nmt.htm
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

Nuveen Massachusetts Premium Income Municipal Fund
(Exact name of registrant as specified in charter)

Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Address of principal executive offices) (Zip code)

Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Name and address of agent for service)

Registrant's telephone number, including area code: (312) 917-7700

Date of fiscal year end: May 31

Date of reporting period: November 30, 2011

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.

 
 
 
 
 
 
 

 
 
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Table of Contents
 
Chairman’s Letter to Shareholders
4
Portfolio Managers’ Comments
5
Fund Leverage and Other Information
12
Common Share Dividend and Share Price Information
15
Performance Overviews
16
Shareholder Meeting Report
24
Portfolios of Investments
25
Statement of Assets and Liabilities
62
Statement of Operations
64
Statement of Changes in Net Assets
66
Statement of Cash Flows
69
Financial Highlights
71
Notes to Financial Statements
83
Reinvest Automatically, Easily and Conveniently
97
Glossary of Terms Used in this Report
99
Additional Fund Information
103

 
 

 

Chairman’s
Letter to Shareholders
 
 
Dear Shareholders,
 
These are perplexing times for investors. The global economy continues to struggle. The solutions being implemented in the eurozone to deal with the debt crises of many of its member countries are not yet seen as sufficient by the financial markets. The political paralysis in the U.S. has prevented the compromises necessary to deal with the fiscal imbalance and government spending priorities. The efforts by individual consumers, governments and financial institutions to reduce their debts are increasing savings but reducing demand for the goods and services that drive employment. These developments are undermining the rebuilding of confidence by consumers, corporations and investors that is so essential to a resumption of economic growth.
 
Although it is painfully slow, progress is being made. In Europe, the turnover of a number of national governments reflects the realization by politicians and voters alike that leaders who practiced business as usual had to be replaced by leaders willing to face problems and accept the hard choices needed to resolve them. The recent coordinated efforts by central banks in the U.S. and Europe to provide liquidity to the largest European banks indicates that these monetary authorities are committed to facilitating a recovery in the European banking sector.
 
In the U.S., the failure of the congressionally appointed Debt Reduction Committee was a blow to those who hoped for a bipartisan effort to finally begin addressing the looming fiscal crisis. Nevertheless, Congress and the administration cannot ignore the issue for long. The Bush era tax cuts are scheduled to expire on December 31, 2012, and six months later the $1.2 trillion of mandatory across-the-board spending cuts under the Budget Control Act of 2011 begin to go into effect. Any legislative modification would require bipartisan support and the prospects for a bipartisan solution are unclear. The impact of these two developments would be a mixed blessing: a meaningful reduction in the annual budget deficit at the cost of slowing the economic recovery.
 
It is in these particularly volatile markets that professional investment management is most important. Skillful investment teams who have experienced challenging markets and remain committed to their investment disciplines are critical to the success of an investor’s long-term objectives. In fact, many long-term investment track records are built during challenging markets when managers are able to protect investors against these economic crosscurrents. Experienced investment teams know that volatile markets put a premium on companies and investment ideas that will weather the short-term volatility and that compelling values and opportunities are opened up when markets overreact to negative developments. By maintaining appropriate time horizons, diversification and relying on practiced investment teams, we believe that investors can achieve their long-term investment objectives.
 
As always, I encourage you to contact your financial consultant if you have any questions about your investment in a Nuveen Fund. On behalf of the other members of your Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
 
Sincerely,
 
 
Robert P. Bremner
Chairman of the Board
January 20, 2012
 
4
 
Nuveen Investments

 
 

 
 
Portfolio Managers’ Comments
 
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)
 
Portfolio managers Michael Hamilton and Chris Drahn, CFA discuss key investment strategies and the six-month performance of these eight Nuveen Funds. With 23 years of investment experience, Michael assumed portfolio management responsibility for the Connecticut and Massachusetts Funds in January 2011. Chris, who has 32 years of financial industry experience, took on portfolio management responsibility for NOM in January 2011.
 
What key strategies were used to manage these Funds during the six-month reporting period ended November 30, 2011?
 
During this reporting period, municipal bond prices generally rallied as yields declined across the municipal curve. The decline in yields was attributable in part to the continued depressed levels of municipal bond issuance. Tax-exempt volume, which had been limited in 2010 by issuers’ extensive use of taxable Build America Bonds (BABs), generally continued to drift lower in 2011. For the six months ended November 30, 2011, national municipal issuance was down 17% compared with the same period in 2010, while issuance declined 14% in Massachusetts and 10% in Missouri during the same period. In Connecticut, municipal issuance rose by just 2% during this period.
 
In addition, finding appropriate insured municipal bonds, especially new insured issues, remained a challenge for the Funds with an insured mandate, such as NGX, due to the continued severe decline in insured issuance. Over the past few years, most municipal bond insurers had their credit ratings downgraded, and only one insurer currently insures new municipal bonds. As a result, the supply of insured municipal securities has decreased dramatically. Through November 30, 2011, issuance of new insured paper in 2011 accounted for just 5% of total municipal issuance, down 46% from the eleven months ended November 2010. Even though NGX may now invest up to 20% of its net assets in uninsured investment-grade credits rated BBB- or higher, the combination of tight municipal supply, little insured issuance, and relatively lower yields meant few attractive opportunities for this Fund during this period.
 
Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.
 
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
 
Nuveen Investments
 
5
 
 
 

 

Despite the constrained issuance of tax-exempt municipal bonds and relatively lower yields, we continued to take a bottom-up approach to discovering what we thought were undervalued sectors and individual credits with the potential to perform well over the long term. During this period, the Connecticut Funds took advantage of attractive opportunities to add to their holdings in the health care sector, purchasing a variety of names across all four Funds, including bonds issued for Sacred Heart Hospital, Lawrence Memorial Hospital, and hospitals in Danbury, Middlesex and Hartford. In the Massachusetts Funds, we found value in several sectors, including general obligation credits, student loan bonds, higher education issues, sales tax revenue bonds, as well as health care credits in NMB. NOM added utilities and continuing care retirement community credits, higher education bonds (e.g., Washington University, Webster University), and health care credits, including St. Luke Episcopal Hospital in St. Louis and Capital Region Medical Center in Jefferson City. When state paper was scarce, the Connecticut Funds and NOM took advantage of their ability to invest a portion of their net assets in buying tax-exempt territorial bonds, including Puerto Rico sales tax bonds in NOM, to keep the Funds invested.
 
Our focus in these Funds generally was on purchasing bonds with intermediate and longer maturities in order to keep the Funds’ durations within their targeted objectives to help maintain their yield curve positioning. The purchase of longer bonds also enabled us to take advantage of more attractive yields at the longer end of the municipal yield curve. From a quality perspective, the Connecticut and Massachusetts Funds emphasized lower-rated credits, while NOM’s purchases were diversified across the credit quality categories, with the majority rated A. Because the issuance of new municipal supply continued to be limited, we monitored the secondary, as well as the primary, market for attractive opportunities.
 
Cash for new purchases was generated primarily by the proceeds from bond calls and maturing bonds. The elevated number of bond calls provided a meaningful source of liquidity, which drove much of our activity during this period as we worked to redeploy the proceeds to keep the Funds fully invested. The Connecticut Funds and NOM also sold some bonds with short maturities or short call dates, while the Massachusetts Funds trimmed their positions in bonds rated AAA. Overall, selling was relatively minimal, as the bonds in our portfolios generally offered higher yields than those available in the current marketplace.
 
As of November 30, 2011, all of these Funds continued to use inverse floating rate securities. We employ inverse floaters for a variety of reasons, including duration management, income enhancement and total return enhancement.
 
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Nuveen Investments

 
 

 

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.
 
Average Annual Total Returns on Common Share Net Asset Value*
For periods ended 11/30/11
 
     
6-Month
 
1-Year
 
5-Year
 
10-Year
Connecticut Funds
                         
NTC
   
5.19
%
 
6.86
%
 
4.64
%
 
5.62
%
NFC
   
5.53
%
 
7.25
%
 
4.84
%
 
6.06
%
NGK
   
5.34
%
 
6.11
%
 
4.73
%
 
N/A
NGO
   
5.17
%
 
6.97
%
 
4.42
%
 
N/A
                           
Standard & Poor’s (S&P) Connecticut Municipal Bond Index**
   
3.03
%
 
5.05
%
 
4.33
%
 
4.67
%
Standard & Poor’s (S&P) National Municipal Bond Index**
   
4.35
%
 
6.50
%
 
4.40
%
 
5.08
%
Lipper Other States Municipal Debt Funds Classification Average**
   
6.67
%
 
8.40
%
 
4.70
%
 
5.72
%
                           
Massachusetts Funds
                         
NMT
   
6.19
%
 
8.61
%
 
4.82
%
 
5.68
%
NMB
   
5.71
%
 
8.12
%
 
4.18
%
 
6.01
%
                           
Standard & Poor’s (S&P) Massachusetts Municipal Bond Index**
   
3.78
%
 
6.41
%
 
4.91
%
 
5.28
%
Standard & Poor’s (S&P) National Municipal Bond Index**
   
4.35
%
 
6.50
%
 
4.40
%
 
5.08
%
Lipper Other States Municipal Debt Funds Classification Average**
   
6.67
%
 
8.40
%
 
4.70
%
 
5.72
%
                           
Insured Massachusetts Fund
                         
NGX
   
3.91
%
 
6.18
%
 
4.44
%
 
N/A
                           
Standard & Poor’s (S&P) Massachusetts Municipal Bond Index**
   
3.78
%
 
6.41
%
 
4.91
%
 
5.28
%
Standard & Poor’s (S&P) National Insured Municipal Bond Index**
   
4.85
%
 
6.95
%
 
4.42
%
 
5.15
%
Lipper Single-State Insured Municipal Debt Funds
                         
Classification Average**
   
6.20
%
 
8.01
%
 
4.26
%
 
5.79
%
                           
Missouri Fund
                         
NOM
   
7.18
%
 
9.48
%
 
4.12
%
 
5.37
%
                           
Standard & Poor’s (S&P) Missouri Municipal Bond Index**
   
4.47
%
 
7.21
%
 
4.53
%
 
5.23
%
Standard & Poor’s (S&P) National Municipal Bond Index**
   
4.35
%
 
6.50
%
 
4.40
%
 
5.08
%
Lipper Other States Municipal Debt Funds Classification Average**
   
6.67
%
 
8.40
%
 
4.70
%
 
5.72
%
 
*
Six-month returns are cumulative; all other returns are annualized.
   
**
For definitions, refer to the Glossary of Terms Used in this Report.
   
 
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.
 
Nuveen Investments
 
7

 
 

 
 
For the six months ended November 30, 2011, the cumulative returns on common share net asset value (NAV) for all seven of the non-insured Connecticut, Massachusetts and Missouri Funds exceeded the returns for their respective state’s Standard & Poor’s (S&P) Municipal Bond Index as well as the S&P National Municipal Bond Index. NOM also outperformed the average return for the Lipper Other States Municipal Debt Funds Classification Average, while the remaining six non-insured Funds trailed this Lipper average. Shareholders should note that the performance of the Lipper Other States classification represents the overall average of returns for funds from ten different states with a wide variety of municipal market conditions, making direct comparisons less meaningful. For the same period, NGX outperformed the S&P Massachusetts Municipal Bond Index and underperformed the national S&P Insured Municipal Bond Index and the Lipper Single-State Insured Municipal Debt Funds Classification Average.
 
Key management factors that influenced the Funds’ returns during this period included duration and yield curve positioning, credit exposure and sector allocation. In addition, the use of structural leverage was an important positive factor affecting the Funds’ performance. Leverage is discussed in more detail later in this report.
 
During this period, municipal bonds with intermediate and longer maturities generally outperformed those with shorter maturities, with bonds at the longest end of the municipal yield curve posting the strongest returns. Duration and yield curve positioning was a net positive contributor to the performance of all of the Funds in this report except NGX. Overall, NOM was advantageously situated in terms of duration and yield curve positioning. NMT and NMB also were overweighted in the outperforming longer end of the curve and underweighted in the underperforming shorter part of the curve. Although the Connecticut Funds tended to be overweighted to the shortest end of the curve that produced the weakest returns, this was more than offset by the Funds’ relative underweighting in medium term bonds and heavy overweighting in bonds with longer maturities. However, NGX was not as well positioned for the environment of this period, with an overweight in the short end of the curve and underexposure to the long end; this was the main component of the Fund’s underperformance for this period. NGX’s positioning was largely the result of the severe decline in new insured municipal issuance, as previously discussed. As the maturities on the insured bonds in NGX’s portfolio shortened, it became very difficult to find new insured bonds with longer maturities to replace them and thereby extend NGX’s duration. Recent changes to NGX’s investment policies as discussed in more detail later in this report.
 
8
 
Nuveen Investments

 
 

 

Credit exposure also played a role in performance during these six months, as lower-rated bonds, especially those rated BBB, generally outperformed higher-quality bonds rated AAA and AA. Overall, credit exposure was positive for NMT, NMB and NOM, all of which were overweighted in bonds rated BBB and underweighted in bonds rated AAA and AA. In the Connecticut Funds, the impact of the Funds’ credit allocations was relatively neutral. In the insured NGX, the Fund’s heavy weighting of AAA and AA bonds and underexposure to bonds rated BBB detracted from its performance for the period.
 
Holdings that generally made positive contributions to the Funds’ returns during this period included zero coupon bonds and health care, industrial development revenue (IDR), transportation and education credits. All of these Funds (except NGX) were overweighted in health care, especially NFC and NOM, which boosted their performance. The Massachusetts and Connecticut Funds also had heavy weightings in the education sector. In addition, NMT and NMB benefited from their holdings of multi-family housing bonds. NOM, which added to its position in Puerto Rico sales tax bonds during this period, was rewarded as these bonds performed well for the six months.
 
In contrast, pre-refunded bonds, which are often backed by U.S. Treasury securities, were the poorest performing market segment during this period. The underperformance of these bonds can be attributed primarily to their shorter effective maturities and higher credit quality. Among these eight Funds, NGX was heavily overweighted in pre-refunded bonds, while NGK and NGO also had double-digit allocations to pre-refunded bonds, which negatively impacted their performance. In addition, NMB held two health care credits—Northern Berkshire Community Hospital System and Quincy Medical Center—that detracted from the Fund’s performance as the hospitals continued to work through financial issues, including bankruptcy.
 
APPROVED FUND MERGERS
 
On August 1, 2011, the Funds’ Board of Trustees approved a series of reorganizations for all the Connecticut funds included in this report. The reorganizations are intended to create a single larger state Fund, which would potentially offer shareholders the following benefits:
 
Lower Fund expense ratios (excluding the effects of leverage), as fixed costs are spread over a larger asset base;
   
Enhanced secondary market trading, as larger Funds potentially make it easier for investors to buy and sell fund shares;
   
Lower per share trading costs through reduced bid/ask spreads due to a larger common share float; and
   
Increased Fund flexibility in managing the structure and cost of leverage over time.
 
Nuveen Investments
 
9

 
 

 
 
The approved reorganizations are as follows:
 
Acquired Funds
 
Acquiring Fund
Nuveen Connecticut Dividend Advantage Municipal Fund (NFC)
 
Nuveen Connecticut Premium Income Municipal Fund (NTC)
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK)
   
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO)
   
 
A special meeting of shareholders for the purpose of voting on the reorganizations was held on December 19, 2011 and subsequently adjourned to January 31, 2012 because a sufficient number of shareholders did not vote by the original meeting date and in order to allow shareholders more time to cast their votes.
 
If shareholders approve the reorganizations, and upon the closing of the reorganizations, the Acquired Fund will transfer substantially all of its assets to the Acquiring Fund in exchange for common and preferred shares of the Acquiring Fund, and the assumption by the Acquiring Fund of the liabilities of the Acquired Fund. The Acquired Fund will then be liquidated, dissolved and terminated in accordance with its Declaration of Trust.
 
If shareholders approve the reorganizations, Acquired Fund shareholders will become shareholders of the Acquiring Fund. Holders of common shares will receive newly issued common shares of the Acquiring Fund, the aggregate net asset value of which will be equal to the aggregate net asset value of the common shares of the Acquired Fund held immediately prior to the reorganizations (including for this purpose fractional Acquiring Fund shares to which shareholders would be entitled). Fractional shares will be sold on the open market and shareholders will receive cash in lieu of such fractional shares. Holders of MTP Shares of each Acquired Fund will receive on a one-for-one basis newly issued MTP Shares of the Acquiring Fund, in exchange for MTP Shares of the Acquired Fund held immediately prior to the reorganization, with such new Acquiring Fund MTP Shares having the same terms as exchanged MTP Shares of the Acquired Fund.
 
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Nuveen Investments

 
 

 
 
FUND POLICY CHANGES
 
On October 31, 2011, the Board of Trustees of NGX approved changes to the Fund’s fundamental investment policy regarding its investment in insured municipal securities and recommended submitting the changes to shareholders for approval at its annual shareholder meeting. NGX held its annual meeting December 16, 2011 and the meeting was subsequently adjourned to January 31, 2012.
 
If shareholders approve the changes, NGX will eliminate the investment policy requiring it, under normal circumstances, to invest at least 80% of its managed assets in municipal securities that are covered by insurance guaranteeing the timely payment of principal and interest. The change is designed to provide the Adviser with more flexibility regarding the types of securities available for investment by NGX.
 
As noted previously, over the past few years most municipal bond insurers have had their credit ratings downgraded and only one insurer is currently insuring new municipal bonds. As a result, the supply of insured municipal securities has decreased dramatically and the long-term viability of the municipal bond insurance market is uncertain. NGX is not changing its investment objective. In addition, if shareholders approve the changes, NGX, as a non-fundamental investment policy, will invest at least 80% of its managed assets in municipal securities that pay interest exempt from the federal alternative minimum tax applicable to individuals and will change its name to Nuveen Massachusetts AMT-Free Municipal Income Fund, Inc.
 
Nuveen Investments
 
11

 
 

 
 
Fund Leverage and
Other Information
 
IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE
 
One important factor impacting the returns of all these Funds relative to the comparative indexes was the Funds’ use of leverage. The Funds use leverage because their managers believe that, over time, leveraging provides opportunities for additional income and total return for common shareholders. However, use of leverage also can expose common shareholders to additional volatility. For example, as the prices of securities held by a Fund decline, the negative impact of these valuation changes on common share net asset value and common shareholder total return is magnified by the use of leverage. Conversely, leverage may enhance common share returns during periods when the prices of securities held by a Fund generally are rising. Leverage made a positive contribution to the performance of these Funds over this reporting period.
 
RECENT DEVELOPMENTS REGARDING THE FUNDS’ REDEMPTION OF AUCTION RATE PREFERRED SHARES
 
Shortly after their respective inceptions, each of the Funds issued auction rate preferred shares (ARPS) to create structural leverage. As noted in past shareholder reports, the weekly auctions for those ARPS shares began in February 2008 to consistently fail, causing the Funds to pay the so called “maximum rate” to ARPS shareholders under the terms of the ARPS in the Funds’ charter documents. As of May 31, 2011, the Funds redeemed all of their outstanding ARPS at par and since then have relied upon inverse floating rate securities and MuniFund Term Preferred (MTP) Shares to create effective and structural leverage, respectively.
 
During 2010 and 2011, certain Nuveen leveraged closed-end funds (excluding all the Funds included in this report) received a demand letter from a law firm on behalf of purported holders of common shares of each such fund, alleging that Nuveen and the funds’ officers and Board of Directors/Trustees breached their fiduciary duties related to the redemption at par of the funds’ ARPS. In response, the Board established an ad hoc Demand Committee consisting of certain of its disinterested and independent Board members to investigate the claims. The Demand Committee retained independent counsel to assist it in conducting an extensive investigation. Based upon its investigation, the Demand Committee found that it was not in the best interests of each fund or its shareholders to take the actions suggested in the demand letters, and recommended that the full Board reject the demands made in the demand letters. After reviewing the findings and recommendation of the Demand Committee, the full Board of each fund unanimously adopted the Demand Committee’s recommendation.
 
12
 
Nuveen Investments

 
 

 

Subsequently, the funds that received demand letters were named in a consolidated complaint as nominal defendants in a putative shareholder derivative action captioned Martin Safier, et al. v. Nuveen Asset Management, et al. that was filed in the Circuit Court of Cook County, Illinois, Chancery Division (the “Cook County Chancery Court”) on February 18, 2011 (the “Complaint”). The Complaint, filed on behalf of purported holders of each fund’s common shares, also named Nuveen Fund Advisors, Inc. as a defendant, together with current and former Officers and interested Directors/Trustees of each of the funds (together with the nominal defendants, collectively, the “Defendants”). The Complaint contained the same basic allegations contained in the demand letters. The Defendants filed a motion to dismiss the suit and on December 16, 2011, the court granted that motion dismissing the Complaint. The plaintiffs failed to file an appeal of the court’s decision within the required time period, resulting in the final disposition of the suit.
 
MTP Shares
 
As of November 30, 2011, the Funds have issued and outstanding MTP Shares, as shown in the accompanying table.
                         
    MTP Shares Issued    
Annual
  NYSE
Fund
   
Series
  At Liquidation Value    
Interest Rate
 
Ticker
NTC
   
2015
 
$
18,300,000
   
2.65
%
 
NTC Pr C
NTC
   
2016
 
$
17,780,000
   
2.55
%
 
NTC Pr D
NFC
   
2015
 
$
20,470,000
   
2.60
%
 
NFC Pr C
NGK
   
2015
 
$
16,950,000
   
2.60
%
 
NGK Pr C
NGO
   
2015
 
$
32,000,000
   
2.65
%
 
NGO Pr C
NMT
   
2015
 
$
20,210,000
   
2.65
%
 
NMT Pr C
NMT
   
2016
 
$
16,435,000
   
2.75
%
 
NMT Pr D
NMB
   
2015
 
$
14,725,000
   
2.60
%
 
NMB Pr C
NGX
   
2015
 
$
22,075,000
   
2.65
%
 
NGX Pr C
NOM
   
2015
 
$
17,880,000
   
2.10
%
 
NOM Pr C
 
(Refer to Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies and Footnote 4 – Fund Shares for further details on MTP Shares.)
 
As of October 5, 2011, all 84 of the Nuveen closed-end municipal funds that had issued ARPS, approximately $11.0 billion, have redeemed at liquidation value all of these shares. For up-to-date information, please visit the Nuveen CEF Auction Rate Preferred Resource Center at: http://www.nuveen.com/arps.
 
Nuveen Investments
 
13

 
 

 
 
RISK CONSIDERATIONS
 
Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation. Past performance is no guarantee of future results. Fund common shares are subject to a variety of risks, including:
 
Investment and Market Risk. An investment in common shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Your investment in common shares represents an indirect investment in the municipal securities owned by the Fund, which generally trade in the over-the-counter markets. Your common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.
 
Price Risk. Shares of closed-end investment companies like these Funds frequently trade at a discount to their NAV. Your common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.
 
Leverage Risk. Each Fund’s use of leverage creates the possibility of higher volatility for the Fund’s per share NAV, market price, distributions and returns. There is no assurance that a Fund’s leveraging strategy will be successful.
 
Tax Risk. The tax treatment of Fund distributions may be affected by new IRS interpretations of the Internal Revenue Code and future changes in tax laws and regulations.
 
Issuer Credit Risk. This is the risk that a security in a Fund’s portfolio will fail to make dividend or interest payments when due.
 
Interest Rate Risk. Fixed-income securities such as bonds, preferred, convertible and other debt securities will decline in value if market interest rates rise.
 
Reinvestment Risk. If market interest rates decline, income earned from a Fund’s portfolio may be reinvested at rates below that of the original bond that generated the income.
 
Call Risk or Prepayment Risk. Issuers may exercise their option to prepay principal earlier than scheduled, forcing a Fund to reinvest in lower-yielding securities.
 
Inverse Floater Risk. The funds invest in inverse floaters. Due to their leveraged nature, these investments can greatly increase a fund’s exposure to interest rate risk and credit risk. In addition, investments in inverse floaters involve the risk that the fund could lose more than its original principal investment.
 
14
 
Nuveen Investments

 
 

 
 
Common Share Dividend and
Share Price Information
 
DIVIDEND INFORMATION
 
The monthly dividends of NTC, NMT and NOM remained stable throughout the six-month reporting period ended November 30, 2011, while NFC, NGK, NGO, NMB and NGX each had one reduction in their monthly dividends, effective September 2011.
 
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, 2011, all of the Funds in this report except NMB and NGX had positive UNII balances, based upon our best estimate, for tax purposes and positive UNII balances for financial reporting purposes. NMB and NGX had positive UNII balances, based upon our best estimate, for tax purposes and negative UNII balances for financial reporting purposes.
 
COMMON SHARE REPURCHASES AND SHARE PRICE INFORMATION
 
Since the inception of the fund’s repurchase programs, the Funds have not repurchased any of their outstanding common shares.
 
As of November 30, 2011, the Funds’ common share prices were trading at (+)premiums or (-) discounts to their common share NAVs as shown in the accompanying table.
 
 
11/30/11
6-Month Average
Fund
(+) Premium/(-)Discount
(+) Premium/(-)Discount
NTC
(-) 3.84%
(-) 7.47%
NFC
(+) 0.27%
(-) 3.49%
NGK
(-) 0.20%
(-) 2.41%
NGO
(-) 6.02%
(-) 8.35%
NMT
(-) 5.87%
(-) 5.85%
NMB
(-) 5.64%
(-) 6.15%
NGX
(-) 6.46%
(-) 6.34%
NOM
(+)15.72%
(+)9.29%
 
Nuveen Investments
 
15

 
 

 

NTC
 
Nuveen Connecticut
Performance
 
Premium Income
OVERVIEW
 
Municipal Fund
   
as of November 30, 2011
 
 
Fund Snapshot
       
Common Share Price
 
$
14.04
 
Common Share Net Asset Value (NAV)
 
$
14.60
 
Premium/(Discount) to NAV
   
-3.84
%
Market Yield
   
5.04
%
Taxable-Equivalent Yield1
   
7.37
%
Net Assets Applicable to Common Shares ($000)
 
$
78,350
 

Leverage
       
Structural Leverage
   
31.53
%
Effective Leverage
   
35.99
%

Average Annual Total Return
             
(Inception 5/20/93)
         
   
On Share Price
On NAV
6-Month (Cumulative)
   
9.33
%
 
5.19
%
1-Year
   
9.03
%
 
6.86
%
5-Year
   
4.77
%
 
4.64
%
10-Year
   
4.13
%
 
5.62
%

Portfolio Composition3
       
(as a % of total investments)
       
Education and Civic Organizations
   
27.0
%
Health Care
   
15.8
%
Tax Obligation/General
   
14.0
%
Tax Obligation/Limited
   
12.4
%
Water and Sewer
   
9.5
%
U.S. Guaranteed
   
6.9
%
Housing/Single Family
   
6.4
%
Other
   
8.0
%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Holdings are subject to change.
 
16
 
Nuveen Investments

 
 

 

NFC
 
Nuveen Connecticut
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund
   
as of November 30, 2011
 
 
Fund Snapshot
       
Common Share Price
 
$
14.90
 
Common Share Net Asset Value (NAV)
 
$
14.86
 
Premium/(Discount) to NAV
   
0.27
%
Market Yield
   
4.87
%
Taxable-Equivalent Yield1
   
7.12
%
Net Assets Applicable to Common Shares ($000)
 
$
38,418
 

Leverage
       
Structural Leverage
   
34.76
%
Effective Leverage
   
38.74
%

Average Annual Total Return
             
(Inception 1/26/01)
             
    On Share Price  
On NAV
6-Month (Cumulative)
   
10.42
%
 
5.53
%
1-Year
   
11.12
%
 
7.25
%
5-Year
   
4.43
%
 
4.84
%
10-Year
   
4.72
%
 
6.06
%

Portfolio Composition3
       
(as a % of total investments)
       
Education and Civic Organizations
   
24.5
%
Health Care
   
20.0
%
Tax Obligation/Limited
   
17.2
%
Tax Obligation/General
   
11.7
%
Water and Sewer
   
10.3
%
Housing/Single Family
   
5.8
%
Other
   
10.5
%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Holdings are subject to change.
 
Nuveen Investments
 
17

 
 

 

NGK
 
Nuveen Connecticut
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund 2
   
as of November 30, 2011
 
 
Fund Snapshot
       
Common Share Price
 
$
14.78
 
Common Share Net Asset Value (NAV)
 
$
14.81
 
Premium/(Discount) to NAV
   
-0.20
%
Market Yield
   
5.07
%
Taxable-Equivalent Yield1
   
7.41
%
Net Assets Applicable to Common Shares ($000)
 
$
34,367
 

Leverage
       
Structural Leverage
   
33.03
%
Effective Leverage
   
37.26
%

Average Annual Total Return
             
(Inception 3/25/02)
             
    On Share Price  
On NAV
6-Month (Cumulative)
   
8.73
%
 
5.34
%
1-Year
   
6.36
%
 
6.11
%
5-Year
   
4.41
%
 
4.73
%
Since Inception
   
5.50
%
 
6.05
%

Portfolio Composition3
       
(as a % of total investments)
       
Education and Civic Organizations
   
24.3
%
Health Care
   
19.8
%
U.S. Guaranteed
   
11.4
%
Tax Obligation/Limited
   
10.7
%
Water and Sewer
   
8.6
%
Tax Obligation/General
   
7.6
%
Housing/Single Family
   
5.4
%
Other
   
12.2
%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Holdings are subject to change.
 
