416 -- 82,360 -- 68,408 --
------------------------------------------------------------------------------------------------------------------------------------
Total 3,952,263 -- 1,898,081 -- 1,781,434 --
====================================================================================================================================
Carole E. Stone
For 3,855,447 -- 1,815,721 -- 1,713,026 --
Withhold 96,816 -- 82,360 -- 68,408 --
------------------------------------------------------------------------------------------------------------------------------------
Total 3,952,263 -- 1,898,081 -- 1,781,434 --
====================================================================================================================================
TO RATIFY THE SELECTION OF ERNST & YOUNG LLP
AS THE INDEPENDENT REGISTERED PUBLIC ACCOUNTING
FIRM FOR THE CURRENT FISCAL YEAR:
For 3,836,590 -- 1,854,407 -- 1,732,586 --
Against 49,981 -- 31,921 -- 40,574 --
Abstain 65,692 -- 11,753 -- 8,274 --
------------------------------------------------------------------------------------------------------------------------------------
Total 3,952,263 -- 1,898,081 -- 1,781,434 --
====================================================================================================================================
18
NGO
NMT
NMB
NGO NMT NMB
------------------------------------------------------------------------------------------------------------------------------------
TO APPROVE A NEW INVESTMENT
MANAGEMENT AGREEMENT:
Common and Common and Common and
MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred MuniPreferred
shares voting shares voting shares voting shares voting shares voting shares voting
together together together together together together
as a class as a class as a class as a class as a class as a class
------------------------------------------------------------------------------------------------------------------------------------
For 2,239,869 -- 2,294,927 -- 1,044,182 --
Against 84,016 -- 92,820 -- 15,453 --
Abstain 54,694 -- 51,187 -- 50,996 --
Broker Non-Votes 908,206 -- 746,991 -- 361,824 --
------------------------------------------------------------------------------------------------------------------------------------
Total 3,286,785 -- 3,185,925 -- 1,472,455 --
====================================================================================================================================
APPROVAL OF THE BOARD MEMBERS
WAS REACHED AS FOLLOWS:
William J. Schneider
For -- 948 -- 834 -- 374
Withhold -- -- -- 7 -- 10
------------------------------------------------------------------------------------------------------------------------------------
Total -- 948 -- 841 -- 384
====================================================================================================================================
Timothy R. Schwertfeger
For -- 948 -- 834 -- 374
Withhold -- -- -- 7 -- 10
------------------------------------------------------------------------------------------------------------------------------------
Total -- 948 -- 841 -- 384
====================================================================================================================================
Judith M. Stockdale
For 3,216,622 -- 3,119,206 -- 1,426,097 --
Withhold 70,163 -- 66,719 -- 46,358 --
------------------------------------------------------------------------------------------------------------------------------------
Total 3,286,785 -- 3,185,925 -- 1,472,455 --
====================================================================================================================================
Carole E. Stone
For 3,216,622 -- 3,119,206 -- 1,426,097 --
Withhold 70,163 -- 66,719 -- 46,358 --
------------------------------------------------------------------------------------------------------------------------------------
Total 3,286,785 -- 3,185,925 -- 1,472,455 --
====================================================================================================================================
TO RATIFY THE SELECTION OF ERNST & YOUNG LLP
AS THE INDEPENDENT REGISTERED PUBLIC ACCOUNTING
FIRM FOR THE CURRENT FISCAL YEAR:
For 3,238,124 -- 3,114,694 -- 1,440,470 --
Against 27,636 -- 23,267 -- 9,459 --
Abstain 21,025 -- 47,964 -- 22,526 --
------------------------------------------------------------------------------------------------------------------------------------
Total 3,286,785 -- 3,185,925 -- 1,472,455 --
====================================================================================================================================
19
NGX
NOM
Shareholder MEETING REPORT (continued)
NGX NOM
------------------------------------------------------------------------------------------------------------------------------------
TO APPROVE A NEW INVESTMENT
MANAGEMENT AGREEMENT:
Common and Common and
MuniPreferred MuniPreferred MuniPreferred MuniPreferred
shares voting shares voting shares voting shares voting
together together together together
as a class as a class as a class as a class
------------------------------------------------------------------------------------------------------------------------------------
For 1,254,166 -- 1,239,500 --
Against 29,147 -- 338,969 --
Abstain 25,707 -- 36,275 --
Broker Non-Votes 462,836 -- 255,086 --
------------------------------------------------------------------------------------------------------------------------------------
Total 1,771,856 -- 1,869,830 --
====================================================================================================================================
APPROVAL OF THE BOARD MEMBERS
WAS REACHED AS FOLLOWS:
William J. Schneider
For -- 610 -- 558
Withhold -- -- -- 31
------------------------------------------------------------------------------------------------------------------------------------
Total -- 610 -- 589
====================================================================================================================================
Timothy R. Schwertfeger
For -- 610 -- 558
Withhold -- -- -- 31
------------------------------------------------------------------------------------------------------------------------------------
Total -- 610 -- 589
====================================================================================================================================
Judith M. Stockdale
For 1,745,774 -- 1,513,746 --
Withhold 26,082 -- 356,084 --
------------------------------------------------------------------------------------------------------------------------------------
Total 1,771,856 -- 1,869,830 --
====================================================================================================================================
Carole E. Stone
For 1,745,774 -- 1,514,945 --
Withhold 26,082 -- 354,885 --
------------------------------------------------------------------------------------------------------------------------------------
Total 1,771,856 -- 1,869,830 --
====================================================================================================================================
TO RATIFY THE SELECTION OF ERNST & YOUNG LLP
AS THE INDEPENDENT REGISTERED PUBLIC ACCOUNTING
FIRM FOR THE CURRENT FISCAL YEAR:
For 1,692,451 -- 1,530,079 --
Against 52,166 -- 314,339 --
Abstain 27,239 -- 25,412 --
------------------------------------------------------------------------------------------------------------------------------------
Total 1,771,856 -- 1,869,830 --
====================================================================================================================================
20
NTC
Nuveen Connecticut Premium Income Municipal Fund
Portfolio of INVESTMENTS
November 30, 2007 (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 2.6% (1.7% OF TOTAL INVESTMENTS)
$ 600 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 $ 573,102
Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41
1,485 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 1,450,741
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
------------------------------------------------------------------------------------------------------------------------------------
2,085 Total Consumer Staples 2,023,843
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 33.3% (21.9% OF TOTAL INVESTMENTS)
1,595 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 1,680,237
Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25
(WI/DD, Settling 12/20/07) - MBIA Insured
1,100 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 1,110,549
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 957,976
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 196,114
Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 -
RAAI Insured
500 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call AAA 544,735
Bonds, Connecticut State University System, Series 2003F,
5.000%, 11/01/13 - FSA Insured
725 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 102.00 AAA 744,024
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 777,323
Bonds, Horace Bushnell Memorial Hall, Series 1999A,
5.625%, 7/01/29 - MBIA Insured
640 Connecticut Health and Educational Facilities Authority, Revenue 1/08 at 100.00 AAA 644,179
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 893,944
Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 -
AMBAC Insured
270 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 276,078
Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 -
AMBAC Insured
1,375 Connecticut Health and Educational Facilities Authority, Revenue 7/14 at 100.00 AAA 1,461,735
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 2,020,960
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 1,527,945
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 1,546,710
Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42
3,550 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 3,709,854
Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42
315 Connecticut Higher Education Supplemental Loan Authority, 11/09 at 102.00 AAA 317,907
Revenue Bonds, Family Education Loan Program, Series 1999A,
6.000%, 11/15/18 - AMBAC Insured (Alternative Minimum Tax)
690 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 710,576
Revenue Bonds, Family Education Loan Program, Series 2001A,
5.250%, 11/15/18 - MBIA Insured (Alternative Minimum Tax)
21
NTC
Nuveen Connecticut Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS (continued)
$ 305 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA $ 306,833
Revenue Bonds, Chase Collegiate School, Series 2007A,
5.000%, 7/01/27 - RAAI Insured
University of Connecticut, General Obligation Bonds, Series 2004A:
1,000 5.000%, 1/15/18 - MBIA Insured 1/14 at 100.00 AAA 1,067,800
2,000 5.000%, 1/15/19 - MBIA Insured 1/14 at 100.00 AAA 2,135,600
1,220 University of Connecticut, General Obligation Bonds, Series 2005A, 2/15 at 100.00 AAA 1,328,251
5.000%, 2/15/17 - FSA Insured
685 University of Connecticut, General Obligation Bonds, Series 2006A, 2/16 at 100.00 AAA 730,758
5.000%, 2/15/23 - FGIC Insured
1,000 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AAA 1,078,380
Series 2002A, 5.250%, 11/15/19 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
24,645 Total Education and Civic Organizations 25,768,468
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 16.5% (10.9% OF TOTAL INVESTMENTS)
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Bristol Hospital, Series 2002B:
500 5.500%, 7/01/21 - RAAI Insured 7/12 at 101.00 AA 520,560
700 5.500%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 719,005
645 Connecticut Health and Educational Facilities Authority, Revenue 7/10 at 101.00 AA 673,851
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 817,184
500 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 505,640
385 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AA 382,875
Bonds, Hospital For Special Care, Series 2007C,
5.250%, 7/01/32 - RAAI Insured
2,620 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 2,690,740
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 2,048,540
Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 -
MBIA Insured
1,395 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,425,718
Bonds, Yale-New Haven Hospital, Series 2006J-1,
5.000%, 7/01/31 - AMBAC Insured
3,000 Connecticut Health and Educational Facilities Authority, Revenue 1/08 at 101.00 Aaa 3,032,430
Refunding Bonds, Middlesex Health Services, Series 1997H,
5.125%, 7/01/27 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
12,545 Total Health Care 12,816,543
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 2.6% (1.7% OF TOTAL INVESTMENTS)
1,000 Connecticut Housing Finance Authority, Housing Mortgage 12/09 at 100.00 AAA 1,029,830
Finance 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 971,830
Mortgage Finance Program Bonds, Series 2006G-2,
4.800%, 11/15/27 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,000 Total Housing/Multifamily 2,001,660
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 5.2% (3.4% OF TOTAL INVESTMENTS)
Connecticut Housing Finance Authority, Housing Mortgage
Finance Program Bonds, Series 2001C:
1,000 5.300%, 11/15/33 (Alternative Minimum Tax) 11/10 at 100.00 AAA 1,004,450
500 5.450%, 11/15/43 (Alternative Minimum Tax) 11/10 at 100.00 AAA 503,035
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 197,884
220 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 210,780
22
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY (continued)
$ 2,100 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA $ 2,119,698
Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
------------------------------------------------------------------------------------------------------------------------------------
4,025 Total Housing/Single Family 4,035,847
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 2.3% (1.5% OF TOTAL INVESTMENTS)
1,750 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,760,115
American Ref-Fuel Company of Southeastern Connecticut LP,
Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 6.1% (4.1% OF TOTAL INVESTMENTS)
750 Connecticut Development Authority, First Mortgage Gross Revenue 4/08 at 101.00 BBB- 767,663
Refunding Healthcare Bonds, Church Homes Inc. -
Congregational Avery Heights, Series 1997, 5.700%, 4/01/12
615 Connecticut Development Authority, First Mortgage Gross 9/09 at 102.00 AA 638,173
Revenue Refunding Healthcare Bonds, Connecticut Baptist
Homes Inc., Series 1999, 5.500%, 9/01/15 - RAAI Insured
Connecticut Development Authority, Revenue Refunding Bonds,
Duncaster Inc., Series 1999A:
1,000 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 AA 1,021,310
1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 1,017,720
1,300 Connecticut Health and Educational Facilities Authority, 8/08 at 102.00 AAA 1,316,861
FHA-Insured Mortgage Revenue Bonds, Hebrew Home and
Hospital, Series 1999B, 5.200%, 8/01/38
------------------------------------------------------------------------------------------------------------------------------------
4,665 Total Long-Term Care 4,761,727
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 29.7% (19.6% OF TOTAL INVESTMENTS)
750 Bridgeport, Connecticut, General Obligation Refunding Bonds, 8/12 at 100.00 Aaa 805,965
Series 2002A, 5.375%, 8/15/19 - FGIC Insured
1,140 Capitol Region Education Council, Connecticut, Revenue Bonds, 4/08 at 100.00 BBB 1,142,223
Series 1995, 6.700%, 10/15/10
3,015 Connecticut State, General Obligation Bonds, Series 2007B, No Opt. Call AA 3,325,605
5.000%, 5/01/16
1,110 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 1,169,307
5.000%, 4/01/23 - FGIC Insured
2,000 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 2,082,780
4.750%, 12/15/24
1,300 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 1,389,544
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 827,770
525 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 525,992
500 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 AAA 550,500
5.000%, 11/01/17 - AMBAC Insured
500 North Haven, Connecticut, General Obligation Bonds, No Opt. Call Aa2 551,605
Series 2006, 5.000%, 7/15/24
1,860 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 2,099,308
Series 2001A, 5.500%, 7/01/20 - MBIA Insured
Regional School District 16, Beacon Falls and Prospect,
Connecticut, General Obligation Bonds, Series 2000:
350 5.500%, 3/15/18 - FSA Insured 3/10 at 101.00 Aaa 367,668
350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 368,701
350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aaa 369,415
1,420 Regional School District 16, Connecticut, General Obligation 3/13 at 101.00 Aaa 1,532,464
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 2,152,384
4.000%, 2/15/15 - FSA Insured
Suffield, Connecticut, General Obligation Bonds, Series 2005:
465 5.000%, 6/15/17 No Opt. Call AA 514,006
460 5.000%, 6/15/19 No Opt. Call AA 509,142
1,000 5.000%, 6/15/21 No Opt. Call AA 1,106,520
1,500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 1,620,510
Series 2005B, 5.000%, 10/01/18
------------------------------------------------------------------------------------------------------------------------------------
21,475 Total Tax Obligation/General 23,011,409
------------------------------------------------------------------------------------------------------------------------------------
23
NTC
Nuveen Connecticut Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 21.6% (14.2% OF TOTAL INVESTMENTS)
Connecticut Health and Educational Facilities Authority, Child Care
Facilities Program Revenue Bonds, Series 2006F:
$ 1,300 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA $ 1,338,818
1,000 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 1,024,150
1,945 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 102.00 AAA 2,033,556
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 2,109,800
1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,049,560
500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 524,335
Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured
1,750 Connecticut, Special Tax Obligation Transportation Infrastructure 8/17 at 100.00 AAA 1,853,793
Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 -
AMBAC Insured
Puerto Rico Infrastructure Financing Authority, Special Tax
Revenue Bonds, Series 2005A:
960 0.000%, 7/01/32 - FGIC Insured No Opt. Call AAA 278,986
2,615 0.000%, 7/01/33 - FGIC Insured No Opt. Call AAA 724,486
2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 8/12 at 100.00 AAA 2,119,400
5.250%, 8/01/21 - FSA Insured
2,400 Puerto Rico Municipal Finance Agency, Series 2005C, 8/15 at 100.00 AAA 2,604,048
5.000%, 8/01/16 - FSA Insured
1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/14 at 100.00 AAA 1,089,660
Loan Note, Series 2003, 5.250%, 10/01/19 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
18,470 Total Tax Obligation/Limited 16,750,592
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 1.0% (0.6% OF TOTAL INVESTMENTS)
750 Connecticut, General Airport Revenue Bonds, Bradley International 4/11 at 101.00 AAA 758,513
Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 11.7% (7.7% OF TOTAL INVESTMENTS) (4)
50 Connecticut Health and Educational Facilities Authority, Revenue 7/10 at 101.00 N/R (4) 53,810
Bonds, Eastern Connecticut Health Network, Series 2000A,
6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured
650 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 (4) 705,705
Revenue Bonds, Loomis Chaffee School, Series 2001D,
5.500%, 7/01/23 (Pre-refunded 7/01/11)
40 Connecticut, General Obligation Bonds, Series 1993E, No Opt. Call AA (4) 44,396
6.000%, 3/15/12 (ETM)
1,500 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (4) 1,642,410
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) 1,076,080
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 426,584
Series 2000A, 6.000%, 6/01/20 (Pre-refunded 6/01/10) -
ACA Insured
1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,057,690
Obligation Bonds, Series 2000A, 5.500%, 10/01/40 (ETM)
655 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 683,656
Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20
(Pre-refunded 7/01/10)
1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,195,458
Series 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) -
MBIA Insured
1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ (4) 1,097,450
Loan Note, Series 1999A, 6.500%, 10/01/24 (Pre-refunded 10/01/10)
1,000 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 1,085,890
5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
8,395 Total U.S. Guaranteed 9,069,129
------------------------------------------------------------------------------------------------------------------------------------
24
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 7.1% (4.6% OF TOTAL INVESTMENTS)
$ 1,575 Bristol Resource Recovery Facility Operating Committee, No Opt. Call AAA $ 1,678,037
Connecticut, Solid Waste Revenue Bonds, Covanta Bristol Inc.,
Series 2005, 5.000%, 7/01/12 - AMBAC Insured
1,070 Connceticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 1,084,327
Facilities Revenue Bonds, PSEG Power LLC Project,
Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)
1,000 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 1,027,980
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:
395 5.500%, 1/01/14 (Alternative Minimum Tax) 1/08 at 100.00 BBB 394,332
1,290 5.500%, 1/01/20 (Alternative Minimum Tax) 1/08 at 100.00 BBB 1,285,317
------------------------------------------------------------------------------------------------------------------------------------
5,330 Total Utilities 5,469,993
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 12.2% (8.1% OF TOTAL INVESTMENTS)
500 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 AAA 499,200
Bonds, Aquarion Water Company Project, Series 200.7,
5.100%, 9/01/37 - XLCA Insured (Alternative Minimum Tax)
1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,277,394
Series 2003A, 5.000%, 10/01/16
Greater New Haven Water Pollution Control Authority,
Connecticut, Regional Wastewater System Revenue Bonds, Series
2005A:
1,520 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 1,586,348
2,260 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 2,349,406
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 1,057,240
1,525 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,579,275
1,100 Stamford, Connecticut, Water Pollution Control System 11/13 at 100.00 AA+ 1,132,967
and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
9,090 Total Water and Sewer 9,481,830
------------------------------------------------------------------------------------------------------------------------------------
$ 115,225 Total Investments (cost $115,399,569) - 151.9% 117,709,669
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - (2.5)% (1,915,633)
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (49.4)% (38,300,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 77,494,036
====================================================================================================================
25
NTC
Nuveen Connecticut Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
FORWARD SWAPS OUTSTANDING AT NOVEMBER 30, 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 $ 86,391
Morgan Stanley 1,000,000 Pay 3-Month USD LIBOR 5.559 Semi-Annually 4/23/08 4/23/23 80,743
Royal Bank
of Canada 2,900,000 Pay SIFM 4.335 Quarterly 8/06/08 8/06/37 248,788
------------------------------------------------------------------------------------------------------------------------------------
$415,922
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
SIFM - The daily arithmetic average of the weekly SIFM (Securities Industry and
Financial Markets) Municipal Swap Index.
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 of Investments with
a 0.000% coupon rate in their description. The market prices
of zero coupon securities generally are more volatile than
the market prices of securities that pay interest
periodically.
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Optional Call Provisions: Dates (month and year) and prices
of the earliest optional call or redemption. There may be
other call provisions at varying prices at later dates.
Certain mortgage-backed securities may be subject to
periodic principal paydowns.
(3) Ratings: Using the higher of Standard & Poor's Group
("Standard & Poor's") or Moody's Investor Service, Inc.
("Moody's") rating. Ratings below BBB by Standard & Poor's
or Baa by Moody's are considered to be below investment
grade.
The AAA ratings shown in the Portfolio of Investments
reflects the AAA ratings on certain bonds insured by AMBAC,
FGIC or MBIA as of November 30, 2007. As explained earlier
in the Portfolio Managers' Comments section of this report,
one rating agency has reduced the rating for AMBAC to AA,
and one or more rating agencies have placed each of these
insurers on "negative credit watch", which may presage one
or more rating reductions for such insurer or insurers in
the future. If one or more insurers' ratings are reduced
below AAA by these rating agencies, it would likely reduce
the effective rating of many of the bonds insured by that
insurer or insurers.
(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.
