Investment Company Act file number 811-7484
Nuveen Massachusetts Premium Income Municipal Fund
(Exact name of
registrant as specified in charter)
Nuveen
Investments
333 West
Wacker Drive, Chicago, Illinois 60606
(Address of
principal executive offices) (Zip code)
Kevin
J. McCarthy Vice President and
Secretary
333 West Wacker
Drive, Chicago, Illinois 60606
(Name and address of
agent for service)
Registrant's telephone number, including area code: 312-917-7700
Date of fiscal year end: 5/31
Date of reporting period: 2/29/08
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. § 3507.
Item 1. Schedule of Investments
Portfolio of Investments (Unaudited) | ||||||||
Nuveen Massachusetts Premium Income Municipal Fund (NMT) | ||||||||
February 29, 2008 | ||||||||
Principal | Optional Call | |||||||
Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | ||||
| ||||||||
Consumer Discretionary 2.1% (1.4% of Total Investments) | ||||||||
$ 1,465 | Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, | 9/12 at 102.00 | Ba3 | $ | 1,328,711 | |||
Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) | ||||||||
| ||||||||
Education and Civic Organizations 24.3% (16.2% of Total Investments) | ||||||||
400 | Massachusetts Development Finance Agency, Revenue Bonds, Brandeis University, Series 2007L, | No Opt. Call | A3 | 400,000 | ||||
5.000%, 10/01/37 XLCA Insured | ||||||||
750 | Massachusetts Development Finance Agency, Revenue Bonds, Western New England College, Series | 9/15 at 100.00 | AAA | 702,803 | ||||
2005A, 5.000%, 9/01/33 AGC Insured | ||||||||
1,045 | Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytecnic Institute, | 9/17 at 100.00 | AAA | 986,595 | ||||
Series 2007, 5.000%, 9/01/37 MBIA Insured | ||||||||
890 | Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A, | 3/09 at 101.00 | BBB | 893,747 | ||||
6.000%, 3/01/20 ACA Insured | ||||||||
1,745 | Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy | 7/15 at 100.00 | AAA | 1,679,981 | ||||
and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 AGC Insured | ||||||||
750 | Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A, | 9/13 at 100.00 | AA | 778,395 | ||||
5.000%, 9/01/19 | ||||||||
1,090 | Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, | No Opt. Call | A | 1,161,177 | ||||
Series 1999P, 6.000%, 5/15/29 | ||||||||
25 | Massachusetts Education Loan Authority, Student Loan Revenue Bonds, Issue E, Series 1995, | 7/08 at 100.00 | Aaa | 25,169 | ||||
6.150%, 7/01/10 AMBAC Insured (Alternative Minimum Tax) | ||||||||
1,550 | Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2002E, | 1/12 at 100.00 | AAA | 1,566,058 | ||||
5.000%, 1/01/13 AMBAC Insured (Alternative Minimum Tax) | ||||||||
2,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, | 6/13 at 100.00 | AA | 2,109,259 | ||||
Series 2003N, 5.250%, 6/01/18 | ||||||||
500 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Hebrew College, | 3/08 at 100.00 | AA | 500,000 | ||||
Series 1999A,, 6.500%, 7/01/31 | ||||||||
500 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College, | 7/13 at 100.00 | AA+ | 492,300 | ||||
Series 2003H, 5.000%, 7/01/26 | ||||||||
555 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, | 7/13 at 100.00 | AAA | 562,093 | ||||
Series 2003H, 5.000%, 7/01/21 | ||||||||
1,380 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, | 7/16 at 100.00 | AAA | 1,351,972 | ||||
Series 2007L, 5.000%, 7/01/31 | ||||||||
500 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State | 11/12 at 100.00 | AAA | 469,635 | ||||
College, Series 2002, 5.000%, 11/01/32 AMBAC Insured | ||||||||
1,645 | Massachusetts Industrial Finance Agency, Revenue Bonds, Whitehead Institute for Biomedical | 7/08 at 100.00 | Aa1 | 1,643,914 | ||||
Research, Series 1993, 5.125%, 7/01/26 | ||||||||
375 | Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities | 2/09 at 101.00 | BBB | 361,778 | ||||
Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series | ||||||||
1999, 5.375%, 2/01/19 | ||||||||
| ||||||||