18
 
Nuveen Investments

 
 

 

NGO
 
Nuveen Connecticut
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund 3
   
as of November 30, 2011
 
 
Fund Snapshot
       
Common Share Price
 
$
13.57
 
Common Share Net Asset Value (NAV)
 
$
14.44
 
Premium/(Discount) to NAV
   
-6.02
%
Market Yield
   
5.08
%
Taxable-Equivalent Yield1
   
7.43
%
Net Assets Applicable to Common Shares ($000)
 
$
63,072
 
 
Leverage
       
Structural Leverage
   
33.66
%
Effective Leverage
   
37.46
%

Average Annual Total Return
             
(Inception 9/26/02)
             
    On Share Price  
On NAV
6-Month (Cumulative)
   
8.10
%
 
5.17
%
1-Year
   
4.98
%
 
6.97
%
5-Year
   
4.30
%
 
4.42
%
Since Inception
   
3.98
%
 
5.06
%

Portfolio Composition3
       
(as a % of total investments)
       
Education and Civic Organizations
   
20.5
%
Health Care
   
17.7
%
Tax Obligation/Limited
   
11.7
%
Water and Sewer
   
11.6
%
U.S. Guaranteed
   
11.3
%
Tax Obligation/General
   
8.4
%
Long-Term Care
   
6.1
%
Housing/Single Family
   
5.1
%
Other
   
7.6
%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Holdings are subject to change.
 
Nuveen Investments
 
19

 
 

 

NMT
 
Nuveen Massachusetts
Performance
 
Premium Income
OVERVIEW
 
Municipal Fund
   
as of November 30, 2011
 
 
Fund Snapshot
       
Common Share Price
 
$
13.78
 
Common Share Net Asset Value (NAV)
 
$
14.64
 
Premium/(Discount) to NAV
   
-5.87
%
Market Yield
   
5.66
%
Taxable-Equivalent Yield1
   
8.30
%
Net Assets Applicable to Common Shares ($000)
 
$
69,905
 
 
Leverage
       
Structural Leverage
   
34.39
%
Effective Leverage
   
36.45
%

Average Annual Total Return
             
(Inception 3/18/93)
             
    On Share Price  
On NAV
6-Month (Cumulative)
   
4.31
%
 
6.19
%
1-Year
   
2.15
%
 
8.61
%
5-Year
   
4.35
%
 
4.82
%
10-Year
   
4.01
%
 
5.68
%

Portfolio Composition4
       
(as a % of total investments)
       
Education and Civic Organizations
   
22.5
%
Health Care
   
16.7
%
Tax Obligation/General
   
14.0
%
U.S. Guaranteed
   
9.5
%
Transportation
   
7.6
%
Tax Obligation/Limited
   
7.6
%
Water and Sewer
   
7.2
%
Other
   
14.9
%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
The Fund paid shareholders capital gains distributions in December 2010 of $0.0376 per share.
4
Holdings are subject to change.
 
20
 
Nuveen Investments

 
 

 

NMB
 
Nuveen Massachusetts
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund
   
as of November 30, 2011
 
 
Fund Snapshot
       
Common Share Price
 
$
13.55
 
Common Share Net Asset Value (NAV)
 
$
14.36
 
Premium/(Discount) to NAV
   
-5.64
%
Market Yield
   
5.76
%
Taxable-Equivalent Yield1
   
8.45
%
Net Assets Applicable to Common Shares ($000)
 
$
28,223
 
 
Leverage
       
Structural Leverage
   
34.29
%
Effective Leverage
   
36.62
%

Average Annual Total Return
             
(Inception 1/30/01)
             
    On Share Price  
On NAV
6-Month (Cumulative)
   
3.17
%
 
5.71
%
1-Year
   
2.07
%
 
8.12
%
5-Year
   
2.51
%
 
4.18
%
10-Year
   
4.45
%
 
6.01
%

Portfolio Composition3
       
(as a % of total investments)
       
Education and Civic Organizations
   
30.8
%
Health Care
   
20.7
%
Tax Obligation/General
   
10.3
%
Tax Obligation/Limited
   
7.1
%
Long-Term Care
   
5.8
%
Water and Sewer
   
5.6
%
Housing/Multifamily
   
5.0
%
Other
   
14.7
%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Holdings are subject to change.
 
Nuveen Investments
 
21

 
 

 

NGX
 
Nuveen Insured
Performance
 
Massachusetts Tax-Free
OVERVIEW
 
Advantage Municipal Fund
   
as of November 30, 2011
 
 
Fund Snapshot
       
Common Share Price
 
$
13.61
 
Common Share Net Asset Value (NAV)
 
$
14.55
 
Premium/(Discount) to NAV
   
-6.46
%
Market Yield
   
5.25
%
Taxable-Equivalent Yield3
   
7.70
%
Net Assets Applicable to Common Shares ($000)
 
$
39,679
 

Leverage
       
Structural Leverage
   
35.75
%
Effective Leverage
   
36.10
%

Average Annual Total Return
             
(Inception 11/21/02)
             
    On Share Price  
On NAV
6-Month (Cumulative)
   
2.64
%
 
3.91
%
1-Year
   
0.90
%
 
6.18
%
5-Year
   
4.86
%
 
4.44
%
Since Inception
   
4.01
%
 
5.37
%

Portfolio Composition5
       
(as a % of total investments)
       
U.S. Guaranteed
   
27.5
%
Education and Civic Organizations
   
18.2
%
Water and Sewer
   
12.5
%
Tax Obligation/General
   
8.4
%
Housing/Multifamily
   
7.5
%
Health Care
   
7.2
%
Tax Obligation/Limited
   
6.9
%
Other
   
11.8
%

Insurers5
       
(as a % of total Insured investments)
       
NPFG4
   
31.2
%
AMBAC
   
21.4
%
FGIC
   
18.4
%
AGM
   
13.5
%
AGC
   
9.6
%
SYNCORA GTY
   
5.9
%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
The Fund intends to invest at least 80% of its managed assets in municipal securities that are covered by insurance guaranteeing the timely payment of principal and interest. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Insurance, for more information. At the end of the reporting period, 83% of the Fund’s total investments are invested in Insured Securities.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
4
MBIA’s public finance subsidiary.
5
Holdings are subject to change.

22
 
Nuveen Investments

 
 

 

NOM
 
Nuveen Missouri
Performance
 
Premium Income
OVERVIEW
 
Municipal Fund
   
as of November 30, 2011
 

Fund Snapshot
       
Common Share Price
 
$
15.90
 
Common Share Net Asset Value (NAV)
 
$
13.74
 
Premium/(Discount) to NAV
   
15.72
%
Market Yield
   
4.91
%
Taxable-Equivalent Yield1
   
7.25
%
Net Assets Applicable to Common Shares ($000)
 
$
31,905
 

Leverage
       
Structural Leverage
   
35.91
%
Effective Leverage
   
38.66
%

Average Annual Total Return
             
(Inception 5/20/93)
             
    On Share Price  
On NAV
6-Month (Cumulative)
   
17.70
%
 
7.18
%
1-Year
   
4.94
%
 
9.48
%
5-Year
   
4.09
%
 
4.12
%
10-Year
   
5.77
%
 
5.37
%

Portfolio Composition3
       
(as a % of total investments)
       
Health Care
   
20.7
%
Tax Obligation/Limited
   
17.9
%
Tax Obligation/General
   
12.9
%
Transportation
   
10.3
%
U.S. Guaranteed
   
8.7
%
Water and Sewer
   
7.9
%
Long-Term Care
   
6.4
%
Education and Civic Organizations
   
5.6
%
Other
   
9.6
%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32.3%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Holdings are subject to change.
 
Nuveen Investments
 
23

 
 

 

NMT
 
Shareholder Meeting Report
NMB
   
NOM
 
The annual meeting of shareholders was held in the offices of Nuveen Investments on November 15, 2011; at this meeting the shareholders were asked to vote on the election of Board Members, the elimination of Fundamental Investment Policies and the approval of new Fundamental Investment Policies. The meeting for NMT, NMB and NOM was subsequently adjourned to December 16, 2011. NMT and NOM were additionally adjourned to January 31, 2012.
 
 
NMT
 
NMB
 
NOM
 
Common and
 
 
Common and
     
Common and
   
 
Preferred
Preferred
 
Preferred
 
Preferred
 
Preferred
 
Preferred
 
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
To approve the new fundamental policy regarding the ability to make loans by each Affected Municipal Fund in order to update and conform such Funds’ policies with other Nuveen closed-end municipal funds.
                   
For
2,355,923
699,872
 
1,158,346
 
498,138
 
1,305,831
 
401,868
Against
169,691
93,459
 
36,825
 
10,394
 
101,031
 
29,738
Abstain
105,983
29,523
 
47,866
 
2,500
 
30,520
 
5,500
Broker Non-Votes
3,286,788
1,519,896
 
1,291,089
 
445,368
 
1,223,068
 
651,364
Total
5,918,385
2,342,750
 
2,534,126
 
956,400
 
2,660,450
 
1,088,470
                     
To approve the new fundamental policy relating to municipal securities and below investment grade securities, derivatives and short sales and other investment companies.
                   
For
2,354,057
699,872
 
1,152,206
 
498,138
 
1,291,946
 
392,068
Against
168,893
93,459
 
40,965
 
10,394
 
106,423
 
29,738
Abstain
108,647
29,523
 
49,866
 
2,500
 
39,013
 
15,300
Broker Non-Votes
3,286,788
1,519,896
 
1,291,089
 
445,368
 
1,223,068
 
651,364
Total
5,918,385
2,342,750
 
2,534,126
 
956,400
 
2,660,450
 
1,088,470
                     
Approval of the Board Members was reached as follows:
                   
John P. Amboian
                   
For
5,779,227
 
2,503,044
 
 
2,583,014
 
Withhold
139,158
 
31,082
 
 
77,437
 
Total
5,918,385
 
2,534,126
 
 
2,660,451
 
David J. Kundert
                   
For
5,772,727
 
2,503,044
 
 
2,570,974
 
Withhold
145,658
 
31,082
 
 
89,477
 
Total
5,918,385
 
2,534,126
 
 
2,660,451
 
Terence J. Toth
                   
For
5,777,727
 
2,503,044
 
 
2,583,014
 
Withhold
140,658
 
31,082
 
 
77,437
 
Total
5,918,385
 
2,534,126
 
 
2,660,451
 
William C. Hunter
                   
For
2,284,800
 
 
951,200
 
 
1,070,832
Withhold
57,950
 
 
5,200
 
 
17,638
Total
2,342,750
 
 
956,400
 
 
1,088,470
William J. Schneider
                   
For
2,279,800
 
 
951,200
 
 
1,070,832
Withhold
62,950
 
 
5,200
 
 
17,638
Total
2,342,750
 
 
956,400
 
 
1,088,470

24
 
Nuveen Investments
 
 
 

 
   
Nuveen Connecticut Premium Income Municipal Fund
NTC
 
Portfolio of Investments
   
November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Consumer Staples – 1.5% (1.0% of Total Investments)
           
$
1,275
 
Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
5/12 at 100.00
BBB
 
$
1,193,349
 
     
Education and Civic Organizations – 41.6% (27.0% of Total Investments)
           
 
575
 
Connecticut Health and Education Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41
7/21 at 100.00
A2
   
598,753
 
 
925
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 – NPFG Insured
7/13 at 100.00
Baa1
   
932,742
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 – RAAI Insured
7/16 at 100.00
N/R
   
465,225
 
 
305
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured
7/17 at 100.00
N/R
   
299,803
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O, 5.000%, 7/01/40
7/20 at 100.00
A–
   
1,035,610
 
 
750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Horace Bushnell Memorial Hall, Series 1999A, 5.625%, 7/01/29 – NPFG Insured
1/12 at 100.00
Baa1
   
750,353
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 – AMBAC Insured
No Opt. Call
A2
   
951,816
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2006H, 5.000%, 7/01/36 – AMBAC Insured
7/16 at 100.00
A–
   
1,018,190
 
 
1,595
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 – NPFG Insured
7/17 at 100.00
A–
   
1,685,947
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A:
           
 
170
 
5.000%, 7/01/30 – AMBAC Insured
7/17 at 100.00
N/R
   
172,683
 
 
270
 
5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
N/R
   
266,722
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G:
           
 
250
 
5.125%, 7/01/26
7/21 at 100.00
BBB
   
254,923
 
 
1,000
 
5.625%, 7/01/41
7/21 at 100.00
BBB
   
1,040,520
 
 
560
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, The Loomis Chaffee School Issue, Series 2011-I, 5.000%, 7/01/23 – AGM Insured
7/21 at 100.00
Aa3
   
621,869
 
 
1,375
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/21 – NPFG Insured
7/14 at 100.00
A+
   
1,490,761
 
 
2,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 – RAAI Insured
7/12 at 101.00
BBB–
   
1,948,350
 
 
1,050
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured
7/16 at 100.00
BBB–
   
991,841
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
AA
   
850,744
 
 
1,500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 (UB)
7/13 at 100.00
AAA
   
1,538,625
 
 
3,550
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB)
7/16 at 100.00
AAA
   
3,731,441
 
 
6,150
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) (4)
7/17 at 100.00
AAA
   
6,595,814
 
 
245
 
Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education Loan Program, Series 1999A, 6.000%, 11/15/18 – AMBAC Insured(Alternative Minimum Tax)
5/12 at 100.00
AAA
   
245,515
 
 
1,000
 
University of Connecticut, General Obligation Bonds, Series 2004A, 5.000%, 1/15/18 – NPFG Insured
1/14 at 100.00
AA
   
1,068,830
 
 
1,220
 
University of Connecticut, General Obligation Bonds, Series 2005A, 5.000%, 2/15/17 – AGM Insured
2/15 at 100.00
AA
   
1,367,962
 

Nuveen Investments
 
25

 
 

 

   
Nuveen Connecticut Premium Income Municipal Fund (continued)
NTC
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Education and Civic Organizations (continued)
           
$
685
 
University of Connecticut, General Obligation Bonds, Series 2006A, 5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
AA
 
$
747,136
 
 
535
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
AA
   
593,609
 
 
225
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27
11/19 at 100.00
Aa2
   
250,328
 
 
1,000
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%, 11/15/19 – FGIC Insured
11/12 at 101.00
Aa2
   
1,052,050
 
 
31,035
 
Total Education and Civic Organizations
       
32,568,162
 
     
Health Care – 24.3% (15.8% of Total Investments)
           
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B:
           
 
500
 
5.500%, 7/01/21 – RAAI Insured
7/12 at 101.00
N/R
   
495,935
 
 
700
 
5.500%, 7/01/32 – RAAI Insured
7/12 at 101.00
N/R
   
658,896
 
 
645
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 – RAAI Insured
1/12 at 100.00
N/R
   
645,174
 
     
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
N/R
   
809,120
 
 
500
 
5.000%, 7/01/23 – RAAI Insured
7/15 at 100.00
N/R
   
493,495
 
 
1,800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford Healthcare, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
A
   
1,801,962
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C:
           
 
385
 
5.250%, 7/01/32 – RAAI Insured
7/17 at 100.00
BBB–
   
364,811
 
 
150
 
5.250%, 7/01/37 – RAAI Insured
7/17 at 100.00
BBB–
   
138,033
 
 
550
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36
7/21 at 100.00
A+
   
556,034
 
 
2,620
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 – AGM Insured
7/16 at 100.00
Aa3
   
2,656,837
 
 
605
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N, 5.000%, 7/01/25
7/21 at 100.00
A2
   
630,235
 
 
400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 10.00
A
   
407,956
 
 
1,250
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41
7/21 at 100.00
A
   
1,298,325
 
 
1,250
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29
7/21 at 100.00
A
   
1,272,338
 
 
1,395
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured
7/16 at 100.00
Aa3
   
1,444,885
 
 
425
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40
7/20 at 100.00
Aa3
   
453,883
 
 
1,240
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
AA+
   
1,278,130
 
 
350
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
A
   
357,291
 
 
3,050
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochester Project, Series 2010, 5.500%, 8/15/40
2/21 at 100.00
Aa2
   
3,295,556
 
 
18,615
 
Total Health Care
       
19,058,896
 
     
Housing/Multifamily – 1.2% (0.8% of Total Investments)
           
 
960
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax)
11/15 at 100.00
AAA
   
961,517
 
     
Housing/Single Family – 9.9% (6.4% of Total Investments)
           
     
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C:
           
 
1,000
 
5.300%, 11/15/33 (Alternative Minimum Tax)
5/12 at 100.00
AAA
   
1,000,220
 
 
500
 
5.450%, 11/15/43 (Alternative Minimum Tax)
5/12 at 100.00
AAA
   
500,085
 

26
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Housing/Single Family (continued)
           
$
1,675
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34
5/13 at 100.00
AAA
 
$
1,692,403
 
     
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
   
205,252
 
 
220
 
4.800%, 11/15/31 (Alternative Minimum Tax)
11/15 at 100.00
AAA
   
217,906
 
 
2,045
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
AAA
   
2,078,538
 
 
2,000
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, Series 2010-A2, 4.500%, 11/15/30
11/19 at 100.00
AAA
   
2,033,420
 
 
7,645
 
Total Housing/Single Family
       
7,727,824
 
     
Long-Term Care – 2.9% (1.9% of Total Investments)
           
 
165
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Church Homes Inc. – Congregational Avery Heights, Series 1997, 5.700%, 4/01/12
No Opt. Call
BBB–
   
165,330
 
 
445
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Connecticut Baptist Homes Inc., Series 1999, 5.500%, 9/01/15 – RAAI Insured
3/12 at 100.00
BBB–
   
445,583
 
 
1,600
 
Connecticut Housing Finance Authority, State Supported Special Obligation Bonds, Refunding Series 2010-16, 5.000%, 6/15/30
6/20 at 100.00
AA
   
1,691,040
 
 
2,210
 
Total Long-Term Care
       
2,301,953
 
     
Tax Obligation/General – 21.6% (14.0% of Total Investments)
           
 
750
 
Bridgeport, Connecticut, General Obligation Refunding Bonds, Series 2002A, 5.375%, 8/15/19 – FGIC Insured
8/12 at 100.00
A1
   
765,585
 
 
1,110
 
Connecticut State, General Obligation Bonds, Series 2004C, 5.000%, 4/01/23 – FGIC Insured
4/14 at 100.00
AA
   
1,195,781
 
 
2,000
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
AA
   
2,202,920
 
 
1,300
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured
6/16 at 100.00
AA
   
1,433,861
 
 
500
 
Connecticut State, General Obligation Bonds, Series 2006E, 5.000%, 12/15/20
12/16 at 10.00
AA
   
579,920
 
     
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
           
 
775
 
5.000%, 8/01/20 – AGM Insured
8/15 at 100.00
AA–
   
858,034
 
 
525
 
4.375%, 8/01/24 – AGM Insured
8/15 at 100.00
AA–
   
543,601
 
 
700
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 – AGC Insured
8/19 at 100.00
AA–
   
760,753
 
 
500
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%,
11/16 at 100.00
A1
   
569,335
 
         11/01/17 – AMBAC Insured            
 
500
 
North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24
No Opt. Call
Aa1
   
618,635
 
 
1,380
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36
8/21 at 100.00
AA+
   
1,492,567
 
 
1,860
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/20 – NPFG Insured
No Opt. Call
Baa1
   
2,022,936
 
 
1,420
 
Regional School District 16, Connecticut, General Obligation Bonds, Series 2003, 5.000%, 3/15/16 – AMBAC Insured
3/13 at 101.00
A1
   
1,496,510
 
     
Suffield, Connecticut, General Obligation Bonds, Series 2005:
           
 
465
 
5.000%, 6/15/17
No Opt. Call
AA+
   
557,033
 
 
460
 
5.000%, 6/15/19
No Opt. Call
AA+
   
565,667
 
 
1,000
 
5.000%, 6/15/21
No Opt. Call
AA+
   
1,239,790
 
 
15,245
 
Total Tax Obligation/General
       
16,902,928
 
     
Tax Obligation/Limited – 19.2% (12.4% 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
AA–
   
1,343,199
 
 
1,000
 
5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
AA–
   
1,022,760
 
 
500
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 – FGIC Insured
1/14 at 100.00
AA
   
533,725
 
 
1,750
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 – AMBAC Insured
8/17 at 100.00
AA
   
1,903,073
 

Nuveen Investments
 
27

 
 

 
 
   
Nuveen Connecticut Premium Income Municipal Fund (continued)
NTC
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Tax Obligation/Limited (continued)
           
$
1,100
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
4/20 at 100.00
N/R
 
$
1,160,060
 
     
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A:
           
 
960
 
0.000%, 7/01/32 – FGIC Insured
No Opt. Call
BBB+
   
245,357
 
 
2,615
 
0.000%, 7/01/33 – FGIC Insured
No Opt. Call
BBB+
   
616,016
 
 
2,000
 
Puerto Rico Municipal Finance Agency, Series 2002A, 5.250%, 8/01/21 – AGM Insured
8/12 at 100.00
AA–
   
2,016,460
 
 
2,400
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured
8/15 at 100.00
AA–
   
2,613,888
 
 
975
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A, 5.375%, 8/01/39
2/20 at 100.00
A+
   
1,005,469
 
 
600
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41
4/21 at 100.00
N/R
   
600,732
 
 
1,000
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 2003, 5.250%, 10/01/19 – AGM Insured
10/14 at 100.00
AA–
   
1,067,210
 
 
895
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien Series 2010A, 5.000%, 10/01/29
10/20 at 100.00
BBB
   
890,239
 
 
17,095
 
Total Tax Obligation/Limited
       
15,018,188
 
     
U.S. Guaranteed – 10.7% (6.9% of Total Investments) (5)
           
 
610
 
Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 (Pre-refunded 5/15/12) – NPFG Insured (Alternative Minimum Tax)
5/12 at 100.00
Aa2 (5)
   
610,921
 
 
40
 
Connecticut, General Obligation Bonds, Series 1993E, 6.000%, 3/15/12 (ETM)
No Opt. Call
Aa2 (5)
   
40,679
 
 
1,500
 
Connecticut, General Obligation Bonds, Series 2002B, 5.500%, 6/15/21 (Pre-refunded 6/15/12)
6/12 at 100.00
AA (5)
   
1,543,020
 
     
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B:
           
 
1,175
 
5.000%, 12/01/20 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
AA (5)
   
1,230,589
 
 
1,000
 
5.000%, 12/01/21 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
AA (5)
   
1,047,310
 
 
1,100
 
University of Connecticut, General Obligation Bonds, Series 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) – NPFG Insured
2/13 at 100.00
AA (5)
   
1,163,965
 
 
1,000
 
Waterbury, Connecticut, General Obligation Special Capital Reserve Fund Bonds, Series 2002A, 5.375%, 4/01/17 (Pre-refunded 4/01/12) – AGM Insured
4/12 at 100.00
AA (5)
   
1,017,320
 
 
1,500
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/18 (Pre-refunded 10/01/15)
10/15 at 100.00
AAA
   
1,726,770
 
 
7,925
 
Total U.S. Guaranteed
       
8,380,574
 
     
Utilities – 6.6% (4.3% of Total Investments)
           
 
650
 
Bristol Resource Recovery Facility Operating Committee, Connecticut, Solid Waste Revenue Bonds, Covanta Bristol Inc., Series 2005, 5.000%, 7/01/12 – AMBAC Insured
No Opt. Call
AA
   
665,945
 
 
175
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Western Massachusetts Electric Company, Series 1993A, 5.850%, 9/01/28
10/12 at 100.00
BBB+
   
175,614
 
 
1,070
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)
11/12 at 100.00
Baa1
   
1,071,552
 
 
1,750
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
6/12 at 102.00
Ba1
   
1,756,528
 
     
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
           
 
205
 
5.500%, 1/01/14 (Alternative Minimum Tax)
1/12 at 100.00
BBB
   
205,547
 
 
1,290
 
5.500%, 1/01/20 (Alternative Minimum Tax)
1/12 at 100.00
BBB
   
1,293,909
 
 
5,140
 
Total Utilities
       
5,169,095
 
     
Water and Sewer – 14.6% (9.5% of Total Investments)
           
 
500
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax)
9/17 at 100.00
N/R
   
443,405
 
 
1,185
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16
10/13 at 100.00
AAA
   
1,277,442
 

28
 
Nuveen Investments

 
 

 

 
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:
           
$
1,520
 
5.000%, 11/15/30 – NPFG Insured
11/15 at 100.00
A1
 
$
1,568,655
 
 
2,260
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
A1
   
2,308,319
 
 
725
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
Ba2
   
691,810
 
 
1,000
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38
7/18 at 100.00
Baa2
   
1,037,590
 
     
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A:
           
 
1,000
 
5.000%, 8/01/20 – NPFG Insured
8/13 at 100.00
Aa3
   
1,039,530
 
 
1,075
 
5.000%, 8/01/33 – NPFG Insured
8/13 at 100.00
Aa3
   
1,089,792
 
 
770
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41
8/21 at 100.00
Aa3
   
811,919
 
 
1,100
 
Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
11/13 at 100.00
AA+
   
1,162,645
 
 
11,135
 
Total Water and Sewer
       
11,431,107
 
$
118,280
 
Total Investments (cost $117,450,103) – 154.1%
       
120,713,593
 
     
Floating Rate Obligations – (10.2)%
       
(7,965,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (46.0)% (6)
       
(36,080,000
     
Other Assets Less Liabilities – 2.1%
       
1,681,199
 
     
Net Assets Applicable to Common Shares – 100%
     
$
78,349,792
 

(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 highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.
(5)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 29.9%.
N/R
 
Not rated.
(ETM)
 
Escrowed to maturity.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information.
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
29

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund
NFC
 
Portfolio of Investments
   
November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Education and Civic Organizations – 39.4% (24.5% of Total Investments)
           
$
300
 
Connecticut Health and Education Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41
7/21 at 100.00
A2
 
$
312,393
 
 
250
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 – RAAI Insured
7/16 at 100.00
N/R
   
232,613
 
 
150
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured
7/17 at 100.00
N/R
   
147,444
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O, 5.000%, 7/01/40
7/20 at 100.00
A–
   
517,805
 
 
440
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/18 – AMBAC Insured
No Opt. Call
A2
   
520,670
 
 
795
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 – NPFG Insured
7/17 at 100.00
A–
   
840,331
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A:
           
 
85
 
5.000%, 7/01/30 – AMBAC Insured
7/17 at 100.00
N/R
   
86,341
 
 
130
 
5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
N/R
   
128,422
 
 
50
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 1998E, 5.000%, 7/01/28 – RAAI Insured
1/12 at 100.00
BBB
   
48,410
 
 
600
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G, 5.625%, 7/01/41
7/21 at 100.00
BBB
   
624,312
 
 
225
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, The Loomis Chaffee School Issue, Series 2011-I, 5.000%, 7/01/24 – AGM Insured
7/21 at 100.00
Aa3
   
246,517
 
 
350
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 – NPFG Insured
7/14 at 100.00
A+
   
383,387
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 – RAAI Insured
7/12 at 101.00
BBB–
   
974,180
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured
7/16 at 100.00
BBB–
   
472,305
 
 
1,600
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
AA
   
1,701,480
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 (UB)
7/13 at 100.00
AAA
   
512,875
 
 
1,800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB)
7/16 at 100.00
AAA
   
1,891,998
 
 
3,050
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) (4)
7/17 at 100.00
AAA
   
3,271,095
 
     
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999:
           
 
115
 
5.375%, 2/01/19
2/12 at 100.00
BBB–
   
115,039
 
 
270
 
5.375%, 2/01/29
2/12 at 100.00
BBB–
   
252,869
 
 
485
 
University of Connecticut, General Obligation Bonds, Series 2006A, 5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
AA
   
528,994
 
 
1,070
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
AA
   
1,187,219
 
 
115
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27
11/19 at 100.00
Aa2
   
127,946
 
 
14,380
 
Total Education and Civic Organizations
       
15,124,645
 

30
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Health Care – 32.2% (20.0% of Total Investments)
           
$
1,400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 – RAAI Insured
7/12 at 101.00
N/R
 
$
1,317,792
 
 
840
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2005, 5.000%, 7/01/25 – RAAI Insured
7/15 at 100.00
N/R
   
788,651
 
     
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
N/R
   
505,700
 
 
250
 
5.000%, 7/01/23 – RAAI Insured
7/15 at 100.00
N/R
   
246,748
 
 
525
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford Healthcare, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
A
   
525,572
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 – RAAI Insured
7/17 at 100.00
BBB–
   
189,512
 
 
400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36
7/21 at 100.00
A+
   
404,388
 
 
60
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 – AGM Insured
7/16 at 100.00
Aa3
   
60,844
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N, 5.000%, 7/01/25
7/21 at 100.00
A2
   
520,855
 
 
240
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 10.00
A
   
244,774
 
 
620
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41
7/21 at 100.00
A
   
643,969
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29
7/21 at 100.00
A
   
1,017,870
 
 
775
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, William W. Backus Hospital, Series 2005F, 5.125%, 7/01/35 – AGM Insured
7/18 at 100.00
AA–
   
797,638
 
 
1,870
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured
7/16 at 100.00
Aa3
   
1,936,871
 
 
225
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40
7/20 at 100.00
Aa3
   
240,291
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
AA+
   
1,030,750
 
 
175
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
A
   
178,645
 
 
1,600
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochester Project, Series 2010, 5.500%, 8/15/40
2/21 at 100.00
Aa2
   
1,728,816
 
 
12,180
 
Total Health Care
       
12,379,686
 
     
Housing/Multifamily – 1.3% (0.8% of Total Investments)
           