26
NFC
Nuveen Connecticut Dividend Advantage Municipal Fund
Portfolio of INVESTMENTS
November 30, 2007 (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 4.5% (2.9% OF TOTAL INVESTMENTS)
Guam Economic Development Authority, Tobacco Settlement
Asset-Backed Bonds, Series 2001A:
$ 25 5.000%, 5/15/22 5/11 at 100.00 Baa3 $ 24,620
500 5.400%, 5/15/31 5/11 at 100.00 Baa3 476,800
1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 1,213,066
Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41
------------------------------------------------------------------------------------------------------------------------------------
1,795 Total Consumer Staples 1,714,486
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 29.4% (19.2% OF TOTAL INVESTMENTS)
795 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 837,485
Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25
(WI/DD, Settling 12/20/07) - MBIA Insured
500 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 504,795
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 98,057
Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 -
RAAI Insured
500 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call AAA 544,735
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 490,494
Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/18 -
AMBAC Insured
130 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 132,926
Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 -
AMBAC Insured
50 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 101.00 AA 50,034
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 379,239
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 1,010,480
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 1,018,630
Bonds, Yale University, Series 2002W, 5.125%, 7/01/27
500 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 515,570
Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42
1,800 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,881,054
Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42
535 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 550,954
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 150,902
Revenue Bonds, Chase Collegiate School, Series 2007A,
5.000%, 7/01/27 - 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- 126,733
270 5.375%, 2/01/29 2/09 at 101.00 BBB- 270,057
27
NFC
Nuveen Connecticut Dividend Advantage Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS (continued)
University of Connecticut, General Obligation Bonds, Series 2001A:
$ 1,000 4.750%, 4/01/20 4/11 at 101.00 AA $ 1,034,160
1,000 4.750%, 4/01/21 - MBIA Insured 4/11 at 101.00 AA 1,030,540
585 University of Connecticut, General Obligation Bonds, 2/16 at 100.00 AAA 624,078
Series 2006A, 5.000%, 2/15/23 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
10,830 Total Education and Civic Organizations 11,250,923
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 11.7% (7.7% OF TOTAL INVESTMENTS)
1,400 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,438,010
Revenue Bonds, Bristol Hospital, Series 2002B,
5.500%, 7/01/32 - RAAI Insured
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Griffin Hospital, Series 2005B:
500 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 Aa3 510,740
250 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 252,820
185 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AA 183,979
Revenue Bonds, Hospital For Special Care, Series 2007C,
5.250%, 7/01/32 - RAAI Insured
60 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 61,620
Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 -
FSA Insured
125 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 128,034
Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 -
MBIA Insured
1,870 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,911,177
Bonds, Yale-New Haven Hospital, Series 2006J-1,
5.000%, 7/01/31 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
4,390 Total Health Care 4,486,380
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 3.2% (2.1% OF TOTAL INVESTMENTS)
500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 485,915
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- 755,160
Revenue Bonds, Fairfield Apartments, Series 1998,
4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative
Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,250 Total Housing/Multifamily 1,241,075
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 5.1% (3.4% OF TOTAL INVESTMENTS)
Connecticut Housing Finance Authority, Housing Mortgage Finance
Program Bonds, Series 2001C:
1,000 5.300%, 11/15/33 (Alternative Minimum Tax) 11/10 at 100.00 AAA 1,004,450
250 5.450%, 11/15/43 (Alternative Minimum Tax) 11/10 at 100.00 AAA 251,518
700 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 706,566
Program Bonds, Series 2006D, 4.650%, 11/15/27
------------------------------------------------------------------------------------------------------------------------------------
1,950 Total Housing/Single Family 1,962,534
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 2.7% (1.7% OF TOTAL INVESTMENTS)
1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,005,780
American Ref-Fuel Company of Southeastern Connecticut LP,
Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 1.8% (1.1% OF TOTAL INVESTMENTS)
300 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 310,365
Revenue Healthcare Bonds, Elim Park Baptist Home Inc.,
Series 2003, 5.750%, 12/01/23
110 Connecticut Development Authority, First Mortgage Gross 4/08 at 101.00 BBB- 112,842
Revenue Refunding Healthcare Bonds, Church Homes Inc. -
Congregational Avery Heights, Series 1997, 5.800%, 4/01/21
250 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 233,453
Revenue Bonds, Alzheimer's Resource Center of Connecticut,
Inc., Series 2007, 5.500%, 8/15/27
------------------------------------------------------------------------------------------------------------------------------------
660 Total Long-Term Care 656,660
------------------------------------------------------------------------------------------------------------------------------------
28
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 12.9% (8.4% OF TOTAL INVESTMENTS)
$ 450 Connecticut State, General Obligation Bonds, Series 2007B, No Opt. Call AA $ 496,359
5.000%, 5/01/16
560 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 589,921
5.000%, 4/01/23 - FGIC Insured
700 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 728,973
4.750%, 12/15/24
400 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 427,552
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 382,846
240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 240,454
400 North Haven, Connecticut, General Obligation Bonds, No Opt. Call Aa2 441,284
Series 2006, 5.000%, 7/15/24
Suffield, Connecticut, General Obligation Bonds, Series 2005:
335 5.000%, 6/15/17 No Opt. Call AA 370,306
335 5.000%, 6/15/19 No Opt. Call AA 370,788
810 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 875,075
Series 2005B, 5.000%, 10/01/18
------------------------------------------------------------------------------------------------------------------------------------
4,590 Total Tax Obligation/General 4,923,558
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 25.8% (16.9% OF TOTAL INVESTMENTS)
Connecticut Health and Educational Facilities Authority, Child
Care Facilities Program Revenue Bonds, Series 2006F:
650 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA 669,409
500 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 512,075
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 105.00 A 1,059,950
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- 624,774
1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 1,026,160
1,475 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AAA 1,622,471
Purpose Bonds, Series 1998B, 5.500%, 11/01/12 - FSA Insured
900 Connecticut, Special Tax Obligation Transportation Infrastructure 8/17 at 100.00 AAA 953,379
Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 -
AMBAC Insured
600 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 648,060
Revenue Bonds, Series 2007N, 5.250%, 7/01/31 -
AMBAC Insured
470 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 136,587
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 1,302,024
5.000%, 8/01/16 - FSA Insured
750 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 808,680
Loan Note, Series 1999A, 6.375%, 10/01/19
500 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 AA 509,565
Refunding Bonds, Matching Fund Loan Note, Series 1998A,
5.500%, 10/01/18 - RAAI Insured
------------------------------------------------------------------------------------------------------------------------------------
9,645 Total Tax Obligation/Limited 9,873,134
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 6.6% (4.3% OF TOTAL INVESTMENTS)
2,500 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AAA 2,528,373
International Airport, Series 2001A, 5.125%, 10/01/26 -
FGIC Insured (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 30.4% (19.9% OF TOTAL INVESTMENTS) (4)
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 (4) 1,085,700
Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23
(Pre-refunded 7/01/11)
2,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 2,165,100
5.500%, 10/01/20 (Pre-refunded 10/01/11)
500 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (4) 547,470
5.500%, 6/15/21 (Pre-refunded 6/15/12)
29
NFC
Nuveen Connecticut Dividend Advantage Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED (4) (continued)
$ 500 East Lyme, Connecticut, General Obligation Bonds, Series 2001, 7/11 at 102.00 Aaa $ 541,320
5.125%, 7/15/20 (Pre-refunded 7/15/11) - FGIC Insured
220 New Haven, Connecticut, General Obligation Bonds, Series 2001A, 11/11 at 100.00 AAA 232,731
5.000%, 11/01/20 (Pre-refunded 11/01/11) - FGIC Insured
250 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 AAA 266,615
Series 2000A, 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 2,093,619
Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) -
FSA Insured
Puerto Rico Infrastructure Financing Authority, Special Obligation
Bonds, Series 2000A:
1,425 5.500%, 10/01/32 (ETM) 10/10 at 101.00 AAA 1,509,189
1,300 5.500%, 10/01/40 (ETM) 10/10 at 101.00 AAA 1,374,997
320 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 334,000
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 1,085,890
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) 379,949
5.000%, 7/15/20 (Pre-refunded 7/15/09)
------------------------------------------------------------------------------------------------------------------------------------
10,860 Total U.S. Guaranteed 11,616,580
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 5.4% (3.6% OF TOTAL INVESTMENTS)
560 Connceticut Development Authority, Solid Waste Disposal Facilities 11/12 at 100.00 Baa1 567,498
Revenue Bonds, PSEG Power LLC Project, Series 2007A,
5.750%, 11/01/37 (Alternative Minimum Tax)
500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 513,990
Refunding Bonds, Connecticut Light and Power Company,
Series 1993A, 5.850%, 9/01/28
1,000 Eastern Connecticut Resource Recovery Authority, Solid Waste 1/08 at 100.00 BBB 998,310
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A,
5.500%, 1/01/14 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,060 Total Utilities 2,079,798
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 13.4% (8.8% OF TOTAL INVESTMENTS)
255 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 AAA 254,592
Bonds, Aquarion Water Company Project, Series 200.7,
5.100%, 9/01/37 - XLCA Insured (Alternative Minimum Tax)
1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,277,394
Series 2003A, 5.000%, 10/01/16
Greater New Haven Water Pollution Control Authority,
Connecticut, Regional Wastewater System Revenue Bonds, Series
2005A:
720 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 751,428
1,110 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 1,153,912
30
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER (continued)
$ 140 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 $ 147,253
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 792,930
720 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 745,625
------------------------------------------------------------------------------------------------------------------------------------
4,880 Total Water and Sewer 5,123,134
------------------------------------------------------------------------------------------------------------------------------------
$ 56,410 Total Investments (cost $57,244,262) - 152.9% 58,462,415
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - (1.9)% (730,069)
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (51.0)% (19,500,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 38,232,346
====================================================================================================================
FORWARD SWAPS OUTSTANDING AT NOVEMBER 30, 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 $ 69,113
Morgan Stanley 650,000 Pay 3-Month USD LIBOR 5.559 Semi-Annually 4/23/08 4/23/23 52,483
Royal Bank
of Canada 1,900,000 Pay SIFM 4.335 Quarterly 8/06/08 8/06/37 162,999
------------------------------------------------------------------------------------------------------------------------------------
$284,595
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
SIFM - The daily arithmetic average of the weekly SIFM (Securities Industry and
Financial Markets) Municipal Swap Index.
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 of Investments with
a 0.000% coupon rate in their description. The market prices
of zero coupon securities generally are more volatile than
the market prices of securities that pay interest
periodically.
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Optional Call Provisions: Dates (month and year) and prices
of the earliest optional call or redemption. There may be
other call provisions at varying prices at later dates.
Certain mortgage-backed securities may be subject to
periodic principal paydowns.
(3) Ratings: Using the higher of Standard & Poor's Group
("Standard & Poor's") or Moody's Investor Service, Inc.
("Moody's") rating. Ratings below BBB by Standard & Poor's
or Baa by Moody's are considered to be below investment
grade.
The AAA ratings shown in the Portfolio of Investments
reflects the AAA ratings on certain bonds insured by AMBAC,
FGIC or MBIA as of November 30, 2007. As explained earlier
in the Portfolio Managers' Comments section of this report,
one rating agency has reduced the rating for AMBAC to AA,
and one or more rating agencies have placed each of these
insurers on "negative credit watch", which may presage one
or more rating reductions for such insurer or insurers in
the future. If one or more insurers' ratings are reduced
below AAA by these rating agencies, it would likely reduce
the effective rating of many of the bonds insured by that
insurer or insurers.
(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.
31
NGK
Nuveen Connecticut Dividend Advantage Municipal Fund 2
Portfolio of INVESTMENTS
November 30, 2007 (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 2.7% (1.9% OF TOTAL INVESTMENTS)
$ 250 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 $ 238,793
Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41
750 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 732,698
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
------------------------------------------------------------------------------------------------------------------------------------
1,000 Total Consumer Staples 971,491
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 26.5% (17.0% OF TOTAL INVESTMENTS)
715 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 753,210
Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25
(WI/DD, Settling 12/20/07) - MBIA Insured
500 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 504,795
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 98,057
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 97,493
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 508,540
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 234,023
Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 -
MBIA Insured
310 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 346,403
Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 -
AMBAC Insured
120 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 122,701
Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 -
AMBAC Insured
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, University of Hartford, Series 2002E:
590 5.500%, 7/01/22 - RAAI Insured 7/12 at 101.00 AA 613,765
1,000 5.250%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 1,010,480
1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,018,630
Bonds, Yale University, Series 2002W, 5.125%, 7/01/27
500 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 515,570
Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42
1,600 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,672,048
Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42
135 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA 135,811
Revenue Bonds, Chase Collegiate School, Series 2007A,
5.000%, 7/01/27 - RAAI Insured
University of Connecticut, General Obligation Bonds, Series 2006A:
450 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AAA 487,913
490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AAA 522,732
500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AAA 535,475
Series 2002A, 5.250%, 11/15/22 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
8,820 Total Education and Civic Organizations 9,177,646
------------------------------------------------------------------------------------------------------------------------------------
32
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 13.4% (8.6% OF TOTAL INVESTMENTS)
$ 300 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA $ 308,145
Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 -
RAAI Insured
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Eastern Connecticut Health Network, Series 2000A:
20 6.125%, 7/01/20 - RAAI Insured 7/10 at 101.00 AA 20,955
65 6.000%, 7/01/25 - RAAI Insured 7/10 at 101.00 AA 67,907
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 306,444
300 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 Aa3 303,384
170 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AA 169,062
Bonds, Hospital For Special Care, Series 2007C,
5.250%, 7/01/32 - RAAI Insured
1,190 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa 1,222,130
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 1,011,120
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 25,683
Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 -
MBIA Insured
1,170 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,195,763
Bonds, Yale-New Haven Hospital, Series 2006J-1,
5.000%, 7/01/31 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
4,540 Total Health Care 4,630,593
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 2.8% (1.8% OF TOTAL INVESTMENTS)
500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 485,915
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- 503,440
Revenue Bonds, Fairfield Apartments, Series 1998,
4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative
Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,000 Total Housing/Multifamily 989,355
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 4.2% (2.7% OF TOTAL INVESTMENTS)
250 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 251,518
Finance Program Bonds, Series 2001C, 5.450%, 11/15/43
(Alternative Minimum Tax)
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 294,413
330 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 316,170
600 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 605,628
Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
------------------------------------------------------------------------------------------------------------------------------------
1,485 Total Housing/Single Family 1,467,729
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 2.9% (1.9% OF TOTAL INVESTMENTS)
1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,005,780
American Ref-Fuel Company of Southeastern Connecticut LP,
Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 4.0% (2.5% OF TOTAL INVESTMENTS)
320 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 331,056
Revenue Healthcare Bonds, Elim Park Baptist Home Inc.,
Series 2003, 5.750%, 12/01/23
325 Connecticut Development Authority, First Mortgage Gross 4/08 at 101.00 BBB- 332,654
Revenue 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 474,417
Bonds, Village for Families and Children Inc., Series 2002A,
5.000%, 7/01/19 - AMBAC Insured
33
NGK
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE (continued)
$ 250 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R $ 233,453
Revenue Bonds, Alzheimer's Resource Center of Connecticut,
Inc., Series 2007, 5.500%, 8/15/27
------------------------------------------------------------------------------------------------------------------------------------
1,345 Total Long-Term Care 1,371,580
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 22.9% (14.7% OF TOTAL INVESTMENTS)
500 Connecticut State, General Obligation Bonds, Series 2007B, No Opt. Call AA 551,510
5.000%, 5/01/16
600 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 624,834
4.750%, 12/15/24
400 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 427,552
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 1,064,710
1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,544,163
1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ 1,383,457
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 382,846
240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 240,454
650 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 AAA 715,650
5.000%, 11/01/17 - AMBAC Insured
400 Suffield, Connecticut, General Obligation Bonds, Series 2005, No Opt. Call AA 442,608
5.000%, 6/15/21
500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 547,510
Series 2005B, 5.000%, 10/01/17
------------------------------------------------------------------------------------------------------------------------------------
7,405 Total Tax Obligation/General 7,925,294
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 16.6% (10.7% OF TOTAL INVESTMENTS)
Connecticut Health and Educational Facilities Authority, Child
Care Facilities Program Revenue Bonds, Series 2006F:
575 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA 592,170
500 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 512,075
500 Connecticut, Special Tax Obligation Transportation Infrastructure 10/11 at 100.00 AAA 535,770
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 1,743,398
Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured
850 Connecticut, Special Tax Obligation Transportation Infrastructure 8/17 at 100.00 AAA 900,414
Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 -
AMBAC Insured
500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 540,050
Revenue Bonds, Series 2007N, 5.250%, 7/01/31 -
AMBAC Insured
430 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 124,962
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 813,765
5.000%, 8/01/16 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
5,730 Total Tax Obligation/Limited 5,762,604
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 6.3% (4.1% OF TOTAL INVESTMENTS)
1,950 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call AAA 2,191,274
Parking Facility, Series 2002, 5.375%, 12/01/15 -
AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
34
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 37.4% (24.0% OF TOTAL INVESTMENTS) (4)
$ 2,250 Connecticut Health and Educational Facilities Authority, Revenue 11/11 at 100.00 AAA $ 2,396,741
Bonds, Connecticut State University System, Series 2002D-2,
5.000%, 11/01/21 (Pre-refunded 11/01/11) - FSA Insured
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Eastern Connecticut Health Network, Series 2000A:
100 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 AA (4) 108,006
30 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 32,378
5 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 5,381
400 Connecticut Health and Educational Facilities Authority, Revenue 3/11 at 101.00 AAA 425,472
Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32
(Pre-refunded 3/01/11) - FSA Insured
2,105 Fairfield, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 2,254,097
5.000%, 4/01/16 (Pre-refunded 4/01/12)
1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,060,060
Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) -
FSA Insured
Puerto Rico Infrastructure Financing Authority, Special Obligation
Bonds, Series 2000A:
1,000 5.500%, 10/01/32 (ETM) 10/10 at 101.00 AAA 1,059,080
2,000 5.500%, 10/01/40 (ETM) 10/10 at 101.00 AAA 2,115,380
1,535 Regional School District 8, Andover, Hebron and Marlborough, 5/11 at 101.00 Aaa 1,636,786
Connecticut, General Obligation Bonds, Series 2002,
5.000%, 5/01/22 (Pre-refunded 5/01/11) - FSA Insured
1,230 University of Connecticut, General Obligation Bonds, 4/12 at 100.00 AA (4) 1,335,645
Series 2002A, 5.375%, 4/01/19 (Pre-refunded 4/01/12)
500 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 542,945
5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
12,155 Total U.S. Guaranteed 12,971,971
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 5.0% (3.2% OF TOTAL INVESTMENTS)
470 Connceticut Development Authority, Solid Waste Disposal Facilities 11/12 at 100.00 Baa1 476,293
Revenue Bonds, PSEG Power LLC Project, Series 2007A,
5.750%, 11/01/37 (Alternative Minimum Tax)
500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 513,990
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) 2/08 at 100.00 BBB 249,595
510 5.500%, 1/01/20 (Alternative Minimum Tax) 1/08 at 100.00 BBB 508,149
------------------------------------------------------------------------------------------------------------------------------------
1,730 Total Utilities 1,748,027
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 10.8% (6.9% OF TOTAL INVESTMENTS)
220 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 AAA 219,648
Bonds, Aquarion Water Company Project, Series 200.7,
5.100%, 9/01/37 - XLCA Insured (Alternative Minimum Tax)
785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 846,206
Series 2003A, 5.000%, 10/01/16
Greater New Haven Water Pollution Control Authority, Connecticut,
Regional Wastewater System Revenue Bonds, Series 2005A:
690 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 720,119
320 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 332,659
35
NGK
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
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 $ 136,735
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 792,930
660 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 683,489
------------------------------------------------------------------------------------------------------------------------------------
3,555 Total Water and Sewer 3,731,786
------------------------------------------------------------------------------------------------------------------------------------
$ 51,715 Total Investments (cost $52,366,588) - 155.5% 53,945,130
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - (5.0)% (1,763,392)
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (50.5)% (17,500,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 34,681,738
====================================================================================================================
FORWARD SWAPS OUTSTANDING AT NOVEMBER 30, 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 $ 51,835
Morgan Stanley 500,000 Pay 3-Month USD-LIBOR 5.559 Semi-Annually 4/23/08 4/23/23 40,371
Royal Bank
of Canada 1,700,000 Pay SIFM 4.335 Quarterly 8/06/08 8/06/37 145,841
------------------------------------------------------------------------------------------------------------------------------------
$238,047
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
SIFM - The daily arithmetic average of the weekly SIFM (Securities Industry and
Financial Markets) Municipal Swap Index.
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 of Investments with
a 0.000% coupon rate in their description. The market prices
of zero coupon securities generally are more volatile than
the market prices of securities that pay interest
periodically.
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Optional Call Provisions: Dates (month and year) and prices
of the earliest optional call or redemption. There may be
other call provisions at varying prices at later dates.
Certain mortgage-backed securities may be subject to
periodic principal paydowns.
(3) Ratings: Using the higher of Standard & Poor's Group
("Standard & Poor's") or Moody's Investor Service, Inc.
("Moody's") rating. Ratings below BBB by Standard & Poor's
or Baa by Moody's are considered to be below investment
grade.
The AAA ratings shown in the Portfolio of Investments
reflects the AAA ratings on certain bonds insured by AMBAC,
FGIC or MBIA as of November 30, 2007. As explained earlier
in the Portfolio Managers' Comments section of this report,
one rating agency has reduced the rating for AMBAC to AA,
and one or more rating agencies have placed each of these
insurers on "negative credit watch", which may presage one
or more rating reductions for such insurer or insurers in
the future. If one or more insurers' ratings are reduced
below AAA by these rating agencies, it would likely reduce
the effective rating of many of the bonds insured by that
insurer or insurers.
(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.