15,700 | Total Education and Civic Organizations | 15,684,876 | ||||||
| ||||||||
Health Care 19.3% (12.8% of Total Investments) | ||||||||
1,250 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health | 10/11 at 101.00 | BBB+ | 1,268,713 | ||||
System, Series 2001E, 6.250%, 10/01/31 | ||||||||
1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Health Care | 11/11 at 101.00 | AA | 918,680 | ||||
Inc., Series 2001C, 5.250%, 11/15/31 RAAI Insured | ||||||||
1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi | 7/12 at 101.00 | BBB | 994,290 | ||||
Obligated Group, Series 2002B, 6.250%, 7/01/22 | ||||||||
935 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital, | 8/15 at 100.00 | AA | 799,846 | ||||
Series 2005E, 5.000%, 8/15/35 RAAI Insured | ||||||||
1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical | 8/15 at 100.00 | A | 963,720 | ||||
Center, Series 2005C, 5.000%, 8/15/21 FGIC Insured | ||||||||
2,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical | 8/17 at 100.00 | A | 1,922,380 | ||||
Center, Series 2007D, 5.250%, 8/15/28 | ||||||||
585 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional | 7/17 at 100.00 | BBB | 478,343 | ||||
Medical Center, Series 2007E, 5.000%, 7/15/32 | ||||||||
1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital | 7/15 at 100.00 | BBB | 857,340 | ||||
Project, Series 2005D, 5.250%, 7/01/30 | ||||||||
750 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical | 7/08 at 100.00 | AAA | 750,015 | ||||
Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 MBIA Insured | ||||||||
75 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare | 7/11 at 101.00 | AA | 75,781 | ||||
System Inc., Series 2001C, 5.750%, 7/01/32 | ||||||||
375 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial | 7/11 at 100.00 | BBB | 381,334 | ||||
Health Care, Series 2001C, 6.625%, 7/01/32 | ||||||||
1,445 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial | 7/15 at 100.00 | BBB | 1,197,544 | ||||
Health Care, Series 2005D, 5.000%, 7/01/33 | ||||||||
2,000 | Massachusetts State, Health and Educational Facilities Authority, Partners HealthCare System | 7/17 at 100.00 | AA | 1,848,920 | ||||
Inc., Series 2007G, 5.000%, 7/01/32 | ||||||||
| ||||||||
13,415 | Total Health Care | 12,456,906 | ||||||
| ||||||||
Housing/Multifamily 8.1% (5.4% of Total Investments) | ||||||||
1,335 | Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor | 7/17 at 100.00 | AAA | 1,153,360 | ||||
Project, Series 2007, 4.800%, 7/20/48 | ||||||||
1,860 | Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House | 12/09 at 102.00 | N/R | 1,866,696 | ||||
Apartments, Series 1999, 7.000%, 12/01/31 | ||||||||
335 | Massachusetts Housing Finance Agency, Housing Bonds, Series 2006A, 5.100%, 12/01/37 | 6/15 at 100.00 | AA | 301,044 | ||||
(Alternative Minimum Tax) | ||||||||
500 | Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23 | 6/13 at 100.00 | AA | 478,480 | ||||
(Alternative Minimum Tax) | ||||||||
375 | Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 1999D, | 7/10 at 101.00 | AAA | 386,970 | ||||
5.500%, 7/01/13 AMBAC Insured (Alternative Minimum Tax) | ||||||||
1,000 | Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, | 5/12 at 103.00 | AAA | 1,007,700 | ||||
Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 | ||||||||
| ||||||||
5,405 | Total Housing/Multifamily | 5,194,250 | ||||||
| ||||||||
Housing/Single Family 3.3% (2.2% of Total Investments) | ||||||||
990 | Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-122, | 6/15 at 100.00 | AA | 858,330 | ||||
4.875%, 12/01/37 (Alternative Minimum Tax) | ||||||||
1,500 | Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126, | 6/16 at 100.00 | AA | 1,277,115 | ||||
4.625%, 6/01/32 (Alternative Minimum Tax) | ||||||||
| ||||||||
2,490 | Total Housing/Single Family | 2,135,445 | ||||||
| ||||||||
Industrials 1.2% (0.7% of Total Investments) | ||||||||
380 | Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds, | No Opt. Call | N/R | 360,548 | ||||
Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) | ||||||||
400 | Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management | No Opt. Call | BBB | 408,136 | ||||
Inc., Series 2003, 5.450%, 6/01/14 | ||||||||
| ||||||||
780 | Total Industrials | 768,684 | ||||||
| ||||||||
Long-Term Care 7.5% (5.0% of Total Investments) | ||||||||
1,270 | Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc., Series | 10/08 at 105.00 | AAA | 1,320,660 | ||||
1998A, 6.125%, 10/01/31 | ||||||||
1,685 | Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, | 10/12 at 102.00 | BB | 1,464,450 | ||||
5.250%, 10/01/26 | ||||||||
1,500 | Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility | 3/12 at 105.00 | AAA | 1,527,390 | ||||
Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) | ||||||||
150 | Massachusetts Industrial Finance Agency, FHA-Insured Project Revenue Bonds, Heights Crossing | 8/08 at 100.00 | AAA | 150,165 | ||||
LP, Series 1995, 6.000%, 2/01/15 (Alternative Minimum Tax) | ||||||||
400 | Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement | 1/11 at 101.00 | BBB | 381,944 | ||||
Community, Series 1994B, 4.750%, 7/01/17 | ||||||||
| ||||||||
5,005 | Total Long-Term Care | 4,844,609 | ||||||
| ||||||||
Tax Obligation/General 18.3% (12.1% of Total Investments) | ||||||||
500 | Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 AMBAC Insured | 5/15 at 100.00 | Aaa | 512,010 | ||||
1,250 | Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17 | 1/15 at 100.00 | AA+ | 1,326,388 | ||||
1,000 | Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 FSA Insured | 2/13 at 101.00 | AAA | 1,016,090 | ||||
2,500 | Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, | No Opt. Call | AAA | 2,972,849 | ||||
Series 1991A, 7.000%, 3/01/21 | ||||||||
1,275 | Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2001D, 6.000%, 11/01/13 | No Opt. Call | AAA | 1,439,513 | ||||
MBIA Insured | ||||||||
980 | Monson, Massachusetts, General Obligation Bonds, Series 2002, 5.250%, 5/15/22 AMBAC Insured | 5/12 at 101.00 | Aaa | 1,000,208 | ||||
1,260 | Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 FGIC Insured | No Opt. Call | AA+ | 1,287,418 | ||||
1,000 | Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/29 | No Opt. Call | A3 | 982,670 | ||||
FGIC Insured | ||||||||
1,220 | Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 | 7/15 at 100.00 | A | 1,241,667 | ||||
FGIC Insured | ||||||||
| ||||||||
10,985 | Total Tax Obligation/General | 11,778,813 | ||||||
| ||||||||
Tax Obligation/Limited 13.8% (9.2% of Total Investments) | ||||||||
210 | Marthas Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 | 5/14 at 100.00 | AAA | 205,013 | ||||
AMBAC Insured | ||||||||
385 | Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds, | No Opt. Call | AAA | 404,808 | ||||
Series 2004C, 5.250%, 7/01/21 | ||||||||
975 | Massachusetts Bay Transportation Authority, Senior Sales Tax Revenue Bonds, Series 2006, | 7/18 at 100.00 | AAA | 955,442 | ||||
5.000%, 7/01/26 | ||||||||
550 | Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, | 5/14 at 100.00 | AAA | 559,895 | ||||
5/01/19 MBIA Insured | ||||||||
325 | Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, | 5/16 at 100.00 | AAA | 311,636 | ||||
5/01/31 AMBAC Insured | ||||||||
1,200 | Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 | 5/18 at 100.00 | AAA | 1,142,184 | ||||
(WI/DD, Settling 3/12/08) AGC Insured | ||||||||
1,000 | Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, | No Opt. Call | A1 | 1,021,300 | ||||
5.375%, 5/01/23 XLCA Insured | ||||||||
1,300 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, | 8/15 at 100.00 | AAA | 1,328,379 | ||||
5.000%, 8/15/20 FSA Insured | ||||||||
540 | Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 | No Opt. Call | A | 538,056 | ||||
FGIC Insured | ||||||||
1,000 | Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note | No Opt. Call | Aaa | 1,077,020 | ||||
Program, Series 2003A, 5.000%, 12/15/13 FSA Insured | ||||||||
240 | Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, | No Opt. Call | AAA | 26,623 | ||||