 
480
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax)
11/15 at 100.00
AAA
   
480,758
 
     
Housing/Single Family – 9.3% (5.8% of Total Investments)
           
     
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C:
           
 
1,000
 
5.300%, 11/15/33 (Alternative Minimum Tax)
5/12 at 100.00
AAA
   
1,000,220
 
 
250
 
5.450%, 11/15/43 (Alternative Minimum Tax)
5/12 at 100.00
AAA
   
250,043
 
 
800
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34
5/13 at 100.00
AAA
   
808,312
 
 
685
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
AAA
   
696,234
 
 
800
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, Series 2010-A2, 4.750%, 11/15/35
11/19 at 100.00
AAA
   
811,104
 
 
3,535
 
Total Housing/Single Family
       
3,565,913
 

Nuveen Investments
 
31

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund (continued)
NFC
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Long-Term Care – 2.5% (1.5% of Total Investments)
           
$
300
 
Connecticut Development Authority, First Mortgage Gross Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23
12/13 at 100.00
BBB
 
$
304,695
 
 
110
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Church Homes Inc. – Congregational Avery Heights, Series 1997, 5.800%, 4/01/21
4/12 at 100.00
BBB–
   
110,052
 
 
195
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/32 – AMBAC Insured
7/12 at 101.00
N/R
   
181,588
 
 
250
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer’s Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27
8/17 at 100.00
N/R
   
244,580
 
 
105
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 7.625%, 1/01/30
1/20 at 100.00
N/R
   
110,045
 
 
960
 
Total Long-Term Care
       
950,960
 
     
Tax Obligation/General – 18.7% (11.7% of Total Investments)
           
 
560
 
Connecticut State, General Obligation Bonds, Series 2004C, 5.000%, 4/01/23 – FGIC Insured
4/14 at 100.00
AA
   
603,277
 
 
700
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
AA
   
771,022
 
 
100
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured
6/16 at 100.00
AA
   
110,297
 
 
1,000
 
Connecticut State, General Obligation Bonds, Series 2011D, 5.000%, 11/01/31
11/21 at 100.00
AA
   
1,104,030
 
     
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
           
 
360
 
5.000%, 8/01/21 – AGM Insured
8/15 at 100.00
AA–
   
398,570
 
 
240
 
4.375%, 8/01/24 – AGM Insured
8/15 at 100.00
AA–
   
248,503
 
 
600
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 – AGC Insured
8/19 at 100.00
AA–
   
652,074
 
 
400
 
North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24
No Opt. Call
Aa1
   
494,908
 
 
1,850
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36
8/21 at 100.00
AA+
   
2,000,905
 
     
Suffield, Connecticut, General Obligation Bonds, Series 2005:
           
 
335
 
5.000%, 6/15/17
No Opt. Call
AA+
   
401,303
 
 
335
 
5.000%, 6/15/19
No Opt. Call
AA+
   
411,953
 
 
6,480
 
Total Tax Obligation/General
       
7,196,842
 
     
Tax Obligation/Limited – 27.7% (17.2% 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
AA–
   
671,600
 
 
500
 
5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
AA–
   
511,380
 
     
Connecticut, Certificates of Participation, Juvenile Training School, Series 2001:
           
 
600
 
5.000%, 12/15/20
12/11 at 101.00
AA–
   
607,980
 
 
1,000
 
5.000%, 12/15/30
12/11 at 101.00
AA–
   
1,009,930
 
 
1,475
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 1998B, 5.500%, 11/01/12 – AGM Insured
No Opt. Call
AA
   
1,545,756
 
 
900
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 – AMBAC Insured
8/17 at 100.00
AA
   
978,723
 
 
500
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
4/20 at 100.00
N/R
   
527,300
 
 
600
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 7/01/31 – AMBAC Insured
No Opt. Call
Baa1
   
605,472
 
 
470
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 0.000%, 7/01/32 – FGIC Insured
No Opt. Call
BBB+
   
120,123
 
 
1,200
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured
8/15 at 100.00
AA–
   
1,306,944
 
 
1,000
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A, 5.375%, 8/01/39
2/20 at 100.00
A+
   
1,031,250
 

32
 
Nuveen Investments
 
 
 

 
 
 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Tax Obligation/Limited (continued)
           
$
325
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41
4/21 at 100.00
N/R
 
$
325,397
 
 
685
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A, 6.375%, 10/01/19
4/12 at 100.00
BBB+
   
686,445
 
 
710
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien Series 2010A, 5.000%, 10/01/29
10/20 at 100.00
BBB
   
706,223
 
 
10,615
 
Total Tax Obligation/Limited
       
10,634,523
 
     
U.S. Guaranteed – 7.7% (4.8% of Total Investments) (5)
           
 
475
 
Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 (Pre-refunded 5/15/12) – NPFG Insured (Alternative Minimum Tax)
5/12 at 100.00
Aa2 (5)
   
475,717
 
 
500
 
Connecticut, General Obligation Bonds, Series 2002B, 5.500%, 6/15/21 (Pre-refunded 6/15/12)
6/12 at 100.00
AA (5)
   
514,340
 
 
1,000
 
Waterbury, Connecticut, General Obligation Special Capital Reserve Fund Bonds, Series 2002A, 5.375%, 4/01/17 (Pre-refunded 4/01/12) – AGM Insured
4/12 at 100.00
AA (5)
   
1,017,320
 
 
810
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/18 (Pre-refunded 10/01/15)
10/15 at 100.00
AAA
   
932,456
 
 
2,785
 
Total U.S. Guaranteed
       
2,939,833
 
     
Utilities – 5.4% (3.4% of Total Investments)
           
 
560
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)
11/12 at 100.00
Baa1
   
560,812
 
 
1,000
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
6/12 at 102.00
Ba1
   
1,003,730
 
 
525
 
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax)
1/12 at 100.00
BBB
   
526,402
 
 
2,085
 
Total Utilities
       
2,090,944
 
     
Water and Sewer – 16.6% (10.3% of Total Investments)
           
 
255
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax)
9/17 at 100.00
N/R
   
226,137
 
 
1,185
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16
10/13 at 100.00
AAA
   
1,277,442
 
     
Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A:
           
 
720
 
5.000%, 11/15/30 – NPFG Insured
11/15 at 100.00
A1
   
743,047
 
 
1,110
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
A1
   
1,133,732
 
 
140
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
Ba2
   
142,015
 
 
375
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
Ba2
   
357,833
 
 
500
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38
7/18 at 100.00
Baa2
   
518,795
 

Nuveen Investments
 
33

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund (continued)
NFC
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Water and Sewer (continued)
           
     
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A:
           
$
750
 
5.000%, 8/01/20 – NPFG Insured
8/13 at 100.00
Aa3
 
$
779,648
 
 
470
 
5.000%, 8/01/33 – NPFG Insured
8/13 at 100.00
Aa3
   
476,467
 
 
700
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41
8/21 at 100.00
Aa3
   
738,108
 
 
6,205
 
Total Water and Sewer
       
6,393,224
 
$
59,705
 
Total Investments (cost $60,130,978) – 160.8%
       
61,757,328
 
     
Floating Rate Obligations – (9.9)%
       
(3,820,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (53.3)% (6)
       
(20,470,000
     
Other Assets Less Liabilities – 2.4%
       
950,236
 
     
Net Assets Applicable to Common Shares – 100%
     
$
38,417,564
 

(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 highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.
(5)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 33.1%.
N/R
 
Not rated.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information.
                                                                                                                                                                                                                         
       See accompanying notes to financial statements.
 
34
 
Nuveen Investments

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund 2
NGK
 
Portfolio of Investments
   
November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Consumer Staples – 1.8% (1.1% of Total Investments)
           
$
640
 
Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
5/12 at 100.00
BBB
 
$
599,014
 
     
Education and Civic Organizations – 38.1% (24.3% of Total Investments)
           
 
275
 
Connecticut Health and Education Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41
7/21 at 100.00
A2
   
286,360
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 – RAAI Insured
7/16 at 100.00
N/R
   
186,090
 
 
135
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured
7/17 at 100.00
N/R
   
132,700
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O, 5.000%, 7/01/40
7/20 at 100.00
A–
   
517,805
 
 
310
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 – AMBAC Insured
No Opt. Call
A2
   
368,829
 
 
715
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 – NPFG Insured
7/17 at 100.00
A–
   
755,769
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A:
           
 
75
 
5.000%, 7/01/30 – AMBAC Insured
7/17 at 100.00
N/R
   
76,184
 
 
120
 
5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
N/R
   
118,543
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G, 5.625%, 7/01/41
7/21 at 100.00
BBB
   
520,260
 
     
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
BBB–
   
598,449
 
 
1,000
 
5.250%, 7/01/32 – RAAI Insured
7/12 at 101.00
BBB–
   
974,180
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured
7/16 at 100.00
BBB–
   
472,305
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
AA
   
850,742
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 (UB)
7/13 at 100.00
AAA
   
512,875
 
 
1,600
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB)
7/16 at 100.00
AAA
   
1,681,776
 
 
2,750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) (4)
7/17 at 100.00
AAA
   
2,949,348
 
     
University of Connecticut, General Obligation Bonds, Series 2006A:
           
 
450
 
5.000%, 2/15/19 – FGIC Insured
2/16 at 100.00
AA
   
507,357
 
 
490
 
5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
AA
   
534,448
 
 
460
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
AA
   
510,393
 
 
500
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%, 11/15/22 – FGIC Insured
11/12 at 101.00
Aa2
   
522,150
 
 
12,470
 
Total Education and Civic Organizations
       
13,076,563
 

Nuveen Investments
 
35
 
 
 

 
 
   
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued)
NGK
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Health Care – 31.0% (19.8% of Total Investments)
           
$
300
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 – RAAI Insured
7/12 at 101.00
N/R
 
$
282,384
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A:
           
 
20
 
6.125%, 7/01/20 – RAAI Insured
1/12 at 100.00
N/R
   
20,023
 
 
315
 
6.000%, 7/01/25 – RAAI Insured
1/12 at 100.00
N/R
   
315,085
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B:
           
 
400
 
5.000%, 7/01/15 – RAAI Insured
No Opt. Call
N/R
   
424,200
 
 
300
 
5.000%, 7/01/20 – RAAI Insured
7/15 at 100.00
N/R
   
303,420
 
 
300
 
5.000%, 7/01/23 – RAAI Insured
7/15 at 100.00
N/R
   
296,097
 
 
700
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford Healthcare, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
A
   
700,763
 
 
170
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 – RAAI Insured
7/17 at 100.00
BBB–
   
161,085
 
 
400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36
7/21 at 100.00
A+
   
404,388
 
 
1,190
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 – AGM Insured
7/16 at 100.00
Aa3
   
1,206,731
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 – RAAI Insured
7/12 at 101.00
N/R
   
948,690
 
 
315
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 10.00
A
   
321,265
 
 
550
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41
7/21 at 100.00
A
   
571,263
 
 
750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29
7/21 at 100.00
A
   
763,403
 
 
1,170
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured
7/16 at 100.00
Aa3
   
1,211,839
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40
7/20 at 100.00
Aa3
   
213,592
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
AA+
   
824,600
 
 
175
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
A
   
178,645
 
 
1,400
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochester Project, Series 2010, 5.500%, 8/15/40
2/21 at 100.00
Aa2
   
1,512,714
 
 
10,455
 
Total Health Care
       
10,660,187
 
     
Housing/Multifamily – 1.4% (0.9% of Total Investments)
           
 
480
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax)
11/15 at 100.00
AAA
   
480,758
 
     
Housing/Single Family – 8.4% (5.4% of Total Investments)
           
 
250
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C, 5.450%, 11/15/43 (Alternative Minimum Tax)
5/12 at 100.00
AAA
   
250,043
 
 
700
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34
5/13 at 100.00
AAA
   
707,273
 

36
 
Nuveen Investments
 
 
 

 
 
 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Housing/Single Family (continued)
           
     
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
 
$
305,375
 
 
330
 
4.800%, 11/15/31 (Alternative Minimum Tax)
11/15 at 100.00
AAA
   
326,858
 
 
585
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
AAA
   
594,594
 
 
700
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, Series 2010-A2, 4.750%, 11/15/35
11/19 at 100.00
AAA
   
709,716
 
 
2,870
 
Total Housing/Single Family
       
2,893,859
 
     
Long-Term Care – 3.5% (2.2% of Total Investments)
           
 
320
 
Connecticut Development Authority, First Mortgage Gross Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23
12/13 at 100.00
BBB
   
325,008
 
 
70
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Church Homes Inc. – Congregational Avery Heights, Series 1997, 5.700%, 4/01/12
No Opt. Call
BBB–
   
70,140
 
 
450
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/19 – AMBAC Insured
7/12 at 101.00
N/R
   
455,972
 
 
250
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer’s Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27
8/17 at 100.00
N/R
   
244,580
 
 
105
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 7.625%, 1/01/30
1/20 at 100.00
N/R
   
110,045
 
 
1,195
 
Total Long-Term Care
       
1,205,745
 
     
Tax Obligation/General – 11.9% (7.6% of Total Investments)
           
 
600
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
AA
   
660,876
 
 
400
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured
6/16 at 100.00
AA
   
441,188
 
     
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
           
 
360
 
5.000%, 8/01/21 – AGM Insured
8/15 at 100.00
AA–
   
398,570
 
 
140
 
4.375%, 8/01/24 – AGM Insured
8/15 at 100.00
AA–
   
144,960
 
 
650
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%,
11/16 at 100.00
A1
   
740,136
 
         11/01/17 – AMBAC Insured            
 
1,130
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36
8/21 at 100.00
AA+
   
1,222,174
 
 
400
 
Suffield, Connecticut, General Obligation Bonds, Series 2005, 5.000%, 6/15/21
No Opt. Call
AA+
   
495,916
 
 
3,680
 
Total Tax Obligation/General
       
4,103,820
 
     
Tax Obligation/Limited – 16.7% (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
AA–
   
594,107
 
 
500
 
5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
AA–
   
511,380
 
 
850
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 – AMBAC Insured
8/17 at 100.00
AA
   
924,350
 
 
500
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
4/20 at 100.00
N/R
   
527,300
 
 
500
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 7/01/31 – AMBAC Insured
No Opt. Call
Baa1
   
504,560
 
 
430
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 0.000%, 7/01/32 – FGIC Insured
No Opt. Call
BBB+
   
109,899
 
 
750
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured
8/15 at 100.00
AA–
   
816,840
 
 
1,000
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A, 5.375%, 8/01/39
2/20 at 100.00
A+
   
1,031,250
 

Nuveen Investments
 
37

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued)
NGK
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Tax Obligation/Limited (continued)
           
$
300
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41
4/21 at 100.00
N/R
 
$
300,366
 
 
420
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien Series 2010A, 5.000%, 10/01/29
10/20 at 100.00
BBB
   
417,766
 
 
5,825
 
Total Tax Obligation/Limited
       
5,737,818
 
     
Transportation – 6.0% (3.9% of Total Investments)
           
 
1,950
 
New Haven, Connecticut, Revenue Refunding Bonds, Air Rights Parking Facility, Series 2002, 5.375%, 12/01/15 – AMBAC Insured
No Opt. Call
N/R
   
2,076,458
 
     
U.S. Guaranteed – 17.9% (11.4% of Total Investments) (5)
           
 
1,625
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/20 (Pre-refunded 7/01/12) – AGM Insured
7/12 at 100.00
AA (5)
   
1,673,994
 
     
Farmington, Connecticut, General Obligation Bonds, Series 2002:
           
 
1,000
 
5.000%, 9/15/20 (Pre-refunded 9/15/12)
9/12 at 101.00
Aaa
   
1,047,590
 
 
1,450
 
5.000%, 9/15/21 (Pre-refunded 9/15/12)
9/12 at 101.00
Aaa
   
1,519,006
 
 
1,305
 
Hartford County Metropolitan District, Connecticut, General Obligation Bonds, Series 2002, 5.000%, 4/01/22 (Pre-refunded 4/01/12)
4/12 at 101.00
AA+ (5)
   
1,339,191
 
 
500
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/17 (Pre-refunded 10/01/15)
10/15 at 100.00
AAA
   
575,590
 
 
5,880
 
Total U.S. Guaranteed
       
6,155,371
 
     
Utilities – 6.5% (4.1% of Total Investments)
           
 
470
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)
11/12 at 100.00
Baa1
   
470,682
 
 
1,000
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax)
12/12 at 101.00
Ba1
   
1,003,730
 
     
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
           
 
250
 
5.500%, 1/01/15 (Alternative Minimum Tax)
1/12 at 100.00
BBB
   
250,625
 
 
510
 
5.500%, 1/01/20 (Alternative Minimum Tax)
1/12 at 100.00
BBB
   
511,545
 
 
2,230
 
Total Utilities
       
2,236,582
 
     
Water and Sewer – 13.5% (8.6% of Total Investments)
           
 
220
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax)
9/17 at 100.00
N/R
   
195,098
 
 
785
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16
10/13 at 100.00
AAA
   
846,238
 
     
Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A:
           
 
690
 
5.000%, 11/15/30 – NPFG Insured
11/15 at 100.00
A1
   
712,087
 
 
320
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
A1
   
326,842
 
 
130
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
Ba2
   
131,871
 
 
350
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
Ba2
   
333,977
 
 
500
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38
7/18 at 100.00
Baa2
   
518,795
 

38
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Water and Sewer (continued)
           
     
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A:
           
$
750
 
5.000%, 8/01/20 – NPFG Insured
8/13 at 100.00
Aa3
 
$
779,648
 
 
410
 
5.000%, 8/01/33 – NPFG Insured
8/13 at 100.00
Aa3
   
415,642
 
 
350
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41
8/21 at 100.00
Aa3
   
369,054
 
 
4,505
 
Total Water and Sewer
       
4,629,252
 
$
52,180
 
Total Investments (cost $52,389,487) – 156.7%
       
53,855,427
 
     
Floating Rate Obligations – (10.1)%
       
(3,460,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (49.3)% (6)
       
(16,950,000
     
Other Assets Less Liabilities – 2.7%
       
921,444
 
     
Net Assets Applicable to Common Shares – 100%
     
$
34,366,871
 

(1)
 
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
(2)
 
Optional Call Provisions: 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 highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.
(5)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 31.5%.
N/R
 
Not rated.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information.
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
39
 
 
 

 
 
   
Nuveen Connecticut Dividend Advantage Municipal Fund 3
NGO
 
Portfolio of Investments
   
November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Consumer Staples – 3.0% (1.9% of Total Investments)
           
$
2,045
 
Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
5/12 at 100.00
BBB
 
$
1,914,038
 
     
Education and Civic Organizations – 32.3% (20.5% of Total Investments)
           
 
350
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 – RAAI Insured
7/16 at 100.00
N/R
   
325,658
 
 
250
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured
7/17 at 100.00
N/R
   
245,740
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 – NPFG Insured
7/17 at 100.00
A2
   
952,490
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O, 5.000%, 7/01/35
7/20 at 100.00
A–
   
833,696
 
 
400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 – AMBAC Insured
No Opt. Call
A2
   
475,908
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2006H, 5.000%, 7/01/36 – AMBAC Insured
7/16 at 100.00
A–
   
1,018,190
 
 
1,300
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 – NPFG Insured
7/17 at 100.00
A–
   
1,374,120
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A:
           
 
135
 
5.000%, 7/01/30 – AMBAC Insured
7/17 at 100.00
N/R
   
137,130
 
 
215
 
5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
N/R
   
212,390
 
 
1,160
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G, 5.625%, 7/01/41
7/21 at 100.00
BBB
   
1,207,003
 
 
750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E, 5.500%, 7/01/22 – RAAI Insured
7/12 at 101.00
BBB–
   
760,740
 
 
650
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured
7/16 at 100.00
BBB–
   
613,997
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
AA
   
850,744
 
 
3,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB)
7/16 at 100.00
AAA
   
3,153,330
 
 
5,050
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) (4)
7/17 at 100.00
AAA
   
5,416,075
 
     
University of Connecticut, General Obligation Bonds, Series 2006A:
           
 
850
 
5.000%, 2/15/19 – FGIC Insured
2/16 at 100.00
AA
   
958,341
 
 
490
 
5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
AA
   
534,448
 
 
535
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
AA
   
593,609
 
 
175
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27
11/19 at 100.00
Aa2
   
194,700
 
 
500
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%, 11/15/22 – FGIC Insured
11/12 at 101.00
Aa2
   
522,150
 
 
19,410
 
Total Education and Civic Organizations
       
20,380,459
 
     
Health Care – 28.0% (17.7% 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
N/R
   
495,935
 
 
600
 
5.500%, 7/01/32 – RAAI Insured
7/12 at 101.00
N/R
   
564,768
 

40
 
Nuveen Investments
 
 
 

 
 
 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Health Care (continued)
           
$
750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 – RAAI Insured
1/12 at 100.00
N/R
 
$
750,203
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B:
           
 
490
 
5.000%, 7/01/15 – RAAI Insured
No Opt. Call
N/R
   
519,645
 
 
800
 
5.000%, 7/01/20 – RAAI Insured
7/15 at 100.00
N/R
   
809,120
 
 
1,400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford Healthcare, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
A
   
1,401,526
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C:
           
 
310
 
5.250%, 7/01/32 – RAAI Insured
7/17 at 100.00
BBB–
   
293,744
 
 
150
 
5.250%, 7/01/37 – RAAI Insured
7/17 at 100.00
BBB–
   
138,033
 
 
650
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36
7/21 at 100.00
A+
   
657,131
 
 
2,130
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 – AGM Insured
7/16 at 100.00
Aa3
   
2,159,948
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N:
           
 
400
 
5.000%, 7/01/26
7/21 at 100.00
A2
   
414,628
 
 
500
 
5.000%, 7/01/27
7/21 at 100.00
A2
   
513,975
 
 
310
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 10.00
A
   
316,166
 
 
1,020
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41
7/21 at 100.00
A
   
1,059,433
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29
7/21 at 100.00
A
   
1,017,870
 
 
1,325
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured
7/16 at 100.00
Aa3
   
1,372,382
 
 
350
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40
7/20 at 100.00
Aa3
   
373,786
 
 
1,500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
AA+
   
1,546,125
 
 
300
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
A
   
306,249
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Danbury Hospital, Series 2006H, 4.500%, 7/01/33 – AMBAC Insured
1/16 at 100.00
N/R
   
165,528
 
 
2,550
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochester Project, Series 2010, 5.500%, 8/15/40
2/21 at 100.00
Aa2
   
2,755,301
 
 
17,235
 
Total Health Care
       
17,631,496
 
     
Housing/Multifamily – 1.5% (1.0% of Total Investments)
           
 
960
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax)
11/15 at 100.00
AAA
   
961,517
 
     
Housing/Single Family – 8.1% (5.1% of Total Investments)
           
 
750
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C, 5.450%, 11/15/43 (Alternative Minimum Tax)
5/12 at 100.00
AAA
   
750,128
 
 
1,300
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34
5/13 at 100.00
AAA
   
1,313,507
 

Nuveen Investments
 
41

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued)
NGO
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Housing/Single Family (continued)
           
     
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
 
$
435,535
 
 
465
 
4.800%, 11/15/31 (Alternative Minimum Tax)
11/15 at 100.00
AAA
   
460,573
 
 
585
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
AAA
   
594,594
 
 
1,500
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, Series 2010-A2, 4.500%, 11/15/30
11/19 at 100.00
AAA
   
1,525,065
 
 
5,035
 
Total Housing/Single Family
       
5,079,402
 
     
Long-Term Care – 9.5% (6.1% of Total Investments)
           
 
500
 
Connecticut Development Authority, First Mortgage Gross Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23
12/13 at 100.00
BBB
   
507,825
 
 
135
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Church Homes Inc. – Congregational Avery Heights, Series 1997, 5.700%, 4/01/12
No Opt. Call
BBB–
   
135,270
 
     
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
N/R
   
437,005
 
 
475
 
5.000%, 7/01/20 – AMBAC Insured
7/12 at 101.00
N/R
   
480,135
 
 
260
 
5.000%, 7/01/23 – AMBAC Insured
7/12 at 101.00
N/R
   
260,754
 
 
1,000
 
5.000%, 7/01/32 – AMBAC Insured
7/12 at 101.00
N/R
   
931,220
 
     
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
N/R
   
1,040,560
 
 
1,500
 
5.000%, 6/15/32 – AMBAC Insured
6/12 at 101.00
N/R
   
1,520,130
 
 
500
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer’s Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27
8/17 at 100.00
N/R
   
489,160
 
 
210
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 7.625%, 1/01/30
1/20 at 100.00
N/R
   
220,091
 
 
6,010
 
Total Long-Term Care
       
6,022,150
 
     
Tax Obligation/General – 13.3% (8.4% of Total Investments)
           
 
1,200
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
AA
   
1,321,752
 
 
1,500
 
Connecticut State, General Obligation Bonds, Series 2006E, 5.000%, 12/15/20
12/16 at 10.00
AA
   
1,739,760
 
 
600
 
Hartford, Connecticut, General Obligation Bonds, Series 2005A, 5.000%, 8/01/21 – AGM Insured
8/15 at 100.00
AA–
   
664,284
 
 
440
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 – AGC Insured
8/19 at 100.00
AA–
   
478,188
 
 
1,000
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%,
11/16 at 100.00
A1
   
1,138,670
 
         11/01/17 – AMBAC Insured            
 
925
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36
8/21 at 100.00
AA+
   
1,000,452
 
     
Stratford, Connecticut, General Obligation Bonds, Series 2002:
           
 
1,375
 
4.000%, 2/15/19 – AGM Insured
2/12 at 100.00
AA–
   
1,381,311
 
 
630
 
4.125%, 2/15/20 – AGM Insured
2/12 at 100.00
AA–
   
632,684
 
 
7,670
 
Total Tax Obligation/General
       
8,357,101
 
     
Tax Obligation/Limited – 18.5% (11.7% of Total Investments)
           
 
930
 
Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
AA–
   
951,167
 
 
20
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 1992B, 6.125%, 9/01/12
No Opt. Call
AA
   
20,874
 
 
1,000
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B, 5.000%, 12/01/22 – AMBAC Insured
12/12 at 100.00
AA
   
1,035,990
 

42
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Tax Obligation/Limited (continued)
           
$
500
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 – FGIC Insured
1/14 at 100.00
AA
 
$
533,725
 
 
1,500
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 – AMBAC Insured
8/17 at 100.00
AA
   
1,631,205
 
 
900
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
4/20 at 100.00
N/R
   
949,140
 
 
1,000
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 7/01/31 – AMBAC Insured
No Opt. Call
Baa1
   
1,009,120
 
     
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A:
           
 
780
 
0.000%, 7/01/32 – FGIC Insured
No Opt. Call
BBB+
   
199,352
 
 
2,120
 
0.000%, 7/01/33 – FGIC Insured
No Opt. Call
BBB+
   
499,408
 
     
Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G:
           
 
890
 
5.250%, 7/01/17
7/12 at 100.00
Baa1
   
898,953
 
 
1,000
 
5.250%, 7/01/20
7/12 at 100.00
Baa1
   
1,005,200
 
 
1,045
 
5.250%, 7/01/21
7/12 at 100.00
Baa1
   
1,049,379
 
 
650
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A, 5.375%, 8/01/39
2/20 at 100.00
A+
   
670,313
 
 
500
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41
4/21 at 100.00
N/R
   
500,610
 
 
735
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien Series 2010A, 5.000%, 10/01/29
10/20 at 100.00
BBB
   
731,090
 
 
13,570
 
Total Tax Obligation/Limited
       
11,685,526
 
     
Transportation – 0.7% (0.4% of Total Investments)
           
 
415
 
New Haven, Connecticut, Revenue Refunding Bonds, Air Rights Parking Facility, Series 2002, 5.375%, 12/01/15 – AMBAC Insured
No Opt. Call
N/R
   
441,913
 
     
U.S. Guaranteed – 17.8% (11.3% of Total Investments) (5)
           
     
Bethel, Connecticut, General Obligation Bonds, Series 2002:
           
 
525
 
5.000%, 11/01/18 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
Aa2 (5)
   
547,512
 
 
525
 
5.000%, 11/01/19 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
Aa2 (5)
   
547,512
 
 
525
 
5.000%, 11/01/20 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
Aa2 (5)
   
547,512
 
 
525
 
5.000%, 11/01/21 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
Aa2 (5)
   
547,512
 
 
525
 
5.000%, 11/01/22 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
Aa2 (5)
   
547,512
 
 
500
 
Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 5.250%, 9/15/23 (Pre-refunded 9/15/13) – AGM Insured
9/13 at 100.00
AA– (5)
   
543,190
 
 
1,025
 
Connecticut Development Authority, Revenue Bonds, Duncaster Inc., Series 2002, 4.750%, 8/01/32 (Pre-refunded 8/01/12) – RAAI Insured
8/12 at 101.00
BBB (5)
   
1,065,057
 
     
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B:
           
 
2,110
 
5.000%, 12/01/20 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
AA (5)
   
2,209,824
 
 
1,000
 
5.000%, 12/01/21 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
AA (5)
   
1,047,310
 
 
450
 
Farmington, Connecticut, General Obligation Bonds, Series 2002, 5.000%, 9/15/20 (Pre-refunded 9/15/12)
9/12 at 101.00
Aaa
   
471,416
 
 
40
 
New Haven, Connecticut, General Obligation Bonds, Series 2002A, 5.250%, 11/01/17 – AMBAC Insured (ETM)
5/12 at 101.00
A1 (5)
   
40,562
 
 
1,010
 
Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 – AMBAC Insured
No Opt. Call
Aaa
   
1,191,224
 

Nuveen Investments
 
43

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued)
NGO
 
Portfolio of Investments
     November 30, 2011 (Unaudited)
 
 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
U.S. Guaranteed (5) (continued)
           
$
195
 
Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 (Pre-refunded 2/01/12)
2/12 at 100.00
Aaa
 
$
196,757
 
 
1,100
 
University of Connecticut, General Obligation Bonds, Series 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) – NPFG Insured
2/13 at 100.00
AA (5)
   
1,163,965
 
 
500
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/18 (Pre-refunded 10/01/15)
10/15 at 100.00
AAA
   
575,590
 
 
10,555
 
Total U.S. Guaranteed
       
11,242,455
 
     
Utilities – 6.7% (4.3% of Total Investments)
           
 
860
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)
11/12 at 100.00
Baa1
   
861,247
 
 
2,000
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
6/12 at 102.00
Ba1
   
2,007,460
 
     
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
           
 
525
 
5.500%, 1/01/14 (Alternative Minimum Tax)
1/12 at 100.00
BBB
   
526,402
 
 
305
 
5.500%, 1/01/20 (Alternative Minimum Tax)
1/12 at 100.00
BBB
   
305,924
 
 
530
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010XX, 5.250%, 7/01/40
7/20 at 100.00
A3
   
531,972
 
 
4,220
 
Total Utilities
       
4,233,005
 
     
Water and Sewer – 18.3% (11.6% of Total Investments)
           
 
400
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax)
9/17 at 100.00
N/R
   
354,724
 
 
1,185
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16
10/13 at 100.00
AAA
   
1,277,442
 
     
Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A:
           
 
1,230
 
5.000%, 11/15/30 – NPFG Insured
11/15 at 100.00
A1
   
1,269,372
 
 
640
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
A1
   
653,683
 
 
230
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
Ba2
   
233,310
 
 
600
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
Ba2
   
572,532
 
 
1,000
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38
7/18 at 100.00
Baa2
   
1,037,590
 
     
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A:
           
 
2,050
 
5.000%, 8/01/20 – NPFG Insured
8/13 at 100.00
Aa3
   
2,131,037
 
 
590
 
5.000%, 8/01/33 – NPFG Insured
8/13 at 100.00
Aa3
   
598,118
 
 
1,840
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth Series, 2007A, 5.000%, 8/01/30 – NPFG Insured
8/16 at 100.00
Aa3
   
1,924,346
 

44
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Water and Sewer (continued)
           
$
1,050
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41
8/21 at 100.00
Aa3
 
$
1,107,162
 
 
350
 
Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
11/13 at 100.00
AA+
   
369,933
 
 
11,165
 
Total Water and Sewer
       
11,529,249
 
$
98,290
 
Total Investments (cost $97,467,499) – 157.7%
       
99,478,311
 
     
Floating Rate Obligations – (9.2)%
       
(5,780,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (50.7)% (6)
       
(32,000,000
     
Other Assets Less Liabilities – 2.2%
       
1,373,253
 
     
Net Assets Applicable to Common Shares – 100%
     
$
63,071,564
 

(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 highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.
(5)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 32.2%.
N/R
 
Not rated.
(ETM)
 
Escrowed to maturity.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information.
 