36
NGO
Nuveen Connecticut Dividend Advantage Municipal Fund 3
Portfolio of INVESTMENTS
November 30, 2007 (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 3.7% (2.5% OF TOTAL INVESTMENTS)
$ 2,385 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 2,329,978
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 19.0% (12.5% OF TOTAL INVESTMENTS)
1,000 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 991,070
Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 -
MBIA Insured
1,300 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 AAA 1,369,472
Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25
(WI/DD, Settling 12/20/07) - MBIA Insured
650 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 AA 656,234
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 147,086
Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 -
RAAI Insured
285 Connecticut Health and Educational Facilities Authority, Revenue 1/15 at 100.00 Aaa 310,217
Bonds, Kent School, Series 2004D, 5.000%, 7/01/15 -
MBIA Insured
400 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call Aaa 446,972
Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 -
AMBAC Insured
215 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 219,840
Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 -
AMBAC Insured
750 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 780,210
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 1,527,945
Bonds, Yale University, Series 2002W, 5.125%, 7/01/27
3,000 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 3,135,089
Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42
250 Connecticut State Health and Educational Facilities Authority, 7/17 at 100.00 AA 251,503
Revenue Bonds, Chase Collegiate School, Series 2007A,
5.000%, 7/01/27 - RAAI Insured
University of Connecticut, General Obligation Bonds, Series 2006A:
850 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AAA 921,613
490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AAA 522,732
500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AAA 535,475
Series 2002A, 5.250%, 11/15/22 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
11,340 Total Education and Civic Organizations 11,815,458
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 9.6% (6.3% OF TOTAL INVESTMENTS)
Connecticut Health and Educational Facilities Authority, Revenue
Bonds, Bristol Hospital, Series 2002B:
500 5.500%, 7/01/21 - RAAI Insured 7/12 at 101.00 AA 520,560
600 5.500%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 616,290
800 Connecticut Health and Educational Facilities Authority, Revenue 7/15 at 100.00 Aa3 817,184
Bonds, Griffin Hospital, Series 2005B, 5.000%, 7/01/20 -
RAAI Insured
310 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AA 308,289
Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 -
RAAI Insured
37
NGO
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (continued)
$ 2,130 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aaa $ 2,187,510
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 205,460
Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 -
MBIA Insured
1,325 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,354,177
Bonds, Yale-New Haven Hospital, Series 2006J-1,
5.000%, 7/01/31 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
5,865 Total Health Care 6,009,470
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 2.8% (1.8% OF TOTAL INVESTMENTS)
1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 971,830
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- 755,160
Revenue Bonds, Fairfield Apartments, Series 1998,
4.750%, 12/01/28 (Mandatory put 12/01/08)
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,750 Total Housing/Multifamily 1,726,990
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 4.4% (2.9% OF TOTAL INVESTMENTS)
750 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 754,553
Finance Program Bonds, Series 2001C, 5.450%, 11/15/43
(Alternative Minimum Tax)
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 419,901
465 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 445,512
1,100 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 1,110,318
Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
------------------------------------------------------------------------------------------------------------------------------------
2,750 Total Housing/Single Family 2,730,284
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 3.2% (2.1% OF TOTAL INVESTMENTS)
2,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 2,011,560
American Ref-Fuel Company of Southeastern Connecticut LP,
Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 12.9% (8.5% OF TOTAL INVESTMENTS)
500 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 517,275
Revenue Healthcare Bonds, Elim Park Baptist Home Inc.,
Series 2003, 5.750%, 12/01/23
600 Connecticut Development Authority, First Mortgage Gross 4/08 at 101.00 BBB- 614,130
Revenue 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 663,007
1,025 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 AA 970,767
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 453,332
475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 AAA 500,774
260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 AAA 270,265
1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 AAA 1,022,430
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 1,044,280
1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 AAA 1,542,060
500 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 466,905
Revenue Bonds, Alzheimer's Resource Center of Connecticut,
Inc., Series 2007, 5.500%, 8/15/27
------------------------------------------------------------------------------------------------------------------------------------
7,940 Total Long-Term Care 8,065,225
------------------------------------------------------------------------------------------------------------------------------------
38
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 31.7% (20.9% OF TOTAL INVESTMENTS)
Bethel, Connecticut, General Obligation Bonds, Series 2002:
$ 525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aaa $ 553,371
525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aaa 553,371
525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aaa 553,371
525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aaa 553,371
525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aaa 549,171
2,470 Connecticut State, General Obligation Bonds, Series 2007B, No Opt. Call AA 2,724,459
5.000%, 5/01/16
1,200 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 1,249,668
4.750%, 12/15/24
700 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 748,216
5.000%, 6/01/23 - FSA Insured
450 Farmington, Connecticut, General Obligation Bonds, Series 2002, 9/12 at 101.00 Aa1 479,120
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 638,076
400 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 400,756
New Canaan, Connecticut, General Obligation Bonds, Series 2002A:
950 4.500%, 5/01/19 5/11 at 100.00 Aaa 970,036
900 4.600%, 5/01/20 5/11 at 100.00 Aaa 921,033
500 4.700%, 5/01/21 5/11 at 100.00 Aaa 511,950
1,000 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 AAA 1,101,000
5.000%, 11/01/17 - AMBAC Insured
Southbury, Connecticut, General Obligation Bonds, Series 2002:
500 4.250%, 12/15/14 12/11 at 101.00 Aa3 519,180
500 4.375%, 12/15/15 12/11 at 101.00 Aa3 520,640
500 4.375%, 12/15/16 12/11 at 101.00 Aa3 518,530
500 4.500%, 12/15/17 12/11 at 101.00 Aa3 518,610
500 4.625%, 12/15/18 12/11 at 101.00 Aa3 520,270
500 4.625%, 12/15/19 12/11 at 101.00 Aa3 518,640
500 4.875%, 12/15/20 12/11 at 101.00 Aa3 522,925
500 4.875%, 12/15/21 12/11 at 101.00 Aa3 520,830
500 5.000%, 12/15/22 12/11 at 101.00 Aa3 524,860
Stratford, Connecticut, General Obligation Bonds, Series 2002:
1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,382,618
630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 634,082
500 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 540,170
Series 2005B, 5.000%, 10/01/18
------------------------------------------------------------------------------------------------------------------------------------
18,800 Total Tax Obligation/General 19,748,324
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 22.2% (14.6% OF TOTAL INVESTMENTS)
930 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 952,460
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 65,413
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 2,964,268
1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,049,560
1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AAA 1,046,780
500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 524,335
Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured
1,500 Connecticut, Special Tax Obligation Transportation Infrastructure 8/17 at 100.00 AAA 1,588,965
Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 -
AMBAC Insured
1,000 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 1,080,100
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 226,676
2,120 0.000%, 7/01/33 - FGIC Insured No Opt. Call AAA 587,346
39
NGO
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED (continued)
Puerto Rico Public Buildings Authority, Guaranteed Government
Facilities Revenue Bonds, Series 2002G:
$ 890 5.250%, 7/01/17 7/12 at 100.00 BBB- $ 920,696
1,000 5.250%, 7/01/20 7/12 at 100.00 BBB- 1,025,520
1,045 5.250%, 7/01/21 7/12 at 100.00 BBB- 1,069,066
750 Virgin Islands Public Finance Authority, Senior Lien Revenue 10/08 at 101.00 BBB 754,140
Refunding Bonds, Matching Fund Loan Note, Series 1998A,
5.500%, 10/01/22
------------------------------------------------------------------------------------------------------------------------------------
15,385 Total Tax Obligation/Limited 13,855,325
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.8% (0.5% OF TOTAL INVESTMENTS)
415 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call AAA 466,348
Parking Facility, Series 2002, 5.375%, 12/01/15 -
AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 21.6% (14.2% OF TOTAL INVESTMENTS) (4)
500 Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 9/13 at 100.00 AAA 550,745
5.250%, 9/15/23 (Pre-refunded 9/15/13) - FSA Insured
3,100 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 3,311,387
Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21
(Pre-refunded 7/01/11) - AMBAC Insured
40 New Haven, Connecticut, General Obligation Bonds, Series 2002A, 11/11 at 101.00 AAA 43,150
5.250%, 11/01/17 - AMBAC Insured (ETM)
3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,233,182
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 3,173,069
Bonds, Series 2000A, 5.500%, 10/01/40 (ETM)
1,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,120,666
Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 -
AMBAC Insured (ETM)
Puerto Rico Public Finance Corporation, Commonwealth
Appropriation Bonds, Series 2002E:
570 5.500%, 8/01/29 (Pre-refunded 2/01/12) 2/12 at 100.00 Aaa 617,407
195 5.500%, 8/01/29 (Pre-refunded 2/01/12) 2/12 at 100.00 BBB- (4) 211,692
1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,195,458
Series 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) -
MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
12,565 Total U.S. Guaranteed 13,456,756
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 4.7% (3.1% OF TOTAL INVESTMENTS)
860 Connceticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 871,515
Facilities Revenue Bonds, PSEG Power LLC Project,
Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)
720 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 740,146
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) 1/08 at 100.00 BBB 998,310
305 5.500%, 1/01/20 (Alternative Minimum Tax) 1/08 at 100.00 BBB 303,893
------------------------------------------------------------------------------------------------------------------------------------
2,885 Total Utilities 2,913,864
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 15.3% (10.1% OF TOTAL INVESTMENTS)
400 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 AAA 399,360
Bonds, Aquarion Water Company Project, Series 200.7,
5.100%, 9/01/37 - XLCA Insured (Alternative Minimum Tax)
1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,277,394
Series 2003A, 5.000%, 10/01/16
40
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:
$ 1,230 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA $ 1,283,690
640 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 665,318
230 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 241,916
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 2,167,342
1,140 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,180,573
1,840 South Central Connecticut Regional Water Authority, Water 8/16 at 100.00 AAA 1,937,042
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+ 360,490
Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
------------------------------------------------------------------------------------------------------------------------------------
9,065 Total Water and Sewer 9,513,125
------------------------------------------------------------------------------------------------------------------------------------
$ 93,145 Total Investments (cost $93,286,146) - 151.9% 94,642,707
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - (0.5)% (335,427)
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (51.4)% (32,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 62,307,280
====================================================================================================================
FORWARD SWAPS OUTSTANDING AT NOVEMBER 30, 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 $ 200,000 Pay 3-Month USD-LIBOR 5.559% Semi-Annually 4/23/08 4/23/23 $ 16,148
Royal Bank
of Canada 1,400,000 Pay SIFM 4.335 Quarterly 8/06/08 8/06/37 120,105
------------------------------------------------------------------------------------------------------------------------------------
$136,253
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
SIFM - The daily arithmetic average of the weekly SIFM (Securities Industry and
Financial Markets) Municipal Swap Index.
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 of Investments with
a 0.000% coupon rate in their description. The market prices
of zero coupon securities generally are more volatile than
the market prices of securities that pay interest
periodically.
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Optional Call Provisions: Dates (month and year) and prices
of the earliest optional call or redemption. There may be
other call provisions at varying prices at later dates.
Certain mortgage-backed securities may be subject to
periodic principal paydowns.
(3) Ratings: Using the higher of Standard & Poor's Group
("Standard & Poor's") or Moody's Investor Service, Inc.
("Moody's") rating. Ratings below BBB by Standard & Poor's
or Baa by Moody's are considered to be below investment
grade.
The AAA ratings shown in the Portfolio of Investments
reflects the AAA ratings on certain bonds insured by AMBAC,
FGIC or MBIA as of November 30, 2007. As explained earlier
in the Portfolio Managers' Comments section of this report,
one rating agency has reduced the rating for AMBAC to AA,
and one or more rating agencies have placed each of these
insurers on "negative credit watch", which may presage one
or more rating reductions for such insurer or insurers in
the future. If one or more insurers' ratings are reduced
below AAA by these rating agencies, it would likely reduce
the effective rating of many of the bonds insured by that
insurer or insurers.
(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.
41
NMT
Nuveen Massachusetts Premium Income Municipal Fund
Portfolio of INVESTMENTS
November 30, 2007 (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 2.1% (1.5% OF TOTAL INVESTMENTS)
$ 1,465 Boston Industrial Development Financing Authority, Massachusetts, 9/12 at 102.00 Ba3 $ 1,471,153
Senior Revenue Bonds, Crosstown Center Project, Series 2002,
6.500%, 9/01/35 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 0.9% (0.4% OF TOTAL INVESTMENTS)
550 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 525,344
Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 22.4% (15.4% OF TOTAL INVESTMENTS)
750 Massachusetts Development Finance Agency, Revenue Bonds, 9/15 at 100.00 AAA 776,003
Western New England College, Series 2005A, 5.000%, 9/01/33 -
AGC Insured
1,045 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 AAA 1,090,426
Worcester Polytecnic Institute, Series 2007, 5.000%, 9/01/37 -
MBIA Insured
890 Massachusetts Development Finance Authority, Revenue Bonds, 3/09 at 101.00 A 910,328
Curry College, Series 2000A, 6.000%, 3/01/20 - ACA Insured
1,745 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 1,810,141
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- 804,405
Milton Academy, Series 2003A, 5.000%, 9/01/19
1,090 Massachusetts Development Finance Authority, Revenue No Opt. Call A3 1,260,313
Refunding Bonds, Boston University, Series 1999P,
6.000%, 5/15/29
40 Massachusetts Education Loan Authority, Student Loan Revenue 1/08 at 100.00 Aaa 40,062
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 1,586,410
Revenue Bonds, Series 2002E, 5.000%, 1/01/13 -
AMBAC Insured (Alternative Minimum Tax)
2,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,144,320
Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18
500 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 519,565
Revenue Bonds, Wellesley College, Series 2003H,
5.000%, 7/01/26
555 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 585,786
Revenue Bonds, Williams College, Series 2003H,
5.000%, 7/01/21
1,380 Massachusetts Health and Educational Facilities Authority, 7/16 at 100.00 AA+ 1,453,250
Revenue Bonds, Williams College, Series 2007L,
5.000%, 7/01/31
500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 AAA 513,390
Revenue Bonds, Worcester State College, Series 2002,
5.000%, 11/01/32 - AMBAC Insured
1,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 1/08 at 100.00 Aa1 1,646,497
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- 380,198
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 15,521,094
------------------------------------------------------------------------------------------------------------------------------------
42
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 19.4% (13.3% OF TOTAL INVESTMENTS)
$ 1,250 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ $ 1,306,825
Revenue Bonds, Berkshire Health System, Series 2001E,
6.250%, 10/01/31
1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 AA 993,230
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 1,053,340
Revenue Bonds, Caritas Christi Obligated Group, Series 2002B,
6.250%, 7/01/22
935 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AA 878,937
Revenue Bonds, Emerson Hospital, Series 2005E,
5.000%, 8/15/35 - RAAI Insured
1,000 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AAA 1,044,450
Revenue Bonds, Lahey Clinic Medical Center, Series 2005C,
5.000%, 8/15/21 - FGIC Insured
2,000 Massachusetts Health and Educational Facilities Authority, 8/17 at 100.00 A 2,047,200
Revenue Bonds, Lahey Medical Center, Series 2007D,
5.250%, 8/15/28
585 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 540,207
Revenue Bonds, Milford Regional Medical Center, Series 2007E,
5.000%, 7/15/32
1,000 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 955,400
Revenue Bonds, Milton Hospital Project, Series 2005D,
5.250%, 7/01/30
750 Massachusetts Health and Educational Facilities Authority, 1/08 at 100.00 AAA 750,840
Revenue Bonds, New England Medical Center Hospitals,
Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured
75 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA 79,643
Revenue Bonds, Partners HealthCare System Inc.,
Series 2001C, 5.750%, 7/01/32
375 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 391,883
Revenue Bonds, UMass Memorial Health Care, Series 2001C,
6.625%, 7/01/32
1,445 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 1,366,233
Revenue Bonds, UMass Memorial Health Care, Series 2005D,
5.000%, 7/01/33
2,000 Massachusetts State, Health and Educational Facilities Authority, 7/17 at 100.00 AA 2,015,820
Partners HealthCare System Inc., Series 2007G, 5.000%, 7/01/32
------------------------------------------------------------------------------------------------------------------------------------
13,415 Total Health Care 13,424,008
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 8.0% (5.5% OF TOTAL INVESTMENTS)
1,335 Massachusetts Development Finance Authority, Multifamily 7/17 at 100.00 AAA 1,321,957
Housing Revenue Bonds, Emerson Manor Project, Series 2007,
4.800%, 7/20/48
1,860 Massachusetts Development Financing Authority, Assisted 12/09 at 102.00 N/R 1,901,162
Living 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- 332,203
Series 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax)
500 Massachusetts Housing Finance Agency, Housing Revenue Bonds, 6/13 at 100.00 AA- 503,220
Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax)
380 Massachusetts Housing Finance Agency, Rental Housing 7/10 at 101.00 AAA 395,006
Mortgage Revenue Bonds, Series 1999D, 5.500%, 7/01/13 -
AMBAC Insured (Alternative Minimum Tax)
1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,043,540
Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers,
Series 2002, 5.200%, 11/20/22
------------------------------------------------------------------------------------------------------------------------------------
5,410 Total Housing/Multifamily 5,497,088
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 3.4% (2.3% OF TOTAL INVESTMENTS)
990 Massachusetts Housing Finance Agency, Single Family Housing 6/15 at 100.00 AA 943,549
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 1,403,955
Revenue Bonds, Series 2006-126, 4.625%, 6/01/32
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,490 Total Housing/Single Family 2,347,504
------------------------------------------------------------------------------------------------------------------------------------
43
NMT
Nuveen Massachusetts Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 1.1% (0.7% OF TOTAL INVESTMENTS)
$ 380 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R $ 374,729
Resource Recovery Revenue Bonds, Eco/Springfield LLC,
Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)
400 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 415,168
Disposal Revenue Bonds, Waste Management Inc.,
Series 2003, 5.450%, 6/01/14
------------------------------------------------------------------------------------------------------------------------------------
780 Total Industrials 789,897
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 6.5% (4.5% OF TOTAL INVESTMENTS)
1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, 10/08 at 105.00 AAA 1,346,746
Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31
985 Massachusetts Development Finance Agency, Revenue Bonds, 10/12 at 102.00 BBB- 917,990
Orchard Cove, Series 2007, 5.250%, 10/01/26
1,500 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,613,835
Collateralized Assisted Living Facility Revenue Bonds, Arbors
at Chicopee, Series 2001A, 6.250%, 9/20/42
(Alternative Minimum Tax)
250 Massachusetts Industrial Finance Agency, FHA-Insured Project 2/08 at 100.00 AAA 250,635
Revenue Bonds, Heights Crossing LP, Series 1995,
6.000%, 2/01/15 (Alternative Minimum Tax)
400 Massachusetts Industrial Finance Agency, First Mortgage 1/11 at 101.00 BBB- 392,888
Revenue Bonds, Berkshire Retirement Community,
Series 1994B, 4.750%, 7/01/17
------------------------------------------------------------------------------------------------------------------------------------
4,405 Total Long-Term Care 4,522,094
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 17.8% (12.3% OF TOTAL INVESTMENTS)
500 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 Aaa 542,805
5.250%, 5/15/23 - AMBAC Insured
1,250 Boston, Massachusetts, General Obligation Bonds, Series 2005A, 1/15 at 100.00 AA+ 1,360,188
5.000%, 1/01/17
1,000 Fall River, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 AAA 1,062,810
5.000%, 2/01/21 - FSA Insured
2,500 Massachusetts Bay Transportation Authority, General Obligation No Opt. Call AAA 3,073,900
Transportation System Bonds, Series 1991A, 7.000%, 3/01/21
1,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 1,452,671
Series 2001D, 6.000%, 11/01/13 - MBIA Insured
980 Monson, Massachusetts, General Obligation Bonds, Series 2002, 5/12 at 101.00 Aaa 1,043,298
5.250%, 5/15/22 - AMBAC Insured
1,260 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AAA 1,391,128
5.000%, 11/15/20 - FGIC Insured
1,000 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 1,120,100
Series 2001A, 5.500%, 7/01/29 - FGIC Insured
1,220 Worcester, Massachusetts, General Obligation Bonds, 7/15 at 100.00 AAA 1,303,472
Series 2005A, 5.000%, 7/01/19 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
10,985 Total Tax Obligation/General 12,350,372
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 12.0% (8.2% OF TOTAL INVESTMENTS)
210 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA 220,263
Series 2004, 5.000%, 5/01/26 - AMBAC Insured
385 Massachusetts Bay Transportation Authority, Senior Lien Sales No Opt. Call AAA 435,701
Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21
975 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/18 at 100.00 AAA 1,032,944
Revenue Bonds, Series 2006, 5.000%, 7/01/26
550 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 586,625
Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured
325 Massachusetts College Building Authority, Project Revenue 5/16 at 100.00 AAA 338,933
Bonds, Series 2006A, 5.000%, 5/01/31 - AMBAC Insured
1,000 Massachusetts College Building Authority, Project Revenue No Opt. Call AAA 1,129,300
Refunding Bonds, Series 2003B, 5.375%, 5/01/23 -
XLCA Insured
1,300 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA 1,382,238
Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured
44
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED (continued)
$ 540 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AAA $ 588,897
Series 2005, 5.000%, 1/01/20 - FGIC Insured
1,000 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aaa 1,084,770
Highway Grant Anticipation Note Program, Series 2003A,
5.000%, 12/15/13 - FSA Insured
240 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call AAA 39,365
Revenue Bonds, Series 2005A, 0.000%, 7/01/43 -
AMBAC Insured
1,300 Puerto Rico, Highway Revenue Bonds, Highway and No Opt. Call AAA 1,464,554
Transportation Authority, Series 2003AA, 5.500%, 7/01/19 -
MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
7,825 Total Tax Obligation/Limited 8,303,590
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 13.2% (9.1% OF TOTAL INVESTMENTS)
2,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 2,057,480
5.000%, 7/01/33 - MBIA Insured
1,700 Massachusetts Port Authority, Revenue Bonds, Series 2005A, 7/15 at 100.00 AAA 1,788,077
5.000%, 7/01/23 - AMBAC Insured
1,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 7/17 at 100.00 AAA 1,008,300
BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 -
FGIC Insured (Alternative Minimum Tax)
225 Massachusetts Port Authority, Special Facilities Revenue Bonds, 1/11 at 101.00 AAA 226,112
Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 -
AMBAC Insured (Alternative Minimum Tax)
4,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 3/08 at 101.00 AAA 4,046,116
US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 -
MBIA Insured (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
8,925 Total Transportation 9,126,085
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 24.1% (16.6% OF TOTAL INVESTMENTS) (4)
25 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/18 at 100.00 Aa2 (4) 27,813
Revenue Bonds, Series 2006, 5.000%, 7/01/26
(Pre-refunded 7/01/18)
2,500 Massachusetts Development Finance Authority, GNMA 10/11 at 105.00 AAA 2,937,825
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) 541,195
Belmont Hills School, Series 2001, 5.375%, 9/01/23
(Pre-refunded 9/01/11)
1,000 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A- (4) 1,128,260
Massachusetts College of Pharmacy and Allied Health
Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13)
410 Massachusetts Health and Educational Facilities Authority, 7/21 at 100.00 AAA 453,321
Revenue Bonds, CareGroup Inc., Series 1998A,
5.000%, 7/01/25 (Pre-refunded 7/01/21) - MBIA Insured
600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 651,342
Revenue Bonds, New England Medical Center Hospitals,
Series 2002H, 5.375%, 5/15/19 (Pre-refunded 5/15/12) -
FGIC Insured
1,925 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA (4) 2,102,042
Revenue Bonds, Partners HealthCare System Inc.,
Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11)
1,000 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 AAA 1,070,610
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) 2,354,257
Belmont Hill School, Series 1998, 5.250%, 9/01/28
(Pre-refunded 9/01/08)
705 Massachusetts Port Authority, Revenue Bonds, Series 1982, 1/08 at 100.00 AAA 910,578
13.000%, 7/01/13 (ETM)
1,500 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 AAA 1,644,885
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 1,758,654
Series 2003, 5.250%, 1/15/23 (Pre-refunded 1/15/13) -
MBIA Insured
1,000 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 1,111,560
Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24
(Pre-refunded 11/01/14) - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
15,080 Total U.S. Guaranteed 16,692,342
------------------------------------------------------------------------------------------------------------------------------------
45
NMT
Nuveen Massachusetts Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 3.0% (2.1% OF TOTAL INVESTMENTS)
$ 1,000 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AAA $ 1,084,920
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 1,015,510
Revenue Refunding Bonds, Ogden Haverhill Project,
Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,000 Total Utilities 2,100,430
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 11.0% (7.6% OF TOTAL INVESTMENTS)
2,000 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 2,100,660
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 296,226
Program Bonds, Series 10, 5.000%, 8/01/26
750 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 748,410
Program Bonds, Series 11, 4.500%, 8/01/29
1,000 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 971,350
Program Bonds, Series 12, 4.375%, 8/01/31
60 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 AAA 62,983
Program Bonds, Series 9, 5.000%, 8/01/22
1,250 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 1,332,050
MWRA Loan Program, Series 2002A, 5.250%, 8/01/20
1,500 Massachusetts Water Resources Authority, General Revenue 8/17 at 100.00 AAA 1,581,660
Bonds, Series 2005A, 5.000%, 8/01/28 - MBIA Insured
625 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 545,825
Bonds, Series 2006A, 4.000%, 8/01/46
------------------------------------------------------------------------------------------------------------------------------------
7,470 Total Water and Sewer 7,639,164
------------------------------------------------------------------------------------------------------------------------------------
$ 95,615 Total Long-Term Investments (cost $97,518,897) - 144.9% 100,310,165
=============-----------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.7% (0.5% OF TOTAL INVESTMENTS)
$ 500 Massachusetts Health and Educational Facilities Authority, AA 500,000
Revenue Bonds, Hebrew College, Variable Rate Demand
Obligations, Series 1999A, 5.700%, 7/01/31 (5)
=============-----------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (cost $500,000) 500,000
--------------------------------------------------------------------------------------------------------------------
Total Investments (cost $98,018,897) - 145.6% 100,810,165
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 3.5% 2,444,841
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (49.1)% (34,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 69,255,006
====================================================================================================================
46
FORWARD SWAPS OUTSTANDING AT NOVEMBER 30, 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 $ 86,391
Royal Bank
of Canada 1,450,000 Pay SIFM 4.335 Quarterly 8/06/08 8/06/37 124,394
------------------------------------------------------------------------------------------------------------------------------------
$210,785
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
SIFM - The daily arithmetic average of the weekly SIFM (Securities Industry and
Financial Markets) Municipal Swap Index.
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 of Investments with
a 0.000% coupon rate in their description. The market prices
of zero coupon securities generally are more volatile than
the market prices of securities that pay interest
periodically.
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Optional Call Provisions: Dates (month and year) and prices
of the earliest optional call or redemption. There may be
other call provisions at varying prices at later dates.
Certain mortgage-backed securities may be subject to
periodic principal paydowns.