0.000%, 7/01/43 AMBAC Insured | ||||||||
1,300 | Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, | No Opt. Call | AAA | 1,351,077 | ||||
5.500%, 7/01/19 MBIA Insured | ||||||||
| ||||||||
9,025 | Total Tax Obligation/Limited | 8,921,433 | ||||||
| ||||||||
Transportation 13.5% (9.0% of Total Investments) | ||||||||
2,000 | Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 MBIA Insured | 7/13 at 100.00 | AAA | 1,906,020 | ||||
1,700 | Massachusetts Port Authority, Revenue Bonds, Series 2005A, 5.000%, 7/01/23 AMBAC Insured | 7/15 at 100.00 | AAA | 1,681,946 | ||||
1,000 | Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series | 7/17 at 100.00 | A | 899,900 | ||||
2007, 5.000%, 7/01/32 FGIC Insured (Alternative Minimum Tax) | ||||||||
225 | Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series | 1/11 at 101.00 | AAA | 205,238 | ||||
2001A, 5.000%, 1/01/27 AMBAC Insured (Alternative Minimum Tax) | ||||||||
4,000 | Massachusetts Port Authority, Special Facilities Revenue Bonds, US Airways Group Inc., Series | 3/08 at 101.00 | AAA | 4,020,599 | ||||
1996A, 5.750%, 9/01/16 MBIA Insured (Alternative Minimum Tax) | ||||||||
| ||||||||
8,925 | Total Transportation | 8,713,703 | ||||||
| ||||||||
U.S. Guaranteed 24.9% (16.6% of Total Investments) (4) | ||||||||
550 | Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001B, | 5/11 at 100.00 | Baa3 (4) | 588,198 | ||||
5.500%, 5/15/41 (Pre-refunded 5/15/11) | ||||||||
25 | Massachusetts Bay Transportation Authority, Senior Sales Tax Revenue Bonds, Series 2006, | 7/18 at 100.00 | Aa2 (4) | 26,695 | ||||
5.000%, 7/01/26 (Pre-refunded 7/01/18) | ||||||||
2,500 | Massachusetts Development Finance Authority, GNMA Collateralized Revenue Bonds, VOA Concord | 10/11 at 105.00 | AAA | 2,926,699 | ||||
Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 (Pre-refunded 10/20/11) | ||||||||
500 | Massachusetts Development Finance Authority, Revenue Bonds, Belmont Hills School, Series 2001, | 9/11 at 101.00 | A (4) | 540,470 | ||||
5.375%, 9/01/23 (Pre-refunded 9/01/11) | ||||||||
1,000 | Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy | 7/13 at 101.00 | A (4) | 1,120,330 | ||||
and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13) | ||||||||
410 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., | 7/21 at 100.00 | AAA | 422,267 | ||||
Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) MBIA Insured | ||||||||
600 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical | 5/12 at 100.00 | A (4) | 647,076 | ||||
Center Hospitals, Series 2002H, 5.375%, 5/15/19 (Pre-refunded 5/15/12) FGIC Insured | ||||||||
1,925 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare | 7/11 at 101.00 | AA (4) | 2,098,096 | ||||
System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11) | ||||||||
1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, University of | 10/11 at 100.00 | A+ (4) | 1,069,130 | ||||
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, Belmont Hill School, Series 1998, | 9/08 at 101.00 | A (4) | 2,354,417 | ||||
5.250%, 9/01/28 (Pre-refunded 9/01/08) | ||||||||
705 | Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM) | 7/08 at 100.00 | AAA | 900,038 | ||||
1,500 | Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25 | 1/14 at 100.00 | A (4) | 1,627,155 | ||||
(Pre-refunded 1/01/14) FGIC Insured | ||||||||
1,615 | Springfield, Massachusetts, General Obligation Bonds, Series 2003, 5.250%, 1/15/23 | 1/13 at 100.00 | AAA | 1,749,174 | ||||
(Pre-refunded 1/15/13) MBIA Insured | ||||||||
| ||||||||
14,630 | Total U.S. Guaranteed | 16,069,745 | ||||||
| ||||||||
Utilities 3.2% (2.1% of Total Investments) | ||||||||
1,000 | Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System, | 1/12 at 101.00 | AAA | 1,070,620 | ||||
Series 2001A, 5.625%, 1/01/16 MBIA Insured | ||||||||
1,000 | Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden | 12/08 at 102.00 | BBB | 980,770 | ||||
Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) | ||||||||