See accompanying notes to financial statements.
                                                                                                  
Nuveen Investments
 
45

 
 

 

   
Nuveen Massachusetts Premium Income Municipal Fund
NMT
 
Portfolio of Investments
   
November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Consumer Discretionary – 1.5% (1.0% of Total Investments)
           
$
1,425
 
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) (4)
9/12 at 102.00
Caa3
 
$
1,020,072
 
     
Education and Civic Organizations – 34.2% (22.5% of Total Investments)
           
 
1,000
 
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and B-2, 5.250%, 7/01/33 – AGM Insured
7/21 at 100.00
AA–
   
1,053,460
 
 
375
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29
10/19 at 100.00
A
   
388,875
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 5.000%, 1/01/40
1/20 at 100.00
BBB+
   
959,900
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
AA
   
1,045,280
 
 
2,000
 
Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 5.250%, 4/01/37
4/21 at 100.00
AA–
   
2,090,680
 
 
1,045
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 – NPFG Insured
9/17 at 100.00
A+
   
1,067,164
 
 
770
 
Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A, 6.000%, 3/01/20 – ACA Insured
3/12 at 100.00
BBB
   
771,063
 
 
1,745
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%,
7/15 at 100.00
AA–
   
1,817,208
 
         7/01/27 – AGC Insured            
 
1,500
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured
No Opt. Call
A
   
1,645,395
 
 
4,850
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 – AGC Insured
1/18 at 100.00
AA–
   
4,922,212
 
 
1,090
 
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/29
No Opt. Call
A2
   
1,321,898
 
 
1,000
 
Massachusetts Educational Financing Authority, Educational Loan Revenue, Series 2011J, 5.625%, 7/01/33 (Alternative Minimum Tax)
7/21 at 100.00
AA
   
1,005,090
 
 
2,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18
6/13 at 100.00
AA–
   
2,110,780
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, Series 2010, 5.500%, 10/15/31
10/19 at 100.00
Baa1
   
984,500
 
 
250
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, Series 2008O, 5.375%, 8/15/38
8/18 at 100.00
Aa2
   
272,675
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26
7/13 at 100.00
Aaa
   
523,975
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College Issues, Series 2010F, 5.000%, 1/01/41
No Opt. Call
A2
   
509,470
 
 
555
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series 2003H, 5.000%, 7/01/21
7/13 at 100.00
AAA
   
590,431
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured
11/12 at 100.00
A2
   
502,185
 
 
340
 
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999, 5.375%, 2/01/19
2/12 at 100.00
BBB–
   
340,116
 
 
23,020
 
Total Education and Civic Organizations
       
23,922,357
 
     
Health Care – 25.4% (16.7% of Total Investments)
           
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2011K-6, 5.375%, 7/01/41
7/20 at 100.00
AA
   
1,049,720
 
 
1,250
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31
10/13 at 100.00
BBB+
   
1,256,850
 

46
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Health Care (continued)
           
$
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 – RAAI Insured
5/12 at 101.00
BBB+
 
$
972,860
 
     
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B1 Capital Asset Program Converted June 13,2008:
           
 
2,300
 
5.375%, 2/01/26 – NPFG Insured
8/18 at 100.00
A–
   
2,385,859
 
 
770
 
5.375%, 2/01/28 – NPFG Insured
8/18 at 100.00
A–
   
790,759
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B2, Capital Asset Program, Converted June 9, 2009, 5.375%, 2/01/27 – NPFG Insured
8/18 at 100.00
A–
   
1,543,875
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children’s Hospital, Series 2009M, 5.500%, 12/01/39
12/19 at 100.00
AA
   
1,056,600
 
 
935
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 – RAAI Insured
8/15 at 100.00
N/R
   
757,818
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured
8/15 at 100.00
A+
   
1,045,170
 
 
2,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28
8/17 at 100.00
A+
   
2,046,820
 
 
585
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32
7/17 at 100.00
BBB–
   
520,381
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30
7/15 at 100.00
BB–
   
845,230
 
 
75
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32
7/12 at 100.00
AA
   
75,574
 
 
1,445
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33
7/15 at 100.00
A–
   
1,356,898
 
 
2,000
 
Massachusetts State, Health and Educational Facilities Authority, Partners HealthCare System Inc., Series 2007G, 5.000%, 7/01/32
7/17 at 100.00
AA
   
2,046,360
 
 
17,860
 
Total Health Care
       
17,750,774
 
     
Housing/Multifamily – 6.7% (4.4% of Total Investments)
           
 
1,305
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48
7/17 at 100.00
BB
   
1,300,902
 
 
1,715
 
Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31
6/12 at 100.00
N/R
   
1,715,000
 
 
500
 
Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax)
6/13 at 100.00
AA–
   
502,400
 
 
135
 
Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 1999D, 5.500%, 7/01/13 – AMBAC Insured (Alternative Minimum Tax)
7/12 at 100.00
N/R
   
135,923
 
 
1,000
 
Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22
5/12 at 103.00
N/R
   
1,035,780
 
 
4,655
 
Total Housing/Multifamily
       
4,690,005
 
     
Housing/Single Family – 3.6% (2.4% of Total Investments)
           
 
1,500
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax)
6/16 at 100.00
AA
   
1,432,995
 
 
985
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust 3145, 14.395%, 6/01/16 (IF)
No Opt. Call
AA
   
1,111,149
 
 
2,485
 
Total Housing/Single Family
       
2,544,144
 
     
Industrials – 0.9% (0.6% of Total Investments)
           
 
220
 
Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)
No Opt. Call
N/R
   
213,541
 
 
400
 
Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14
No Opt. Call
BBB
   
431,132
 
 
620
 
Total Industrials
       
644,673
 

Nuveen Investments
 
47

 
 

 

   
Nuveen Massachusetts Premium Income Municipal Fund (continued)
NMT
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Long-Term Care – 7.0% (4.6% of Total Investments)
           
$
1,270
 
Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31
4/12 at 102.00
AAA
 
$
1,296,683
 
 
185
 
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30
12/19 at 100.00
A–
   
188,458
 
 
1,685
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26
10/12 at 102.00
N/R
   
1,444,584
 
 
1,500
 
Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)
3/12 at 105.00
AAA
   
1,577,145
 
 
400
 
Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement Community, Series 1994B, 4.750%, 7/01/17
1/12 at 100.00
BBB
   
400,132
 
 
5,040
 
Total Long-Term Care
       
4,907,002
 
     
Tax Obligation/General – 21.3% (14.0% of Total Investments)
           
 
500
 
Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%,
5/15 at 100.00
Aa2
   
536,960
 
         5/15/23 – AMBAC Insured            
 
600
 
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17
1/15 at 100.00
Aaa
   
667,416
 
 
1,000
 
Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%,
2/13 at 101.00
AA–
   
1,033,910
 
         2/01/21 – AGM Insured            
 
1,000
 
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation Bonds, Series 2011, 5.000%, 2/15/41
2/21 at 100.00
Aa3
   
1,052,310
 
 
1,250
 
Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 5.000%, 2/15/32
2/20 at 100.00
AA
   
1,338,013
 
 
1,385
 
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21
No Opt. Call
AA+
   
1,717,885
 
 
1,275
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2001D, 6.000%, 11/01/13 – NPFG Insured
No Opt. Call
AA+
   
1,408,735
 
 
980
 
Monson, Massachusetts, General Obligation Bonds, Series 2002, 5.250%,
5/12 at 101.00
A1
   
1,008,146
 
         5/15/22 – AMBAC Insured            
 
1,260
 
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%,
No Opt. Call
AAA
   
1,549,800
 
         11/15/20 – FGIC Insured            
 
1,000
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 – FGIC Insured
No Opt. Call
Baa1
   
1,062,220
 
 
2,000
 
Quincy, Massachusetts, General Obligation Bonds, Series 2011, 5.250%, 12/01/38
12/20 at 100.00
Aa2
   
2,164,640
 
 
1,220
 
Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 – FGIC Insured
7/15 at 100.00
A1
   
1,332,789
 
 
13,470
 
Total Tax Obligation/General
       
14,872,824
 
     
Tax Obligation/Limited – 11.5% (7.6% of Total Investments)
           
 
210
 
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 – AMBAC Insured
5/14 at 100.00
A–
   
221,193
 
 
975
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 5.000%, 7/01/26
7/18 at 100.00
AAA
   
1,075,103
 
 
385
 
Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21
No Opt. Call
AAA
   
480,137
 
 
325
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 – AMBAC Insured
5/16 at 100.00
Aa2
   
338,504
 
 
1,200
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – AGC Insured
5/18 at 100.00
Aa2
   
1,248,348
 
 
1,000
 
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 5.375%, 5/01/23 – SYNCORA GTY Insured
No Opt. Call
Aa2
   
1,231,660
 
 
1,300
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/20 – AGM Insured (UB)
8/15 at 100.00
AA+
   
1,454,362
 
 
1,000
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B, 5.000%, 10/15/41
10/21 at 100.00
AA+
   
1,061,170
 
 
540
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured
No Opt. Call
A1
   
620,573
 
 
240
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 0.000%, 7/01/43 – AMBAC Insured
No Opt. Call
BBB+
   
26,909
 

48
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Tax Obligation/Limited (continued)
           
$
235
 
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19 – NPFG Insured
No Opt. Call
A3
 
$
259,008
 
 
7,410
 
Total Tax Obligation/Limited
       
8,016,967
 
     
Transportation – 11.5% (7.6% of Total Investments)
           
 
500
 
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30
7/20 at 100.00
AA–
   
534,705
 
 
2,000
 
Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 – NPFG Insured
7/13 at 100.00
AA–
   
2,021,320
 
 
1,000
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)
7/17 at 100.00
A3
   
991,710
 
 
225
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
1/12 at 100.00
N/R
   
170,170
 
 
4,000
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 – NPFG Insured (Alternative Minimum Tax)
3/12 at 100.00
Baa1
   
3,822,760
 
 
470
 
Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Parking Revenue Bonds, Senior Lien Series 2011, 5.000%, 7/01/41
7/21 at 100.00
A+
   
477,675
 
 
8,195
 
Total Transportation
       
8,018,340
 
     
U.S. Guaranteed – 14.4% (9.5% of Total Investments) (5)
           
 
650
 
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17 (Pre-refunded 1/01/15)
1/15 at 100.00
N/R (5)
   
735,716
 
 
1,115
 
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 (Pre-refunded 3/01/17)
3/17 at 100.00
N/R (5)
   
1,319,301
 
 
25
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 5.000%, 7/01/26 (Pre-refunded 7/01/18)
7/18 at 100.00
AAA
   
30,380
 
 
550
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 (Pre-refunded 5/01/14) – NPFG Insured
5/14 at 100.00
Aa2 (5)
   
607,602
 
 
1,000
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13)
7/13 at 101.00
A (5)
   
1,093,170
 
 
750
 
Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 (Pre-refunded 9/01/13)
9/13 at 100.00
AA– (5)
   
808,695
 
 
410
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG Insured
7/21 at 100.00
BBB (5)
   
480,475
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 (Pre-refunded 7/01/12)
7/12 at 101.00
N/R (5)
   
1,045,190
 
 
600
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.375%, 5/15/19 (Pre-refunded 5/15/12) – FGIC Insured
5/12 at 100.00
N/R (5)
   
614,190
 
 
295
 
Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM)
1/12 at 100.00
AAA
   
333,318
 
 
1,500
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) – FGIC Insured
1/14 at 100.00
A1 (5)
   
1,641,255
 
 
1,065
 
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19 – NPFG Insured (ETM)
No Opt. Call
A3 (5)
   
1,348,418
 
 
8,960
 
Total U.S. Guaranteed
       
10,057,710
 
     
Utilities – 2.9% (1.9% of Total Investments)
           
 
1,000
 
Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/16 – NPFG Insured
1/12 at 101.00
Baa1
   
1,012,050
 
 
1,000
 
Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
6/12 at 100.00
A–
   
1,003,170
 
 
2,000
 
Total Utilities
       
2,015,220
 
     
Water and Sewer – 10.9% (7.2% of Total Investments)
           
 
500
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Lien Refunding Series 2010A, 5.000%, 11/01/30
11/19 at 100.00
AA+
   
553,475
 
 
2,000
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25
11/14 at 100.00
AA+
   
2,207,960
 

Nuveen Investments
 
49

 
 

 

   
Nuveen Massachusetts Premium Income Municipal Fund (continued)
NMT
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Water and Sewer (continued)
           
$
60
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22
8/13 at 100.00
AAA
 
$
62,589
 
 
285
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10, 5.000%, 8/01/26
8/14 at 100.00
AAA
   
299,096
 
 
750
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11, 4.500%, 8/01/29
8/15 at 100.00
AAA
   
774,668
 
 
1,000
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 4.375%, 8/01/31 (UB)
8/16 at 100.00
AAA
   
1,028,010
 
 
500
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20
8/12 at 100.00
AAA
   
515,755
 
 
1,500
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28 – NPFG Insured
8/17 at 100.00
AA+
   
1,623,945
 
 
625
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46
8/16 at 100.00
AA+
   
577,375
 
 
7,220
 
Total Water and Sewer
       
7,642,873
 
$
102,360
 
Total Investments (cost $103,614,513) – 151.8%
       
106,102,961
 
     
Floating Rate Obligations – (2.1)%
       
(1,435,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (52.4)% (6)
       
(36,645,000
     
Other Assets Less Liabilities – 2.7%
       
1,882,526
 
     
Net Assets Applicable to Common Shares – 100%
     
$
69,905,487
 

(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 highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(5)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investment is 34.5%.
N/R
 
Not rated.
(ETM)
 
Escrowed to maturity.
(IF)
 
Inverse floating rate investment.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information.
                                                                                                                                                                                                                                
See accompanying notes to financial statements.
 
50
 
Nuveen Investments

 
 

 

   
Nuveen Massachusetts Dividend Advantage Municipal Fund
NMB
 
Portfolio of Investments
   
November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Consumer Discretionary – 1.2% (0.8% of Total Investments)
           
$
480
 
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) (4)
9/12 at 102.00
Caa3
 
$
343,603
 
     
Education and Civic Organizations – 46.3% (30.8% of Total Investments)
           
 
500
 
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and B-2, 5.250%, 7/01/33 – AGM Insured
7/21 at 100.00
AA–
   
526,730
 
 
375
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29
10/19 at 100.00
A
   
388,875
 
 
110
 
Massachusetts Development Finance Agency, Revenue Bonds, Draper Laboratory, Series 2008, 5.875%, 9/01/30
No Opt. Call
Aa3
   
120,086
 
 
400
 
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 5.000%, 1/01/40
1/20 at 100.00
BBB+
   
383,960
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 5.250%, 4/01/37
4/21 at 100.00
AA–
   
1,045,340
 
 
450
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 – NPFG Insured
9/17 at 100.00
A+
   
459,545
 
 
495
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%,
7/15 at 100.00
AA–
   
515,483
 
         7/01/27 – AGC Insured            
 
500
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured
No Opt. Call
A
   
548,465
 
 
2,100
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 – AGC Insured
1/18 at 100.00
AA–
   
2,131,265
 
 
1,000
 
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/59
5/29 at 105.00
A2
   
1,119,060
 
 
990
 
Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2001E, 5.300%, 1/01/16 – AMBAC Insured (Alternative Minimum Tax)
1/12 at 100.00
AA
   
991,822
 
 
595
 
Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2008H, 6.350%, 1/01/30 – AGC Insured (Alternative Minimum Tax)
1/18 at 100.00
AA+
   
633,943
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18
6/13 at 100.00
AA–
   
1,055,390
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, Series 2010, 5.500%, 10/15/31
10/19 at 100.00
Baa1
   
492,250
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College Issues, Series 2010F, 5.000%, 1/01/41
No Opt. Call
A2
   
1,528,410
 
 
590
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31
7/16 at 100.00
AAA
   
621,170
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Refunding Bonds, Suffolk University Issue, Series 2009A, 5.750%, 7/01/39
7/19 at 100.00
BBB
   
502,565
 
 
12,605
 
Total Education and Civic Organizations
       
13,064,359
 
     
Health Care – 31.1% (20.7% of Total Investments)
           
 
1,200
 
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2011K-6, 5.375%, 7/01/41
7/20 at 100.00
AA
   
1,259,664
 
 
500
 
Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health, Series 2011H, 5.500%, 7/01/31
7/21 at 100.00
A–
   
507,980
 
 
500
 
Massachusetts Health and Educational Facilities Authority Revenue Bonds, Quincy Medical Center Issue, Series 2008A, 6.500%, 1/15/38 (4), (5)
1/18 at 100.00
N/R
   
94,970
 
 
160
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical Center, Series 2009I, 5.750%, 7/01/36
7/19 at 100.00
A+
   
165,805
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31
10/13 at 100.00
BBB+
   
502,740
 
 
775
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B1 Capital Asset Program Converted June 13,2008, 5.375%, 2/01/26 – NPFG Insured
8/18 at 100.00
A–
   
803,931
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B2, Capital Asset Program, Converted June 9, 2009, 5.375%, 2/01/27 – NPFG Insured
8/18 at 100.00
A–
   
514,625
 

Nuveen Investments
 
51

 
 

 

   
Nuveen Massachusetts Dividend Advantage Municipal Fund (continued)
NMB
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Health Care (continued)
           
$
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children’s Hospital, Series 2009M, 5.500%, 12/01/39
12/19 at 100.00
AA
 
$
1,056,600
 
 
295
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31
1/12 at 101.00
A
   
298,074
 
     
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital, Series 2005E:
           
 
550
 
5.000%, 8/15/25 – RAAI Insured
8/15 at 100.00
N/R
   
495,710
 
 
315
 
5.000%, 8/15/35 – RAAI Insured
8/15 at 100.00
N/R
   
255,308
 
 
600
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured
8/15 at 100.00
A+
   
627,102
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28
8/17 at 100.00
A+
   
1,023,410
 
 
290
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32
7/17 at 100.00
BBB–
   
257,967
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30
7/15 at 100.00
BB–
   
422,615
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire Community Services Inc., Series 2004B, 6.375%, 7/01/34 (4), (5), (6)
7/14 at 100.00
D
   
180,000
 
 
35
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32
7/12 at 100.00
AA
   
35,268
 
 
285
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33
7/15 at 100.00
A–
   
267,624
 
 
9,505
 
Total Health Care
       
8,769,393
 
     
Housing/Multifamily – 7.4% (5.0% of Total Investments)
           
 
565
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48
7/17 at 100.00
BB
   
563,226
 
 
500
 
Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax)
6/13 at 100.00
AA–
   
502,400
 
 
1,000
 
Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22
5/12 at 103.00
N/R
   
1,035,780
 
 
2,065
 
Total Housing/Multifamily
       
2,101,406
 
     
Housing/Single Family – 4.1% (2.7% of Total Investments)
           
 
650
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax)
6/16 at 100.00
AA
   
620,965
 
 
480
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust 3145, 15.456%, 6/01/16 (IF)
No Opt. Call
AA
   
537,494
 
 
1,130
 
Total Housing/Single Family
       
1,158,459
 
     
Industrials – 1.1% (0.7% of Total Investments)
           
 
105
 
Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)
No Opt. Call
N/R
   
101,917
 
 
200
 
Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14
No Opt. Call
BBB
   
215,566
 
 
305
 
Total Industrials
       
317,483
 
     
Long-Term Care – 8.7% (5.8% of Total Investments)
           
 
100
 
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30
12/19 at 100.00
A–
   
101,869
 
 
725
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26
10/12 at 102.00
N/R
   
621,557
 
 
655
 
Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire Retirement Community – Edgecombe Project, Series 2001A, 6.750%, 7/01/21
1/12 at 102.00
BBB
   
668,768
 
 
1,000
 
Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)
3/12 at 105.00
AAA
   
1,051,430
 
 
2,480
 
Total Long-Term Care
       
2,443,624
 

52
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Tax Obligation/General – 15.5% (10.3% of Total Investments)
           
$
310
 
Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%,
5/15 at 100.00
Aa2
 
$
332,915
 
         5/15/23 – AMBAC Insured            
 
440
 
Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%,
2/13 at 101.00
AA–
   
454,920
 
         2/01/21 – AGM Insured            
 
1,000
 
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation Bonds, Series 2011, 5.000%, 2/15/41
2/21 at 100.00
Aa3
   
1,052,310
 
 
500
 
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%,
No Opt. Call
AAA
   
615,000
 
         11/15/20 – FGIC Insured            
 
500
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 – FGIC Insured
No Opt. Call
Baa1
   
531,110
 
 
1,280
 
Quincy, Massachusetts, General Obligation Bonds, Series 2011, 5.125%, 12/01/33
12/20 at 100.00
Aa2
   
1,375,846
 
 
4,030
 
Total Tax Obligation/General
       
4,362,101
 
     
Tax Obligation/Limited – 10.7% (7.1% of Total Investments)
           
 
395
 
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 – AMBAC Insured
5/14 at 100.00
A–
   
416,054
 
 
385
 
Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21
No Opt. Call
AAA
   
480,137
 
 
250
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 – AMBAC Insured
5/16 at 100.00
Aa2
   
260,388
 
 
550
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – AGC Insured
5/18 at 100.00
Aa2
   
572,160
 
 
500
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/20 – AGM Insured (UB)
8/15 at 100.00
AA+
   
559,370
 
 
230
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured
No Opt. Call
A1
   
264,318
 
 
455
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A, 6.375%, 10/01/19
4/12 at 100.00
BBB+
   
455,960
 
 
2,765
 
Total Tax Obligation/Limited
       
3,008,387
 
     
Transportation – 4.2% (2.8% of Total Investments)
           
 
500
 
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30
7/20 at 100.00
AA–
   
534,705
 
 
400
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)
7/17 at 100.00
A3
   
396,684
 
 
260
 
Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Parking Revenue Bonds, Senior Lien Series 2011, 5.000%, 7/01/41
7/21 at 100.00
A+
   
264,246
 
 
1,160
 
Total Transportation
       
1,195,635
 
     
U.S. Guaranteed – 6.0% (4.0% of Total Investments) (7)
           
 
230
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 (Pre-refunded 5/01/14) – NPFG Insured
5/14 at 100.00
Aa2 (7)
   
254,088
 
 
500
 
Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 (Pre-refunded 9/01/13)
9/13 at 100.00
AA– (7)
   
539,130
 
 
80
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 (Pre-refunded 1/01/12)
1/12 at 101.00
A (7)
   
81,200
 
 
750
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) – FGIC Insured
1/14 at 100.00
A1 (7)
   
820,628
 
 
1,560
 
Total U.S. Guaranteed
       
1,695,046
 
     
Utilities – 5.6% (3.7% of Total Investments)
           
 
1,070
 
Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/14 – NPFG Insured
1/12 at 101.00
Baa1
   
1,082,926
 
 
500
 
Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
6/12 at 100.00
A–
   
501,585
 
 
1,570
 
Total Utilities
       
1,584,511
 

Nuveen Investments
 
53

 
 

 

   
Nuveen Massachusetts Dividend Advantage Municipal Fund (continued)
NMB
 
Portfolio of Investments
     November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Water and Sewer – 8.5% (5.6% of Total Investments)
           
$
530
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25
11/14 at 100.00
AA+
 
$
585,109
 
 
125
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
Ba2
   
126,799
 
 
500
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11, 4.500%, 8/01/29
8/15 at 100.00
AAA
   
516,445
 
 
400
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 4.375%, 8/01/31 (UB)
8/16 at 100.00
AAA
   
411,204
 
 
500
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20
8/12 at 100.00
AAA
   
515,755
 
 
250
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46
8/16 at 100.00
AA+
   
230,950
 
 
2,305
 
Total Water and Sewer
       
2,386,262
 
$
41,960
 
Total Investments (cost $41,955,116) – 150.4%
       
42,430,269
 
     
Floating Rate Obligations – (2.0)%
       
(560,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (52.2)% (8)
       
(14,725,000
     
Other Assets Less Liabilities – 3.8%
       
1,077,399
 
     
Net Assets Applicable to Common Shares – 100%
     
$
28,222,668
 

(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 highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(5)
 
For fair value measurement disclosure purposes, investment categorized as Level 3. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Investment Valuation for more information.
(6)
 
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees.
(7)
 
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. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(8)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investment is 34.7%.
N/R
 
Not rated.
(IF)
 
Inverse floating rate investment.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information.
                                                                                                                                                                                                                                
See accompanying notes to financial statements.
 