(3) Ratings: Using the higher of Standard & Poor's Group
("Standard & Poor's") or Moody's Investor Service, Inc.
("Moody's") rating. Ratings below BBB by Standard & Poor's
or Baa by Moody's are considered to be below investment
grade.
The AAA ratings shown in the Portfolio of Investments
reflects the AAA ratings on certain bonds insured by AMBAC,
FGIC or MBIA as of November 30, 2007. As explained earlier
in the Portfolio Managers' Comments section of this report,
one rating agency has reduced the rating for AMBAC to AA,
and one or more rating agencies have placed each of these
insurers on "negative credit watch", which may presage one
or more rating reductions for such insurer or insurers in
the future. If one or more insurers' ratings are reduced
below AAA by these rating agencies, it would likely reduce
the effective rating of many of the bonds insured by that
insurer or insurers.
(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.
(ETM) Escrowed to maturity.
See accompanying notes to financial statements.
47
NMB
Nuveen Massachusetts Dividend Advantage Municipal Fund
Portfolio of INVESTMENTS
November 30, 2007 (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.7% (1.1% OF TOTAL INVESTMENTS)
$ 490 Boston Industrial Development Financing Authority, Massachusetts, 9/12 at 102.00 Ba3 $ 492,058
Senior Revenue Bonds, Crosstown Center Project, Series 2002,
6.500%, 9/01/35 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 27.6% (18.6% OF TOTAL INVESTMENTS)
450 Massachusetts Development Finance Agency, Revenue Bonds, 9/15 at 100.00 AAA 465,602
Western New England College, Series 2005A, 5.000%, 9/01/33 -
AGC Insured
450 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 AAA 469,562
Worcester Polytecnic Institute, Series 2007, 5.000%, 9/01/37 -
MBIA Insured
495 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 513,478
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- 536,270
Milton Academy, Series 2003A, 5.000%, 9/01/19
1,000 Massachusetts Development Finance Authority, Revenue 5/29 at 105.00 A3 1,091,410
Refunding Bonds, Boston University, Series 1999P,
6.000%, 5/15/59
1,085 Massachusetts Educational Finance Authority, Educational Loan 7/10 at 100.00 AAA 1,118,375
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- 1,072,160
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- 2,093,039
Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36
590 Massachusetts Health and Educational Facilities Authority, 7/16 at 100.00 AA+ 621,317
Revenue Bonds, Williams College, Series 2007L,
5.000%, 7/01/31
------------------------------------------------------------------------------------------------------------------------------------
7,570 Total Education and Civic Organizations 7,981,213
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 21.2% (14.3% OF TOTAL INVESTMENTS)
500 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 522,730
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 253,585
Revenue Bonds, Caritas Christi Obligated Group,
Series 1999A, 5.625%, 7/01/20
295 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A 309,069
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 296,113
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 626,670
Revenue Bonds, Lahey Clinic Medical Center, Series 2005C,
5.000%, 8/15/21 - FGIC Insured
1,000 Massachusetts Health and Educational Facilities Authority, 8/17 at 100.00 A 1,023,600
Revenue Bonds, Lahey Medical Center, Series 2007D,
5.250%, 8/15/28
290 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 267,795
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- 477,700
Revenue Bonds, Milton Hospital Project, Series 2005D,
5.250%, 7/01/30
48
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (continued)
$ 500 Massachusetts Health and Educational Facilities Authority, 7/14 at 100.00 BB- $ 516,350
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 1,023,610
Revenue Bonds, Partners HealthCare System Inc.,
Series 1999B, 5.125%, 7/01/19
35 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA 37,167
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 522,510
Revenue Bonds, UMass Memorial Health Care, Series 2001C,
6.625%, 7/01/32
285 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 269,465
Revenue Bonds, UMass Memorial Health Care, Series 2005D,
5.000%, 7/01/33
------------------------------------------------------------------------------------------------------------------------------------
6,070 Total Health Care 6,146,364
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 12.0% (8.1% OF TOTAL INVESTMENTS)
570 Massachusetts Development Finance Authority, Multifamily 7/17 at 100.00 AAA 564,431
Housing Revenue Bonds, Emerson Manor Project,
Series 2007, 4.800%, 7/20/48
135 Massachusetts Housing Finance Agency, Housing Bonds, 6/15 at 100.00 AA- 133,873
Series 2006A, 5.100%, 12/01/37 (Alternative Minimum Tax)
500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 503,220
Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative
Minimum Tax)
1,215 Massachusetts Housing Finance Agency, Rental Housing 1/11 at 100.00 AAA 1,241,522
Mortgage Revenue Bonds, Series 2001A, 5.850%, 7/01/35 -
AMBAC Insured (Alternative Minimum Tax)
1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,043,540
Collateralized Mortgage Revenue Bonds, Clarendon Hill
Towers, Series 2002, 5.200%, 11/20/22
------------------------------------------------------------------------------------------------------------------------------------
3,420 Total Housing/Multifamily 3,486,586
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 3.4% (2.3% OF TOTAL INVESTMENTS)
395 Massachusetts Housing Finance Agency, Single Family Housing 6/15 at 100.00 AA 376,467
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 608,381
Revenue Bonds, Series 2006-126, 4.625%, 6/01/32
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,045 Total Housing/Single Family 984,848
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 1.3% (0.9% OF TOTAL INVESTMENTS)
180 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 177,503
Resource Recovery Revenue Bonds, Eco/Springfield LLC,
Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)
200 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 207,584
Disposal Revenue Bonds, Waste Management Inc.,
Series 2003, 5.450%, 6/01/14
------------------------------------------------------------------------------------------------------------------------------------
380 Total Industrials 385,087
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 7.5% (5.1% OF TOTAL INVESTMENTS)
425 Massachusetts Development Finance Agency, Revenue Bonds, 10/12 at 102.00 BBB- 396,087
Orchard Cove, Series 2007, 5.250%, 10/01/26
655 Massachusetts Development Finance Authority, First Mortgage 7/11 at 102.00 BBB- 699,684
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 1,075,890
Collateralized Assisted Living Facility Revenue Bonds,
Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,080 Total Long-Term Care 2,171,661
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 16.8% (11.4% OF TOTAL INVESTMENTS)
310 Ashland, Massachusetts, General Obligation Bonds, 5/15 at 100.00 Aaa 336,539
Series 2004, 5.250%, 5/15/23 - AMBAC Insured
2,000 Brookline, Massachusetts, General Obligation Bonds, 4/10 at 101.00 Aaa 2,108,679
Series 2000, 5.375%, 4/01/17
49
NMB
Nuveen Massachusetts Dividend Advantage Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL (continued)
$ 440 Fall River, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 AAA $ 467,636
5.000%, 2/01/21 - FSA Insured
750 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AA 854,415
Series 2002D, 5.500%, 8/01/19
500 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AAA 552,035
5.000%, 11/15/20 - FGIC Insured
500 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 560,050
Series 2001A, 5.500%, 7/01/29 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
4,500 Total Tax Obligation/General 4,879,354
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 11.3% (7.6% OF TOTAL INVESTMENTS)
395 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA 414,304
Series 2004, 5.000%, 5/01/26 - AMBAC Insured
85 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/10 at 100.00 AAA 87,773
Series 2000A, 5.250%, 7/01/30
385 Massachusetts Bay Transportation Authority, Senior Lien Sales No Opt. Call AAA 435,701
Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21
230 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 245,316
Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured
250 Massachusetts College Building Authority, Project Revenue 5/16 at 100.00 AAA 260,718
Bonds, Series 2006A, 5.000%, 5/01/31 - AMBAC Insured
500 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA 531,630
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 508,335
Revenue Bonds, Series 2007A, 4.750%, 8/15/32 -
AMBAC Insured
230 Massachusetts, Special Obligation Dedicated Tax Revenue No Opt. Call AAA 250,827
Bonds, Series 2005, 5.000%, 1/01/20 - FGIC Insured
500 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 539,120
Loan Note, Series 1999A, 6.375%, 10/01/19
------------------------------------------------------------------------------------------------------------------------------------
3,075 Total Tax Obligation/Limited 3,273,724
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 4.3% (2.9% OF TOTAL INVESTMENTS)
800 Massachusetts Port Authority, Revenue Bonds, Series 2005A, 7/15 at 100.00 AAA 841,448
5.000%, 7/01/23 - AMBAC Insured
400 Massachusetts Port Authority, Special Facilities Revenue Bonds, 7/17 at 100.00 AAA 403,320
BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 -
FGIC Insured (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,200 Total Transportation 1,244,768
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 17.9% (12.1% OF TOTAL INVESTMENTS) (4)
1,000 Boston, Massachusetts, General Obligation Bonds, 2/11 at 100.00 AA+ (4) 1,052,100
Series 2001A, 5.000%, 2/01/20 (Pre-refunded 2/01/11)
1,675 Lawrence, Massachusetts, General Obligation Bonds, 2/11 at 100.00 Aaa 1,762,267
Series 2001, 5.000%, 2/01/21 (Pre-refunded 2/01/11) -
AMBAC Insured
125 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/10 at 100.00 Aa1 (4) 131,165
Series 2000A, 5.250%, 7/01/30 (Pre-refunded 7/01/10)
80 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 N/R (4) 88,810
Revenue Bonds, Covenant Health Systems Obligated Group,
Series 2002, 6.000%, 7/01/31 (Pre-refunded 1/01/12)
965 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA (4) 1,053,751
Revenue Bonds, Partners HealthCare System Inc.,
Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11)
750 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 822,443
Bonds, Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) -
FGIC Insured
250 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 277,890
Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24
(Pre-refunded 11/01/14) - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
4,845 Total U.S. Guaranteed 5,188,426
------------------------------------------------------------------------------------------------------------------------------------
50
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 5.8% (3.9% OF TOTAL INVESTMENTS)
$ 1,070 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AAA $ 1,160,436
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 507,755
Revenue Refunding Bonds, Ogden Haverhill Project,
Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,570 Total Utilities 1,668,191
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 14.0% (9.4% OF TOTAL INVESTMENTS)
530 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 556,675
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 131,476
System Revenue Bonds, Series 2005, 6.000%, 7/01/25
500 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 498,940
Program Bonds, Series 11, 4.500%, 8/01/29
400 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 388,540
Program Bonds, Series 12, 4.375%, 8/01/31
500 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 532,820
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 1,460,862
MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29
250 Massachusetts Water Resources Authority, General Revenue 8/17 at 100.00 AAA 263,610
Bonds, Series 2005A, 5.000%, 8/01/28 - MBIA Insured
250 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 218,330
Bonds, Series 2006A, 4.000%, 8/01/46
------------------------------------------------------------------------------------------------------------------------------------
3,960 Total Water and Sewer 4,051,253
------------------------------------------------------------------------------------------------------------------------------------
$ 40,205 Total Long-Term Investments (cost $40,891,327) - 144.8% 41,953,533
------------------------------------------------------------------------------------------------------------------------------------
SHORT TERM-INVESTMENTS -- 3.5% (2.3% OF TOTAL INVESTMENTS)
$ 1,000 Massachusetts Health and Educational Facilities Authority, AA 1,000,000
Revenue Bonds, Hebrew College, Variable Rate Demand
Obligations, Series 1999A, 5.700%, 7/01/31 (5)
=============-----------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (cost $1,000,000) 1,000,000
--------------------------------------------------------------------------------------------------------------------
Total Investments (cost $41,891,327) - 148.3% 42,953,533
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 3.5% 1,014,325
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (51.8)% (15,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 28,967,858
====================================================================================================================
51
NMB
Nuveen Massachusetts Dividend Advantage Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
FORWARD SWAPS OUTSTANDING AT NOVEMBER 30, 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 $500,000 Pay 3-Month USD-LIBOR 5.388% Semi-Annually 4/25/08 4/25/35 $ 34,557
Royal Bank
of Canada 900,000 Pay SIFM 4.335 Quarterly 8/06/08 8/06/37 77,210
------------------------------------------------------------------------------------------------------------------------------------
$111,767
====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
SIFM - The daily arithmetic average of the weekly SIFM (Securities Industry and
Financial Markets) Municipal Swap Index.
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Optional Call Provisions: Dates (month and year) and prices
of the earliest optional call or redemption. There may be
other call provisions at varying prices at later dates.
Certain mortgage-backed securities may be subject to
periodic principal paydowns.
(3) Ratings: Using the higher of Standard & Poor's Group
("Standard & Poor's") or Moody's Investor Service, Inc.
("Moody's") rating. Ratings below BBB by Standard & Poor's
or Baa by Moody's are considered to be below investment
grade.
The AAA ratings shown in the Portfolio of Investments
reflects the AAA ratings on certain bonds insured by AMBAC,
FGIC or MBIA as of November 30, 2007. As explained earlier
in the Portfolio Managers' Comments section of this report,
one rating agency has reduced the rating for AMBAC to AA,
and one or more rating agencies have placed each of these
insurers on "negative credit watch", which may presage one
or more rating reductions for such insurer or insurers in
the future. If one or more insurers' ratings are reduced
below AAA by these rating agencies, it would likely reduce
the effective rating of many of the bonds insured by that
insurer or insurers.
(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.
See accompanying notes to financial statements.
52
NGX
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund
Portfolio of INVESTMENTS
November 30, 2007 (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 16.1% (10.8% OF TOTAL INVESTMENTS)
$ 1,135 Massachusetts Development Finance Agency, Revenue Bonds, 10/15 at 100.00 AAA $ 1,173,193
Boston University, Series 2005T-1, 5.000%, 10/01/39 -
AMBAC Insured
600 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 AAA 626,082
Worcester Polytecnic Institute, Series 2007, 5.000%, 9/01/37 -
MBIA Insured
1,250 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 A1 1,265,163
Middlesex School, Series 2003, 5.000%, 9/01/33
1,750 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,808,555
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 1,540,170
Revenue Bonds, Worcester State College, Series 2002,
5.000%, 11/01/32 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
6,235 Total Education and Civic Organizations 6,413,163
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 10.2% (6.8% OF TOTAL INVESTMENTS)
500 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 512,520
Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 -
MBIA Insured
585 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 540,207
Revenue Bonds, Milford Regional Medical Center, Series 2007E,
5.000%, 7/15/32
200 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 191,080
Revenue Bonds, Milton Hospital Project, Series 2005D,
5.250%, 7/01/30
2,500 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 2,584,600
Revenue Bonds, New England Medical Center Hospitals,
Series 2002H, 5.000%, 5/15/25 - FGIC Insured
250 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 236,373
Revenue Bonds, UMass Memorial Health Care, Series 2005D,
5.000%, 7/01/33
------------------------------------------------------------------------------------------------------------------------------------
4,035 Total Health Care 4,064,780
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 10.3% (6.9% OF TOTAL INVESTMENTS)
775 Massachusetts Development Finance Authority, Multifamily 7/17 at 100.00 AAA 767,428
Housing Revenue Bonds, Emerson Manor Project, Series 2007,
4.800%, 7/20/48
2,000 Massachusetts Housing Finance Agency, Housing Bonds, 12/12 at 100.00 AA- 2,024,620
Series 2003H, 5.125%, 6/01/43
1,265 Massachusetts Housing Finance Agency, Rental Housing 7/12 at 100.00 AAA 1,283,735
Mortgage Revenue Bonds, Series 2002H, 5.200%, 7/01/42 -
FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
4,040 Total Housing/Multifamily 4,075,783
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 4.8% (3.2% OF TOTAL INVESTMENTS)
1,750 Massachusetts Development Finance Authority, GNMA 12/12 at 105.00 AAA 1,904,245
Collateralized Revenue Bonds, Neville Communities,
Series 2002A, 6.000%, 6/20/44
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 24.3% (16.2% OF TOTAL INVESTMENTS)
1,280 Littleton, Massachusetts, General Obligation Bonds, Series 2003, 1/13 at 101.00 AAA 1,359,885
5.000%, 1/15/21 - FGIC Insured
3,000 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,383,307
Series 2004B, 5.250%, 8/01/21 - FSA Insured
53
NGX
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL (continued)
$ 1,025 Maynard, Massachusetts, General Obligation Bonds, Series 2003, 2/13 at 101.00 Aaa $ 1,117,742
5.500%, 2/01/19 - MBIA Insured
1,705 North Attleborough, Massachusetts, General Obligation Bonds, 7/14 at 101.00 Aaa 1,872,261
Series 2004, 5.000%, 7/15/15 - FGIC Insured
1,500 Pittsfield, Massachusetts, General Obligation Bonds, Series 2002, 4/12 at 101.00 AAA 1,584,270
5.000%, 4/15/18 - MBIA Insured
300 Woburn, Massachusetts, General Obligation Bonds, Series 2005, 11/15 at 100.00 Aaa 322,812
5.000%, 11/15/19 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
8,810 Total Tax Obligation/General 9,640,277
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 26.6% (17.8% OF TOTAL INVESTMENTS)
3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/13 at 100.00 AAA 3,079,740
Series 2002, 5.000%, 5/01/32 - AMBAC Insured
2,790 Massachusetts College Building Authority, Project Revenue 5/13 at 100.00 AAA 2,935,415
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 1,535,755
1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AAA 1,561,845
1,100 Massachusetts School Building Authority, Dedicated Sales Tax 8/17 at 100.00 AAA 1,118,337
Revenue Bonds, Series 2007A, 4.750%, 8/15/32 -
AMBAC Insured
300 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call AAA 327,165
Series 2005, 5.000%, 1/01/20 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
10,165 Total Tax Obligation/Limited 10,558,257
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 2.5% (1.7% OF TOTAL INVESTMENTS)
1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 1,028,740
5.000%, 7/01/33 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 41.3% (27.6% OF TOTAL INVESTMENTS) (4)
2,000 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/12 at 100.00 AAA 2,145,760
Revenue Refunding Bonds, Series 2002A, 5.000%, 7/01/27
(Pre-refunded 7/01/12) - FGIC Insured
500 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A- (4) 579,915
Massachusetts College of Pharmacy and Allied Health Sciences,
Series 2003C, 6.375%, 7/01/23 (Pre-refunded 7/01/13)
705 Massachusetts Port Authority, Revenue Bonds, Series 1982, 1/08 at 100.00 AAA 910,578
13.000%, 7/01/13 (ETM)
2,000 Massachusetts, General Obligation Bonds, Consolidated Loan, 11/11 at 100.00 AAA 2,123,620
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 2,321,040
Series 2003A, 5.250%, 1/01/18 (Pre-refunded 1/01/13) -
AMBAC Insured
1,000 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 1,096,590
Bonds, 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 1,590,090
Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) -
FSA Insured
3,000 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 3,266,850
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 2,395,088
Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21
(Pre-refunded 11/01/14) - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
14,990 Total U.S. Guaranteed 16,429,531
------------------------------------------------------------------------------------------------------------------------------------
54
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 13.5% (9.0% OF TOTAL INVESTMENTS)
$ 1,900 Lynn Water and Sewer Commission, Massachusetts, General 12/13 at 100.00 AAA $ 1,957,038
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 582,810
Program Bonds, Series 12, 4.375%, 8/01/31
1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA 1,122,050
Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured
1,000 Massachusetts Water Resources Authority, General Revenue 8/13 at 100.00 AAA 1,044,810
Bonds, Series 2004D, 5.000%, 8/01/24 - MBIA Insured
125 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 109,165
Bonds, Series 2006A, 4.000%, 8/01/46
495 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 AAA 533,041
General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 -
MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
5,120 Total Water and Sewer 5,348,914
------------------------------------------------------------------------------------------------------------------------------------
$ 56,145 Total Investments (cost $57,500,587) - 149.6% 59,463,690
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 2.0% 788,403
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (51.6)% (20,500,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 39,752,093
====================================================================================================================
FORWARD SWAPS OUTSTANDING AT NOVEMBER 30, 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)
------------------------------------------------------------------------------------------------------------------------------------
Royal Bank
of Canada $500,000 Pay SIFM 4.335% Quarterly 8/06/08 8/06/37 $42,894
====================================================================================================================================
SIFM - The daily arithmetic average of the weekly SIFM (Securities Industry and
Financial Markets) Municipal Swap Index.
At least 80% of the Fund's net assets (including net assets
attributable to Preferred shares) are invested in municipal
securities that are either covered by Original Issue
Insurance, Secondary Market Insurance or Portfolio Insurance
which ensures the timely payment of principal and interest.
Up to 20% of the Fund's net assets (including net assets
attributable to Preferred shares) may be invested in
municipal securities that are (i) either backed by an escrow
or trust containing sufficient U.S. Government or U.S.
Government agency securities (also ensuring the timely
payment of principal and interest), or (ii) rated, at the
time of investment, within the four highest grades (Baa or
BBB or better by Moody's, Standard & Poor's or Fitch) or
unrated but judged to be of comparable quality by the
Adviser.
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Optional Call Provisions: Dates (month and year) and prices
of the earliest optional call or redemption. There may be
other call provisions at varying prices at later dates.
Certain mortgage-backed securities may be subject to
periodic principal paydowns.
(3) Ratings: Using the higher of Standard & Poor's Group
("Standard & Poor's") or Moody's Investor Service, Inc.
("Moody's") rating. Ratings below BBB by Standard & Poor's
or Baa by Moody's are considered to be below investment
grade.
The AAA ratings shown in the Portfolio of Investments
reflects the AAA ratings on certain bonds insured by AMBAC,
FGIC or MBIA as of November 30, 2007. As explained earlier
in the Portfolio Managers' Comments section of this report,
one rating agency has reduced the rating for AMBAC to AA,
and one or more rating agencies have placed each of these
insurers on "negative credit watch", which may presage one
or more rating reductions for such insurer or insurers in
the future. If one or more insurers' ratings are reduced
below AAA by these rating agencies, it would likely reduce
the effective rating of many of the bonds insured by that
insurer or insurers.
(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.
(ETM) Escrowed to maturity.
See accompanying notes to financial statements.