| ||||||||
2,000 | Total Utilities | 2,051,390 | ||||||
| ||||||||
Water and Sewer 11.1% (7.3% of Total Investments) | ||||||||
2,000 | Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series | 11/14 at 100.00 | AA | 1,997,540 | ||||
2004A, 5.000%, 11/01/25 | ||||||||
60 | Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, | 8/13 at 100.00 | AAA | 60,394 | ||||
5.000%, 8/01/22 | ||||||||
285 | Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10, | 8/14 at 100.00 | AAA | 279,277 | ||||
5.000%, 8/01/26 | ||||||||
750 | Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11, | 8/15 at 100.00 | AAA | 678,488 | ||||
4.500%, 8/01/29 | ||||||||
1,000 | Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, | 8/16 at 100.00 | AAA | 876,570 | ||||
4.375%, 8/01/31 | ||||||||
1,250 | Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A, | 8/12 at 100.00 | AAA | 1,293,913 | ||||
5.250%, 8/01/20 | ||||||||
1,500 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, | 8/17 at 100.00 | AAA | 1,462,470 | ||||
8/01/28 MBIA Insured | ||||||||
625 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46 | 8/16 at 100.00 | AA | 478,706 | ||||
| ||||||||
7,470 | Total Water and Sewer | 7,127,358 | ||||||
| ||||||||
$ 97,295 | Total Investments (cost $99,099,005) 150.6% | 97,075,923 | ||||||
|
| |||||||
Other Assets Less Liabilities 2.2% | 1,373,499 | |||||||
| ||||||||
Preferred Shares, at Liquidation Value (52.8)% (5) | (34,000,000) | |||||||
| ||||||||
Net Assets Applicable to Common Shares 100% | $ | 64,449,422 | ||||||
|
Forward Swaps outstanding at February 29, 2008: | ||||||||||||||||
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 | $ 97,954 | ||||||||
Royal Bank of Canada | 1,450,000 | Pay | SIFM | 4.335 | Quarterly | 8/06/08 | 8/06/37 | 81,376 | ||||||||
| ||||||||||||||||
$179,330 | ||||||||||||||||
| ||||||||||||||||
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 & Poors Group (Standard & Poors) or Moodys Investor Service, | |
Inc. (Moodys) rating. Ratings below BBB by Standard & Poors or Baa by Moodys are considered to be | ||
below investment grade. | ||
The Portfolio of Investments reflects the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA | ||
and XLCA as of February 29, 2008. Subsequent to February 29, 2008, at least one rating agency reduced | ||
the rating for AMBAC-insured bonds to AA and at least one rating agency further reduced the ratings for | ||
CIFG-insured, FGIC-insured and XLCA-insured bonds. As of February 29, 2008, 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 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) | Preferred Shares, at Liquidation Value as a percentage of total investments is (35.0)%. | |
(6) | Effective date represents the date on which both the Fund and counterparty commence interest payment | |
accruals on each forward swap contract. | ||
N/R | Not rated. | |
WI/DD | Purchased on a when-issued or delayed delivery basis. | |
(ETM) | Escrowed to maturity. |
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 and timing differences in recognizing certain gains and losses on investment transactions. 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 value of the Fund. At February 29, 2008, the cost of investments was $99,025,800.
Gross unrealized appreciation and gross unrealized depreciation of investments at February 29, 2008, were as follows:
| ||
Gross unrealized: | ||
Appreciation | $ 2,107,181 | |
Depreciation | (4,057,058) | |
| ||
Net unrealized appreciation (depreciation) of investments | $(1,949,877) |
Item 2. Controls and Procedures.
Item 3. Exhibits.
File as exhibits as part of this Form 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)), exactly as set forth below: See EX-99 CERT attached hereto.
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 April 29, 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 April 29, 2008
By (Signature and Title)
/s/ Stephen D.
Foy
Stephen
D.
Foy
Vice President and Controller (principal financial officer)
Date April 29, 2008