54
 
Nuveen Investments

 
 

 

   
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund
NGX
 
Portfolio of Investments
   
November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Education and Civic Organizations – 27.9% (18.2% of Total Investments)
           
$
600
 
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and B-2, 5.250%, 7/01/33 – AGM Insured
7/21 at 100.00
AA–
 
$
632,076
 
 
1,135
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2005T-1, 5.000%, 10/01/39 – AMBAC Insured
10/15 at 100.00
A
   
1,138,655
 
 
600
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 – NPFG Insured
9/17 at 100.00
A+
   
612,726
 
 
1,250
 
Massachusetts Development Finance Authority, Revenue Bonds, Middlesex School, Series 2003, 5.000%, 9/01/33
9/13 at 100.00
A1
   
1,260,225
 
 
1,000
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured
No Opt. Call
A
   
1,096,930
 
 
3,000
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 – AGC Insured
1/18 at 100.00
AA–
   
3,044,670
 
 
1,750
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, Series 2003N, 5.125%, 6/01/37
6/13 at 100.00
AA–
   
1,773,310
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured
11/12 at 100.00
A2
   
1,506,555
 
 
10,835
 
Total Education and Civic Organizations
       
11,065,147
 
     
Health Care – 11.1% (7.2% of Total Investments)
           
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2004D, 5.125%, 11/15/35 – AGC Insured
11/19 at 100.00
AA–
   
508,480
 
 
335
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 – NPFG Insured
1/12 at 100.00
A–
   
335,034
 
     
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B1 Capital Asset Program Converted June 13,2008:
           
 
450
 
5.375%, 2/01/26 – NPFG Insured
8/18 at 100.00
A–
   
466,799
 
 
600
 
5.375%, 2/01/27 – NPFG Insured
8/18 at 100.00
A–
   
617,550
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B2, Capital Asset Program, Converted June 9, 2009, 5.375%, 2/01/28 – NPFG Insured
8/18 at 100.00
A–
   
1,540,440
 
 
585
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32
7/17 at 100.00
BBB–
   
520,381
 
 
200
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30
7/15 at 100.00
BB–
   
169,046
 
 
250
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33
7/15 at 100.00
A–
   
234,758
 
 
4,420
 
Total Health Care
       
4,392,488
 
     
Housing/Multifamily – 11.5% (7.5% of Total Investments)
           
 
500
 
Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%, 4/01/20 – AGM Insured
4/18 at 100.00
AA–
   
552,220
 
 
750
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48
7/17 at 100.00
BB
   
747,645
 
 
2,000
 
Massachusetts Housing Finance Agency, Housing Bonds, Series 2003H, 5.125%, 6/01/43
12/12 at 100.00
AA–
   
2,005,320
 
 
1,265
 
Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2002H, 5.200%, 7/01/42 – AGM Insured
7/12 at 100.00
AA–
   
1,267,631
 
 
4,515
 
Total Housing/Multifamily
       
4,572,816
 
     
Industrials – 7.5% (4.9% of Total Investments)
           
     
Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street Redevelopment, M/SRBC Project, Series 2002A:
           
 
1,475
 
5.125%, 8/01/28 – NPFG Insured
2/12 at 100.00
Baa1
   
1,474,838
 
 
1,500
 
5.125%, 2/01/34 – NPFG Insured
2/12 at 100.00
Baa1
   
1,499,865
 
 
2,975
 
Total Industrials
       
2,974,703
 

Nuveen Investments
 
55

 
 

 

   
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (continued)
NGX
 
Portfolio of Investments
     November 30, 2011 (Unaudited)
 
 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Long-Term Care – 4.7% (3.1% of Total Investments)
           
$
1,750
 
Massachusetts Development Finance Authority, GNMA Collateralized Revenue Bonds, Neville Communities, Series 2002A, 6.000%, 6/20/44
12/12 at 105.00
AA+
 
$
1,867,880
 
     
Tax Obligation/General – 12.9% (8.4% of Total Investments)
           
 
1,280
 
Littleton, Massachusetts, General Obligation Bonds, Series 2003, 5.000%,
1/13 at 101.00
AA
   
1,340,006
 
         1/15/21 – FGIC Insured            
 
1,500
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.250%, 8/01/21 – AGM Insured
No Opt. Call
AA+
   
1,873,800
 
 
1,705
 
North Attleborough, Massachusetts, General Obligation Bonds, Series 2004, 5.000%, 7/15/15 – FGIC Insured
7/14 at 101.00
Aa2
   
1,901,109
 
 
4,485
 
Total Tax Obligation/General
       
5,114,915
 
     
Tax Obligation/Limited – 10.6% (6.9% of Total Investments)
           
 
3,000
 
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2002, 5.000%, 5/01/32 – AMBAC Insured
5/13 at 100.00
A–
   
3,078,480
 
 
750
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – AGC Insured
5/18 at 100.00
Aa2
   
780,218
 
 
300
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured
No Opt. Call
A1
   
344,763
 
 
4,050
 
Total Tax Obligation/Limited
       
4,203,461
 
     
Transportation – 2.5% (1.7% of Total Investments)
           
 
1,000
 
Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 – NPFG Insured
7/13 at 100.00
AA–
   
1,010,660
 
     
U.S. Guaranteed – 42.1% (27.5% of Total Investments) (4)
           
 
2,000
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2002A, 5.000%, 7/01/27 (Pre-refunded 7/01/12) – FGIC Insured
7/12 at 100.00
AAA
   
2,055,900
 
 
2,790
 
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003A, 5.250%, 5/01/22 (Pre-refunded 5/01/13) – SYNCORA GTY Insured
5/13 at 100.00
Aa2 (4)
   
2,979,636
 
 
500
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 (Pre-refunded 7/01/13)
7/13 at 101.00
A (4)
   
551,520
 
     
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical Center Hospitals, Series 2002H:
           
 
100
 
5.000%, 5/15/25 (Pre-refunded 5/15/12) – FGIC Insured
5/12 at 100.00
N/R (4)
   
102,194
 
 
2,400
 
5.000%, 5/15/25 (Pre-refunded 5/15/12) – FGIC Insured
5/12 at 100.00
N/R (4)
   
2,452,656
 
 
295
 
Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM)
1/12 at 100.00
AAA
   
333,318
 
 
1,000
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/21 (Pre-refunded 1/01/14) – FGIC Insured
1/14 at 100.00
A1 (4)
   
1,094,170
 
 
1,500
 
Pittsfield, Massachusetts, General Obligation Bonds, Series 2002, 5.000%, 4/15/18 (Pre-refunded 4/15/12) – NPFG Insured
4/12 at 101.00
AA (4)
   
1,541,400
 
 
3,000
 
Springfield, Massachusetts, General Obligation Bonds, Series 2003, 5.250%, 1/15/22 (Pre-refunded 1/15/13) – NPFG Insured
1/13 at 100.00
AA (4)
   
3,166,288
 
 
2,140
 
University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21 (Pre-refunded 11/01/14) – AMBAC Insured
11/14 at 100.00
AA– (4)
   
2,428,921
 
 
15,725
 
Total U.S. Guaranteed
       
16,706,003
 
     
Utilities – 3.1% (2.1% of Total Investments)
           
 
1,210
 
Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 – AGM Insured
10/20 at 100.00
AA–
   
1,243,420
 
     
Water and Sewer – 19.2% (12.5% of Total Investments)
           
 
1,900
 
Lynn Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2003A, 5.000%, 12/01/32 – NPFG Insured
12/13 at 100.00
A1
   
1,919,266
 
 
600
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 4.375%, 8/01/31 (UB)
8/16 at 100.00
AAA
   
616,806
 
                   

56
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Water and Sewer (continued)
           
$
1,000
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 8/01/19 – AGM Insured
No Opt. Call
AA+
 
$
1,231,910
 
 
1,000
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2004D, 5.000%, 8/01/24 – NPFG Insured
8/13 at 100.00
AA+
   
1,058,920
 
     
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A:
           
 
1,500
 
5.000%, 8/01/31 – AMBAC Insured
8/16 at 100.00
AA+
   
1,583,175
 
 
125
 
4.000%, 8/01/46
8/16 at 100.00
AA+
   
115,475
 
 
500
 
Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Refunding Series 2010B, 5.000%, 11/15/30 – AGC Insured
No Opt. Call
AA–
   
544,990
 
 
495
 
Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 – NPFG Insured
7/14 at 100.00
A+
   
536,808
 
 
7,120
 
Total Water and Sewer
       
7,607,350
 
$
58,085
 
Total Investments (cost $58,719,651) – 153.1%
       
60,758,843
 
     
Floating Rate Obligations – (0.9)%
       
(340,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (55.6)% (5)
       
(22,075,000
     
Other Assets Less Liabilities – 3.4%
       
1,334,773
 
     
Net Assets Applicable to Common Shares – 100%
     
$
39,678,616
 

   
The Fund intends to invest at least 80% of its managed assets in municipal securities that are covered by insurance guaranteeing the timely payment of principal and interest. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Insurance, for more information.
(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 highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(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. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(5)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage or Total Investments is 36.3%.
N/R
 
Not rated.
(ETM)
 
Escrowed to maturity.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information.
                                                                                                                                                                                                                                
See accompanying notes to financial statements.
                                                                                                  
Nuveen Investments
 
57

 
 

 

   
Nuveen Missouri Premium Income Municipal Fund
NOM
 
Portfolio of Investments
   
November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Consumer Staples – 3.4% (2.2% of Total Investments)
           
$
1,000
 
Missouri Development Finance Board, Solid Waste Disposal Revenue Bonds, Procter and Gamble Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax)
No Opt. Call
AA–
 
$
1,101,850
 
     
Education and Civic Organizations – 9.0% (5.6% of Total Investments)
           
 
250
 
Lincoln University, Missouri, Auxillary System Revenue Bonds, Series 2007, 5.125%, 6/01/37 – AGC Insured
6/17 at 100.00
AA–
   
254,190
 
 
630
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, A.T. Still University of Health Sciences, Series 2011, 5.250%, 10/01/41
10/21 at 100.00
A–
   
636,464
 
 
700
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Rockhurst University, Series 2011A, 6.500%, 10/01/35
10/18 at 103.00
BBB
   
743,274
 
 
550
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Washington University, Series 2011B, 5.000%, 11/15/37
11/21 at 100.00
AAA
   
610,308
 
 
600
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Webster University, Series 2011, 5.000%, 4/01/36
4/21 at 100.00
A2
   
623,790
 
 
2,730
 
Total Education and Civic Organizations
       
2,868,026
 
     
Health Care – 33.2% (20.7% of Total Investments)
           
 
485
 
Cape Girardeau County Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, Saint Francis Medical Center, Series 2009A, 5.750%, 6/01/39
6/19 at 100.00
AA–
   
505,525
 
 
760
 
Cape Girardeau County Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, Southeast Missouri Hospital Association, Series 2007, 5.000%, 6/01/27
6/17 at 100.00
BBB+
   
738,051
 
 
930
 
Cass County, Missouri, Hospital Revenue Bonds, Series 2007, 5.625%, 5/01/38
11/16 at 100.00
BBB+
   
852,996
 
 
480
 
Clinton County Industrial Development Authority, Missouri, Revenue Bonds, Cameron Regional Medical Center, Series 2007, 5.000%, 12/01/37
12/17 at 100.00
N/R
   
379,171
 
 
750
 
Joplin Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, Freeman Health System, Series 2004, 5.500%, 2/15/29
2/15 at 102.00
BBB+
   
747,870
 
 
540
 
Missouri Health and Educational Facilities Authority, Health Facilities Revenue Bonds, Capital Region Medical Center, Series 2011, 5.000%, 11/01/27
11/20 at 100.00
A3
   
550,292
 
 
500
 
Missouri Health and Educational Facilities Authority, Health Facilities Revenue Bonds, St. Luke’s Episcopal and Presbyterian Hospitals, Series 2011, 5.000%, 12/01/25
12/21 at 100.00
A+
   
526,505
 
 
2,000
 
Missouri Health and Educational Facilities Authority, Health Facility Revenue Bonds, St. Luke’s Health System, Series 2010A, 5.000%, 11/15/30
11/20 at 100.00
A+
   
2,052,977
 
     
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
   
1,563,555
 
 
1,155
 
5.250%, 5/15/32
5/13 at 100.00
AA
   
1,166,666
 
 
500
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Lake Regional Health System, Series 2003, 5.700%, 2/15/34
2/14 at 100.00
BBB+
   
506,930
 
 
720
 
Saline County Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, John Fitzgibbon Memorial Hospital Inc., Series 2010, 5.600%, 12/01/28
12/20 at 100.00
BBB–
   
693,648
 
 
350
 
St. Louis County Industrial Development Authority, Missouri, Healthcare Facilities Revenue Bonds, Ranken-Jordan Project, Refunding Series 2007, 5.000%, 11/15/27
11/16 at 100.00
N/R
   
300,003
 
 
10,670
 
Total Health Care
       
10,584,189
 
     
Housing/Multifamily – 3.3% (2.0% of Total Investments)
           
 
375
 
Jefferson County Industrial Development Authority, Missouri, Multifamily Housing Revenue Bonds, Lakewood Apartments Project, Series 2001B, 5.750%, 11/01/34 (Mandatory put 11/01/16) (Alternative Minimum Tax)
6/12 at 100.00
N/R
   
375,401
 
 
165
 
Missouri Housing Development Commission, Multifamily Housing Revenue Bonds, Series 2001II, 5.250%, 12/01/16
6/12 at 100.00
AA
   
165,370
 
 
500
 
St. Charles County Industrial Development Authority, Missouri, FHA-Insured Multifamily Housing Revenue Bonds, Ashwood Apartments, Series 1998A, 5.600%, 4/01/30 – AGM Insured (Alternative Minimum Tax)
4/12 at 100.00
Aaa
   
500,230
 
 
1,040
 
Total Housing/Multifamily
       
1,041,001
 

58
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Housing/Single Family – 3.0% (1.9% of Total Investments)
           
$
350
 
Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership Loan Program, Series 2007A-1, 4.700%, 9/01/27 (Alternative Minimum Tax)
9/16 at 100.00
AA+
 
$
350,641
 
 
615
 
Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership Loan Program, Series 2007C-1, 4.800%, 9/01/38 (Alternative Minimum Tax)
3/17 at 100.00
AA+
   
602,700
 
 
965
 
Total Housing/Single Family
       
953,341
 
     
Long-Term Care – 10.3% (6.4% of Total Investments)
           
 
1,750
 
Cole County Industrial Development Authority, Missouri, Revenue Bonds, Lutheran Senior Services – Heisinger Project, Series 2004, 5.500%, 2/01/35
2/14 at 100.00
BBB+
   
1,678,023
 
 
500
 
Joplin Industrial Development Authority, Missouri, Revenue Bonds, Christian Homes Inc., Series 2007F, 5.750%, 5/15/31
5/17 at 100.00
BBB–
   
465,155
 
 
475
 
Lees Summit Industrial Development Authority, Missouri, Revenue Bonds, John Knox Village Obligated Group, Series 2007A, 5.125%, 8/15/32
8/17 at 100.00
BBB–
   
434,725
 
 
250
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Lutheran Senior Services Projects, Series 2011, 6.000%, 2/01/41
2/21 at 100.00
BBB+
   
251,113
 
 
500
 
St. Louis County Industrial Development Authority, Missouri, Revenue Bonds, Friendship Village of West County, Series 2007A, 5.500%, 9/01/28
9/17 at 100.00
BBB
   
475,530
 
 
3,475
 
Total Long-Term Care
       
3,304,546
 
     
Materials – 2.1% (1.3% of Total Investments)
           
 
750
 
Sugar Creek, Missouri, Industrial Development Revenue Bonds, Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax)
6/13 at 101.00
BB+
   
661,230
 
     
Tax Obligation/General – 20.7% (12.9% of Total Investments)
           
 
1,500
 
Camdenton Reorganized School District R3, Camden County, Missouri, General Obligation Bonds, Series 2005, 5.250%, 3/01/24 – AGM Insured
No Opt. Call
AA–
   
1,657,680
 
 
1,685
 
Independence School District, Jackson County, Missouri, General Obligation Bonds, Series 2010, 5.000%, 3/01/27
3/20 at 100.00
AA+
   
1,883,291
 
 
500
 
Jackson County School District R-7, Lees Summit, Missouri, General Obligation Refunding and Improvement Bonds, Series 2002, 5.250%, 3/01/18 – AGM Insured
3/12 at 100.00
AA+
   
505,635
 
 
500
 
Missouri School Boards Association, Lease Participation Certificates, Clay County School District 53 Liberty, Series 2007, 5.250%, 3/01/27 – AGM Insured
3/17 at 100.00
AA–
   
536,535
 
 
1,000
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/20 – NPFG Insured
No Opt. Call
Baa1
   
1,087,600
 
 
900
 
Ritenour Consolidated School District, St. Louis County, Missouri, General Obligation Bonds, Series 1995, 7.375%, 2/01/12 – FGIC Insured
No Opt. Call
Aa2
   
909,972
 
 
20
 
St. Louis County Pattonville School District R3, Missouri, General Obligation Bonds, Series 2004, 5.250%, 3/01/20 – AGM Insured
3/14 at 100.00
AA
   
21,606
 
 
6,105
 
Total Tax Obligation/General
       
6,602,319
 
     
Tax Obligation/Limited – 28.8% (17.9% of Total Investments)
           
 
600
 
Chesterfield, Missouri, Certificates of Participation, Series 2005, 5.000%, 12/01/24 – FGIC Insured
12/15 at 100.00
Aa1
   
627,888
 
 
80
 
Cottleville, Missouri, Certificates of Participation, Series 2006, 5.250%, 8/01/31
8/14 at 100.00
N/R
   
78,980
 
 
240
 
Fenton, Missouri, Tax Increment Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2006, 4.500%, 4/01/21
4/14 at 100.00
BBB+
   
244,572
 
 
315
 
Fulton, Missouri, Tax Increment Revenue Bonds, Fulton Commons Redevelopment Project, Series 2006, 5.000%, 6/01/28
6/16 at 100.00
N/R
   
237,976
 
 
475
 
Jackson County, Missouri, Special Obligation Bonds, Truman Medical Center Project, Series 2011B, 4.350%, 12/01/23
12/21 at 100.00
Aa3
   
496,893
 
 
300
 
Kansas City Industrial Development Authority, Missouri, Downtown Redevelopment District Revenue Bonds, Series 2011A, 5.000%, 9/01/32
9/21 at 100.00
AA–
   
306,366
 
 
475
 
Kansas City Tax Increment Financing Commission, Missouri, Tax Increment Revenue Bonds, Briarcliff West Project, Series 2006A, 5.400%, 6/01/24
6/14 at 102.00
N/R
   
424,750
 
 
100
 
Kansas City Tax Increment Financing Commission, Missouri, Tax Increment Revenue Bonds, Shoal Creek Parkway Project, Series 2011, 5.000%, 6/01/21
6/16 at 100.00
N/R
   
101,569
 

Nuveen Investments
 
59

 
 

 

   
Nuveen Missouri Premium Income Municipal Fund (continued)
NOM
 
Portfolio of Investments
      November 30, 2011 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Tax Obligation/Limited (continued)
           
$
360
 
Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, Branson Landing Project, Series 2005A, 5.000%, 6/01/35
6/15 at 100.00
A
 
$
362,585
 
 
415
 
Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, City of Independence, Crackerneck Creek Project, Series 2006C, 5.000%, 3/01/28
3/16 at 100.00
A–
   
406,156
 
 
450
 
Monarch-Chesterfield Levee District, St. Louis County, Missouri, Levee District Improvement Bonds, Series 1999, 5.750%, 3/01/19 – NPFG Insured
3/12 at 100.00
A
   
451,602
 
 
500
 
Osage Beach, Missouri, Tax Increment Revenue Bonds, Prewitts Point Transportation Development District, Series 2006, 5.000%, 5/01/23
5/12 at 102.00
N/R
   
424,685
 
 
1,750
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2009A, 6.000%, 8/01/42
8/19 at 100.00
A+
   
1,892,030
 
 
1,500
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A, 0.000%, 8/01/41 – NPFG Insured
No Opt. Call
Aa2
   
233,730
 
 
600
 
Riverside, Missouri, L-385 Levee Redevelopment Plan Tax Increment Revenue Bonds, Series 2004, 5.250%, 5/01/20
5/15 at 100.00
A
   
622,176
 
 
1,395
 
Springfield Public Building Corporation, Missouri, Lease Revenue Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 – AMBAC Insured
6/12 at 100.00
N/R
   
1,395,000
 
     
St. Joseph Industrial Development Authority, Missouri, Tax Increment Bonds, Shoppes at North Village Project, Series 2005A:
           
 
340
 
5.375%, 11/01/24
11/14 at 100.00
N/R
   
320,773
 
 
400
 
5.500%, 11/01/27
11/14 at 100.00
N/R
   
369,996
 
 
200
 
St. Joseph Industrial Development Authority, Missouri, Tax Increment Bonds, Shoppes at North Village Project, Series 2005B, 5.500%, 11/01/27
11/14 at 100.00
N/R
   
182,180
 
 
10,495
 
Total Tax Obligation/Limited
       
9,179,907
 
     
Transportation – 16.6% (10.3% of Total Investments)
           
 
500
 
Kansas City, Missouri, Passenger Facility Charge Revenue Bonds, Kansas City International Airport, Series 2001, 5.000%, 4/01/23 – AMBAC Insured (Alternative Minimum Tax)
4/12 at 100.50
A
   
505,300
 
 
1,000
 
St. Louis Land Clearance Redevelopment Authority, Missouri, Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19
3/12 at 100.00
N/R
   
1,000,090
 
 
1,000
 
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series 2005, 5.500%, 7/01/18 – NPFG Insured
No Opt. Call
A–
   
1,132,410
 
 
2,500
 
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series 2007A, 5.000%, 7/01/21 – AGM Insured
7/17 at 100.00
AA–
   
2,660,625
 
 
5,000
 
Total Transportation
       
5,298,425
 
     
U.S. Guaranteed – 13.9% (8.7% of Total Investments) (4)
           
 
685
 
Fenton, Missouri, Tax Increment Refunding and Improvement Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2002, 6.125%, 10/01/21 (Pre-refunded 10/01/12)
10/12 at 100.00
AAA
   
718,620
 
 
1,630
 
North Kansas City School District, Missouri, General Obligation Bonds, Series 2003A, 5.000%, 3/01/23 (Pre-refunded 3/01/13)
3/13 at 100.00
AA+ (4)
   
1,724,980
 
     
St. Louis County Pattonville School District R3, Missouri, General Obligation Bonds, Series 2004:
           
 
80
 
5.250%, 3/01/20 (Pre-refunded 3/01/14) – AGM Insured
3/14 at 100.00
AA (4)
   
88,467
 
 
250
 
5.250%, 3/01/20 (Pre-refunded 3/01/14) – AGM Insured
3/14 at 100.00
AA– (4)
   
276,460
 
 
500
 
St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) (ETM)
No Opt. Call
AA+ (4)
   
614,505
 
 
1,000
 
St. Louis Municipal Finance Corporation, Missouri, Leasehold Revenue Bonds, Carnahan Courthouse, Series 2002A, 5.750%, 2/15/16 (Pre-refunded 2/15/12) – FGIC Insured
2/12 at 100.00
N/R (4)
   
1,011,600
 
 
4,145
 
Total U.S. Guaranteed
       
4,434,632
 
     
Utilities – 3.6% (2.2% of Total Investments)
           
 
100
 
Missouri Joint Municipal Electric Utility Commission, Iatan 2 Power Project Revenue Bonds, Series 2006A, 4.125%, 1/01/21 – AMBAC Insured
1/16 at 100.00
A3
   
103,650
 
 
500
 
Missouri Joint Municipal Electric Utility Commission, Plum Point Project, Revenue Bonds, Series 2006, 5.000%, 1/01/34 – NPFG Insured
1/16 at 100.00
A–
   
502,635
 
 
530
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010XX, 5.250%, 7/01/40
7/20 at 100.00
A3
   
531,972
 
 
1,130
 
Total Utilities
       
1,138,257
 

60
 
Nuveen Investments
 
 
 

 
 
 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
   
Value
 
     
Water and Sewer – 12.7% (7.9% of Total Investments)
           
$
600
 
Carroll County Public Water Supply District 1, Missouri, Water System Revenue Bonds, Refunding Series 2009, 6.000%, 3/01/39
3/18 at 100.00
A
 
$
644,304
 
 
200
 
Metropolitan St. Louis Sewerage District, Missouri, Wastewater System Revenue Bonds, Series 2006C, 5.000%, 5/01/36 – NPFG Insured
5/17 at 100.00
AAA
   
208,612
 
 
2,965
 
Missouri Environmental Improvement and Energy Resources Authority, Water Facility Revenue Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 – AMBAC Insured (Alternative Minimum Tax) (UB)
12/16 at 100.00
AA+
   
2,859,535
 
 
350
 
Missouri Environmental Improvement and Energy Resources Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program – Kansas City Project, Series 1997C, 6.750%, 1/01/12
No Opt. Call
Aaa
   
351,929
 
 
4,115
 
Total Water and Sewer
       
4,064,380
 
$
51,620
 
Total Investments (cost $50,621,766) – 160.6%
       
51,232,103
 
     
Floating Rate Obligations – (7.0)%
       
(2,225,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (56.0)% (5)
       
(17,880,000
     
Other Assets Less Liabilities – 2.4%
       
778,214
 
     
Net Assets Applicable to Common Shares – 100%
     
$
31,905,317
 

(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 highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(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. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(5)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 34.9%.
N/R
 
Not rated.
(ETM)
 
Escrowed to maturity.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information.
                                                                                                                                                                                                                                
See accompanying notes to financial statements.
                                                                                                  
Nuveen Investments
 
61
 
 
 

 

   
Statement of
   
Assets & Liabilities
   
November 30, 2011 (Unaudited)

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Assets
                         
Investments, at value (cost $117,450,103, $60,130,978, $52,389,487 and $97,467,499, respectively)
 
$
120,713,593
 
$
61,757,328
 
$
53,855,427
 
$
99,478,311
 
Cash
   
103,435
   
86,121
   
   
58,668
 
Receivables:
                         
Interest
   
1,774,120
   
891,280
   
807,215
   
1,493,360
 
Investments sold
   
   
25,697
   
505,524
   
 
Deferred offering costs
   
816,394
   
377,828
   
335,982
   
482,261
 
Other assets
   
16,465
   
8,190
   
32,590
   
12,360
 
Total assets
   
123,424,007
   
63,146,444
   
55,536,738
   
101,524,960
 
Liabilities
                         
Cash overdraft
   
   
   
388,567
   
 
Floating rate obligations
   
7,965,000
   
3,820,000
   
3,460,000
   
5,780,000
 
Payables:
                         
Common share dividends
   
288,207
   
144,029
   
139,111
   
227,634
 
Interest
   
78,197
   
44,350
   
36,724
   
70,670
 
Offering costs
   
294,430
   
116,458
   
104,324
   
124,243
 
MuniFund Term Preferred (MTP) Shares, at liquidation value
   
36,080,000
   
20,470,000
   
16,950,000
   
32,000,000
 
Accrued expenses:
                         
Management fees
   
61,476
   
31,506
   
25,295
   
50,918
 
Other
   
306,905
   
102,537
   
65,846
   
199,931
 
Total liabilities
   
45,074,215
   
24,728,880
   
21,169,867
   
38,453,396
 
Net assets applicable to Common shares
 
$
78,349,792
 
$
38,417,564
 
$
34,366,871
 
$
63,071,564
 
Common shares outstanding
   
5,365,029
   
2,586,033
   
2,320,371
   
4,367,134
 
Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding)
 
$
14.60
 
$
14.86
 
$
14.81
 
$
14.44
 
Net assets applicable to Common shares consist of:
                         
Common shares, $.01 par value per share
 
$
53,650
 
$
25,860
 
$
23,204
 
$
43,671
 
Paid-in surplus
   
74,362,277
   
36,557,599
   
32,737,780
   
61,436,457
 
Undistributed (Over-distribution of) net investment income
   
449,879
   
102,190
   
88,571
   
14,623
 
Accumulated net realized gain (loss)
   
220,496
   
105,565
   
51,376
   
(433,999
)
Net unrealized appreciation (depreciation)
   
3,263,490
   
1,626,350
   
1,465,940
   
2,010,812
 
Net assets applicable to Common shares
 
$
78,349,792
 
$
38,417,564
 
$
34,366,871
 
$
63,071,564
 
Authorized shares:
                         
Common
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
Auction Rate Preferred Shares (ARPS)
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
MTP
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
 
See accompanying notes to financial statements.
     
62
 
Nuveen Investments

 
 

 
 
   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Assets
                         
Investments, at value (cost $103,614,513, $41,955,116, $58,719,651 and $50,621,766, respectively)
 
$
106,102,961
 
$
42,430,269
 
$
60,758,843
 
$
51,232,103
 
Cash
   
   
256,483
   
400,640
   
 
Receivables:
                         
Interest
   
1,811,974
   
770,741
   
904,220
   
752,062
 
Investments sold
   
46,119
   
56,466
   
   
 
Deferred offering costs
   
828,922
   
309,064
   
367,238
   
472,995
 
Other assets
   
15,010
   
5,378
   
33,627
   
7,075
 
Total assets
   
108,804,986
   
43,828,401
   
62,464,568
   
52,464,235
 
Liabilities
                         
Cash overdraft
   
22,737
   
   
   
56,362
 
Floating rate obligations
   
1,435,000
   
560,000
   
340,000
   
2,225,000
 
Payables:
                         
Common share dividends
   
289,514
   
123,741
   
159,164
   
139,198
 
Interest
   
82,294
   
31,902
   
48,752
   
31,290
 
Offering costs
   
324,920
   
110,860
   
99,440
   
167,697
 
MuniFund Term Preferred (MTP) Shares, at liquidation value
   
36,645,000
   
14,725,000
   
22,075,000
   
17,880,000
 
Accrued expenses:
                         
Management fees
   
54,854
   
22,131
   
31,794
   
25,628
 
Other
   
45,180
   
32,099
   
31,802
   
33,743
 
Total liabilities
   
38,899,499
   
15,605,733
   
22,785,952
   
20,558,918
 
Net assets applicable to Common shares
 
$
69,905,487
 
$
28,222,668
 
$
39,678,616
 
$
31,905,317
 
Common shares outstanding
   
4,774,788
   
1,965,699
   
2,727,011
   
2,321,560
 
Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding)
 
$
14.64
 
$
14.36
 
$
14.55
 
$
13.74
 
Net assets applicable to Common shares consist of:
                         
Common shares, $.01 par value per share
 
$
47,748
 
$
19,657
 
$
27,270
 
$
23,216
 
Paid-in surplus
   
66,107,910
   
27,765,820
   
38,282,317
   
31,067,947
 
Undistributed (Over-distribution of) net investment income
   
659,681
   
(5,535
)
 
(34,312
)
 
395,478
 
Accumulated net realized gain (loss)
   
601,700
   
(32,427
)
 
(635,851
)
 
(191,661
)
Net unrealized appreciation (depreciation)
   
2,488,448
   
475,153
   
2,039,192
   
610,337
 
Net assets applicable to Common shares
 
$
69,905,487
 
$
28,222,668
 
$
39,678,616
 
$
31,905,317
 
Authorized shares:
                         
Common
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
Auction Rate Preferred Shares (ARPS)
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
MTP
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
 
See accompanying notes to financial statements.
     