55
NOM
Nuveen Missouri Premium Income Municipal Fund
Portfolio of INVESTMENTS
November 30, 2007 (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 3.3% (2.2% OF TOTAL INVESTMENTS)
$ 1,000 Missouri Development Finance Board, Solid Waste Disposal No Opt. Call AA- $ 1,084,400
Revenue Bonds, Procter and Gamble Inc., Series 1999,
5.200%, 3/15/29 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 3.6% (2.3% OF TOTAL INVESTMENTS)
250 Lincoln University, Missouri, Auxillary System Revenue Bonds, 6/17 at 100.00 AAA 262,113
Series 2007, 5.125%, 6/01/37 - AGC Insured
500 Missouri Health and Educational Facilities Authority, Revenue 2/08 at 101.00 A3 505,625
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 386,305
Bonds, Webster University, Series 2001, 5.500%, 4/01/18 -
MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
1,115 Total Education and Civic Organizations 1,154,043
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE - 20.1% (13.0% OF TOTAL INVESTMENTS)
710 Cape Girardeau County Industrial Development Authority, 6/17 at 100.00 N/R 688,913
Missouri, Health Facilities Revenue Bonds, Southeast Missouri
Hospital Association, Series 2007, 5.000%, 6/01/27
480 Cass County, Missouri, Cass Medical Center Revenue Bonds, 11/16 at 100.00 N/R 480,542
Series 2007, 5.625%, 5/01/38
480 Clinton County Industrial Development Authority, Missouri, 12/17 at 100.00 N/R 417,158
Revenue Bonds, Cameron Regional Medical Center,
Series 2007, 5.000%, 12/01/37
750 Joplin Industrial Development Authority, Missouri, Health 2/15 at 102.00 BBB+ 763,763
Facilities Revenue Bonds, Freeman Health System,
Series 2004, 5.500%, 2/15/29
500 Missouri Health & Educational Facilities Authority, Saint Lukes 6/11 at 101.00 AAA 514,620
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 1,531,425
1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,174,958
425 Missouri Health and Educational Facilities Authority, Revenue 2/08 at 100.00 BBB+ 426,335
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+ 510,075
Bonds, Lake Regional Health System, Series 2003,
5.700%, 2/15/34
------------------------------------------------------------------------------------------------------------------------------------
6,500 Total Health Care 6,507,789
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 6.3% (4.1% OF TOTAL INVESTMENTS)
385 Missouri Housing Development Commission, Multifamily Housing 12/11 at 100.00 AA 402,306
Revenue Bonds, Series 2001II, 5.250%, 12/01/16
500 St. Charles County Industrial Development Authority, Missouri, 4/08 at 102.00 AAA 503,270
FHA-Insured Multifamily Housing Revenue Bonds, Ashwood
Apartments, Series 1998A, 5.600%, 4/01/30 - FSA Insured
(Alternative Minimum Tax)
515 St. Louis County Industrial Development Authority, Missouri, 4/08 at 101.00 AAA 526,783
GNMA Collateralized Multifamily Housing Revenue Refunding
Bonds, South Summit Apartments, Series 1997A,
5.950%, 4/20/17
600 St. Louis County Industrial Development Authority, Missouri, 4/08 at 101.00 AAA 613,752
GNMA Collateralized Multifamily Housing Revenue Refunding
Bonds, South Summit Apartments, Series 1997B,
6.000%, 10/20/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,000 Total Housing/Multifamily 2,046,111
------------------------------------------------------------------------------------------------------------------------------------
56
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 8.8% (5.7% OF TOTAL INVESTMENTS)
$ 35 Missouri Housing Development Commission, Single Family 3/08 at 103.00 AAA $ 35,539
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 1995C, 7.250%, 9/01/26 (Alternative Minimum Tax)
100 Missouri Housing Development Commission, Single Family 3/10 at 100.00 AAA 102,197
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax)
745 Missouri Housing Development Commission, Single Family 3/16 at 104.50 AAA 812,788
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 959,520
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 941,350
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 2007C-1, 4.800%, 9/01/38 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
2,880 Total Housing/Single Family 2,851,394
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 8.4% (5.4% OF TOTAL INVESTMENTS)
1,750 Cole County Industrial Development Authority, Missouri, 2/14 at 100.00 N/R 1,763,948
Revenue Bonds, Lutheran Senior Services - Heisinger Project,
Series 2004, 5.500%, 2/01/35
475 Lees Summit Industrial Development Authority, Missouri, 8/17 at 100.00 N/R 456,318
Revenue Bonds, John Knox Village Obligated Group,
Series 2007A, 5.125%, 8/15/32
500 St. Louis County Industrial Development Authority, Missouri, 9/17 at 100.00 N/R 499,645
Revenue Bonds, Friendship Village of West County,
Series 2007A, 5.500%, 9/01/28
------------------------------------------------------------------------------------------------------------------------------------
2,725 Total Long-Term Care 2,719,911
------------------------------------------------------------------------------------------------------------------------------------
MATERIALS - 2.3% (1.4% OF TOTAL INVESTMENTS)
750 Sugar Creek, Missouri, Industrial Development Revenue Bonds, 6/13 at 101.00 BBB 737,625
Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 29.5% (19.0% OF TOTAL INVESTMENTS)
1,500 Camdenton Reorganized School District R3, Camden County, No Opt. Call AAA 1,610,790
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 535,185
General Obligation Refunding and Improvement Bonds,
Series 2002, 5.250%, 3/01/18 - FSA Insured
500 Missouri School Boards Association, Lease Participation 3/17 at 100.00 AAA 538,485
Certificates, Clay County School District 53 Liberty,
Series 2007, 5.250%, 3/01/27 - FSA Insured
1,630 North Kansas City School District, Missouri, General 3/13 at 100.00 AA+ 1,704,165
Obligation Bonds, Series 2003A, 5.000%, 3/01/23
1,000 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 1,128,660
Series 2001A, 5.500%, 7/01/20 - MBIA Insured
2,020 Ritenour Consolidated School District, St. Louis County, Missouri, No Opt. Call AAA 2,277,873
General Obligation Bonds, Series 1995, 7.375%, 2/01/12 -
FGIC Insured
1,405 St. Louis Board of Education, Missouri, General Obligation 4/13 at 100.00 AAA 1,480,463
Refunding Bonds, Series 2003A, 5.000%, 4/01/19 -
FSA Insured
270 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 291,435
General Obligation Bonds, Series 2004, 5.250%, 3/01/20 -
FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
8,825 Total Tax Obligation/General 9,567,056
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 25.9% (16.7% OF TOTAL INVESTMENTS)
600 Chesterfield, Missouri, Certificates of Participation, Series 2005, 12/15 at 100.00 Aaa 627,564
5.000%, 12/01/24 - FGIC Insured
80 Cottleville, Missouri, Certificates of Participation, Series 2006, 8/14 at 100.00 N/R 80,733
5.250%, 8/01/31
490 Fenton, Missouri, Tax Increment Revenue Bonds, Gravois Bluffs 4/14 at 100.00 N/R 492,470
Redevelopment Project, Series 2006, 4.500%, 4/01/21
57
NOM
Nuveen Missouri Premium Income Municipal Fund (continued)
Portfolio of INVESTMENTS November 30, (2007) (Unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED (continued)
$ 315 Fulton, Missouri, Tax Increment Revenue Bonds, Fulton 6/16 at 100.00 N/R $ 283,437
Commons 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 468,117
Increment Revenue Bonds, Briarcliff West Project,
Series 2006A, 5.400%, 6/01/24
415 Missouri Development Finance Board, Independence, 3/16 at 100.00 A+ 415,469
Infrastructure Facilities Revenue Bonds, Crackerneck Creek
Project, Series 2006C, 5.000%, 3/01/28
360 Missouri Development Finance Board, Infrastructure Facilities 6/15 at 100.00 BBB+ 337,781
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 475,133
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 473,965
Point Transportation Development District, Series 2006,
5.000%, 5/01/23
200 Riverside Industrial Development Authority, Missouri, Industrial 5/17 at 100.00 A 183,720
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 605,292
Increment Revenue Bonds, Series 2004, 5.250%, 5/01/20
1,380 Springfield Center City Development Corporation, Missouri, 11/11 at 100.00 Aaa 1,431,074
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 2,121,060
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 390,760
Increment Bonds, Shoppes at North Village Project,
Series 2005A, 5.500%, 11/01/27
------------------------------------------------------------------------------------------------------------------------------------
8,265 Total Tax Obligation/Limited 8,386,575
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 4.7% (3.0% OF TOTAL INVESTMENTS)
500 Kansas City, Missouri, Passenger Facility Charge Revenue Bonds, 4/11 at 101.00 AAA 507,685
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 1,028,140
Revenue Refunding and Improvement Bonds, LCRA Parking
Facilities, Series 1999C, 7.000%, 9/01/19
------------------------------------------------------------------------------------------------------------------------------------
1,500 Total Transportation 1,535,825
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 27.0% (17.4% OF TOTAL INVESTMENTS) (4)
685 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R (4) 770,974
Revenue Bonds, Gravois Bluffs Redevelopment Project,
Series 2002, 6.125%, 10/01/21 (Pre-refunded 10/01/12)
2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 2,683,597
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) 1,092,290
Bonds, St. Anthony's Medical Center, Series 2000,
6.250%, 12/01/30 (Pre-refunded 12/01/10)
1,135 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,406,719
Appropriation Bonds, Series 2002E, 6.000%, 8/01/26 -
AGC Insured (ETM)
80 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 88,103
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 No Opt. Call N/R (4) 557,070
Revenue Bonds, Series 1993D, 5.650%, 7/01/20
(Alternative Minimum Tax) (ETM)
1,000 St. Louis Municipal Finance Corporation, Missouri, Leasehold 2/12 at 100.00 Aaa 1,095,680
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) 1,037,714
Memorial Hospital, Series 2000, 7.250%, 6/15/25
(Pre-refunded 6/15/10)
------------------------------------------------------------------------------------------------------------------------------------
7,850 Total U.S. Guaranteed 8,732,147
------------------------------------------------------------------------------------------------------------------------------------
58
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 15.1% (9.8% OF TOTAL INVESTMENTS)
$ 640 Metropolitan St. Louis Sewerage District, Missouri, Revenue 5/14 at 100.00 AAA $ 682,842
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 2,771,979
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 1,059,540
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 394,580
Authority, Water Pollution Control Revenue Bonds, State
Revolving Fund Program - Kansas City Project, Series 1997C,
6.750%, 1/01/12
------------------------------------------------------------------------------------------------------------------------------------
4,955 Total Water and Sewer 4,908,941
------------------------------------------------------------------------------------------------------------------------------------
$ 48,365 Total Investments (cost $49,108,419) - 155.0% 50,231,817
=============-----------------------------------------------------------------------------------------------------------------------
Floating Rate Obligations - (6.9)% (2,225,000)
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.3% 390,470
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (49.4)% (16,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 32,397,287
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Optional Call Provisions: Dates (month and year) and prices
of the earliest optional call or redemption. There may be
other call provisions at varying prices at later dates.
Certain mortgage-backed securities may be subject to
periodic principal paydowns.
(3) Ratings: Using the higher of Standard & Poor's Group
("Standard & Poor's") or Moody's Investor Service, Inc.
("Moody's") rating. Ratings below BBB by Standard & Poor's
or Baa by Moody's are considered to be below investment
grade.
The AAA ratings shown in the Portfolio of Investments
reflects the AAA ratings on certain bonds insured by AMBAC,
FGIC or MBIA as of November 30, 2007. As explained earlier
in the Portfolio Managers' Comments section of this report,
one rating agency has reduced the rating for AMBAC to AA,
and one or more rating agencies have placed each of these
insurers on "negative credit watch", which may presage one
or more rating reductions for such insurer or insurers in
the future. If one or more insurers' ratings are reduced
below AAA by these rating agencies, it would likely reduce
the effective rating of many of the bonds insured by that
insurer or insurers.
(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.
59
Statement of
ASSETS & LIABILITIES
November 30, 2007 (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $115,399,569, $57,244,262,
$52,366,588 and $93,286,146, respectively) $117,709,669 $58,462,415 $53,945,130 $94,642,707
Cash -- -- -- --
Unrealized appreciation on forward swaps 415,922 284,595 238,047 136,253
Receivables:
Interest 1,660,430 766,225 681,294 1,333,487
Investments sold -- -- -- --
Other assets 9,409 3,072 4,742 693
------------------------------------------------------------------------------------------------------------------------------------
Total assets 119,795,430 59,516,307 54,869,213 96,113,140
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Cash overdraft 1,997,836 785,510 1,789,108 174,051
Floating rate obligations -- -- -- --
Payable for investments purchased 1,680,237 837,485 753,210 1,369,472
Accrued expenses:
Management fees 59,790 20,409 16,315 30,313
Other 16,701 6,882 6,017 14,596
Common share dividends payable 243,691 130,148 119,949 198,794
Preferred share dividends payable 3,139 3,527 2,876 18,634
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 4,001,394 1,783,961 2,687,475 1,805,860
------------------------------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 77,494,036 $38,232,346 $34,681,738 $62,307,280
====================================================================================================================================
Common shares outstanding 5,363,976 2,578,264 2,315,777 4,364,617
====================================================================================================================================
Net asset value per Common share outstanding
(net assets applicable to Common shares,
divided by Common shares outstanding) $ 14.45 $ 14.83 $ 14.98 $ 14.28
====================================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 53,640 $ 25,783 $ 23,158 $ 43,646
Paid-in surplus 74,526,991 36,572,769 32,793,473 61,594,597
Undistributed (Over-distribution of) net investment income (54,817) (42,419) (38,775) (176,317)
Accumulated net realized gain (loss) from investments
and derivative transactions 242,200 173,465 87,293 (647,460)
Net unrealized appreciation (depreciation) of investments
and derivative transactions 2,726,022 1,502,748 1,816,589 1,492,814
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 77,494,036 $38,232,346 $34,681,738 $62,307,280
====================================================================================================================================
Authorized shares:
Common Unlimited Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited Unlimited
====================================================================================================================================
See accompanying notes to financial statements.
60
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $98,018,897, $41,891,327,
$57,500,587 and $49,108,419, respectively) $100,810,165 $42,953,533 $59,463,690 $50,231,817
Cash 878,001 334,476 12,362 --
Unrealized appreciation on forward swaps 210,785 111,767 42,894 --
Receivables:
Interest 1,623,163 694,544 900,231 775,541
Investments sold 15,000 -- -- --
Other assets 7,401 2,994 1,457 8,126
------------------------------------------------------------------------------------------------------------------------------------
Total assets 103,544,515 44,097,314 60,420,634 51,015,484
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Cash overdraft -- -- -- 247,109
Floating rate obligations -- -- -- 2,225,000
Payable for investments purchased -- -- -- --
Accrued expenses:
Management fees 53,363 15,562 15,409 25,049
Other 15,373 5,219 6,979 7,780
Common share dividends payable 216,580 104,237 142,728 111,987
Preferred share dividends payable 4,193 4,438 3,425 1,272
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 289,509 129,456 168,541 2,618,197
------------------------------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000
====================================================================================================================================
Net assets applicable to Common shares $ 69,255,006 $28,967,858 $39,752,093 $32,397,287
====================================================================================================================================
Common shares outstanding 4,763,486 1,959,689 2,722,332 2,302,544
====================================================================================================================================
Net asset value per Common share outstanding
(net assets applicable to Common shares,
divided by Common shares outstanding) $ 14.54 $ 14.78 $ 14.60 $ 14.07
====================================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 47,635 $ 19,597 $ 27,223 $ 23,025
Paid-in surplus 66,145,494 27,748,740 38,362,003 30,872,014
Undistributed (Over-distribution of) net investment income (40,277) (33,417) (45,197) (8,595)
Accumulated net realized gain (loss) from investments
and derivative transactions 100,101 58,965 (597,933) 387,445
Net unrealized appreciation (depreciation) of investments
and derivative transactions 3,002,053 1,173,973 2,005,997 1,123,398
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 69,255,006 $28,967,858 $39,752,093 $32,397,287
====================================================================================================================================
Authorized shares:
Common Unlimited Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited Unlimited
====================================================================================================================================
See accompanying notes to financial statements.
61
Statement of
OPERATIONS
Six Months Ended November 30, 2007 (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME $2,695,923 $1,355,967 $1,208,961 $2,138,374
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 363,212 180,996 163,301 296,438
Preferred shares -- auction fees 48,006 24,441 21,934 40,110
Preferred shares -- dividend disbursing agent fees 5,014 5,014 5,014 5,014
Shareholders' servicing agent fees and expenses 5,325 733 618 635
Interest expense on floating rate obligations -- -- -- --
Custodian's fees and expenses 19,470 11,580 7,953 15,703
Trustees' fees and expenses 1,460 639 717 1,132
Professional fees 5,777 4,329 4,141 5,332
Shareholders' reports -- printing and mailing expenses 13,598 6,509 6,848 8,773
Stock exchange listing fees 4,840 110 99 186
Investor relations expense 5,264 2,164 2,602 4,680
Other expenses 6,497 6,575 6,397 6,912
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense reimbursement 478,463 243,090 219,624 384,915
Custodian fee credit (4,827) (3,329) (3,696) (7,562)
Expense reimbursement -- (57,116) (64,415) (137,133)
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 473,636 182,645 151,513 240,220
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 2,222,287 1,173,322 1,057,448 1,898,154
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments 257,137 333,759 187,998 12,968
Forward swaps 38,176 33,502 16,876 31,127
Change in net unrealized appreciation (depreciation) of:
Investments (431,124) (516,950) (165,711) (282,699)
Forward swaps 463,808 322,272 266,305 140,202
------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 327,997 172,583 305,468 (98,402)
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (590,124) (313,034) (271,267) (542,966)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common shares
from distributions to Preferred shareholders (590,124) (313,034) (271,267) (542,966)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common shares
from operations $1,960,160 $1,032,871 $1,091,649 $1,256,786
====================================================================================================================================
See accompanying notes to financial statements.
62
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME $2,512,443 $1,059,363 $1,388,370 $1,268,011
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 324,476 138,332 188,796 152,778
Preferred shares -- auction fees 42,617 18,801 25,695 20,055
Preferred shares -- dividend disbursing agent fees 5,014 5,014 5,014 5,014
Shareholders' servicing agent fees and expenses 3,202 308 202 2,032
Interest expense on floating rate obligations -- -- -- 37,926
Custodian's fees and expenses 19,917 6,744 8,254 9,052
Trustees' fees and expenses 1,211 471 743 643
Professional fees 5,540 3,942 4,548 4,143
Shareholders' reports -- printing and mailing expenses 11,859 5,740 7,239 7,052
Stock exchange listing fees 4,844 83 116 98
Investor relations expense 5,236 2,453 3,288 2,527
Other expenses 7,317 6,226 6,119 5,330
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense reimbursement 431,233 188,114 250,014 246,650
Custodian fee credit (5,371) (4,404) (2,026) (2,519)
Expense reimbursement -- (43,653) (95,324) --
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 425,862 140,057 152,664 244,131
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 2,086,581 919,306 1,235,706 1,023,880
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments 109,586 8,922 66,830 43,563
Forward swaps 4,305 -- -- --
Change in net unrealized appreciation (depreciation) of:
Investments (463,512) (255,178) 176,868 (529,827)
Forward swaps 249,982 127,446 42,894 --
------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (99,639) (118,810) 286,592 (486,264)
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (599,261) (255,032) (352,484) (249,911)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common shares
from distributions to Preferred shareholders (599,261) (255,032) (352,484) (249,911)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common shares
from operations $1,387,681 $ 545,464 $1,169,814 $ 287,705
====================================================================================================================================
See accompanying notes to financial statements.
63
Statement of
CHANGES in NET ASSETS (Unaudited)
CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK)
---------------------------- --------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
11/30/07 5/31/07 11/30/07 5/31/07 11/30/07 5/31/07
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 2,222,287 $ 4,447,923 $ 1,173,322 $ 2,365,016 $ 1,057,448 $ 2,107,925
Net realized gain (loss) from:
Investments 257,137 72,769 333,759 124,379 187,998 144,586
Forward swaps 38,176 -- 33,502 -- 16,876 --
Futures -- 28,706 -- (18,408) -- (2,992)
Change in net unrealized appreciation
(depreciation) of:
Investments (431,124) 346,705 (516,950) 38,540 (165,711) 36,334
Forward swaps 463,808 (47,886) 322,272 (37,677) 266,305 (28,258)
Distributions to
Preferred Shareholders:
From net investment income (590,124) (1,082,148) (313,034) (569,903) (271,267) (499,055)
From accumulated net
realized gains -- (74,762) -- -- -- (18,854)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from operations 1,960,160 3,691,307 1,032,871 1,901,947 1,091,649 1,739,686
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (1,673,356) (3,464,778) (858,312) (1,872,256) (791,870) (1,683,074)
From accumulated net realized gains -- (372,181) -- -- -- (85,757)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to
Common shares from distributions
to Common shareholders (1,673,356) (3,836,959) (858,312) (1,872,256) (791,870) (1,768,831)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common shares
issued to shareholders due to
reinvestment of distributions 56,010 18,479 33,542 89,571 16,016 43,271
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
applicable to Common shares
from capital share transactions 56,010 18,479 33,542 89,571 16,016 43,271
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares 342,814 (127,173) 208,101 119,262 315,795 14,126
Net assets applicable to Common
shares at the beginning
of period 77,151,222 77,278,395 38,024,245 37,904,983 34,365,943 34,351,817
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of period $77,494,036 $77,151,222 $38,232,346 $38,024,245 $34,681,738 $34,365,943
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income at the
end of period $ (54,817) $ (13,624) $ (42,419) $ (44,395) $ (38,775) $ (33,086)
====================================================================================================================================
See accompanying notes to financial statements.
64
CONNECTICUT MASSACHUSETTS PREMIUM MASSACHUSETTS
DIVIDEND ADVANTAGE 3 (NGO) INCOME (NMT) DIVIDEND ADVANTAGE (NMB)
---------------------------- --------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
11/30/07 5/31/07 11/30/07 5/31/07 11/30/07 5/31/07
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 1,898,154 $ 3,733,076 $ 2,086,581 $ 4,182,224 $ 919,306 $ 1,827,149
Net realized gain (loss) from:
Investments 12,968 (42,201) 109,586 (13,789) 8,922 55,772
Forward swaps 31,127 -- 4,305 -- -- --
Futures -- (14,700) -- -- -- --
Change in net unrealized appreciation
(depreciation) of:
Investments (282,699) 617,398 (463,512) 713,731 (255,178) 86,124
Forward swaps 140,202 (3,949) 249,982 (39,197) 127,446 (15,679)
Distributions to
Preferred Shareholders:
From net investment income (542,966) (992,233) (599,261) (1,116,532) (255,032) (479,691)
From accumulated net
realized gains -- -- -- (5,552) -- --
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from operations 1,256,786 3,297,391 1,387,681 3,720,885 545,464 1,473,675
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (1,348,272) (2,798,715) (1,471,862) (3,183,927) (664,251) (1,459,044)
From accumulated net realized gains -- -- -- (23,558) -- --
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to
Common shares from distributions
to Common shareholders (1,348,272) (2,798,715) (1,471,862) (3,207,485) (664,251) (1,459,044)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common shares
issued to shareholders due to
reinvestment of distributions 74,101 -- 15,691 33,601 14,860 52,919
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
applicable to Common shares
from capital share transactions 74,101 -- 15,691 33,601 14,860 52,919
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares (17,385) 498,676 (68,490) 547,001 (103,927) 67,550
Net assets applicable to Common
shares at the beginning
of period 62,324,665 61,825,989 69,323,496 68,776,495 29,071,785 29,004,235
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of period $62,307,280 $62,324,665 $69,255,006 $69,323,496 $28,967,858 $29,071,785
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income at the
end of period $ (176,317) $ (183,233) $ (40,277) $ (55,735) $ (33,417) $ (33,440)
====================================================================================================================================
See accompanying notes to financial statements.
65
Statement of
CHANGES in NET ASSETS (continued) (Unaudited)
INSURED MASSACHUSETTS MISSOURI PREMIUM
TAX-FREE ADVANTAGE (NGX) INCOME (NOM)
--------------------------- ----------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
11/30/07 5/31/07 11/30/07 5/31/07
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 1,235,706 $ 2,460,127 $ 1,023,880 $ 2,057,588
Net realized gain (loss) from:
Investments 66,830 27,964 43,563 352,272
Forward swaps -- 27,938 -- --
Futures -- -- -- --
Change in net unrealized appreciation (depreciation) of:
Investments 176,868 246,559 (529,827) (540,979)
Forward swaps 42,894 (117,661) -- --
Distributions to Preferred Shareholders:
From net investment income (352,484) (671,046) (249,911) (524,016)
From accumulated net realized gains -- -- -- (2,414)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from operations 1,169,814 1,973,881 287,705 1,342,451
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (879,301) (1,694,504) (752,605) (1,656,219)
From accumulated net realized gains -- -- -- (11,028)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to
Common shares from distributions
to Common shareholders (879,301) (1,694,504) (752,605) (1,667,247)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common shares
issued to shareholders due to
reinvestment of distributions 3,397 -- 35,972 216,543
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
applicable to Common shares
from capital share transactions 3,397 -- 35,972 216,545
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares 293,910 279,377 (428,928) (108,253)
Net assets applicable to Common
shares at the beginning of period 39,458,183 39,178,806 32,826,215 32,934,468
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of period $39,752,093 $39,458,183 $32,397,287 $32,826,215
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income at the
end of period $ (45,197) $ (49,118) $ (8,595) $ (29,959)
====================================================================================================================================
See accompanying notes to financial statements.
66
Notes to
FINANCIAL STATEMENTS (Unaudited)
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 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 or derivative instrument 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 November 30, 2007,
Connecticut Premium Income (NTC), Connecticut Dividend Advantage (NFC),
Connecticut Dividend Advantage 2 (NGK) and Connecticut Dividend Advantage 3
(NGO) had outstanding when-issued/delayed delivery purchase commitments of
$1,680,237, $837,485, $753,210 and $1,369,472, respectively. There were no such
outstanding purchase commitments in any of the other Funds.
67
Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
Investment income also includes paydown gains and losses, if any.
Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund
intends to distribute substantially all 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
==================================================================================================================
68
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, Standard &Poor's or unrated but judged to be of comparable
quality by Nuveen Asset Management (the "Adviser"), a wholly owned subsidiary of
Nuveen Investments, Inc. ("Nuveen").
Each insured municipal security is covered by Original Issue Insurance,
Secondary Market Insurance or Portfolio Insurance. Such insurance does not
guarantee the market value of the municipal securities or the value of the
Fund's Common shares. Original Issue Insurance and Secondary Market Insurance
remain in effect as long as the municipal securities covered thereby remain
outstanding and the insurer remains in business, regardless of whether the Fund
ultimately disposes of such municipal securities. Consequently, the market value
of the municipal securities covered by Original Issue Insurance or Secondary
Market Insurance may reflect value attributable to the insurance. Portfolio
Insurance, in contrast, is effective only while the municipal securities are
held by the Fund. Accordingly, neither the prices used in determining the market
value of the underlying municipal securities nor the Common share net asset
value of the Fund includes value, if any, attributable to the Portfolio
Insurance. Each policy of the Portfolio Insurance does, however, give the Fund
the right to obtain permanent insurance with respect to the municipal security
covered by the Portfolio Insurance policy at the time of its sale.
Inverse Floating Rate Securities
Each Fund 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.
69
Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)
A Fund may purchase an inverse floating rate security in a secondary market
transaction without first owning the underlying bond (referred to as an
"externally-deposited inverse floater"), or instead by first selling a
fixed-rate bond to a broker-dealer for deposit into the special purpose trust
and receiving in turn the residual interest in the trust (referred to as a
"self-deposited inverse floater"). A Fund may also enter into shortfall and
forbearance agreements (sometimes referred to as a "recourse trust" or "credit
recovery swap") with a broker-dealer by which a Fund agrees to reimburse the
broker-dealer, in certain circumstances, for the difference between the
liquidation value of the fixed-rate bond held by the trust and the liquidation
value of the floating rate certificates, as well as any shortfalls in interest
cash flows. The inverse floater held by a Fund gives the Fund the right (a) to
cause the holders of the floating rate certificates to tender their notes at
par, and (b) to have the broker transfer the fixed-rate bond held by the trust
to the Fund, thereby collapsing the trust. An investment in an
externally-deposited inverse floater is identified in the Portfolio of
Investments as an "Inverse floating rate investment". An investment in a
self-deposited inverse floater, recourse trust or credit recovery swap is
accounted for as a financing transaction in accordance with Statement of
Financial Accounting Standards (SFAS) No. 140 "Accounting for Transfers and
Servicing of Financial Assets and Extinguishment of Liabilities". In such
instances, a fixed-rate bond deposited into a special purpose trust is
identified in the Portfolio of Investments as an "Underlying bond of an inverse
floating rate trust", with the Fund accounting for the short-term floating rate
certificates issued by the trust as "Floating rate obligations" on the Statement
of Assets and Liabilities. In addition, the Fund reflects in Investment Income
the entire earnings of the underlying bond and accounts for the related interest
paid to the holders of the short-term floating rate certificates as "Interest
expense on floating rate obligations" in the Statement of Operations.
During the six months ended November 30, 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 six
months ended November 30, 2007.
The average floating rate obligations outstanding and average annual interest
rate and fees related to self-deposited inverse floaters during the six months
ended November 30, 2007, were as follows:
MISSOURI
PREMIUM
INCOME
(NOM)
--------------------------------------------------------------------------------
Average floating rate obligations $1,988,661
Average annual interest rate and fees 3.80%
================================================================================
Forward Swap Transactions
The Funds are authorized to invest in forward interest rate swap transactions.
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
70
each swap) on behalf of each Fund with a value approximately equal to the amount
of any unrealized gain above a pre-determined threshold. Reciprocally, when any
of the Funds have an unrealized loss on a swap contract, the Funds have
instructed the custodian to pledge assets of the Funds as collateral with a
value approximately equal to the amount of the unrealized loss above a
pre-determined threshold. Collateral pledges are monitored and subsequently
adjusted if and when the swap valuations fluctuate, either up or down, by at
least the predetermined threshold amount. Missouri Premium Income (NOM) was the
only Fund not to invest in forward interest rate swap transactions during the
six months ended November 30, 2007.
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. None of the Funds invested in futures contracts during the six
months ended November 30, 2007.
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 net credits earned on each Fund's cash on
deposit with the bank. Such deposit arrangements are an alternative to overnight
investments. Credits for cash balances may be offset by charges for any days on
which the Fund overdraws its account at the custodian bank.
Indemnifications
Under the Funds' organizational documents, their Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Funds. In addition, in the normal course of business, the Funds
enter into contracts that provide general indemnifications to other parties. The
Funds' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Funds that have not yet
occurred. However, the Funds have not had prior claims or losses pursuant to
these contracts and expect the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of increases and
decreases in net assets applicable to Common shares from operations during the
reporting period. Actual results may differ from those estimates.
2. FUND SHARES
Transactions in Common shares were as follows:
CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND
PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK)
----------------------- ----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
11/30/07 5/31/07 11/30/07 5/31/07 11/30/07 5/31/07
-----------------------------------------------------------------------------------------------------------------
Common shares issued to shareholders
due to reinvestment of distributions 3,915 1,268 2,251 5,695 1,063 2,746
=================================================================================================================
CONNECTICUT DIVIDEND MASSACHUSETTS MASSACHUSETTS DIVIDEND
ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) ADVANTAGE (NMB)
----------------------- ----------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
11/30/07 5/31/07 11/30/07 5/31/07 11/30/07 5/31/07
------------------------------------------------------------------------------------------------------------------
Common shares issued to shareholders
due to reinvestment of distributions 5,247 -- 1,090 2,282 1,004 3,459
==================================================================================================================
71
Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)
INSURED
MASSACHUSETTS TAX-FREE MISSOURI
ADVANTAGE (NGX) PREMIUM INCOME (NOM)
----------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
11/30/07 5/31/07 11/30/07 5/31/07
------------------------------------------------------------------------------------------------------------------
Common shares issued to shareholders
due to reinvestment of distributions 237 -- 2,494 13,593
==================================================================================================================
3. INVESTMENT TRANSACTIONS
Purchases and sales (including maturities but excluding short-term investments
and derivative transactions) during the six months ended November 30, 2007, were
as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
------------------------------------------------------------------------------------------------------------------
Purchases $19,287,374 $8,377,418 $9,024,606 $16,295,396
Sales and maturities 15,206,158 6,623,711 6,248,854 14,327,909
==================================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------
Purchases $8,383,208 $2,840,474 $1,789,100 $2,008,196
Sales and maturities 7,713,800 3,499,932 2,371,768 1,503,723
==================================================================================================================
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 November 30, 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 $115,373,234 $57,271,093 $52,491,920 $93,368,405
==================================================================================================================
72
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------
Cost of investments $97,948,343 $41,869,795 $57,652,640 $46,868,809
==================================================================================================================
Gross unrealized appreciation and gross unrealized depreciation of investments
at November 30, 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 $2,796,241 $1,537,046 $1,847,706 $1,977,076
Depreciation (459,806) (345,724) (394,496) (702,774)
------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $2,336,435 $1,191,322 $1,453,210 $1,274,302
==================================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $3,462,503 $1,311,334 $2,119,540 $1,710,218
Depreciation (600,681) (227,596) (308,490) (571,885)
------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $2,861,822 $1,083,738 $1,811,050 $1,138,333
==================================================================================================================
The tax components of undistributed net tax-exempt income, net ordinary income
and net long-term capital gains at May 31, 2007, the Funds' last tax year end,
were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
------------------------------------------------------------------------------------------------------------------
Undistributed net tax-exempt income* $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 Funds' last tax year ended
May 31, 2007, was designated for purposes of the dividends paid deduction as
follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(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 --
==================================================================================================================
73
Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------
Distributions from net tax-exempt income $4,336,292 $1,953,268 $2,384,976 $2,195,931
Distributions from net ordinary income ** 15,666 -- -- 7
Distributions from net long-term capital gains 28,705 -- -- 13,435
==================================================================================================================
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
At May 31, 2007, the Funds' last tax year end, the following Funds had unused
capital loss carryforwards available for federal income tax purposes to be
applied against future capital gains, if any. If not applied, the carryforwards
will expire as follows:
INSURED
CONNECTICUT 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, the Funds' last tax year
end, ("post-October losses") in accordance with federal income tax regulations.
Post-October losses are treated as having arisen on the first day of the current
taxable year.
CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND
INCOME ADVANTAGE
(NTC) (NFC)
--------------------------------------------------------------------------------
$53,762 $8,607
================================================================================
5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Each Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by the
Adviser, and a specific fund-level component, based only on the amount of assets
within each individual Fund. This pricing structure enables Nuveen fund
shareholders to benefit from growth in the assets within each individual fund as
well as from growth in the amount of complex-wide assets managed by the Adviser.
74
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 tables below. As
of November 30, 2007, the complex-level fee rate was .1837%.
Effective August 20, 2007, the complex-level fee schedule is as follows:
COMPLEX-LEVEL ASSET BREAKPOINT LEVEL (1) EFFECTIVE RATE AT BREAKPOINT LEVEL
--------------------------------------------------------------------------------
$55 billion .2000%
$56 billion .1996
$57 billion .1989
$60 billion .1961
$63 billion .1931
$66 billion .1900
$71 billion .1851
$76 billion .1806
$80 billion .1773
$91 billion .1691
$125 billion .1599
$200 billion .1505
$250 billion .1469
$300 billion .1445
================================================================================
75
Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)
Prior to August 20, 2007, the complex-level fee schedule was as follows:
COMPLEX-LEVEL ASSET BREAKPOINT LEVEL (1) EFFECTIVE RATE AT BREAKPOINT LEVEL
--------------------------------------------------------------------------------
$55 billion .2000%
$56 billion .1996
$57 billion .1989
$60 billion .1961
$63 billion .1931
$66 billion .1900
$71 billion .1851
$76 billion .1806
$80 billion .1773
$91 billion .1698
$125 billion .1617
$200 billion .1536
$250 billion .1509
$300 billion .1490
================================================================================
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
preferred stock issued by or borrowings by the Nuveen funds) of
Nuveen-sponsored funds in the U.S.
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Funds pay no
compensation directly to those of its Trustees who are affiliated with the
Adviser or to its Officers, all of whom receive remuneration for their services
to the Funds from the Adviser or its affiliates. The Board of Trustees has
adopted a deferred compensation plan for independent Trustees that enables
Trustees to elect to defer receipt of all or a portion of the annual
compensation they are entitled to receive from certain Nuveen advised funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised funds.
For the first ten years of Connecticut Dividend Advantage's (NFC) and
Massachusetts Dividend Advantage's (NMB) operations, the Adviser has agreed to
reimburse the Funds, as a percentage of average daily net assets (including net
assets attributable to Preferred shares), for fees and expenses in the amounts
and for the time periods set forth below:
YEAR ENDING YEAR ENDING
JANUARY 31, JANUARY 31,
--------------------------------------------------------------------------------
2001* .30% 2007 .25%
2002 .30 2008 .20
2003 .30 2009 .15
2004 .30 2010 .10
2005 .30 2011 .05
2006 .30
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Connecticut Dividend Advantage (NFC) and
Massachusetts Dividend Advantage (NMB) for any portion of their fees and
expenses beyond January 31, 2011.
76
For the first ten years of Connecticut Dividend Advantage 2's (NGK) operations,
the Adviser has agreed to reimburse the Fund, as a percentage of average daily
net assets (including net assets attributable to Preferred shares), for fees and
expenses in the amounts and for the time periods set forth below:
YEAR ENDING YEAR ENDING
MARCH 31, MARCH 31,
--------------------------------------------------------------------------------
2002* .30% 2008 .25%
2003 .30 2009 .20
2004 .30 2010 .15
2005 .30 2011 .10
2006 .30 2012 .05
2007 .30
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Connecticut Dividend Advantage 2 (NGK)
for any portion of its fees and expenses beyond March 31, 2012.
For the first eight years of Connecticut Dividend Advantage 3's (NGO)
operations, the Adviser has agreed to reimburse the Fund, as a percentage of
average daily net assets (including net assets attributable to Preferred
shares), for fees and expenses in the amounts and for the time periods set forth
below:
YEAR ENDING YEAR ENDING
SEPTEMBER 30, SEPTEMBER 30,
--------------------------------------------------------------------------------
2002* .32% 2007 .32%
2003 .32 2008 .24
2004 .32 2009 .16
2005 .32 2010 .08
2006 .32
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Connecticut Dividend Advantage 3 (NGO)
for any portion of its fees and expenses beyond September 30, 2010.
For the first eight years of Insured Massachusetts Tax-Free Advantage's (NGX)
operations, the Adviser has agreed to reimburse the Fund, as a percentage of
average daily net assets (including net assets attributable to Preferred
shares), for fees and expenses in the amounts and for the time periods set forth
below:
YEAR ENDING YEAR ENDING
NOVEMBER 30, NOVEMBER 30,
--------------------------------------------------------------------------------
2002* .32% 2007 .32%
2003 .32 2008 .24
2004 .32 2009 .16
2005 .32 2010 .08
2006 .32
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Insured Massachusetts Tax-Free Advantage
(NGX) for any portion of its fees and expenses beyond November 30, 2010.
Agreement and Plan of Merger
On June 20, 2007, Nuveen Investments announced that it had entered into a
definitive Agreement and Plan of Merger ("Merger Agreement") with Windy City
Investments, Inc. ("Windy City"), a corporation formed by investors led by
Madison Dearborn Partners, LLC ("Madison Dearborn"), pursuant to which Windy
City would acquire Nuveen Investments. Madison Dearborn is a private equity
investment firm based in Chicago, Illinois. The merger was consummated on
November 13, 2007.
The consummation of the merger was deemed to be an "assignment" (as that term is
defined in the Investment Company Act of 1940) of the investment management
agreement between each Fund and the Adviser, and resulted in the automatic
termination of each Fund's agreement. The Board of Trustees of each Fund
considered and approved a new investment management agreement with the Adviser
at the same fee rate. The new ongoing agreement was approved by the shareholders
of each Fund and took effect on November 13, 2007.
77
Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)
The investors led by Madison Dearborn include an affiliate of Merrill Lynch. As
a result, Merrill Lynch is an indirect "affiliated person" (as that term is
defined in the Investment Company Act of 1940) of each Fund. Certain conflicts
of interest may arise as a result of such indirect affiliation. For example, the
Funds are generally prohibited from entering into principal transactions with
Merrill Lynch and its affiliates. The Adviser does not believe that any such
prohibitions or limitations as a result of Merrill Lynch's affiliation will
significantly impact the ability of the Funds to pursue their investment
objectives and policies.
6. NEW ACCOUNTING PRONOUNCEMENTS
Financial Accounting Standards Board Interpretation No. 48
Effective November 30, 2007, the Funds adopted Financial Accounting Standards
Board Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" (FIN
48). FIN 48 provides guidance regarding 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. Management of
the Funds has concluded that there are no significant uncertain tax positions
that require recognition in the Funds' financial statements. Consequently, the
adoption of FIN 48 had no 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 November 30, 2007, management does not believe the adoption
of SFAS No. 157 will impact the financial statement amounts; however, additional
disclosures may be required about the inputs used to develop the measurements
and the effect of certain of the measurements included within the Statement of
Operations for the period.
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 December 31, 2007, to shareholders of
record on December 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 $.0550 $.0505
==================================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------
Dividend per share $.0515 $.0565 $.0545 $.0545
==================================================================================================================
78
At the same time, the following Funds declared capital gains and/or ordinary
income distributions as follows:
CONNECTICUT CONNECTICUT CONNECTICUT MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND DIVIDEND PREMIUM DIVIDEND PREMIUM
INCOME ADVANTAGE ADVANTAGE 2 INCOME ADVANTAGE INCOME
(NTC) (NFC) (NGK) (NMT) (NMB) (NOM)
---------------------------------------------------------------------------------------------------------------------
Capital gains distribution per share $.0288 $.0648 $.0738 $.0166 $ .0248 $ .1265
Ordinary income distribution per share* -- .0016 -- -- -- --
=====================================================================================================================
* Ordinary income consist of taxable market discount income and net
short-term capital gains, if any.
79
Financial
HIGHLIGHTS (Unaudited)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
---------------------------------------------------------------- --------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ Preferred Preferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
=================================================================================================================================
CONNECTICUT PREMIUM
INCOME (NTC)
---------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) $14.39 $ .41 $ .07 $(.11) $ -- $ .37 $(.31) $ -- $(.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:
2008(b) 14.76 .46 .06 (.12) -- .40 (.33) -- (.33)
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 Asset Market Market Asset
Discounts Value Value Value* Value*
==================================================================================
CONNECTICUT PREMIUM
INCOME (NTC)
----------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) $ -- $14.45 $13.38 (8.24)% 2.63%
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:
2008(b) -- 14.83 14.11 (11.82) 2.78
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:
2008(b) $77,494 1.25%*** 1.25%*** 5.79%*** 1.24%*** 1.24%*** 5.81%*** 13%
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:
2008(b) 38,232 1.29*** 1.29*** 5.90*** .97*** .97*** 6.22*** 12
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:
2008(b) $38,300 $25,000 $75,584 $ -- $ --
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:
2008(b) 19,500 25,000 74,016 -- --
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. The last dividend declared in the period, which
is typically paid on the first business day of the following month, is
assumed to be reinvested at the ending market price. The actual
reinvestment for the last dividend declared in the period takes place over
several days, and in some instances may not be based on the market price,
so the actual reinvestment price may be different from the price used in
the calculation. Total returns are not annualized.
Total Return on Common Share Net Asset Value is the combination of changes
in Common share net asset value, reinvested dividend income at net asset
value and reinvested capital gains distributions at net asset value, if
any. The last dividend declared in the period, which is typically paid on
the first business day of the following month, is assumed to be reinvested
at the ending net asset value. The actual reinvest price for the last
dividend declared in the period may often be based on the Fund's market
price (and not its net asset value), and therefore may be different from
the price used in the calculation. Total returns are not annualized.
** After custodian fee credit and expense reimbursement, where applicable.
*** Annualized.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Preferred
shareholders; income ratios reflect income earned on assets attributable to
Preferred shares.
(a) Interest expense arises from the application of SFAS No. 140 to certain
inverse floating rate transactions entered into by the Fund as more fully
described in Footnote 1 - Inverse Floating Rate Securities.
(b) For the six months ended November 30, 2007.
See accompanying notes to financial statements.
80-81 spread
Financial
HIGHLIGHTS (continued) (Unaudited)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
---------------------------------------------------------------- --------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ Preferred Preferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
=================================================================================================================================
CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK)
---------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) $14.85 $.46 $ .13 $(.12) $ -- $ .47 $(.34) $ -- $(.34)
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:
2008(b) 14.30 .44 (.03) (.12) -- .29 (.31) -- (.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(c) 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 Asset Market Market Asset
Discounts Value Value Value* Value*
================================================================================
CONNECTICUT DIVIDEND
ADVANTAGE 2 (NGK)
--------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) $ -- $14.98 $14.20 (11.27)% 3.23%
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:
2008(b) -- 14.28 13.41 (6.72) 2.06
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(c) (.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:
2008(b) $34,682 1.29%*** 1.29%*** 5.80%*** .89%*** .89%*** 6.20%*** 12%
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:
2008(b) 62,307 1.25*** 1.25*** 5.68*** .78*** .78*** 6.15*** 15
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(c) 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:
2008(b) $17,500 $25,000 $74,545 $ -- $ --
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:
2008(b) 32,000 25,000 73,678 -- --
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(c) 32,000 25,000 76,034 -- --
===============================================================================
* Total Return on Market Value is the combination of changes in the market
price per share and the effect of reinvested dividend income and reinvested
capital gains distributions, if any, at the average price paid per share at
the time of reinvestment. The last dividend declared in the period, which
is typically paid on the first business day of the following month, is
assumed to be reinvested at the ending market price. The actual
reinvestment for the last dividend declared in the period takes place over
several days, and in some instances may not be based on the market price,
so the actual reinvestment price may be different from the price used in
the calculation. Total returns are not annualized.
Total Return on Common Share Net Asset Value is the combination of changes
in Common share net asset value, reinvested dividend income at net asset
value and reinvested capital gains distributions at net asset value, if
any. The last dividend declared in the period, which is typically paid on
the first business day of the following month, is assumed to be reinvested
at the ending net asset value. The actual reinvest price for the last
dividend declared in the period may often be based on the Fund's market
price (and not its net asset value), and therefore may be different from
the price used in the calculation. Total returns are not annualized.
** After custodian fee credit and expense reimbursement, where applicable.
*** Annualized.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Preferred
shareholders; income ratios reflect income earned on assets attributable to
Preferred shares.