Nuveen Investments
 
63

 
 

 


   
Statement of
   
Operations
   
Six Months Ended November 30, 2011 (Unaudited)

     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Advantage
 
Advantage 2
 
Advantage 3
 
     
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
Investment Income
 
$
2,786,844
 
$
1,431,364
 
$
1,283,248
 
$
2,315,913
 
Expenses
                         
Management fees
   
373,700
   
191,340
   
167,083
   
309,495
 
Shareholders’ servicing agent fees and expenses
   
13,995
   
8,618
   
8,572
   
8,603
 
Interest expense and amortization of offering costs
   
607,243
   
335,053
   
281,875
   
516,134
 
Custodian’s fees and expenses
   
12,835
   
7,776
   
7,333
   
11,180
 
Trustees’ fees and expenses
   
1,792
   
921
   
805
   
1,491
 
Professional fees
   
11,063
   
10,134
   
9,988
   
10,748
 
Shareholders’ reports — printing and mailing expenses
   
14,756
   
8,553
   
7,587
   
13,239
 
Stock exchange listing fees
   
19,401
   
7,395
   
7,378
   
7,924
 
Investor relations expense
   
3,700
   
2,178
   
1,744
   
3,578
 
Reorganization expense
   
260,000
   
70,000
   
35,000
   
160,000
 
Other expenses
   
29,675
   
24,869
   
22,800
   
26,259
 
Total expenses before custodian fee credit and expense reimbursement
   
1,348,160
   
666,837
   
550,165
   
1,068,651
 
Custodian fee credit
   
(422
)
 
(665
)
 
(144
)
 
(336
)
Expense reimbursement
   
   
   
(13,301
)
 
 
Net expenses
   
1,347,738
   
666,172
   
536,720
   
1,068,315
 
Net investment income (loss)
   
1,439,106
   
765,192
   
746,528
   
1,247,598
 
Realized and Unrealized Gain (Loss)
                         
Net realized gain (loss) from investments
   
177,224
   
36,117
   
60,780
   
66,895
 
Change in net unrealized appreciation (depreciation) of investments
   
2,349,167
   
1,247,654
   
973,025
   
1,837,213
 
Net realized and unrealized gain (loss)
   
2,526,391
   
1,283,771
   
1,033,805
   
1,904,108
 
Net increase (decrease) in net assets applicable to Common shares from operations
 
$
3,965,497
 
$
2,048,963
 
$
1,780,333
 
$
3,151,706
 
 
See accompanying notes to financial statements.
     
64
 
Nuveen Investments

 
 

 

                 
Insured
       
   
Massachusetts
 
Massachusetts
 
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
Investment Income
 
$
2,694,238
 
$
1,093,077
 
$
1,453,501
 
$
1,291,861
 
Expenses
                         
Management fees
   
332,915
   
134,605
   
194,030
   
155,268
 
Shareholders’ servicing agent fees and expenses
   
12,419
   
8,328
   
8,333
   
9,642
 
Interest expense and amortization of offering costs
   
613,071
   
240,382
   
352,669
   
250,539
 
Custodian’s fees and expenses
   
11,429
   
6,422
   
6,584
   
6,803
 
Trustees’ fees and expenses
   
1,664
   
676
   
974
   
774
 
Professional fees
   
10,868
   
21,428
   
10,154
   
9,937
 
Shareholders’ reports — printing and mailing expenses
   
15,536
   
7,084
   
8,842
   
8,918
 
Stock exchange listing fees
   
32,010
   
124
   
7,820
   
7,667
 
Investor relations expense
   
3,799
   
1,617
   
2,287
   
1,660
 
Reorganization expense
   
   
   
   
 
Other expenses
   
27,642
   
24,575
   
25,591
   
17,934
 
Total expenses before custodian fee credit and expense reimbursement
   
1,061,353
   
445,241
   
617,284
   
469,142
 
Custodian fee credit
   
(138
)
 
(171
)
 
(127
)
 
(90
)
Expense reimbursement
   
   
   
   
 
Net expenses
   
1,061,215
   
445,070
   
617,157
   
469,052
 
Net investment income (loss)
   
1,633,023
   
648,007
   
836,344
   
822,809
 
Realized and Unrealized Gain (Loss)
                         
Net realized gain (loss) from investments
   
484,383
   
105,970
   
72,747
   
22,412
 
Change in net unrealized appreciation (depreciation) of investments
   
2,045,690
   
794,023
   
613,277
   
1,333,577
 
Net realized and unrealized gain (loss)
   
2,530,073
   
899,993
   
686,024
   
1,355,989
 
Net increase (decrease) in net assets applicable to Common shares from operations
 
$
4,163,096
 
$
1,548,000
 
$
1,522,368
 
$
2,178,798
 
 
See accompanying notes to financial statements.
     
Nuveen Investments
 
65

 
 

 


   
Statement of
   
Changes in Net Assets (Unaudited)
 
   
Connecticut
Premium Income (NTC)
 
Connecticut
Dividend Advantage (NFC)
 
Connecticut
Dividend Advantage 2 (NGK)
 
   
Six Months
Ended
11/30/11
 
Year
Ended
5/31/11
 
Six Months
Ended
11/30/11
 
Year
Ended
5/31/11
 
Six Months
Ended
11/30/11
 
Year
Ended
5/31/11
 
Operations
                                     
Net investment income (loss)
 
$
1,439,106
 
$
3,621,121
 
$
765,192
 
$
1,730,599
 
$
746,528
 
$
1,556,524
 
Net realized gain (loss) from investments
   
177,224
   
109,734
   
36,117
   
99,244
   
60,780
   
39,359
 
Change in net unrealized appreciation (depreciation) of investments
   
2,349,167
   
(1,715,466
)
 
1,247,654
   
(1,068,421
)
 
973,025
   
(1,129,788
)
Distributions to Auction Rate Preferred Shareholders:
                                     
From net investment income
   
   
(39,361
)
 
   
   
   
 
Net increase (decrease) in net assets applicable to Common shares from operations
   
3,965,497
   
1,976,028
   
2,048,963
   
761,422
   
1,780,333
   
466,095
 
Distributions to Common Shareholders
                                     
From net investment income
   
(1,899,221
)
 
(3,798,441
)
 
(965,883
)
 
(1,985,824
)
 
(894,490
)
 
(1,837,401
)
From accumulated net realized gains
   
   
   
   
   
   
 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
   
(1,899,221
)
 
(3,798,441
)
 
(965,883
)
 
(1,985,824
)
 
(894,490
)
 
(1,837,401
)
Capital Share Transactions
                                     
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions
   
   
   
   
26,531
   
2,815
   
16,467
 
Net increase (decrease) in net assets applicable to Common shares from capital share transactions
   
   
   
   
26,531
   
2,815
   
16,467
 
Net increase (decrease) in net assets applicable to Common shares
   
2,066,276
   
(1,822,413
)
 
1,083,080
   
(1,197,871
)
 
888,658
   
(1,354,839
)
Net assets applicable to Common shares at the beginning of period
   
76,283,516
   
78,105,929
   
37,334,484
   
38,532,355
   
33,478,213
   
34,833,052
 
Net assets applicable to Common shares at the end of period
 
$
78,349,792
 
$
76,283,516
 
$
38,417,564
 
$
37,334,484
 
$
34,366,871
 
$
33,478,213
 
Undistributed (Over-distribution of) net investment income at the end of period
 
$
449,879
 
$
909,994
 
$
102,190
 
$
302,881
 
$
88,571
 
$
236,533
 
 
See accompanying notes to financial statements.
     
66
 
Nuveen Investments

 
 

 
 
   
Connecticut
Dividend Advantage 3 (NGO)
 
Massachusetts
Premium Income (NMT)
 
Massachusetts
Dividend Advantage (NMB)
 
   
Six Months
Ended
11/30/11
 
Year
Ended
5/31/11
 
Six Months
Ended
11/30/11
 
Year
Ended
5/31/11
 
Six Months
Ended
11/30/11
 
Year
Ended
5/31/11
 
Operations
                                     
Net investment income (loss)
 
$
1,247,598
 
$
2,785,608
 
$
1,633,023
 
$
3,589,129
 
$
648,007
 
$
1,345,889
 
Net realized gain (loss) from investments
   
66,895
   
95
   
484,383
   
102,652
   
105,970
   
(158,330
)
Change in net unrealized appreciation (depreciation) of investments
   
1,837,213
   
(1,241,126
)
 
2,045,690
   
(1,273,832
)
 
794,023
   
(356,215
)
Distributions to Auction Rate Preferred Shareholders:
                                     
From net investment income
   
   
   
   
(42,554
)
 
   
 
Net increase (decrease) in net assets applicable to Common shares from operations
   
3,151,706
   
1,544,577
   
4,163,096
   
2,375,395
   
1,548,000
   
831,344
 
Distributions to Common Shareholders
                                     
From net investment income
   
(1,539,415
)
 
(3,144,336
)
 
(1,862,168
)
 
(3,723,001
)
 
(790,211
)
 
(1,627,118
)
From accumulated net realized gains
   
   
   
   
(179,532
)
 
   
 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
   
(1,539,415
)
 
(3,144,336
)
 
(1,862,168
)
 
(3,902,533
)
 
(790,211
)
 
(1,627,118
)
Capital Share Transactions
                                     
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions
   
   
   
   
100,786
   
   
25,160
 
Net increase (decrease) in net assets applicable to Common shares from capital share transactions
   
   
   
   
100,786
   
   
25,160
 
Net increase (decrease) in net assets applicable to Common shares
   
1,612,291
   
(1,599,759
)
 
2,300,928
   
(1,426,352
)
 
757,789
   
(770,614
)
Net assets applicable to Common shares at the beginning of period
   
61,459,273
   
63,059,032
   
67,604,559
   
69,030,911
   
27,464,879
   
28,235,493
 
Net assets applicable to Common shares at the end of period
 
$
63,071,564
 
$
61,459,273
 
$
69,905,487
 
$
67,604,559
 
$
28,222,668
 
$
27,464,879
 
Undistributed (Over-distribution of) net investment income at the end of period
 
$
14,623
 
$
306,440
 
$
659,681
 
$
888,826
 
$
(5,535
)
$
136,669
 
 
See accompanying notes to financial statements.
     
Nuveen Investments
 
67
 
 
 

 
 
   
Statement of
   
Changes in Net Assets (Unaudited) (continued)
 
   
Insured Massachusetts
 Tax-Free Advantage (NGX)
 
Missouri
Premium Income (NOM)
 
   
Six Months
Ended
11/30/11
 
Year
Ended
5/31/11
 
Six Months
Ended
11/30/11
 
Year
Ended
5/31/11
 
Operations
                         
Net investment income (loss)
 
$
836,344
 
$
1,740,563
 
$
822,809
 
$
1,814,122
 
Net realized gain (loss) from investments
   
72,747
   
(4,031
)
 
22,412
   
137,346
 
Change in net unrealized appreciation (depreciation) of investments
   
613,277
   
(628,384
)
 
1,333,577
   
(933,927
)
Distributions to Auction Rate Preferred Shareholders:
                         
From net investment income
   
   
   
   
(33,471
)
Net increase (decrease) in net assets applicable to Common shares from operations
   
1,522,368
   
1,108,148
   
2,178,798
   
984,070
 
Distributions to Common Shareholders
                         
From net investment income
   
(1,002,176
)
 
(2,061,418
)
 
(904,985
)
 
(1,806,982
)
From accumulated net realized gains
   
   
   
   
 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
   
(1,002,176
)
 
(2,061,418
)
 
(904,985
)
 
(1,806,982
)
Capital Share Transactions
                         
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions
   
   
17,059
   
36,597
   
70,115
 
Net increase (decrease) in net assets applicable to Common shares from capital share transactions
   
   
17,059
   
36,597
   
70,115
 
Net increase (decrease) in net assets applicable to Common shares
   
520,192
   
(936,211
)
 
1,310,410
   
(752,797
)
Net assets applicable to Common shares at the beginning of period
   
39,158,424
   
40,094,635
   
30,594,907
   
31,347,704
 
Net assets applicable to Common shares at the end of period
 
$
39,678,616
 
$
39,158,424
 
$
31,905,317
 
$
30,594,907
 
Undistributed (Over-distribution of) net investment income at the end of period
 
$
(34,312
)
$
131,520
 
$
395,478
 
$
477,654
 
 
See accompanying notes to financial statements.
     
68
 
Nuveen Investments
 
 
 

 
 
   
Statement of
   
Cash Flows
   
Six Months Ended November 30, 2011 (Unaudited)

     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Advantage
 
Advantage 2
 
Advantage 3
 
     
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
Cash Flows from Operating Activities:
                         
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
 
$
3,965,497
 
$
2,048,963
 
$
1,780,333
 
$
3,151,706
 
Adjustments to reconcile the net increase (decrease) in net assets applicable to Common shares from operations to net cash provided by (used in) operating activities:
                         
Purchases of investments
   
(9,456,187
)
 
(7,068,883
)
 
(3,910,233
)
 
(7,857,173
)
Proceeds from sales and maturities of investments
   
8,086,227
   
5,452,875
   
4,059,503
   
6,828,353
 
Amortization (Accretion) of premiums and discounts, net
   
145,620
   
75,253
   
54,458
   
107,099
 
(Increase) Decrease in:
                         
Receivable for interest
   
38,419
   
(17,123
)
 
(37,694
)
 
18,220
 
Receivable for investments sold
   
   
(25,697
)
 
(505,524
)
 
 
Other assets
   
18,828
   
(1,741
)
 
(1,737
)
 
(1,814
)
Increase (Decrease) in:
                         
Payable for interest
   
(4
)
 
6
   
5
   
(11
)
Payable for investment purchased
   
   
(43,331
)
 
   
 
Accrued management fees
   
(761
)
 
(387
)
 
(365
)
 
(692
)
Accrued other expenses
   
276,247
   
74,108
   
38,902
   
166,832
 
Net realized (gain) loss from investments
   
(177,224
)
 
(36,117
)
 
(60,780
)
 
(66,895
)
Change in net unrealized (appreciation) depreciation of investments
   
(2,349,167
)
 
(1,247,654
)
 
(973,025
)
 
(1,837,213
)
Taxes paid on undistributed capital gains
   
(9,422
)
 
(10,907
)
 
(3,642
)
 
 
Net cash provided by (used in) operating activities
   
538,073
   
(800,635
)
 
440,201
   
508,412
 
Cash Flows from Financing Activities:
                         
(Increase) Decrease in deferred offering costs
   
112,409
   
56,767
   
50,480
   
74,349
 
Increase (Decrease) in:
                         
Cash overdraft balance
   
   
   
388,567
   
 
Floating rate obligations
   
   
   
   
 
Payable for offering costs
   
(72,110
)
 
(71,607
)
 
(76,164
)
 
(77,325
)
Cash distributions paid to Common shareholders
   
(1,897,930
)
 
(975,278
)
 
(899,710
)
 
(1,546,653
)
Net cash provided by (used in) financing activities
   
(1,857,631
)
 
(990,118
)
 
(536,827
)
 
(1,549,629
)
Net Increase (Decrease) in Cash
   
(1,319,558
)
 
(1,790,753
)
 
(96,626
)
 
(1,041,217
)
Cash at the beginning of period
   
1,422,993
   
1,876,874
   
96,626
   
1,099,885
 
Cash at the End of Period
 
$
103,435
 
$
86,121
 
$
 
$
58,668
 
 
Supplemental Disclosure of Cash Flow Information
 
Non-cash financing activities not included herein consist of reinvestments of Common share distributions as follows:
                           
     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Advantage
 
Advantage 2
 
Advantage 3
 
     
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
   
$
 
$
 
$
2,815
 
$
 
 
Cash paid for interest (excluding amortization of offering costs) was as follows:
                           
     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Advantage
 
Advantage 2
 
Advantage 3
 
     
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
   
$
494,837
 
$
278,280
 
$
231,390
 
$
441,796
 
 
See accompanying notes to financial statements.
     
Nuveen Investments
 
69

 
 

 

   
Statement of
   
Cash Flows (Unaudited) (continued)

                 
Insured
       
   
Massachusetts
 
Massachusetts
 
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
Cash Flows from Operating Activities:
                         
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
 
$
4,163,096
 
$
1,548,000
 
$
1,522,368
 
$
2,178,798
 
Adjustments to reconcile the net increase (decrease) in net assets applicable to Common shares from operations to net cash provided by (used in) operating activities:
                         
Purchases of investments
   
(10,370,621
)
 
(3,202,593
)
 
(3,386,688
)
 
(4,387,245
)
Proceeds from sales and maturities of investments
   
11,302,219
   
3,242,087
   
4,696,338
   
3,031,624
 
Amortization (Accretion) of premiums and discounts, net
   
125,940
   
315,348
   
70,643
   
46,166
 
(Increase) Decrease in:
                         
Receivable for interest
   
(72,478
)
 
(40,880
)
 
(73
)
 
49,744
 
Receivable for investments sold
   
98,881
   
(56,466
)
 
120,000
   
2,050,353
 
Other assets
   
18,075
   
(262
)
 
(1,741
)
 
7,213
 
Increase (Decrease) in:
                         
Payable for interest
   
(8
)
 
5
   
(8
)
 
 
Payable for investment purchased
   
   
   
   
(291,936
)
Accrued management fees
   
(510
)
 
(242
)
 
(737
)
 
(145
)
Accrued other expenses
   
16,657
   
13,119
   
5,965
   
9,668
 
Net realized (gain) loss from investments
   
(484,383
)
 
(105,970
)
 
(72,747
)
 
(22,412
)
Change in net unrealized (appreciation) depreciation of investments
   
(2,045,690
)
 
(794,023
)
 
(613,277
)
 
(1,333,577
)
Taxes paid on undistributed capital gains
   
(7,745
)
 
   
   
 
Net cash provided by (used in) operating activities
   
2,743,433
   
918,123
   
2,340,043
   
1,338,251
 
Cash Flows from Financing Activities:
                         
(Increase) Decrease in deferred offering costs
   
113,440
   
46,434
   
56,618
   
59,206
 
Increase (Decrease) in:
                         
Cash overdraft balance
   
22,737
   
   
   
(527,560
)
Floating rate obligations
   
(1,015,000
)
 
(490,000
)
 
(1,160,000
)
 
 
Payable for offering costs
   
(84,547
)
 
(2,654
)
 
(81,567
)
 
(1,501
)
Cash distributions paid to Common shareholders
   
(1,861,169
)
 
(797,927
)
 
(1,011,906
)
 
(868,396
)
Net cash provided by (used in) financing activities
   
(2,824,539
)
 
(1,244,147
)
 
(2,196,855
)
 
(1,338,251
)
Net Increase (Decrease) in Cash
   
(81,106
)
 
(326,024
)
 
143,188
   
 
Cash at the beginning of period
   
81,106
   
582,507
   
257,452
   
 
Cash at the End of Period
 
$
 
$
256,483
 
$
400,640
 
$
 
 
Supplemental Disclosure of Cash Flow Information
 
Non-cash financing activities not included herein consist of reinvestments of Common share distributions as follows:
                           
     
 
         
Insured
       
   
Massachusetts
 
Massachusetts
 
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
   
$
 
$
 
$
 
$
36,597
 
 
Cash paid for interest (excluding amortization of offering costs) was as follows:
     
 
         
Insured
       
   
Massachusetts
 
Massachusetts
 
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
   
$
499,639
 
$
193,943
 
$
296,058
 
$
191,333
 
 
See accompanying notes to financial statements.
     
70
 
Nuveen Investments

 
 

 

   
Financial
   
Highlights (Unaudited)

Nuveen Investments
 
71

 
 

 


   
Financial
   
Highlights (Unaudited)
     
  Selected data for a Common share outstanding throughout each period:

       
Investment Operations
 
Less Distributions
         
   
Beginning
Common
Share
Net Asset
Value
 
Net
Investment
Income
(Loss
)
Net
Realized/
Unrealized
Gain (Loss
)
Distributions
from Net
Investment
Income to
Auction Rate
Preferred
Share-
holders
(a)
Distributions
from
Capital
Gains to
Auction Rate
Preferred
Share-
holders
(a)
Total
 
Net
Investment
Income to
Common
Share-
holders
 
Capital
Gains to
Common
Share-
holders
 
Total
 
Ending
Common
Share
Net Asset
Value
 
Ending
Market
Value
 
Connecticut Premium Income (NTC)
                                       
Year Ended 5/31:
                                       
2012(f)
 
$
14.22
 
$
.27
 
$
.46
 
$
 
$
 
$
.73
 
$
(.35
)
$
 
$
(.35
)
$
14.60
 
$
14.04
 
2011
   
14.56
   
.67
   
(.29
)
 
(.01
)
 
   
.37
   
(.71
)
 
   
(.71
)
 
14.22
   
13.18
 
2010
   
13.59
   
.80
   
.88
   
(.02
)
 
 
1.66
   
(.69
)
 
 
(.69
)
 
14.56
   
13.94
 
2009
   
14.25
   
.84
   
(.66
)
 
(.14
)
 
(.03
)
 
.01
   
(.60
)
 
(.07
)
 
(.67
)
 
13.59
   
13.35
 
2008
   
14.39
   
.83
   
(.09
)
 
(.22
)
 
(.01
)
 
.51
   
(.62
)
 
(.03
)
 
(.65
)
 
14.25
   
14.08
 
2007
   
14.42
   
.83
   
.07
   
(.20
)
 
(.01
)
 
.69
   
(.65
)
 
(.07
)
 
(.72
)
 
14.39
   
14.91
 
                                           
Connecticut Dividend Advantage (NFC)
                                         
Year Ended 5/31:
                                         
2012(f)
   
14.44
   
.30
   
.49
   
   
   
.79
   
(.37
)
 
   
(.37
)
 
14.86
   
14.90
 
2011
   
14.91
   
.67
   
(.37
)
 
   
   
.30
   
(.77
)
 
   
(.77
)
 
14.44
   
13.85
 
2010
   
14.08
   
.85
   
.75
   
(.03
)
 
   
1.57
   
(.74
)
 
   
(.74
)
 
14.91
   
15.29
 
2009
   
14.69
   
.91
   
(.55
)
 
(.15
)
 
(.04
)
 
.17
   
(.67
)
 
(.11
)
 
(.78
)
 
14.08
   
13.75
 
2008
   
14.76
   
.91
   
.01
   
(.24
)
 
(.02
)
 
.66
   
(.67
)
 
(.06
)
 
(.73
)
 
14.69
   
14.93
 
2007
   
14.75
   
.92
   
.04
   
(.22
)
 
   
.74
   
(.73
)
 
   
(.73
)
 
14.76
   
16.37
 
 
(a)
The amounts shown are based on Common share equivalents.
(b)
Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
 
Total Return Based 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.
 
72
 
Nuveen Investments

 
 

 
 
                                                   
       
Ratios/Supplemental Data
 
   
Total Returns
       
Ratios to Average Net Assets
Applicable to Common Shares
Before Reimbursement(c)
 
Ratios to Average Net Assets
Applicable to Common Shares
After Reimbursement(c)(d)
       
                                   
   
Based
on
Market
Value
(b)
Based
on
Common
Share Net
Asset
Value
(b)
Ending
Net
Assets
Applicable
to Common
Shares (000
)
Expenses
(e)
Net
Investment
Income
(Loss
)
Expenses
(e)
Net
Investment
Income
(Loss
)
Portfolio
Turnover
Rate
 
                                                   
                                                   
     
9.33
%
 
5.19
%
$
78,350
   
3.45
%**
 
3.68
%**
 
N/A
   
N/A
   
7
%
     
(.39
)
 
2.63
   
76,284
   
2.41
   
4.73
   
N/A
   
N/A
   
9
 
     
9.76
   
12.49
   
78,106
   
1.57
   
5.64
   
N/A
   
N/A
   
5
 
     
.32
   
.45
   
72,901
   
1.43
   
6.40
   
N/A
   
N/A
   
0
 
     
(1.08
)
 
3.60
   
76,441
   
1.30
   
5.82
   
N/A
   
N/A
   
22
 
     
12.33
   
4.79
   
77,151
   
1.24
   
5.67
   
N/A
   
N/A
   
8
 
                                                   
                                                   
     
10.42
   
5.53
   
38,418
   
3.49
**
 
4.00
**
 
3.49
%**
 
4.00
%**
 
9
 
     
(4.38
)
 
2.09
   
37,334
   
3.13
   
4.55
   
3.08
   
4.60
   
13
 
     
16.92
   
11.34
   
38,532
   
1.62
   
5.73
   
1.49
   
5.86
   
4
 
     
(2.10
)
 
1.50
   
36,329
   
1.47
   
6.45
   
1.26
   
6.66
   
0
 
     
(4.10
)
 
4.62
   
37,874
   
1.33
   
5.90
   
1.05
   
6.18
   
20
 
     
5.46
   
5.05
   
38,024
   
1.29
   
5.78
   
.94
   
6.14
   
9
 
 
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders, where applicable; Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to ARPS and/or MTP Shares, where applicable.
(d)
After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. As of January 31, 2011, the Adviser is no longer reimbursing Connecticut Dividend Advantage (NFC) for any fees or expenses.
(e)
The expense ratios reflect, among other things, all interest expense and other costs related to MTP Shares and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, where applicable, both as described in Footnote 1 – General Information and Significant Accounting Policies, MuniFund Term Preferred Shares and Inverse Floating Rate Securities, respectively, as follows:
 
Connecticut Premium Income (NTC)
       
Year Ended 5/31:
       
2012(f)
   
1.56
%**
2011
   
1.20
 
2010
   
.37
 
2009
   
.11
 
2008
   
.03
 
2007
   
 
         
Connecticut Dividend Advantage (NFC)
       
Year Ended 5/31:
       
2012(f)
   
1.75
%**
2011
   
1.80
 
2010
   
.36
 
2009
   
.11
 
2008
   
.02
 
2007
   
 
 
(f)
For the six months ended November 30, 2011.
*
Rounds to less than $.01 per share.
**
Annualized.
N/A
Fund does not have a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
73

 
 

 

   
Financial
   
Highlights (Unaudited) (continued)
     
  Selected data for a Common share outstanding throughout each period:
 
         
Investment Operations
 
Less Distributions
             
   
Beginning
Common
Share
Net Asset
Value
 
Net
Investment
Income
(Loss
)
Net
Realized/
Unrealized
Gain (Loss
)
Distributions
from Net
Investment
Income to
Auction Rate
Preferred
Share-
holders
(a)
Distributions
from
Capital
Gains to
Auction Rate
Preferred
Share-
holders
(a)
Total
 
Net
Investment
Income to
Common
Share-
holders
 
Capital
Gains to
Common
Share-
holders
 
Total
 
Ending
Common
Share
Net Asset
Value
 
Ending
Market
Value
 
Connecticut Dividend Advantage 2 (NGK)
                                         
Year Ended 5/31:
                                         
2012(f)
 
$
14.43
 
$
.32
 
$
.45
 
$
 
$
 
$
.77
 
$
(.39
)
$
 
$
(.39
)
$
14.81
 
$
14.78
 
2011
   
15.02
   
.67
   
(.47
)
 
   
   
.20
   
(.79
)
 
   
(.79
)
 
14.43
   
13.96
 
2010
   
14.28
   
.86
   
.67
   
(.03
)
 
   
1.50
   
(.76
)
 
   
(.76
)
 
15.02
   
16.20
 
2009
   
14.76
   
.91
   
(.43
)
 
(.14
)
 
(.04
)
 
.30
   
(.66
)
 
(.12
)
 
(.78
)
 
14.28
   
14.30
 
2008
   
14.85
   
.91
   
(.01
)
 
(.23
)
 
(.02
)
 
.65
   
(.67
)
 
(.07
)
 
(.74
)
 
14.76
   
15.00
 
2007
   
14.86
   
.91
   
.08
   
(.22
)
 
(.01
)
 
.76
   
(.73
)
 
(.04
)
 
(.77
)
 
14.85
   
16.38
 
                                                                     
Connecticut Dividend Advantage 3 (NGO)
                                         
Year Ended 5/31:
                                         
2012(f)
   
14.07
   
.29
   
.43
   
   
   
.72
   
(.35
)
 
   
(.35
)
 
14.44
   
13.57
 
2011
   
14.44
   
.64
   
(.29
)
 
   
   
.35
   
(.72
)
 
   
(.72
)
 
14.07
   
12.89
 
2010
   
13.57
   
.77
   
.80
   
(.02
)
 
   
1.55
   
(.68
)
 
   
(.68
)
 
14.44
   
14.06
 
2009
   
14.08
   
.84
   
(.58
)
 
(.17
)
 
   
.09
   
(.60
)
 
   
(.60
)
 
13.57
   
13.04
 
2008
   
14.30
   
.87
   
(.23
)
 
(.25
)
 
   
.39
   
(.61
)
 
   
(.61
)
 
14.08
   
13.63
 
2007
   
14.18
   
.86
   
.13
   
(.23
)
 
   
.76
   
(.64
)
 
   
(.64
)
 
14.30
   
14.70
 
 
(a)
The amounts shown are based on Common share equivalents.
(b)
Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
 
Total Return Based 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.
 