(a) Interest expense arises from the application of SFAS No. 140 to certain
inverse floating rate transactions entered into by the Fund as more fully
described in Footnote 1 - Inverse Floating Rate Securities.
(b) For the six months ended November 30, 2007.
(c) 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) (Unaudited)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
---------------------------------------------------------------- --------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ Preferred Preferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
=================================================================================================================================
MASSACHUSETTS PREMIUM
INCOME (NMT)
---------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) $14.56 $ .44 $ (.02) $(.13) $ -- $ .29 $(.31) $ -- $ (.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:
2008(b) 14.84 .47 (.06) (.13) -- .28 (.34) -- (.34)
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 Asset Market Market Asset
Discounts Value Value Value* Value*
===================================================================================
MASSACHUSETTS PREMIUM
INCOME (NMT)
-----------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) $ -- $14.54 $13.11 (6.42)% 2.02%
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:
2008(b) -- 14.78 14.10 (11.33) 1.92
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:
2008(b) $69,255 1.26%**** 1.26%**** 6.07%**** 1.24%**** 1.24%**** 6.08%**** 8%
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:
2008(b) 28,968 1.31**** 1.31**** 6.06**** .97**** .97**** 6.40**** 7
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:
2008(b) $34,000 $25,000 $75,923 $ -- $ --
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:
2008(b) 15,000 25,000 73,280 -- --
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. The last dividend declared in the period, which
is typically paid on the first business day of the following month, is
assumed to be reinvested at the ending market price. The actual
reinvestment for the last dividend declared in the period takes place over
several days, and in some instances may not be based on the market price,
so the actual reinvestment price may be different from the price used in
the calculation. Total returns are not annualized.
Total Return on Common Share Net Asset Value is the combination of changes
in Common share net asset value, reinvested dividend income at net asset
value and reinvested capital gains distributions at net asset value, if
any. The last dividend declared in the period, which is typically paid on
the first business day of the following month, is assumed to be reinvested
at the ending net asset value. The actual reinvest price for the last
dividend declared in the period may often be based on the Fund's market
price (and not its net asset value), and therefore may be different from
the price used in the calculation. Total returns are not annualized.
*** After custodian fee credit and expense reimbursement, where applicable.
**** Annualized.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Preferred
shareholders; income ratios reflect income earned on assets attributable to
Preferred shares.
(a) Interest expense arises from the application of SFAS No. 140 to certain
inverse floating rate transactions entered into by the Fund as more fully
described in Footnote 1 - Inverse Floating Rate Securities.
(b) For the six months ended November 30, 2007.
See accompanying notes to financial statements.
84-85 spread
Financial
HIGHLIGHTS (continued) (Unaudited)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
---------------------------------------------------------------- --------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ Preferred Preferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
====================================================================================================================================
INSURED MASSACHUSETTS
TAX-FREE ADVANTAGE (NGX)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) $14.50 $.45 $ .10 $(.13) $ -- $ .42 $(.32) $ -- $(.32)
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(c) 14.33 .35 1.21 (.03) -- 1.53 (.37) -- (.37)
MISSOURI PREMIUM
INCOME (NOM)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) 14.27 .44 (.20) (.11) -- .13 (.33) -- (.33)
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 Asset Market Market Asset
Discounts Value Value Value* Value*
================================================================================
INSURED MASSACHUSETTS
TAX-FREE ADVANTAGE (NGX)
--------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) $ -- $14.60 $13.98 (1.01)% 2.96%
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(c) (.24) 15.25 15.78 7.69 9.07
MISSOURI PREMIUM
INCOME (NOM)
--------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) -- 14.07 14.20 (12.25) .92
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:
2008(b) $39,752 1.28%**** 1.28%**** 5.81%**** .78%**** .78%**** 6.31%**** 3%
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(c) 41,297 1.14**** 1.14**** 4.17**** .68**** .68**** 4.64**** 19
MISSOURI PREMIUM
INCOME (NOM)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) 32,397 1.53**** 1.29**** 6.32**** 1.51**** 1.28**** 6.34**** 3
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:
2008(b) 20,500 25,000 73,478 $ -- $ --
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(c) 20,500 25,000 75,362 -- --
MISSOURI PREMIUM INCOME (NOM)
-------------------------------------------------------------------------------
Year Ended 5/31:
2008(b) 16,000 25,000 75,621 2,225 22,752
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. The last dividend declared in the period, which
is typically paid on the first business day of the following month, is
assumed to be reinvested at the ending market price. The actual
reinvestment for the last dividend declared in the period takes place over
several days, and in some instances may not be based on the market price,
so the actual reinvestment price may be different from the price used in
the calculation. Total returns are not annualized.
Total Return on Common Share Net Asset Value is the combination of changes
in Common share net asset value, reinvested dividend income at net asset
value and reinvested capital gains distributions at net asset value, if
any. The last dividend declared in the period, which is typically paid on
the first business day of the following month, is assumed to be reinvested
at the ending net asset value. The actual reinvest price for the last
dividend declared in the period may often be based on the Fund's market
price (and not its net asset value), and therefore may be different from
the price used in the calculation. Total returns are not annualized.
*** After custodian fee credit and expense reimbursement, where applicable.
**** Annualized.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Preferred
shareholders; income ratios reflect income earned on assets attributable to
Preferred shares.
(a) Interest expense arises from the application of SFAS No. 140 to certain
inverse floating rate transactions entered into by the Fund as more fully
described in Footnote 1 - Inverse Floating Rate Securities.
(b) For the six months ended November 30, 2007.
(c) For the period November 21, 2002 (commencement of operations) through May
31, 2003.
See accompanying notes to financial statements.
86-87 spread
Annual Investment
Management Agreement
Approval PROCESS
The Board Members are responsible for overseeing the performance of the
investment adviser to the Funds and determining whether to continue the advisory
arrangements. At the annual review meeting held on May 21, 2007 (the "May
Meeting"), the Board Members of the Funds, including the Independent Board
Members, unanimously approved the continuance of the Investment Management
Agreement between each Fund (each, a "Fund") and Nuveen Asset Management
("NAM"). The foregoing Investment Management Agreements with NAM are hereafter
referred to as the "Original Investment Management Agreements."
Subsequent to the May Meeting, Nuveen Investments, Inc. ("Nuveen"), the parent
company of NAM, entered into a merger agreement providing for the acquisition of
Nuveen by Windy City Investments, Inc., a corporation formed by investors led by
Madison Dearborn Partners, LLC ("MDP"), a private equity investment firm (the
"Transaction"). Each Original Investment Management Agreement, as required by
Section 15 of the Investment Company Act of 1940 (the "1940 Act"), provides for
its automatic termination in the event of its "assignment" (as defined in the
1940 Act). Any change in control of the adviser is deemed to be an assignment.
The consummation of the Transaction will result in a change of control of NAM as
well as its affiliated sub-advisers and therefore cause the automatic
termination of each Original Investment Management Agreement, as required by the
1940 Act. Accordingly, in anticipation of the Transaction, at a meeting held on
July 31, 2007 (the "July Meeting"), the Board Members, including the Independent
Board Members, unanimously approved new Investment Management Agreements (the
"New Investment Management Agreements") with NAM on behalf of each Fund to take
effect immediately after the Transaction or shareholder approval of the new
advisory contracts, whichever is later. The 1940 Act also requires that each New
Investment Management Agreement be approved by the respective Fund's
shareholders in order for it to become effective. Accordingly, to ensure
continuity of advisory services, the Board Members, including the Independent
Board Members, unanimously approved Interim Investment Management Agreements to
take effect upon the closing of the Transaction if shareholders have not yet
approved the New Investment Management Agreements.
Because the information provided and considerations made at the annual review
continue to be relevant with respect to the evaluation of the New Investment
Management Agreements, the Board considered the foregoing as part of its
deliberations of the New Investment Management Agreements. Accordingly, as
indicated, the discussions immediately below outline the materials and
information presented to the Board in connection with the Board's prior annual
review and the analysis undertaken and the conclusions reached by Board Members
when determining to continue the Original Investment Management Agreements.
I. APPROVAL OF THE ORIGINAL INVESTMENT MANAGEMENT AGREEMENTS
During the course of the year, the Board received a wide variety of materials
relating to the services provided by NAM and the performance of the Funds. At
each of its quarterly meetings, the Board reviewed investment performance and
various matters relating to the operations of the Funds and other Nuveen funds,
including the compliance program, shareholder services, valuation, custody,
distribution and other information relating to the nature, extent and quality of
services provided by NAM. Between the regularly scheduled quarterly meetings,
the Board Members received information on particular matters as the need arose.
In preparation for their considerations at the May Meeting, the Independent
Board Members received extensive materials, well in advance of the meeting,
which outlined or are related to, among other things:
[] the nature, extent and quality of services provided by NAM;
[] the organization and business operations of NAM, including the
responsibilities of various departments and key personnel;
88
[] each 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;
[] the profitability of Nuveen and certain industry profitability analyses for
unaffiliated advisers;
[] the expenses of Nuveen in providing the various services;
[] the advisory fees and total expense ratios of each 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);
[] the advisory fees NAM assesses to other types of investment products or
clients;
[] the soft dollar practices of NAM, if any; and
[] 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, NAM made a presentation to, and responded to questions from,
the Board. Prior to and after the presentations and reviewing the written
materials, the Independent Board Members met privately with their legal counsel
to review the Board's duties in reviewing advisory contracts and considering the
renewal of the advisory contracts. The Independent Board Members, in
consultation with independent counsel, reviewed the factors set out in judicial
decisions and Securities and Exchange Commission ("SEC") directives relating to
the renewal of advisory contracts. As outlined in more detail below, the Board
Members 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 NAM; (b) the investment performance of the
Fund and NAM; (c) the costs of the services to be provided and profits to be
realized by Nuveen and its affiliates; (d) the extent to which economies of
scale would be realized; and (e) whether fee levels reflect those economies of
scale for the benefit of the Fund's investors. In addition, as noted, the Board
Members met regularly throughout the year to oversee the Funds. In evaluating
the Original Investment Management Agreements, the Board Members also relied
upon their knowledge of NAM, its services and the Funds resulting from their
meetings and other interactions throughout the year. It is with this background
that the Board Members considered each Original Investment Management Agreement.
A. NATURE, EXTENT AND QUALITY OF SERVICES
In considering the renewal of the Original Investment Management Agreements, the
Board Members considered the nature, extent and quality of NAM's services. The
Board Members reviewed materials outlining, among other things, Nuveen's
organization and business; the types of services that NAM 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 had taken for the municipal fund product line. As noted, at the annual
review, the Board Members were already familiar with the organization,
operations and personnel of NAM due to the Board Members' experience in
governing the respective Funds and working with NAM on matters relating to the
Funds. With respect to personnel, the Board Members 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, the Board Members 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 activities, risk management operations
(e.g., reviewing credit quality, duration limits, and derivatives use, as
applicable), and investment operations (such as enhancements to trading
procedures, pricing procedures, and client services). The Board Members
recognized NAM's investment of resources and efforts to continue to enhance and
refine its investment process.
In addition to advisory services, the Independent Board Members considered the
quality of administrative and non-advisory services provided by NAM and noted
that NAM and its affiliates provide the Funds with a wide variety of services
and officers and other personnel as are necessary for the operations of the
Funds, including:
89
ANNUAL INVESTMENT MANAGEMENT AGREEMENT
APPROVAL PROCESS (continued)
[] product management;
[] fund administration;
[] oversight by shareholder services and other fund service providers;
[] administration of Board relations;
[] regulatory and portfolio compliance; and
[] legal support.
As the Funds operate in a highly regulated industry and given the importance of
compliance, the Board Members considered, in particular, Nuveen's compliance
activities for the Funds and enhancements thereto. In this regard, the Board
Members recognized the quality of Nuveen's compliance team. The Board Members
further noted Nuveen's negotiations with other service providers and the
corresponding reduction in certain service providers' fees at the May Meeting.
In addition to the foregoing services, the Board Members also noted the
additional services that NAM or its affiliates provide to Nuveen's closed-end
funds, including, in particular, its secondary market support activities. The
Board Members recognized Nuveen's continued commitment to supporting the
secondary market for the common shares of its closed-end funds through a variety
of programs designed to raise investor and analyst awareness and understanding
of closed-end funds. These efforts include:
[] maintaining shareholder communications;
[] providing advertising for the Nuveen closed-end funds;
[] maintaining its closed-end fund website;
[] maintaining continual contact with financial advisers;
[] providing educational symposia;
[] conducting research with investors and financial analysis regarding
closed-end funds; and
[] evaluating secondary market performance.
With respect to the Nuveen closed-end funds that utilize leverage through the
issuance of preferred shares ("Preferred Shares"), the Board Members noted
Nuveen's continued support for the holders of Preferred Shares by, among other
things:
[] maintaining an in-house trading desk;
[] maintaining a product manager for the Preferred Shares;
[] developing distribution for Preferred Shares with new market participants;
[] maintaining an orderly auction process;
[] managing leverage and risk management of leverage; and
[] maintaining systems necessary to test compliance with rating agency
criteria.
Based on their review, the Board Members found that, overall, the nature, extent
and quality of services provided (and expected to be provided) to the respective
Funds under the Original Investment Management Agreements were satisfactory.
B. THE INVESTMENT PERFORMANCE OF THE FUNDS AND NAM
At the May Meeting, 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). The Board Members also reviewed the respective Fund's portfolio level
performance (which does not reflect fund level fees and expenses, and leverage)
against customized benchmarks, described in further detail below.
In evaluating the performance information during the annual review at the May
Meeting, in certain instances, the Board Members noted that the closest
Performance Peer Group for a fund may not adequately reflect
90
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 Board Members also
recognized that certain 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, funds that do not have corresponding state-specific
Performance Peer Groups are from states other than New York, California,
Florida, New Jersey, Michigan and Pennsylvania. However, with respect to funds
based in 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).
The Board Members 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 Board Members also reviewed the Fund's portfolio level performance
(which does not reflect fund level fees and expenses, and leverage) compared to
customized portfolio level benchmarks for the one- and three-year periods ending
December 31, 2006 (as applicable). The analysis was used to assess the efficacy
of investment decisions against appropriate measures of risk and total return,
within specific market segments. This information supplemented the Fund
performance information provided to the Board at each of its quarterly meetings.
Based on their review, the Board Members determined that each Fund's investment
performance over time had been satisfactory, subject to the following. With
respect to various municipal closed-end funds, the Board Members noted relative
total return underperformance in recent years compared to peers. The Board
Members reviewed materials and discussed with NAM the factors contributing to
the shift in performance including, among other things, the degree of risk
undertaken by peers compared to the municipal closed-end funds (such as through
the increased use of leverage or taking concentrated positions in high risk
credits). In addition, the Board Members also considered a fund's dividend
performance and the extent of any secondary market discounts. The Board Members
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 concluded that they were satisfied with the steps being taken.
C. FEES, EXPENSES AND PROFITABILITY
1. FEES AND EXPENSES
During the annual review, 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 Board Members 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 Board Members
further reviewed data regarding the construction of Peer Groups as well as
the methods of measurement for the fee and expense analysis and the
performance analysis. In certain cases, due to the small number of peers in
the Peer Universe, the Peer Universe and Peer Group had significant overlap
or even consisted entirely of the same unaffiliated funds. In reviewing the
comparisons of fee and expense information, the Board Members 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
impacting the comparisons thereby limited some of the usefulness of the
comparative data. The Board Members also considered the differences in the
use of leverage. Based on their review of the fee and expense information
provided, the Board Members 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
At the annual review, the Board Members further reviewed data comparing the
advisory fees of NAM with fees NAM charges to other clients. With respect
to municipal funds, such clients include NAM's municipal separately managed
accounts. In general, the advisory fees charged for separate accounts are
91
ANNUAL INVESTMENT MANAGEMENT AGREEMENT
APPROVAL PROCESS (continued)
somewhat lower than the advisory fees assessed to the Funds. The Board
Members considered the differences in the product types, including, but not
limited to, the services provided, the structure and operations, product
distribution and costs thereof, portfolio investment policies, investor
profiles, account sizes and regulatory requirements. The Board Members
noted, in particular, that the range of services provided to the Funds (as
discussed above) is much more extensive than that provided to separately
managed accounts. As described in further detail above, such additional
services include, but are not limited to: product management, fund
administration, oversight of third party service providers, administration
of Board relations, and legal support. The Board Members noted that the
Funds operate in a highly regulated industry requiring extensive compliance
functions compared to other investment products. Given the inherent
differences in the products, particularly the extensive services provided
to the Funds, the Board Members believe such facts justify the different
levels of fees.
3. PROFITABILITY OF NUVEEN
In conjunction with its review of fees, the Board Members also considered
the profitability of Nuveen for its advisory activities (which incorporated
Nuveen's wholly-owned affiliated sub-advisers) and its financial condition.
At the annual review, the Board Members 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 Board Members noted this information
supplemented the profitability information requested and received during
the year to help keep them apprised of developments affecting profitability
(such as changes in fee waivers and expense reimbursement commitments). In
this regard, the Board Members 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 Board
Members 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 Board Members recognized the subjective
nature of determining profitability which may be affected by numerous
factors, including the allocation of expenses. Further, the Board Members
recognized the difficulties in making comparisons as the profitability of
other advisers generally is not publicly available and the profitability
information that is available for certain advisers or management firms may
not be representative of the industry and may be affected by, among other
things, the adviser's particular business mix, capital costs, types of
funds managed and expense allocations.
Notwithstanding the foregoing, the Board Members reviewed Nuveen's methodology
and assumptions for allocating expenses across product lines to determine
profitability. Last year, the Board Members also designated an Independent Board
Member as a point person for the Board to review the methodology determinations
during the year and any refinements thereto, which relevant information produced
from such process was reported to the full Board. In reviewing profitability,
the Board Members recognized Nuveen's increased investment in its fund business.
Based on its review, the Board Members concluded that Nuveen's level of
profitability for its advisory activities was reasonable in light of the
services provided.
In evaluating the reasonableness of the compensation, the Board Members also
considered other amounts paid to NAM by the Funds as well as any indirect
benefits (such as soft dollar arrangements, if any) NAM and its affiliates
receive, or are expected to receive, that are directly attributable to the
management of the Funds, if any. See Section E below for additional information
on indirect benefits NAM may receive as a result of its relationship with the
Funds. Based on their review of the overall fee arrangements of each Fund, the
Board Members determined that the advisory fees and expenses of the Funds were
reasonable.
D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE
With respect to economies of scale, the Board Members 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 Board Members
reviewed and considered the breakpoints in the advisory fee schedules that
reduce advisory fees. In addition to advisory fee breakpoints, the Board also
approved a complex-wide fee
92
arrangement in 2004. 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 Board Members noted that the last complex-wide asset level
breakpoint for the complex-wide fee schedule was at $91 billion and that the
Board Members anticipated further review and/or negotiations prior to the assets
of the Nuveen complex reaching such threshold. Based on their review, the Board
Members concluded that the breakpoint schedule and complex-wide fee arrangement
were acceptable and desirable in providing benefits from economies of scale to
shareholders, subject to further evaluation of the complex-wide fee schedule as
assets in the complex increase. See Section II, Paragraph D - "Approval of the
New Investment Management Agreements - Economies of Scale and Whether Fee Levels
Reflect These Economies of Scale" for information regarding subsequent
modifications to the complex-wide fee.
E. INDIRECT BENEFITS
In evaluating fees, the Board Members also considered any indirect benefits or
profits NAM or its affiliates may receive as a result of its relationship with
each Fund. With respect to closed-end funds, the Board Members considered the
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 Board Members considered whether NAM received any
benefits from soft dollar arrangements whereby a portion of the commissions paid
by a Fund for brokerage may be used to acquire research that may be useful to
NAM in managing the assets of the Funds and other clients. With respect to NAM,
the Board Members noted that NAM does not currently have any soft dollar
arrangements; however, to the extent certain bona fide agency transactions that
occur on markets that traditionally trade on a principal basis and riskless
principal transactions are considered as generating "commissions," NAM intends
to comply with the applicable safe harbor provisions.
Based on their review, the Board Members concluded that any indirect benefits
received by NAM as a result of its relationship with the Funds were reasonable
and within acceptable parameters.
F. OTHER CONSIDERATIONS
The Board Members did not identify any single factor discussed previously as
all-important or controlling in their considerations to continue an advisory
contract. The Board Members, including the Independent Board Members,
unanimously concluded that the terms of the Original Investment Management
Agreements are fair and reasonable, that NAM's fees are reasonable in light of
the services provided to each Fund and that the renewal of the Original
Investment Management Agreements be approved.
II. APPROVAL OF THE NEW INVESTMENT MANAGEMENT AGREEMENTS
Following the May Meeting, the Board Members were advised of the potential
Transaction. As noted above, the completion of the Transaction would terminate
each of the Original Investment Management Agreements. Accordingly, at the July
Meeting, the Board of each Fund, including the Independent Board Members,
unanimously approved the New Investment Management Agreements on behalf of the
respective Funds. Leading up to the July Meeting, the Board Members had several
meetings and deliberations with and without Nuveen management present, and with
the advice of legal counsel, regarding the proposed Transaction as outlined
below.
On June 8, 2007, the Board Members held a special telephonic meeting to discuss
the proposed Transaction. At that meeting, the Board Members established a
special ad hoc committee comprised solely of Independent Board Members to focus
on the Transaction and to keep the Independent Board Members updated with
developments regarding the Transaction. On June 15, 2007, the ad hoc committee
discussed with representatives of NAM the Transaction and modifications to the
complex-wide fee schedule that would generate additional fee savings at
specified levels of complex-wide asset growth. Following the foregoing meetings
and several subsequent telephonic conferences among Independent Board Members
and independent counsel, and between Independent Board Members and
representatives of Nuveen, the Board met on June 18, 2007 to further discuss the
proposed Transaction. Immediately prior to and then again during the June 18,
2007 meeting, the Independent Board Members met privately with their independent
legal counsel. At that meeting, the Board met with representatives of MDP, of
Goldman Sachs,
93
ANNUAL INVESTMENT MANAGEMENT AGREEMENT
APPROVAL PROCESS (continued)
Nuveen's financial adviser in the Transaction, and of the Nuveen Board to
discuss, among other things, the history and structure of MDP, the terms of the
proposed Transaction (including the financing terms), and MDP's general plans
and intentions with respect to Nuveen (including with respect to management,
employees, and future growth prospects). On July 9, 2007, the Board also met to
be updated on the Transaction as part of a special telephonic Board meeting. The
Board Members were further updated at a special in-person Board meeting held on
July 19, 2007 (one Independent Board Member participated telephonically).
Subsequently, on July 27, 2007, the ad hoc committee held a telephonic
conference with representatives of Nuveen and MDP to further discuss, among
other things, the Transaction, the financing of the Transaction, retention and
incentive plans for key employees, the effect of regulatory restrictions on
transactions with affiliates after the Transaction, and current volatile market
conditions and their impact on the Transaction.
In connection with their review of the New Investment Management Agreements, the
Independent Board Members, through their independent legal counsel, also
requested in writing and received additional information regarding the proposed
Transaction and its impact on the provision of services by NAM and its
affiliates.
The Independent Board Members received, well in advance of the July Meeting,
materials which outlined, among other things:
[] the structure and terms of the Transaction, including MDP's co-investor
entities and their expected ownership interests, and the financing
arrangements that will exist for Nuveen following the closing of the
Transaction;
[] the strategic plan for Nuveen following the Transaction;
[] the governance structure for Nuveen following the Transaction;
[] any anticipated changes in the operations of the Nuveen funds following the
Transaction, including changes to NAM's and Nuveen's day-to-day management,
infrastructure and ability to provide advisory, distribution or other
applicable services to the Funds;
[] any changes to senior management or key personnel who work on Fund related
matters (including portfolio management, investment oversight, and
legal/compliance) and any retention or incentive arrangements for such
persons;
[] any anticipated effect on each Fund's expense ratio (including advisory
fees) following the Transaction;
[] any benefits or undue burdens imposed on the Funds as a result of the
Transaction;
[] any legal issues for the Funds as a result of the Transaction;
[] the nature, quality and extent of services expected to be provided to the
Funds following the Transaction, changes to any existing services and
policies affecting the Funds, and cost-cutting efforts, if any, that may
impact such services or policies;
[] any conflicts of interest that may arise for Nuveen or MDP with respect to
the Funds;
[] the costs associated with obtaining necessary shareholder approvals and who
would bear those costs; and
[] from legal counsel, a memorandum describing the applicable laws,
regulations and duties in approving advisory contracts, including, in
particular, with respect to a change of control.
Immediately preceding the July Meeting, representatives of MDP met with the
Board to further respond to questions regarding the Transaction. After the
meeting with MDP, the Independent Board Members met with independent legal
counsel in executive session. At the July Meeting, Nuveen also made a
presentation and responded to questions. Following the presentations and
discussions of the materials presented to the Board, the Independent Board
Members met again in executive session with their counsel. As outlined in more
detail below, the Independent Board Members considered all factors they believed
relevant with respect to each Fund, including the impact that the Transaction
could be expected to have on the following: (a) the nature, extent and quality
of services to be provided; (b) the investment performance of the Funds; (c) the
costs of the services and profits to be realized by Nuveen and its affiliates;
(d) the extent to which
94
economies of scale would be realized; and (e) whether fee levels reflect those
economies of scale for the benefit of investors. As noted above, the Board
Members had completed their annual review of the respective Original Investment
Management Agreements at the May Meeting and many of the factors considered at
the annual review were applicable to their evaluation of the New Investment
Management Agreements. Accordingly, in evaluating the New Investment Management
Agreements, the Board Members relied upon their knowledge and experience with
NAM and considered the information received and their evaluations and
conclusions drawn at the annual review. While the Board reviewed many Nuveen
funds at the July Meeting, the Independent Board Members evaluated all
information available to them on a fund-by-fund basis, and their determinations
were made separately in respect of each Fund.
A. NATURE, EXTENT AND QUALITY OF SERVICES
In evaluating the nature, quality and extent of the services expected to be
provided by NAM under the New Investment Management Agreements, the Independent
Board Members considered, among other things, the expected impact, if any, of
the Transaction on the operations, facilities, organization and personnel of
NAM; the potential implications of regulatory restrictions on the Funds
following the Transaction; the ability of NAM and its affiliates to perform
their duties after the Transaction; and any anticipated changes to the current
investment and other practices of the Funds.
The Board noted that the terms of each New Investment Management Agreement,
including the fees payable thereunder, are substantially identical to those of
the Original Investment Management Agreement relating to the same Fund (with
both reflecting reductions to fee levels in the complex-wide fee schedule for
complex-wide assets in excess of $80 billion that have an effective date of
August 20, 2007). The Board considered that the services to be provided and the
standard of care under the New Investment Management Agreements are the same as
the Original Investment Management Agreements. The Board Members further noted
that key personnel who have responsibility for the Funds in each area, including
portfolio management, investment oversight, fund management, fund operations,
product management, legal/compliance and board support functions, are expected
to be the same following the Transaction. The Board Members considered and are
familiar with the qualifications, skills and experience of such personnel. The
Board also considered certain information regarding anticipated retention or
incentive plans designed to retain key personnel. Further, the Board Members
noted that no changes to Nuveen's infrastructure or operations as a result of
the Transaction were anticipated other than potential enhancements as a result
of an expected increase in the level of investment in such infrastructure and
personnel. The Board noted MDP's representations that it does not plan to have a
direct role in the management of Nuveen, appointing new management personnel, or
directly impacting individual staffing decisions. The Board Members also noted
that there were not any planned "cost cutting" measures that could be expected
to reduce the nature, extent or quality of services. After consideration of the
foregoing, the Board Members concluded that no diminution in the nature, quality
and extent of services provided to the Funds and their shareholders is expected.
In addition to the above, the Board Members considered potential changes in the
operations of each Fund. In this regard, the Board Members considered the
potential effect of regulatory restrictions on the Funds' transactions with
future affiliated persons. During their deliberations, it was noted that, after
the Transaction, a subsidiary of Merrill Lynch is expected to have an ownership
interest in Nuveen at a level that will make Merrill Lynch an affiliated person
of Nuveen. The Board Members recognized that applicable law would generally
prohibit the Funds from engaging in securities transactions with Merrill Lynch
as principal, and would also impose restrictions on using Merrill Lynch for
agency transactions. They recognized that having MDP and Merrill Lynch as
affiliates may restrict the Nuveen funds' ability to invest in securities of
issuers controlled by MDP or issued by Merrill Lynch and its affiliates even if
not bought directly from MDP or Merrill Lynch as principal. They also recognized
that various regulations may require the Nuveen funds to apply investment
limitations on a combined basis with affiliates of Merrill Lynch. The Board
Members considered information provided by NAM regarding the potential impact on
the Nuveen funds' operations as a result of these regulatory restrictions. The
Board Members considered, in particular, the Nuveen funds that may be impacted
most by the restricted access to Merrill Lynch, including: municipal funds
(particularly certain state-specific funds), senior loan funds, taxable fixed
income funds, preferred security funds and funds that heavily use derivatives.
The Board Members considered such funds' historic use of Merrill Lynch as
principal in their transactions and information provided by NAM regarding the
expected impact resulting from Merrill Lynch's affiliation with Nuveen and
available measures that could be taken to minimize such
95
ANNUAL INVESTMENT MANAGEMENT AGREEMENT
APPROVAL PROCESS (continued)
impact. NAM informed the Board Members that, although difficult to determine
with certainty, its management did not believe that MDP's or Merrill Lynch's
status as an affiliate of Nuveen would have a material adverse effect on any
Nuveen fund's ability to pursue its investment objectives and policies.
In addition to the regulatory restrictions considered by the Board, the Board
Members also considered potential conflicts of interest that could arise between
the Nuveen funds and various parties to the Transaction and discussed possible
ways of addressing such conflicts.
Based on its review along with its considerations regarding services at the
annual review, the Board concluded that the Transaction was not expected to
adversely affect the nature, quality or extent of services provided by NAM and
that the expected nature, quality and extent of such services supported approval
of the New Investment Management Agreements.
B. PERFORMANCE OF THE FUNDS
With respect to the performance of the Funds, the Board considered that the
portfolio management personnel responsible for the management of the Funds'
portfolios were expected to continue to manage the portfolios following the
completion of the Transaction.
In addition, the Board Members recently reviewed Fund performance at the May
Meeting, as described above, and determined that Fund performance was
satisfactory or better, subject to the following. With respect to certain
municipal closed-end funds with relative short-term underperformance, the Board
Members concluded NAM was taking steps to evaluate the factors affecting
performance and those steps would continue following the Transaction. Further,
the investment policies and strategies were not expected to change as a result
of the Transaction.
In light of the foregoing factors, along with the prior findings regarding
performance at the annual review, the Board concluded that its findings with
respect to performance supported approval of the New Investment Management
Agreements.
C. FEES, EXPENSES AND PROFITABILITY
As described in more detail above, during the annual review, the Board Members
considered, among other things, the management fees and expenses of the Funds,
the breakpoint schedules, and comparisons of such fees and expenses with peers.
At the annual review, the Board Members determined that the respective Fund's
advisory fees and expenses were reasonable. In evaluating the costs of services
to be provided by NAM under the New Investment Management Agreements and the
profitability of Nuveen for its advisory activities, the Board Members
considered their prior conclusions at the annual review and whether the
management fees or other expenses would change as a result of the Transaction.
As described above, the investment management fee is composed of two
components--a fund-level component and complex-wide level component. The fee
schedule under the New Investment Management Agreements to be paid to NAM is
identical to that under the Original Investment Management Agreements, including
the modified complex-wide fee schedule. As noted above, the Board recently
approved a modified complex-wide fee schedule that would generate additional fee
savings on complex-wide assets above $80 billion. The modifications have an
effective date of August 20, 2007 and are part of the Original Investment
Management Agreements. Accordingly, the terms of the complex-wide component
under the New Investment Management Agreements are the same as under the
Original Investment Management Agreements. The Board Members also noted that
Nuveen has committed for a period of two years from the date of closing of the
Transaction that it will not increase gross management fees for any Nuveen fund
and will not reduce voluntary expense reimbursement levels for any Nuveen fund
from their currently scheduled prospective levels. Based on the information
provided, the Board Members did not expect that overall Fund expenses would
increase as a result of the Transaction.
In addition, the Board Members considered that additional fund launches were
anticipated after the Transaction which would result in an increase in total
assets under management in the complex and a corresponding decrease in overall
management fees under the complex-wide fee schedule. Taking into consideration
the Board's prior evaluation of fees and expenses at the annual renewal, and the
modification
96
to the complex-wide fee schedule, the Board determined that the management fees
and expenses were reasonable.
While it is difficult to predict with any degree of certainty the impact of the
Transaction on Nuveen's profitability, at the recent annual review, the Board
Members were satisfied that Nuveen's level of profitability for its advisory
activities was reasonable. During the year, the Board Members had noted the
enhanced dialogue regarding profitability and the appointment of an Independent
Board Member as a point person to review methodology determinations and
refinements in calculating profitability. Given their considerations at the
annual review and the modifications to the complex-wide fee schedule, the Board
Members were satisfied that Nuveen's level of profitability for its advisory
activities continues to be reasonable.
D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE
The Board Members have been cognizant of economies of scale and the potential
benefits resulting from the costs of a Fund being spread over a larger asset
base. To help ensure that shareholders share in the benefits derived from
economies of scale, the Board adopted the complex-wide fee arrangement in 2004.
At the May Meeting, the Board Members reviewed the complex-wide fee arrangements
and noted that additional negotiations may be necessary or appropriate as the
assets in the complex approached the $91 billion threshold. In light of this
assessment coupled with the upcoming Transaction, at the June 15, 2007 meeting,
the ad hoc committee met with representatives of Nuveen to further discuss
modifications to the complex-wide fee schedule that would generate additional
savings for shareholders as the assets of the complex grow. The proposed terms
for the complex-wide fee schedule are expressed in terms of targeted cumulative
savings at specified levels of complex-wide assets, rather than in terms of
targeted marginal complex-wide fee rates. Under the modified schedule, the
schedule would generate additional fee savings beginning at complex-wide assets
of $80 billion in order to achieve targeted cumulative annual savings at $91
billion of $28 million on a complex-wide level (approximately $0.6 million
higher than those generated under the then current schedule) and generate
additional fee savings for asset growth above complex-wide assets of $91 billion
in order to achieve targeted annual savings at $125 billion of assets of
approximately $50 million on a complex-wide level (approximately $2.2 million
higher annually than that generated under the then current schedule). At the
July Meeting, the Board approved the modified complex-wide fee schedule for the
Original Investment Management Agreements and these same terms will apply to the
New Investment Management Agreements. Accordingly, the Board Members believe
that the breakpoint schedules and revised complex-wide fee schedule are
appropriate and desirable in ensuring that shareholders participate in the
benefits derived from economies of scale.
E. INDIRECT BENEFITS
During their recent annual review, the Board Members considered any indirect
benefits that NAM may receive as a result of its relationship with the Funds, as
described above. As the policies and operations of Nuveen are not anticipated to
change significantly after the Transaction, such indirect benefits should remain
after the Transaction. The Board Members further considered any additional
indirect benefits to be received by NAM or its affiliates after the Transaction.
The Board Members noted that other than benefits from its ownership interest in
Nuveen and indirect benefits from fee revenues paid by the Funds under the
management agreements and other Board-approved relationships, it was currently
not expected that MDP or its affiliates would derive any benefit from the Funds
as a result of the Transaction or transact any business with or on behalf of the
Funds (other than perhaps potential Fund acquisitions, in secondary market
transactions, of securities issued by MDP portfolio companies); or that Merrill
Lynch or its affiliates would derive any benefits from the Funds as a result of
the Transaction (noting that, indeed, Merrill Lynch would stand to experience
the discontinuation of principal transaction activity with the Nuveen funds and
likely would experience a noticeable reduction in the volume of agency
transactions with the Nuveen funds).
97
ANNUAL INVESTMENT MANAGEMENT AGREEMENT
APPROVAL PROCESS (continued)
F. OTHER CONSIDERATIONS
In addition to the factors above, the Board Members also considered the
following with respect to the Funds:
[] Nuveen would rely on the provisions of Section 15(f) of the 1940 Act.
Section 15(f) provides, in substance, that when a sale of a controlling
interest in an investment adviser occurs, the investment adviser or any of
its affiliated persons may receive any amount or benefit in connection with
the sale so long as (i) during the three-year period following the
consummation of a transaction, at least 75% of the investment company's
board of directors must not be "interested persons" (as defined in the 1940
Act) of the investment adviser or predecessor adviser and (ii) an "unfair
burden" (as defined in the 1940 Act, including any interpretations or
no-action letters of the SEC) must not be imposed on the investment company
as a result of the transaction relating to the sale of such interest, or
any express or implied terms, conditions or understanding applicable
thereto. In this regard, to help ensure that an unfair burden is not
imposed on the Nuveen funds, Nuveen has committed for a period of two years
from the date of the closing of the Transaction (i) not to increase gross
management fees for any Nuveen fund; (ii) not to reduce voluntary expense
reimbursement levels for any Nuveen fund from their currently scheduled
prospective levels during that period; (iii) that no Nuveen fund whose
portfolio is managed by a Nuveen affiliate shall use Merrill Lynch as a
broker with respect to portfolio transactions done on an agency basis,
except as may be approved in the future by the Compliance Committee of the
Board; and (iv) that NAM shall not cause the Funds and other municipal
funds that NAM manages, as a whole, to enter into portfolio transactions
with or through the other minority owners of Nuveen, on either a principal
or an agency basis, to a significantly greater extent than both what one
would expect an investment team to use such firm in the normal course of
business, and what NAM has historically done, without prior Board or
Compliance Committee approval (excluding the impact of proportionally
increasing the use of such other "minority owners" to fill the void
necessitated by not being able to use Merrill Lynch).
[] The Funds would not incur any costs in seeking the necessary shareholder
approvals for the New Investment Management Agreements (except for any
costs attributed to seeking shareholder approvals of Fund specific matters
unrelated to the Transaction, such as approval of Board Members, in which
case a portion of such costs will be borne by the applicable Funds).
[] The reputation, financial strength and resources of MDP.
[] The long-term investment philosophy of MDP and anticipated plans to grow
Nuveen's business to the benefit of the Nuveen funds.
[] The benefits to the Nuveen funds as a result of the Transaction including:
(i) as a private company, Nuveen may have more flexibility in making
additional investments in its business; (ii) as a private company, Nuveen
may be better able to structure compensation packages to attract and retain
talented personnel; (iii) as certain of Nuveen's distribution partners are
expected to be equity or debt investors in Nuveen, Nuveen may be able to
take advantage of new or enhanced distribution arrangements with such
partners; and (iv) MDP's experience, capabilities and resources that may
help Nuveen identify and acquire investment teams or firms and finance such
acquisitions.
[] The historic premium and discount levels at which the shares of the Nuveen
funds have traded at specified dates with particular focus on the premiums
and discounts after the announcement of the Transaction, taking into
consideration recent volatile market conditions and steps or initiatives
considered or undertaken by NAM to address discount levels.
98
G. CONCLUSION
The Board Members did not identify any single factor discussed previously as
all-important or controlling. The Board Members, including the Independent Board
Members, unanimously concluded that the terms of the New Investment Management
Agreements are fair and reasonable, that the fees therein are reasonable in
light of the services to be provided to each Fund and that the New Investment
Management Agreements should be approved and recommended to shareholders.
III. APPROVAL OF INTERIM CONTRACTS
As noted above, at the July Meeting, the Board Members, including the
Independent Board Members, unanimously approved the Interim Investment
Management Agreements. If necessary to assure continuity of advisory services,
the Interim Investment Management Agreements will take effect upon the closing
of the Transaction if shareholders have not yet approved the New Investment
Management Agreements. The terms of each Interim Investment Management Agreement
are substantially identical to those of the corresponding Original Investment
Management Agreement and New Investment Management Agreement, respectively,
except for certain term and escrow provisions. In light of the foregoing, the
Board Members, including the Independent Board Members, unanimously determined
that the scope and quality of services to be provided to the Funds under the
respective Interim Investment Management Agreement are at least equivalent to
the scope and quality of services provided under the applicable Original
Investment Management Agreement.
99
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.
100
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.
101
Glossary of
TERMS USED in this REPORT
[] AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period.
It expresses the return that would have been necessary each year to equal
the investment's actual cumulative performance (including change in NAV or
market price and reinvested dividends and capital gains distributions, if
any) over the time period being considered.
[] AVERAGE EFFECTIVE MATURITY: The average of the number of years to maturity
of the bonds in a Fund's portfolio, computed by weighting each bond's time
to maturity (the date the security comes due) by the market value of the
security. This figure does not account for the likelihood of prepayments or
the exercise of call provisions unless an escrow account has been
established to redeem the bond before maturity. The market value weighting
for an investment in an inverse floating rate security is the value of the
portfolio's residual interest in the inverse floating rate trust, and does
not include the value of the floating rate securities issued by the trust.
[] INVERSE FLOATERS: Inverse floating rate securities are created by
depositing a municipal bond, typically with a fixed interest rate, into a
special purpose trust created by a broker-dealer. This trust, in turn, (a)
issues floating rate certificates typically paying short-term tax-exempt
interest rates to third parties in amounts equal to some fraction of the
deposited bond's par amount or market value, and (b) issues an inverse
floating rate certificate (sometimes referred to as an "inverse floater")
to an investor (such as a Fund) interested in gaining investment exposure
to a long-term municipal bond. The income received by the holder of the
inverse floater varies inversely with the short-term rate paid to the
floating rate certificates' holders, and in most circumstances the holder
of the inverse floater bears substantially all of the underlying bond's
downside investment risk. The holder of the inverse floater typically also
benefits disproportionately from any potential appreciation of the
underlying bond's value. Hence, an inverse floater essentially represents
an investment in the underlying bond on a leveraged basis.
[] LEVERAGE-ADJUSTED DURATION: Duration is a measure of the expected period
over which a bond's principal and interest will be paid, and consequently
is a measure of the sensitivity of a bond's or bond Fund's value to changes
when market interest rates change. Generally, the longer a bond's or Fund's
duration, the more the price of the bond or Fund will change as interest
rates change. Leverage-adjusted duration takes into account the leveraging
process for a Fund and therefore is longer than the duration of the Fund's
portfolio of bonds.
[] MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An
investment's current annualized dividend divided by its current market
price.
[] NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by
subtracting the liabilities of the Fund (including any MuniPreferred shares
issued in order to leverage the Fund) from its total assets and then
dividing the remainder by the number of shares outstanding. Fund NAVs are
calculated at the end of each business day.
[] TAXABLE-EQUIVALENT YIELD: The yield necessary from a fully taxable
investment to equal, on an after-tax basis, the yield of a municipal bond
investment.
[] ZERO COUPON BOND: A zero coupon bond does not pay a regular interest coupon
to its holders during the life of the bond. Tax-exempt income to the holder
of the bond comes from accretion of the difference between the original
purchase price of the bond at issuance and the par value of the bond at
maturity and is effectively paid at maturity. The market prices of zero
coupon bonds generally are more volatile than the market prices of bonds
that pay interest periodically.
102
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
twelve-month period ended June 30, 2007, and (iii) a description of the policies
and procedures that the Funds used to determine how to vote proxies relating to
portfolio securities are available without charge, upon request, by calling
Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at
www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities
and Exchange Commission ("SEC"). The SEC may charge a copying fee for this
information. Visit the SEC on-line at http://www.sec.gov or in person at the
SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090
for room hours and operation. You may also request Fund information by sending
an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public
References Section at 450 Fifth Street NW, Washington, D.C. 20549.
CEO Certification Disclosure
Each Fund's Chief Executive Officer has submitted to the 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 Changes
In May 2007, the Funds' Board of Trustees voted to permit the Funds' to make
loans from Fund assets to certain bond issuers. The amounts of these loans are
subject to strict limits. This policy is designed to enhance the Funds' ability
to meet their Funds'investment objectives by providing for increased portfolio
management flexibility, greater diversification potential, and opportunities for
increased capital appreciation over time.
Board of Trustees
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Carole E. Stone
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 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 semi-annual report.
103
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 $170 billion in assets, as of September 30, 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: Nuveen, a leader in fixed-income investments; NWQ, a leader
in value-style equities; Rittenhouse, a leader in growth-style equities;
Symphony, a leading institutional manager of market-neutral alternative
investment portfolios; Santa Barbara, a leader in growth equities; and
Tradewinds, a leader in global equities.
Find out how we can help you reach your financial goals.
To learn more about the products and services Nuveen Investments offers, talk to
your financial advisor, or call us at (800) 257-8787. Please read the
information provided carefully before you invest. Be sure to obtain a
prospectus, where applicable. Investors should consider the investment objective
and policies, risk considerations, charges and expenses of the Fund carefully
before investing. The prospectus contains this and other information relevant to
an investment in the Fund. For a prospectus, please contact your securities
representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606.
Please read the prospectus carefully before you invest or send money.
Learn more about Nuveen Funds at: www.nuveen.com/etf
Share prices
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ESA-B-1107D
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's Board implemented after the registrant
last provided disclosure in response to this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of this report that includes the disclosure
required by this paragraph, based on their evaluation of the controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (the "Exchange Act")(17 CFR
240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter
of the period covered by this report that has materially affected, or
is reasonably likely to materially affect, the registrant's internal
control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable to
this filing.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: 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: February 8, 2008
-------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Gifford R. Zimmerman
----------------------------------------------
Gifford R. Zimmerman
Chief Administrative Officer
(principal executive officer)
Date: February 8, 2008
-------------------------------------------------------------------
By (Signature and Title)* /s/ Stephen D. Foy
----------------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: February 8, 2008
-------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.