74
 
Nuveen Investments

 
 

 

               
Ratios/Supplemental Data
 
   
Total Returns
     
Ratios to Average Net Assets
Applicable to Common Shares
Before Reimbursement(c)
 
Ratios to Average Net Assets
Applicable to Common Shares
After Reimbursement(c)(d)
     
                                   
   
Based
on
Market
Value
(b)
Based
on
Common
Share Net
Asset
Value
(b)
Ending
Net
Assets
Applicable
to Common
Shares (000
)
Expenses
(e)
Net
Investment
Income
(Loss
)
Expenses
(e)
Net
Investment
Income
(Loss
)
Portfolio
Turnover
Rate
 
                                                   
                                                   
     
8.73
%
 
5.34
%
$
34,367
   
3.22
%*
 
4.28
%*
 
3.14
%*
 
4.36
%*
 
7
%
     
(8.96
)
 
1.41
   
33,478
   
2.98
   
4.44
   
2.83
   
4.58
   
11
 
     
19.15
   
10.69
   
34,833
   
1.61
   
5.64
   
1.40
   
5.86
   
3
 
     
1.40
   
2.52
   
33,092
   
1.48
   
6.31
   
1.19
   
6.60
   
0
 
     
(3.63
)
 
4.54
   
34,188
   
1.36
   
5.79
   
1.00
   
6.15
   
23
 
     
3.58
   
5.13
   
34,366
   
1.31
   
5.60
   
.87
   
6.04
   
12
 
                                                   
                                                   
     
8.10
   
5.17
   
63,072
   
3.40
*
 
3.97
*
 
3.40
*
 
3.97
*
 
7
 
     
(3.29
)
 
2.52
   
61,459
   
2.91
   
4.47
   
2.87
   
4.52
   
8
 
     
13.26
   
11.66
   
63,059
   
1.78
   
5.28
   
1.61
   
5.45
   
3
 
     
.53
   
.89
   
59,244
   
1.43
   
6.12
   
1.14
   
6.41
   
0
 
     
(3.07
)
 
2.79
   
61,476
   
1.29
   
5.70
   
.88
   
6.11
   
24
 
     
9.15
   
5.42
   
62,325
   
1.26
   
5.44
   
.78
   
5.92
   
15
 
 
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders, where applicable; Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to ARPS and/or MTP Shares, where applicable.
(d)
After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. As of September 30, 2010, the Adviser is no longer reimbursing Connecticut Dividend Advantage 3 (NGO) for any fees or expenses.
(e)
The expense ratios reflect, among other things, all interest expense and other costs related to MTP Shares and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, where applicable, both as described in Footnote 1 – General Information and Significant Accounting Policies, MuniFund Term Preferred Shares and Inverse Floating Rate Securities, respectively, as follows:
 
Connecticut Dividend Advantage 2 (NGK)
       
Year Ended 5/31:
       
2012(f)
   
1.65
%*
2011
   
1.67
 
2010
   
.34
 
2009
   
.11
 
2008
   
.03
 
2007
   
 
         
Connecticut Dividend Advantage 3 (NGO)
       
Year Ended 5/31:
       
2012(f)
   
1.64
%*
2011
   
1.69
 
2010
   
.57
 
2009
   
.11
 
2008
   
.02
 
2007
   
 
 
(f)
For the six months ended November 30, 2011.
*
Annualized.
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
75

 
 

 


   
Financial
   
Highlights (Unaudited) (continued)
     
  Selected data for a Common share outstanding throughout each period:

       
Investment Operations
 
Less Distributions
         
   
Beginning
Common
Share
Net Asset
Value
 
Net
Investment
Income
(Loss
)
Net
Realized/
Unrealized
Gain (Loss
)
Distributions
from Net
Investment
Income to
Auction Rate
Preferred
Share-
holders
(a)
Distributions
from
Capital
Gains to
Auction Rate
Preferred
Share-
holders
(a)
Total
 
Net
Investment
Income to
Common
Share-
holders
 
Capital
Gains to
Common
Share-
holders
 
Total
 
Ending
Common
Share
Net Asset
Value
 
Ending
Market
Value
 
Massachusetts Premium Income (NMT)
                                         
Year Ended 5/31:
                                         
2012(f)
 
$
14.16
 
$
.34
 
$
.53
 
$
 
$
 
$
.87
 
$
(.39
)
$
 
$
(.39
)
$
14.64
 
$
13.78
 
2011
   
14.48
   
.75
   
(.24
)
 
(.01
)
 
   
.50
   
(.78
)
 
(.04
)
 
(.82
)
 
14.16
   
13.59
 
2010
   
13.29
   
.87
   
1.12
   
(.03
)
 
   
1.96
   
(.77
)
 
   
(.77
)
 
14.48
   
14.93
 
2009
   
14.22
   
.91
   
(.98
)
 
(.15
)
 
(.02
)
 
(.24
)
 
(.65
)
 
(.04
)
 
(.69
)
 
13.29
   
13.28
 
2008
   
14.56
   
.88
   
(.32
)
 
(.25
)
 
(.01
)
 
.30
   
(.62
)
 
(.02
)
 
(.64
)
 
14.22
   
13.61
 
2007
   
14.45
   
.88
   
.13
   
(.23
)
 
—*
   
.78
   
(.67
)
 
*
 
(.67
)
 
14.56
   
14.33
 
                                                                     
Massachusetts Dividend Advantage (NMB)
                                         
Year Ended 5/31:
                                         
2012(f)
   
13.97
   
.33
   
.46
   
   
   
.79
   
(.40
)
 
   
(.40
)
 
14.36
   
13.55
 
2011
   
14.38
   
.68
   
(.26
)
 
   
   
.42
   
(.83
)
 
   
(.83
)
 
13.97
   
13.53
 
2010
   
13.52
   
.89
   
.80
   
(.02
)
 
(.01
)
 
1.66
   
(.77
)
 
(.03
)
 
(.80
)
 
14.38
   
14.10
 
2009
   
14.36
   
.95
   
(.93
)
 
(.17
)
 
   
(.15
)
 
(.69
)
 
   
(.69
)
 
13.52
   
13.83
 
2008
   
14.84
   
.94
   
(.45
)
 
(.26
)
 
(.01
)
 
.22
   
(.68
)
 
(.02
)
 
(.70
)
 
14.36
   
14.61
 
2007
   
14.83
   
.93
   
.08
   
(.25
)
 
   
.76
   
(.75
)
 
   
(.75
)
 
14.84
   
16.28
 
 
(a)
The amounts shown are based on Common share equivalents.
(b)
Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
 
Total Return Based 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.
 
76
 
Nuveen Investments

 
 

 


               
Ratios/Supplemental Data
 
   
Total Returns
       
Ratios to Average Net Assets
Applicable to Common Shares
Before Reimbursement(c)
 
Ratios to Average Net Assets
Applicable to Common Shares
After Reimbursement(c)(d)
       
                                   
   
Based
on
Market
Value
(b)
Based
on
Common
Share Net
Asset
Value
(b)
Ending
Net
Assets
Applicable
to Common
Shares (000
)
Expenses
(e)
Net
Investment
Income
(Loss
)
Expenses
(e)
Net
Investment
Income
(Loss
)
Portfolio
Turnover
Rate
 
                                                   
                                                   
     
4.31
%
 
6.19
%
$
69,905
   
3.06
%**
 
4.71
%**
 
N/A
   
N/A
   
10
%
     
(3.48
)
 
3.58
   
67,605
   
2.51
   
5.30
   
N/A
   
N/A
   
6
 
     
18.77
   
15.03
   
69,031
   
1.60
   
6.21
   
N/A
   
N/A
   
3
 
     
3.54
   
(1.36
)
 
63,321
   
1.43
   
7.01
   
N/A
   
N/A
   
1
 
     
(.48
)
 
2.08
   
67,720
   
1.26
   
6.09
   
N/A
   
N/A
   
14
 
     
4.60
   
5.47
   
69,323
   
1.24
   
5.97
   
N/A
   
N/A
   
9
 
                                                   
                                                   
     
3.17
   
5.71
   
28,223
   
3.16
**
 
4.60
**
 
3.16
%**
 
4.60
%**
 
8
 
     
1.87
   
3.05
   
27,465
   
3.08
   
4.83
   
3.03
   
4.88
   
16
 
     
7.90
   
12.50
   
28,235
   
1.67
   
6.16
   
1.54
   
6.29
   
11
 
     
(.04
)
 
(.70
)
 
26,530
   
1.54
   
7.09
   
1.33
   
7.30
   
1
 
     
(5.73
)
 
1.55
   
28,135
   
1.32
   
6.11
   
1.05
   
6.39
   
15
 
     
10.04
   
5.14
   
29,072
   
1.33
   
5.84
   
.97
   
6.19
   
9
 
 
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders, where applicable; Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to ARPS and/or MTP Shares, where applicable.
(d)
After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. As of January 31, 2011, the Adviser is no longer reimbursing Massachusetts Dividend Advantage (NMB) for any fees or expenses.
(e)
The expense ratios reflect, among other things, all interest expense and other costs related to MTP Shares and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, where applicable, both as described in Footnote 1 – General Information and Significant Accounting Policies, MuniFund Term Preferred Shares and Inverse Floating Rate Securities, respectively, as follows:
 
Massachusetts Premium Income (NMT)
       
Year Ended 5/31:
       
2012(f)
   
1.77
%**
2011
   
1.28
 
2010
   
.37
 
2009
   
.09
 
2008
   
 
2007
   
 
         
Massachusetts Dividend Advantage (NMB)
       
Year Ended 5/31:
       
2012(f)
   
1.71
%**
2011
   
1.75
 
2010
   
.35
 
2009
   
.10
 
2008
   
 
2007
   
 
 
(f)
For the six months ended November 30, 2011.
*
Rounds to less than $.01 per share.
**
Annualized.
N/A
Fund does not have a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
77

 
 

 

   
Financial
   
Highlights (Unaudited) (continued)
     
  Selected data for a Common share outstanding throughout each period:

         
Investment Operations
 
Less Distributions
             
   
Beginning
Common
Share
Net Asset
Value
 
Net
Investment
Income
(Loss
)
Net
Realized/
Unrealized
Gain (Loss
)
Distributions
from Net
Investment
Income to
Auction Rate
Preferred
Share-
holders
(a)
Distributions
from
Capital
Gains to
Auction Rate
Preferred
Share-
holders
(a)
Total
 
Net
Investment
Income to
Common
Share-
holders
 
Capital
Gains to
Common
Share-
holders
 
Total
 
Ending
Common
Share
Net Asset
Value
 
Ending
Market
Value
 
Insured Massachusetts Tax-Free Advantage (NGX)
                                         
Year Ended 5/31:
                                         
2012(f)
 
$
14.36
 
$
.31
 
$
.25
 
$
 
$
 
$
.56
 
$
(.37
)
$
 
$
(.37
)
$
14.55
 
$
13.61
 
2011
   
14.71
   
.64
   
(.23
)
 
   
   
.41
   
(.76
)
 
   
(.76
)
 
14.36
   
13.62
 
2010
   
13.86
   
.82
   
.79
   
(.03
)
 
   
1.58
   
(.73
)
 
   
(.73
)
 
14.71
   
15.79
 
2009
   
14.28
   
.91
   
(.50
)
 
(.17
)
 
   
.24
   
(.66
)
 
   
(.66
)
 
13.86
   
13.15
 
2008
   
14.50
   
.90
   
(.21
)
 
(.26
)
 
   
.43
   
(.65
)
 
   
(.65
)
 
14.28
   
14.14
 
2007
   
14.39
   
.90
   
.08
   
(.25
)
 
   
.73
   
(.62
)
 
   
(.62
)
 
14.50
   
14.45
 
                                           
Missouri Premium Income (NOM)
                                         
Year Ended 5/31:
                                         
2012(f)
   
13.19
   
.35
   
.59
   
   
   
.94
   
(.39
)
 
   
(.39
)
 
13.74
   
15.90
 
2011
   
13.55
   
.78
   
(.35
)
 
(.01
)
 
   
.42
   
(.78
)
 
   
(.78
)
 
13.19
   
13.88
 
2010
   
12.44
   
.83
   
.99
   
(.03
)
 
   
1.79
   
(.68
)
 
   
(.68
)
 
13.55
   
16.50
 
2009
   
13.52
   
.85
   
(1.12
)
 
(.16
)
 
   
(.43
)
 
(.65
)
 
   
(.65
)
 
12.44
   
12.90
 
2008
   
14.27
   
.89
   
(.62
)
 
(.20
)
 
(.04
)
 
.03
   
(.65
)
 
(.13
)
 
(.78
)
 
13.52
   
14.76
 
2007
   
14.40
   
.90
   
(.08
)
 
(.23
)
 
 
.59
   
(.72
)
 
 
(.72
)
 
14.27
   
16.56
 
 
(a)
The amounts shown are based on Common share equivalents.
(b)
Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
 
Total Return Based 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.
 
78
 
Nuveen Investments

 
 

 

               
Ratios/Supplemental Data
 
   
Total Returns
       
Ratios to Average Net Assets
Applicable to Common Shares
Before Reimbursement(c)
 
Ratios to Average Net Assets
Applicable to Common Shares
After Reimbursement(c)(d)
       
                                   
   
Based
on
Market
Value
(b)
Based
on
Common
Share Net
Asset
Value
(b)
Ending
Net
Assets
Applicable
to Common
Shares (000
)
Expenses
(e)
Net
Investment
Income
(Loss
)
Expenses
(e)
Net
Investment
Income
(Loss
)
Portfolio
Turnover
Rate
 
                                                   
                                                   
     
2.64
%
 
3.91
%
$
39,679
   
3.11
%**
 
4.21
%**
 
3.11
%**
 
4.21
%**
 
6
%
     
(9.04
)
 
2.89
   
39,158
   
3.07
   
4.38
   
3.01
   
4.44
   
4
 
     
26.19
   
11.61
   
40,095
   
1.86
   
5.50
   
1.67
   
5.69
   
1
 
     
(2.11
)
 
2.00
   
37,754
   
1.47
   
6.47
   
1.16
   
6.78
   
0
 
     
2.49
   
3.04
   
38,873
   
1.29
   
5.82
   
.85
   
6.25
   
13
 
     
12.49
   
5.12
   
39,458
   
1.28
   
5.67
   
.79
   
6.15
   
6
 
                                                   
                                                   
     
17.70
   
7.18
   
31,905
   
2.97
**
 
5.21
**
 
N/A
   
N/A
   
6
 
     
(11.29
)
 
3.22
   
30,595
   
2.30
   
5.90
   
N/A
   
N/A
   
11
 
     
34.31
   
14.69
   
31,348
   
1.37
   
6.37
   
N/A
   
N/A
   
7
 
     
(7.83
)
 
(2.92
)
 
28,734
   
1.55
   
6.96
   
N/A
   
N/A
   
2
 
     
(5.74
)
 
.26
   
31,170
   
1.52
   
6.43
   
N/A
   
N/A
   
5
 
     
5.98
   
4.17
   
32,826
   
1.39
   
6.15
   
N/A
   
N/A
   
16
 
 
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders, where applicable; Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to ARPS and/or MTP Shares, where applicable.
(d)
After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. As of November 30, 2010, the Adviser is no longer reimbursing Insured Massachusetts Tax-Free Advantage (NGX) for any fees or expenses.
(e)
The expense ratios reflect, among other things, all interest expense and other costs related to MTP Shares and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, where applicable, both as described in Footnote 1 – General Information and Significant Accounting Policies, MuniFund Term Preferred Shares and Inverse Floating Rate Securities, respectively, as follows:
 
Insured Massachusetts Tax-Free Advantage (NGX)
       
Year Ended 5/31:
       
2012(f)
   
1.78
%**
2011
   
1.81
 
2010
   
.57
 
2009
   
.09
 
2008
   
 
2007
   
 
         
Missouri Premium Income (NOM)
       
Year Ended 5/31:
       
2012(f)
   
1.59
%**
2011
   
.93
 
2010
   
.03
 
2009
   
.13
 
2008
   
.21
 
2007
   
.09
 
 
(f)
For the six months ended November 30, 2011.
*
Rounds to less than $.01 per share.
**
Annualized.
N/A
Fund does not have a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.

Nuveen Investments
 
79
 
 
 

 
 
   
Financial
   
Highlights (Unaudited) (continued)
 
   
ARPS at the End of Period
 
MTP Shares at the End of Period (a)
 
ARPS and
MTP Shares
at the End of Period
 
   
Aggregate
Amount
Outstanding
(000
)
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Aggregate
Amount
Outstanding
(000
)
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Asset Coverage
Per $1
Liquidation
Preference
 
Connecticut Premium Income (NTC)
                             
Year Ended 5/31:
                             
2012(b)
 
$
 
$
 
$
 
$
36,080
 
$
10.00
 
$
31.72
 
$
 
2011
   
   
   
   
36,080
   
10.00
   
31.14
   
 
2010
   
15,725
   
25,000
   
82,389
   
18,300
   
10.00
   
32.96
   
3.30
 
2009
   
34,975
   
25,000
   
77,110
   
   
   
   
 
2008
   
38,300
   
25,000
   
74,896
   
   
   
   
 
2007
   
38,300
   
25,000
   
75,360
   
   
   
   
 
                               
Connecticut Dividend Advantage (NFC)
                             
Year Ended 5/31:
                             
2012(b)
   
   
   
   
20,470
   
10.00
   
28.77
   
 
2011
   
   
   
   
20,470
   
10.00
   
28.24
   
 
2010
   
   
   
   
20,470
   
10.00
   
28.82
   
 
2009
   
18,000
   
25,000
   
75,457
   
   
   
   
 
2008
   
19,500
   
25,000
   
73,556
   
   
   
   
 
2007
   
19,500
   
25,000
   
73,749
   
   
   
   
 
                               
Connecticut Dividend Advantage 2 (NGK)
                     
Year Ended 5/31:
                             
2012(b)
   
   
   
   
16,950
   
10.00
   
30.28
   
 
2011
   
   
   
   
16,950
   
10.00
   
29.75
   
 
2010
   
   
   
   
16,950
   
10.00
   
30.55
   
 
2009
   
16,125
   
25,000
   
76,305
   
   
   
   
 
2008
   
17,500
   
25,000
   
73,840
   
   
   
   
 
2007
   
17,500
   
25,000
   
74,094
   
   
   
   
 
 
(a)
The Ending and Average Market Value Per Share for each Series of the Fund’s MTP Shares were as follows:

   
Series
 
Ending
Market Value
Per Share
 
Average
Market Value
Per Share
 
Series
 
Ending
Market Value
Per Share
 
Average
Market Value
Per Share
 
Connecticut Premium Income (NTC)
                 
Year Ended 5/31:
                       
2012(b)
   
2015
 
$
10.12
 
$
10.08
   
2016
 
$
10.03
 
$
10.04
 
2011
   
2015
   
10.07
   
10.04
   
2016
   
10.00
   
9.88
^^^
2010
   
2015
   
10.00
   
10.02
 
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
2007
   
   
   
   
   
   
 
                         
Connecticut Dividend Advantage (NFC)
                       
Year Ended 5/31:
                       
2012(b)
   
2015
   
10.05
   
10.06
   
   
   
 
2011
   
2015
   
13.85
   
14.24
   
   
   
 
2010
   
2015
   
9.98
   
9.95
^^   
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
2007
   
   
   
   
   
   
 
                                       
Connecticut Dividend Advantage 2 (NGK)
                       
Year Ended 5/31:
                       
2012(b)
   
2015
   
10.05
   
10.07
   
   
   
 
2011
   
2015
   
13.96
   
14.62
   
   
   
 
2010
   
2015
   
9.97
   
9.96
^^   
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
2007
   
   
   
   
   
   
 
 
(b)
For the six months ended November 30, 2011.
^
For the period January 19, 2010 (first issuance date of shares) through May 31, 2010.
^^
For the period March 31, 2010 (first issuance date of shares) through May 31, 2010.
^^^
For the period December 15, 2010 (first issuance date of shares) through May 31, 2011.
 
80
 
Nuveen Investments

 
 

 

   
ARPS at the End of Period
 
MTP Shares at the End of Period (a)
 
ARPS and
MTP Shares
at the End of Period
 
   
Aggregate
Amount
Outstanding
(000
)
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Aggregate
Amount
Outstanding
(000
)
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Asset Coverage
Per $1
Liquidation
Preference
 
Connecticut Dividend Advantage 3 (NGO)
                     
Year Ended 5/31:
                       
2012(b)
 
$
 
$
 
$
 
$
32,000
 
$
10.00
 
$
29.71
 
$
 
2011
   
   
   
   
32,000
   
10.00
   
29.21
   
 
2010
   
   
   
   
32,000
   
10.00
   
29.71
   
 
2009
   
30,025
   
25,000
   
74,329
   
   
   
   
 
2008
   
32,000
   
25,000
   
73,028
   
   
   
   
 
2007
   
32,000
   
25,000
   
73,691
   
   
   
   
 
                                             
Massachusetts Premium Income (NMT)
                       
Year Ended 5/31:
                       
2012(b)
   
   
   
   
36,645
   
10.00
   
29.08
   
 
2011
   
   
   
   
36,645
   
10.00
   
28.45
   
 
2010
   
14,400
   
25,000
   
74,863
   
20,210
   
10.00
   
29.95
   
2.99
 
2009
   
34,000
   
25,000
   
71,559
   
   
   
   
 
2008
   
34,000
   
25,000
   
74,794
   
   
   
   
 
2007
   
34,000
   
25,000
   
75,973
   
   
   
   
 
                                             
Massachusetts Dividend Advantage (NMB)
                       
Year Ended 5/31:
                       
2012(b)
   
   
   
   
14,725
   
10.00
   
29.17
   
 
2011
   
   
   
   
14,725
   
10.00
   
28.65
   
 
2010
   
   
   
   
14,725
   
10.00
   
29.18
   
 
2009
   
14,250
   
25,000
   
71,544
   
   
   
   
 
2008
   
15,000
   
25,000
   
71,892
   
   
   
       
2007
   
15,000
   
25,000
   
73,453
   
   
   
   
 
 
(a)
The Ending and Average Market Value Per Share for each Series of the Fund’s MTP Shares were as follows:
 
           
Ending
   
Average
         
Ending
   
Average
 
         
Market Value
 
Market Value
       
Market Value
 
Market Value
 
     
Series
   
Per Share
   
Per Share
   
Series
   
Per Share
   
Per Share
 
Connecticut Dividend Advantage 3 (NGO)
                       
Year Ended 5/31:
                                     
2012(b)
   
2015
 
$
10.07
 
$
10.07
   
 
$
 
$
 
2011
   
2015
   
12.89
   
13.47
   
   
   
 
2010
   
2015
   
10.00
   
9.99
Ω  
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
2007
   
   
   
   
   
   
 
                                       
Massachusetts Premium Income (NMT)
                       
Year Ended 5/31:
                                     
2012(b)
   
2015
   
10.06
   
10.07
   
2016
   
10.07
   
10.06
 
2011
   
2015
   
10.02
   
10.02
   
2016
   
10.00
   
9.97
ΩΩΩΩ
2010
   
2015
   
10.00
   
10.00
ΩΩ  
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
2007
   
   
   
   
   
   
 
                                       
Massachusetts Dividend Advantage (NMB)
                       
Year Ended 5/31:
                                     
2012(b)
   
2015
   
10.04
   
10.06
   
   
   
 
2011
   
2015
   
13.53
   
14.03
   
   
   
 
2010
   
2015
   
9.98
   
9.95
ΩΩΩ  
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
2007
   
   
   
   
   
   
 
 
(b)
For the six months ended November 30, 2011.
Ω
For the period February 10, 2010 (first issuance date of shares) through May 31, 2010.
ΩΩ
For the period January 21, 2010 (first issuance date of shares) through May 31, 2010.
ΩΩΩ
For the period March 23, 2010 (first issuance date of shares) through May 31, 2010.
ΩΩΩΩ For the period January 20, 2011 (first issuance date of shares) through May 31, 2011.
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
81

 
 

 


   
Financial
   
Highlights (Unaudited) (continued)

   
ARPS at the End of Period
 
MTP Shares at the End of Period (a)
 
   
Aggregate
Amount
Outstanding
(000
)
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Aggregate
Amount
Outstanding
(000
)
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Insured Massachusetts Tax-Free Advantage (NGX)
                       
Year Ended 5/31:
                                     
2012(b)
 
$
 
$
 
$
 
$
22,075
 
$
10.00
 
$
27.97
 
2011
   
   
   
   
22,075
   
10.00
   
27.74
 
2010
   
   
   
   
22,075
   
10.00
   
28.16
 
2009
   
20,500
   
25,000
   
71,042
   
   
   
 
2008
   
20,500
   
25,000
   
72,407
   
   
   
 
2007
   
20,500
   
25,000
   
73,120
   
   
   
 
                                       
Missouri Premium Income (NOM)
               
Year Ended 5/31:
                                     
2012(b)
   
   
   
   
17,880
   
10.00
   
27.84
 
2011
   
   
   
   
17,880
   
10.00
   
27.11
 
2010
   
16,000
   
25,000
   
73,981
   
   
   
 
2009
   
16,000
   
25,000
   
69,897
   
   
   
 
2008
   
16,000
   
25,000
   
73,703
   
   
   
 
2007
   
16,000
   
25,000
   
76,291
   
   
   
 
 
(a)
The Ending and Average Market Value Per Share for each Series of the Fund’s MTP Shares were as follows:
 
           
Ending
   
Average
 
       
Market Value
 
Market Value
 
     
Series
   
Per Share
   
Per Share
 
Insured Massachusetts Tax-Free Advantage (NGX)
                   
Year Ended 5/31:
                   
2012(b)
   
2015
 
$
10.10
 
$
10.08
 
2011
   
2015
   
13.62
   
14.48
 
2010
   
2015
   
10.00
   
9.98
2009
   
   
   
 
2008
   
   
   
 
2007
   
   
   
 
                     
Missouri Premium Income (NOM)
                   
Year Ended 5/31:
                   
2012(b)
   
2015
   
10.03
   
9.94
 
2011
   
2015
   
13.88
   
15.41
^^ 
2010
   
   
   
 
2009
   
   
   
 
2008
   
   
   
 
2007
   
   
   
 
 
(b)
For the six months ended November 30, 2011.
^
For the period February 9, 2010 (first issuance date of shares) through May 31, 2010.
^^
For the period November 9, 2010 (first issuance date of shares) through May 31, 2011.
 
See accompanying notes to financial statements.
     
82
 
Nuveen Investments
 
 
 

 

   
Notes to
   
Financial Statements (Unaudited)
 
1. General Information and Significant Accounting Policies
 
General Information
The state 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) (each a “Fund” and collectively, the “Funds”). Common shares of Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are traded on the New York Stock Exchange (“NYSE”) 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 NYSE Amex. The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end, registered 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 portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories.
 
Approved Fund Mergers
On August 1, 2011, the Funds’ Board of Trustees approved a series of reorganizations for all the Connecticut Funds included in this report. The reorganizations are intended to create a single larger state fund, which would potentially offer shareholders the following benefits:
     
 
Lower Fund expense ratios (excluding the effects of leverage), as fixed costs are spread over a larger asset base;
     
 
Enhanced secondary market trading, as larger Funds potentially make it easier for investors to buy and sell Fund shares;
     
 
Lower per share trading costs through reduced bid/ask spreads due to a larger common share float; and
     
 
Increased Fund flexibility in managing the structure and cost of leverage over time.
 
The approved reorganizations are as follows:
   
Acquired Funds
Acquiring Fund
Connecticut Dividend Advantage (NFC)
Connecticut Premium Income (NTC)
Connecticut Dividend Advantage 2 (NGK)
 
Connecticut Dividend Advantage 3 (NGO)
 
 
A special meeting of shareholders for the purpose of voting on the reorganizations was held on December 19, 2011 and subsequently adjourned to January 31, 2012, because a sufficient number of shareholders did not vote by the original meeting date and in order to allow shareholders more time to cast their votes.
 
If shareholders approve the reorganizations, and upon the closing of the reorganizations, the Acquired Fund will transfer substantially all of its assets to the Acquiring Fund in exchange for common and preferred shares of the Acquiring Fund, and the assumption by the Acquiring Fund of the liabilities of the Acquired Fund. The Acquired Fund will then be liquidated, dissolved and terminated in accordance with its Declaration of Trust.
 
If shareholders approve the reorganizations, Acquired Fund shareholders will become shareholders of the Acquiring Fund. Holders of common shares will receive newly issued common shares of the Acquiring Fund, the aggregate net asset value of which will be equal to the aggregate net asset value of the common shares of the Acquired Fund held immediately prior to the reorganizations (including for this purpose fractional Acquiring Fund shares to which shareholders would be entitled). Fractional shares will be sold on the open market and shareholders will receive cash in lieu of such fractional shares. Holders of MuniFund Term Preferred (“MTP”) Shares of each Acquired Fund will receive on a one-for-one basis newly issued MTP Shares of the Acquiring Fund, in exchange for MTP Shares of the Acquired Fund held immediately prior to the reorganization, with such new Acquiring Fund MTP Shares having the same terms as exchanged MTP Shares of the Acquired Fund.
 
Nuveen Investments
 
83

 
 

 
 
   
Notes to
   
Financial Statements (Unaudited) (continued)
 
Significant Accounting Policies
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 (“U.S. GAAP”).
 
Investment Valuation
Prices of municipal bonds are provided by a pricing service approved by the Funds’ Board of Trustees. These securities are generally classified as Level 2 for fair value measurement purposes. When price quotes are not readily available (which is usually the case for municipal bonds) the pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer, or market activity, provided by Nuveen Funds Advisors, Inc., (the “Adviser”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”). These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.
 
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Funds’ Board of Trustees or its designee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s net asset value (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Funds’ Board of Trustees or its designee.
 
Refer to Footnote 2 – Fair Value Measurements for further details on the leveling of securities held by the Funds as of the end of the reporting period.
 
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. 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, 2011, there were no such outstanding purchase commitments in any of the Funds.
 
Investment Income
Investment income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also reflects paydown gains and losses, if any.
 
Professional Fees
Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment, or to pursue other claims or legal actions on behalf of Fund shareholders.
 
Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, each Fund intends to satisfy conditions that 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.
 
For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
 
84
 
Nuveen Investments

 
 

 
 
Dividends and Distributions to Common Shareholders
Dividends from net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
 
Distributions to Common shareholders of 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. GAAP.
 
Auction Rate Preferred Shares
Each Fund is authorized to issue Auction Rate Preferred Shares (“ARPS”). As of May 31, 2011, the Funds redeemed all of their outstanding ARPS at liquidation value.
 
MuniFund Term Preferred Shares
The Funds have issued and outstanding MTP Shares, with a $10 stated (“par”) value per share. Proceeds from the issuance of MTP Shares, net of offering expenses, were used to redeem all, or a portion of, each Fund’s outstanding ARPS. Each Fund’s MTP Shares may be issued in one or more Series. Dividends on MTP Shares, which are recognized as interest expense for financial reporting purposes, are paid monthly at a fixed annual rate, subject to adjustments in certain circumstances. The MTP Shares trade on the NYSE. As of November 30, 2011, the number of MTP Shares outstanding, annual interest rate and NYSE “ticker” symbol for each Fund’s series of MTP Shares are as follows:

   
Connecticut Premium Income (NTC)
 
Connecticut Dividend Advantage (NFC)
 
   
Shares
Outstanding
 
Annual
Interest
Rate
 
NYSE
Ticker
 
Shares
Outstanding
 
Annual
Interest
Rate
 
NYSE
Ticker
 
Series
                                     
2015
   
1,830,000
   
2.65
%
 
NTC Pr C
   
2,047,000
   
2.60
%
 
NFC Pr C
 
2016
   
1,778,000
   
2.55
   
NTC Pr D
   
   
   
 

   
Connecticut Dividend Advantage 2 (NGK)
 
Connecticut Dividend Advantage 3 (NGO)
 
   
Shares
Outstanding
 
Annual
Interest
Rate
 
NYSE
Ticker
 
Shares
Outstanding
 
Annual
Interest
Rate
 
NYSE
Ticker
 
Series 2015
   
1,695,000
   
2.60
%
 
NGK Pr C
   
3,200,000
   
2.65
%
 
NGO Pr C
 

   
Massachusetts Premium Income (NMT)
 
Massachusetts Dividend Advantage (NMB)
 
   
Shares
Outstanding
 
Annual
Interest
Rate
 
NYSE
Ticker
 
Shares
Outstanding
 
Annual
Interest
Rate
 
NYSE
Ticker
 
Series
                                     
2015
   
2,021,000
   
2.65
%
 
NMT Pr C
   
1,472,500
   
2.60
%
 
NMB Pr C
 
2016
   
1,643,500
   
2.75
   
NMT Pr D
   
   
   
 

   
Insured Massachusetts Tax-Free Advantage (NGX)
 
Missouri Premium Income (NOM)
 
   
Shares
Outstanding
 
Annual
Interest
Rate
 
NYSE
Ticker
 
Shares
Outstanding
 
Annual
Interest
Rate
 
NYSE
Ticker
 
Series 2015
   
2,207,500
   
2.65
%
 
NGX Pr C
   
1,788,000
   
2.10
%
 
NOM Pr C
 
 
Each Fund is obligated to redeem its MTP Shares by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed or repurchased by the Fund. MTP Shares are subject to optional and mandatory redemption in certain circumstances. MTP Shares will be subject to redemption at the option of each Fund (“Optional Redemption Date”), subject to a payment of premium for one year following the Optional Redemption Date (“Premium Expiration Date”), and at par thereafter. MTP Shares also will be subject to redemption, at the option of each Fund, at par in the event of certain changes in the credit rating of the MTP Shares. Each Fund may be obligated to redeem certain of the MTP Shares if the Fund fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured by the applicable cure date.
 
Nuveen Investments
 
85

 
 

 
 
   
Notes to
   
Financial Statements (Unaudited) (continued)
 
The redemption price per share is equal to the sum of the liquidation value per share plus any accumulated but unpaid dividends. The Term Redemption Date, Optional Redemption Date and Premium Expiration Date for each Fund’s series of MTP Shares are as follows:
 
     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
     
(NTC
)
 
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
     
Series 2015
   
Series 2016
   
Series 2015
   
Series 2015
   
Series 2015
 
Term Redemption Date
   
February 1, 2015
   
January 1, 2016
   
April 1, 2015
   
April 1, 2015
   
March 1, 2015
 
Optional Redemption Date
   
February 1, 2011
   
January 1, 2012
   
April 1, 2011
   
April 1, 2011
   
March 1, 2011
 
Premium Expiration Date
   
January 31, 2012
   
December 31, 2012
   
March 31, 2012
   
March 31, 2012
   
February 29, 2012
 

                       
Insured
       
     
Massachusetts
   
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
     
Premium
   
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
     
Series 2015
   
Series 2016
   
Series 2015
   
Series 2015
   
Series 2015
 
Term Redemption Date
   
February 1, 2015
   
February 1, 2016
   
April 1, 2015
   
March 1, 2015
   
December 1, 2015
 
Optional Redemption Date
   
February 1, 2011
   
February 1, 2012
   
April 1, 2011
   
March 1, 2011
   
December 1, 2011
 
Premium Expiration Date
   
January 31, 2012
   
January 31, 2013
   
March 31, 2012
   
February 29, 2012
   
November 30, 2012
 

The average liquidation value for all series of MTP Shares outstanding for each Fund during the six months ended November 30, 2011, was as follows:

     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
     
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
Average liquidation value of MTP Shares outstanding
 
$
36,080,000
 
$
20,470,000
 
$
16,950,000
 
$
32,000,000
 

                 
Insured
       
   
Massachusetts
 
Massachusetts
 
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
Average liquidation value of MTP Shares outstanding
 
$
36,645,000
 
$
14,725,000
 
$
22,075,000
 
$
17,880,000
 
 
For financial reporting purposes only, the liquidation value of MTP Shares is recorded as a liability on the Statement of Assets and Liabilities. Unpaid dividends on MTP Shares are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities. Dividends paid on MTP Shares are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.
 
Nuveen has agreed that net amounts earned by Nuveen as underwriter of each Fund’s MTP Share offering would be credited to the Funds, and would be recorded as reductions of offering costs recognized by the Funds. During the six months ended November 30, 2011, Nuveen earned no net underwriting amounts on the Funds’ MTP Shares.
 
Insurance
Since 2007, the financial status of most major municipal bond insurers has deteriorated substantially, and some insurers have gone out of business, rendering worthless the insurance policies they had written. Under normal circumstances, Insured Massachusetts Tax-Free Advantage (NGX) invests at least 80% of its managed assets (as defined in Footnote 7 – Management Fees and Other Transactions with Affiliates) in municipal securities that are covered by insurance guaranteeing the timely payment of principal and interest. In addition, the municipal securities in which Insured Massachusetts Tax-Free Advantage (NGX) invests will be investment grade at the time of purchase (including (i) bonds insured by investment grade insurers or are rated investment grade; (ii) unrated bonds that are judged to be investment grade by the Adviser; and (iii) escrowed bonds). Ratings below BBB by one or more national rating agencies are considered to be below investment grade.
 
Each insured municipal security is covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance. Assuming that the insurer remains creditworthy, the insurance feature of a municipal security guarantees the full payment of principal and interest when due through the life of an insured obligation. Such insurance does not guarantee the market value of the insured obligation 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 and is reflected as an expense over the term of the policy, when applicable. Accordingly, neither the prices used in determining the market value of the underlying municipal securities nor the Common share
 
86
 
Nuveen Investments

 
 

 
 
net asset value of the Fund include value, if any, attributable to the Portfolio Insurance. Each policy of the Portfolio Insurance does, however, give the Fund the right to obtain permanent insurance with respect to the municipal security covered by the Portfolio Insurance policy at the time of its sale.
 
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. In turn, this trust (a) issues floating rate certificates, in face amounts equal to some fraction of the deposited bond’s par amount or market value, that typically pay short-term tax-exempt interest rates to third parties, and (b) issues to a long-term investor (such as one of the Funds) an inverse floating rate certificate (sometimes referred to as an “inverse floater”) that represents all remaining or residual interest in the trust. The income received by the inverse floater holder varies inversely with the short-term rate paid to the floating rate certificates’ holders, and in most circumstances the inverse floater holder bears substantially all of the underlying bond’s downside investment risk and also benefits disproportionately from any potential appreciation of the underlying bond’s value. The price of an inverse floating rate security will be more volatile than that of the underlying bond because the interest rate is dependent on not only the fixed coupon rate of the underlying bond but also on the short-term interest paid on the floating rate certificates, and because the inverse floating rate security essentially bears the risk of loss of the greater face value of the underlying bond.
 
A Fund may purchase an inverse floating rate security in a secondary market transaction without first owning the underlying bond (referred to as an “externally-deposited inverse floater”), or instead by first selling a fixed-rate bond to a broker-dealer for deposit into the special purpose trust and receiving in turn the residual interest in the trust (referred to as a “self-deposited inverse floater”). 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 “(IF) – Inverse floating rate investment.” An investment in a self-deposited inverse floater is accounted for as a financing transaction. In such instances, a fixed-rate bond deposited into a special purpose trust is identified in the Portfolio of Investments as “(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction,” 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 the related interest paid to the holders of the short-term floating rate certificates as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.
 
During the six months ended November 30, 2011, each Fund invested in externally-deposited inverse floaters and/or self-deposited inverse floaters.
 
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse trust” or “credit recovery swap”) (such agreements referred to herein as “Recourse Trusts”) 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 issued by the trust plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on inverse floaters may increase beyond the value of a Fund’s inverse floater investments as a Fund may potentially be liable to fulfill all amounts owed to holders of the floating rate certificates. At period end, any such shortfall is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
 
At November 30, 2011, the Funds were not invested in externally-deposited Recourse Trusts.
 
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, 2011, were as follows:
 
     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
     
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
Average floating rate obligations outstanding
 
$
7,965,000
 
$
3,820,000
 
$
3,460,000
 
$
5,780,000
 
Average annual interest rate and fees
   
0.64
%
 
0.64
%
 
0.64
%
 
0.62
%

                 
Insured
       
   
Massachusetts
 
Massachusetts
 
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
Average floating rate obligations outstanding
 
$
2,385,738
 
$
1,018,251
 
$
1,419,454
 
$
2,225,000
 
Average annual interest rate and fees
   
0.49
%
 
0.49
%
 
0.50
%
 
0.32
%
 
Nuveen Investments
 
87

 
 

 
 
   
Notes to
   
Financial Statements (Unaudited) (continued)
 
Derivative Financial Instruments
Each Fund is authorized to invest in certain derivative instruments, including foreign currency forwards, futures, options and swap contracts. Although each Fund is authorized to invest in such derivative instruments, and may do so in the future, they did make any such investments during the six months ended November 30, 2011.
 
Market and Counterparty Credit Risk
In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities. Futures contracts, when applicable, expose a Fund to minimal counterparty credit risk as they are exchange traded and the exchange’s clearinghouse, which is counterparty to all exchange traded futures, guarantees the futures contracts against default.
 
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, 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 valuations fluctuate, either up or down, by at least the predetermined threshold amount.
 
Zero Coupon Securities
Each Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
 
Offering Costs
Costs incurred by the Funds in connection with their offerings of MTP Shares were recorded as a deferred charge, which will be amortized over the life of the shares. Each Fund’s amortized deferred charges are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. Each Fund’s offering costs incurred were as follows:
 
                           
     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
     
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
MTP Shares offering costs
 
$
1,131,200
 
$
567,050
 
$
504,250
 
$
750,000
 

                 
Insured
       
   
Massachusetts
 
Massachusetts
 
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
MTP Shares offering costs
 
$
1,139,675
 
$
465,875
 
$
571,125
 
$
598,200
 
 
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.
 
Indemnifications
Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
 
88
 
Nuveen Investments

 
 

 
 
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP 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. Fair Value Measurements
Fair value is defined as the price that the Funds would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
     
 
Level 1 –
Quoted prices in active markets for identical securities.
 
Level 2 –
Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 –
Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of November 30, 2011:
 
Connecticut Premium Income (NTC)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
                           
Investments:
                         
Municipal Bonds
 
$
 
$
120,713,593
 
$
 
$
120,713,593
 
 
Connecticut Dividend Advantage (NFC)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
                           
Investments:
                         
Municipal Bonds
 
$
 
$
61,757,328
 
$
 
$
61,757,328
 
 
Connecticut Dividend Advantage 2 (NGK)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
                           
Investments:
                         
Municipal Bonds
 
$
 
$
53,855,427
 
$
 
$
53,855,427
 
 
Connecticut Dividend Advantage 3 (NGO)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
                           
Investments:
                         
Municipal Bonds
 
$
 
$
99,478,311
 
$
 
$
99,478,311
 
 
Massachusetts Premium Income (NMT)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
                           
Investments:
                         
Municipal Bonds
 
$
 
$
106,102,961
 
$
 
$
106,102,961
 
 
Massachusetts Dividend Advantage (NMB)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
                           
Investments:
                         
Municipal Bonds
 
$
 
$
42,155,299
 
$
274,970
 
$
42,430,269
 
 
Insured Massachusetts Tax-Free Advantage (NGX)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
                           
Investments:
                         
Municipal Bonds
 
$
 
$
60,758,843
 
$
 
$
60,758,843
 
 
Missouri Premium Income (NOM)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
                           
Investments:
                         
Municipal Bonds
 
$
 
$
51,232,103
 
$
 
$
51,232,103
 
 
Nuveen Investments
 
89

 
 

 

   
Notes to
   
Financial Statements (Unaudited) (continued)
 
The following is a reconciliation of the following Fund’s Level 3 investments held at the beginning and end of the measurement period:
         
     
Massachusetts
 
     
Dividend
 
     
Advantage
 
     
(NMB
)
     
Level 3
 
     
Municipal
 
     
Bonds
 
Balance at the beginning of period
 
$
 
Gains (losses):
       
Net realized gains (losses)
   
 
Net change in unrealized appreciation (depreciation)
   
 
Purchases at cost
   
 
Sales at proceeds
   
 
Net discounts (premiums)
   
 
Transfers in to
   
274,970
 
Transfers out of
   
 
Balance at the end of period
 
$
274,970
 
Change in net unrealized appreciation (depreciation) during the period of Level 3 securities held as of November 30, 2011
 
$
(103,701
)
 
During the six months ended November 30, 2011, the Funds recognized no significant transfers to or from Level 1 or Level 2. Transfers in and/or out of Level 3 are shown using end of period values.
 
3. Derivative Instruments and Hedging Activities
The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes. The Funds did not invest in derivative instruments during the six months ended November 30, 2011.
 
4. Fund Shares
 
Common Shares
Since the inception of the Funds’ repurchase program, the Funds have not repurchased any of their outstanding Common shares.
 
Transactions in Common shares were as follows:

     
Connecticut
Premium Income (NTC)
   
Connecticut
Dividend Advantage (NFC)
 
Connecticut
Dividend Advantage 2 (NGK)
 
     
Six Months
   
Year
   
Six Months
   
Year
   
Six Months
   
Year
 
     
Ended
   
Ended
   
Ended
   
Ended
   
Ended
   
Ended
 
     
11/30/11
   
5/31/11
   
11/30/11
   
5/31/11
   
11/30/11
   
5/31/11
 
Common shares issued to shareholders due to reinvestment of distributions
   
   
   
   
1,764
   
194
   
1,073
 

   
Connecticut
Dividend Advantage 3 (NGO)
   
Massachusetts
Premium Income (NMT)
   
Massachusetts
Dividend Advantage (NMB)
 
     
Six Months
   
Year
   
Six Months
   
Year
   
Six Months
   
Year
 
     
Ended
   
Ended
   
Ended
   
Ended
   
Ended
   
Ended
 
     
11/30/11
   
5/31/11
   
11/30/11
   
5/31/11
   
11/30/11
   
5/31/11
 
Common shares issued to shareholders due to reinvestment of distributions
   
   
   
   
6,872
   
   
1,746
 

     
Insured Massachusetts
Tax-Free Advantage (NGX)
   
Missouri
Premium Income (NOM)
 
     
Six Months
   
Year
   
Six Months
   
Year
 
     
Ended
   
Ended
   
Ended
   
Ended
 
     
11/30/11
   
5/31/11
   
11/30/11
   
5/31/11
 
Common shares issued to shareholders due to reinvestment of distributions
   
   
1,124
   
2,613
   
4,733
 

90
 
Nuveen Investments

 
 

 
 
Preferred Shares
Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB) and Insured Massachusetts Tax-Free Advantage (NGX) redeemed all of their outstanding ARPS during the fiscal year ended May 31, 2010.
 
Transactions in ARPS were as follows:
 
     
Connecticut Premium Income (NTC)
   
Massachusetts Premium Income (NMT)
 
     
Six Months Ended
11/30/11
   
Year Ended
5/31/11
   
Six Months Ended
11/30/11
   
Year Ended
5/31/11
 
     
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
 
ARPS redeemed:
                                                 
Series TH
   
N/A
   
N/A
   
629
 
$
15,725,000
   
N/A
   
N/A
   
576
 
$
14,400,000
 

     
Missouri Premium Income (NOM)
 
     
Six Months Ended
11/30/11
   
Year Ended
5/31/11
 
     
Shares
   
Amount
   
Shares
   
Amount
 
ARPS redeemed:
                         
Series TH
   
N/A
   
N/A
   
640
 
$
16,000,000
 

N/A – As of May 31, 2011, the Fund redeemed all of its outstanding ARPS at liquidation value.
 
Transactions in MTP Shares were as follows:

     
Connecticut
Premium Income (NTC)
 
     
Six Months Ended
11/30/11
   
Year Ended
5/31/11
 
     
Shares
   
Amount
   
Shares
   
Amount
 
MTP Shares issued:
                         
Series 2015
   
 
$
   
 
$
 
Series 2016
   
   
   
1,778,000
   
17,780,000
 
Total
   
 
$
   
1,778,000
 
$
17,780,000
 

     
Connecticut
Dividend Advantage 2 (NGK)
   
Connecticut
Dividend Advantage 3 (NGO)
 
     
Six Months Ended
11/30/11
   
Year Ended
5/31/11
   
Six Months Ended
11/30/11
   
Year Ended
5/31/11
 
     
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
 
MTP Shares issued:
                                                 
Series 2015
   
 
$
   
 
$
   
 
$
   
 
$
 

     
Massachusetts
Premium Income (NMT)
   
Massachusetts
Dividend Advantage (NMB)
 
     
Six Months Ended
11/30/11
   
Year Ended
5/31/11
   
Six Months Ended
11/30/11
   
Year Ended
5/31/11
 
     
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
 
MTP Shares issued:
                                                 
Series 2015
   
 
$
   
 
$
   
 
$
   
 
$
 
Series 2016
   
   
   
1,643,500
   
16,435,00
   
   
   
   
 
Total
   
 
$
   
1,643,500
 
$
16,435,000
   
 
$
   
 
$
 
 
Nuveen Investments
 
91

 
 

 
 
   
Notes to
   
Financial Statements (Unaudited) (continued)
 
     
Insured Massachusetts
Tax-Free Advantage (NGX)
   
Missouri
Premium Income (NOM)
 
     
Six Months Ended
11/30/11
   
Year Ended
5/31/11
   
Six Months Ended
11/30/11
   
Year Ended
5/31/11
 
     
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
 
MTP Shares issued:
                                                 
Series 2015
   
 
$
   
 
$
   
 
$
   
1,788,000
 
$
17,880,000
 
 
5. Investment Transactions
 
Purchases and sales (including maturities but excluding short-term investments, where applicable) during the six months ended November 30, 2011, were as follows:
 
     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
     
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
Purchases
 
$
9,456,187
 
$
7,068,883
 
$
3,910,233
 
$
7,857,173
 
Sales and maturities
   
8,086,227
   
5,452,875
   
4,059,503
   
6,828,353
 

                 
Insured
       
     
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
Purchases
 
$
10,370,621
 
$
3,202,593
 
$
3,386,688
 
$
4,387,245
 
Sales and maturities
   
11,302,219
   
3,242,087
   
4,696,338
   
3,031,624
 
 
6. Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds.
 
At November 30, 2011, the cost and unrealized appreciation (depreciation) of investments, as determined on a federal income tax basis, were as follows:
 
     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
     
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
Cost of investments
 
$
109,540,664
 
$
56,313,878
 
$
48,928,498
 
$
91,709,396
 
Gross unrealized:
                         
Appreciation
 
$
4,273,767
 
$
2,037,158
 
$
1,869,966
 
$
3,156,292
 
Depreciation
   
(1,064,984
)
 
(414,730
)
 
(403,763
)
 
(1,166,509
)
Net unrealized appreciation (depreciation) of investments
 
$
3,208,783
 
$
1,622,428
 
$
1,466,203
 
$
1,989,783
 

                 
Insured
       
     
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
Cost of investments
 
$
102,136,831
 
$
41,357,885
 
$
58,379,463
 
$
48,363,695
 
Gross unrealized:
                         
Appreciation
 
$
4,003,709
 
$
1,400,970
 
$
2,197,611
 
$
1,524,625
 
Depreciation
   
(1,472,148
)
 
(889,051
)
 
(158,199
)
 
(881,010
)
Net unrealized appreciation (depreciation) of investments
 
$
2,531,561
 
$
511,919
 
$
2,039,412
 
$
643,615
 
 
92
 
Nuveen Investments

 
 

 
 
Permanent differences, primarily due to federal taxes paid, taxable market discount, nondeductible offering costs and distribution character reclassifications, resulted in reclassifications among the Funds’ components of Common share net assets at May 31, 2011, the Funds’ last tax year end, as follows:
 
     
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
     
Premium
   
Dividend
   
Dividend
   
Dividend
 
     
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
     
(NTC
)
 
(NFC
)
 
(NGK
)
 
(NGO
)
Paid-in surplus
 
$
(128,552
)
$
(102,128
)
$
(100,191
)
$
(148,292
)
Undistributed (Over-distribution of) net investment income
   
158,721
   
106,510
   
100,685
   
148,292
 
Accumulated net realized gain (loss)
   
(30,169
)
 
(4,382
)
 
(494
)
 
 

                           
                 
Insured
       
     
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
Paid-in surplus
 
$
(148,395
)
$
(45,873
)
$
(112,064
)
$
(64,868
)
Undistributed (Over-distribution of) net investment income
   
150,270
   
75,743
   
111,912
   
63,765
 
Accumulated net realized gain (loss)
   
(1,875
)
 
(29,870
)
 
152
   
1,103
 

The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at May 31, 2011, 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*
 
$
1,264,582
 
$
467,751
 
$
370,951
 
$
579,588
 
Undistributed net ordinary income **
   
2,329
   
6,690
   
1,014
   
 
Undistributed net long-term capital gains
   
129,612
   
104,027
   
40,075
   
 

                 
Insured
       
     
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
Undistributed net tax-exempt income*
 
$
1,177,287
 
$
273,241
 
$
351,879
 
$
631,129
 
Undistributed net ordinary income **
   
791
   
234
   
   
 
Undistributed net long-term capital gains
   
108,999
   
   
   
 

*
Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared May 2, 2011, paid on June 1, 2011.
**
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, 2011, 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
 
$
4,494,227
 
$
2,517,939
 
$
2,278,037
 
$
3,992,324
 
Distributions from net ordinary income **
   
   
   
   
 
Distributions from net long-term capital gains
   
   
   
   
 
 
Nuveen Investments
 
93

 
 

 
 
   
Notes to
   
Financial Statements (Unaudited) (continued)
 
                           
                 
Insured
       
     
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
     
Premium
   
Dividend
   
Tax-Free
   
Premium
 
     
Income
   
Advantage
   
Advantage
   
Income
 
     
(NMT
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
Distributions from net tax-exempt income
 
$
4,427,025
 
$
2,009,854
 
$
2,646,325
 
$
2,005,649
 
Distributions from net ordinary income **
   
   
   
   
 
Distributions from net long-term capital gains
   
179,625
   
   
   
 

**
Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
 
At May 31, 2011, 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
   
Massachusetts
   
Massachusetts
   
Missouri
 
     
Dividend
   
Dividend
   
Tax-Free
   
Premium
 
     
Advantage 3
   
Advantage
   
Advantage
   
Income
 
     
(NGO
)
 
(NMB
)
 
(NGX
)
 
(NOM
)
Expiration:
                         
May 31, 2013
 
$
35,547
 
$
 
$
18,655
 
$
 
May 31, 2014
   
111,331
   
   
427,135
   
 
May 31, 2015
   
211,213
   
   
   
 
May 31, 2017
   
43,691
   
   
215,629
   
122,533
 
May 31, 2018
   
13,130
   
   
24,486
   
91,539
 
May 31, 2019
   
   
138,353
   
18,813
   
 
Total
 
$
414,912
 
$
138,353
 
$
704,718
 
$
214,072
 

During the Funds’ last tax year ended May 31, 2011, the following Funds utilized capital loss carryforwards as follows:

     
Connecticut
   
Missouri
 
     
Dividend
   
Premium
 
     
Advantage 3
   
Income
 
     
(NGO
)
 
(NOM
)
Utilized capital loss carryforwards
 
$
95
 
$
138,449
 
 
The Funds have elected to defer net realized losses from investments incurred from November 1, 2010 through May 31, 2011, 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 fiscal year. The following Fund has elected to defer post-October losses as follows:
 
     
Insured
 
     
Massachusetts
 
     
Tax-Free
 
     
Advantage
 
     
(NGX
)
Post-October capital losses
 
$
3,879
 
 
7. Management Fees and Other Transactions with Affiliates
Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
 
The annual fund-level fee for each Fund, payable monthly, is calculated according to the following schedules:
     
 
Connecticut Premium Income (NTC
)
 
Massachusetts Premium Income (NMT
)
 
Missouri Premium Income (NOM
)
Average Daily Managed Assets*
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 managed assets over $5 billion
.3750
 
 
94
 
Nuveen Investments

 
 

 
 
 
Connecticut Dividend Advantage (NFC
)
 
Connecticut Dividend Advantage 2 (NGK
)
 
Connecticut Dividend Advantage 3 (NGO
)
 
Massachusetts Dividend Advantage (NMB
)
 
Insured Massachusetts Tax-Free Advantage (NGX
)
Average Daily Managed Assets*
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 managed assets over $2 billion
.3750
 

The annual complex-level fee for each Fund, payable monthly, is calculated according to the following schedule:

Complex-Level Managed Asset Breakpoint Level*
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
 
 
*
For the fund-level and complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen Funds that constitute “eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen Funds and assets in excess of $2 billion added to the Nuveen Fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of November 30, 2011, the complex level fee rate for these Funds was .1774%.
 
The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser is responsible for each Fund’s overall strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the “Sub-Adviser”), a wholly-owned subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
 
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 2’s (NGK) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, 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.
 
Nuveen Investments
 
95

 
 

 
 
   
Notes to
   
Financial Statements (Unaudited) (continued)
 
8. New Accounting Pronouncements
 
Fair Value Measurements and Disclosures
On May 12, 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standard Update (“ASU”) No. 2011-04 (“ASU No. 2011-04”) modifying Topic 820, Fair Value Measurements and Disclosures. At the same time, the International Accounting Standards Board (“IASB”) issued International Financial Reporting Standard (“IFRS”) 13, Fair Value Measurement. The objective by the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, ASU No. 2011-04 requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2 and the reasons for the transfers and ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of ASU No. 2011-04 is for interim and annual periods beginning after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have on the financial statement amounts and footnote disclosures, if any.
 
96
 
Nuveen Investments

 
 

 
 
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 Automatic Reinvestment Plan
 
Your Nuveen Closed-End Fund allows you to conveniently reinvest 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 compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on 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 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. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may
 
Nuveen Investments
 
97

 
 

 
 
Reinvest Automatically,
Easily and Conveniently (continued)
 
exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.
 
Flexible
 
You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.
 
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 distributions
 
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.
 
98
 
Nuveen Investments

 
 

 
 
Glossary of Terms
Used in this Report
 
Auction Rate Bond: An auction rate bond is a security whose interest payments are adjusted periodically through an auction process, which process typically also serves as a means for buying and selling the bond. Auctions that fail to attract enough buyers for all the shares offered for sale are deemed to have “failed,” with current holders receiving a formula-based interest rate until the next scheduled auction.
   
Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
   
Average Effective Maturity: The market-value-weighted average of the effective maturity dates of the individual securities including cash. In the case of a bond that has been advance-refunded to a call date, the effective maturity is the date on which the bond is scheduled to be redeemed using the proceeds of an escrow account. In most other cases the effective maturity is the stated maturity date of the security.
   
Effective Leverage: Effective leverage is a Fund’s effective economic leverage, and includes both structural leverage and the leverage effects of certain derivative investments in the Fund’s portfolio. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any structural leverage.
   
Inverse Floaters: Inverse floating rate securities, also known as inverse floaters, 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: Using borrowed money to invest in securities or other assets.
 
Nuveen Investments
 
99

 
 

 
 
Glossary of Terms
Used in this Report (continued)
   
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.
   
Lipper Other States Municipal Debt Funds Classification Average: Calculated using the returns of all closed-end funds in this category for each period as follows: 6-month, 45 funds; 1-year, 45 funds; 5-year, 45 funds; and 10-year, 31 funds. Lipper returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. The Lipper average is not available for direct investment.
   
Lipper Single-State Insured Municipal Debt Funds Classification Average: Calculated using the returns of all closed-end funds in this category for each period as follows: 6-month, 13 funds; 1-year, 13 funds; 5-year, 13 funds; and 10-year, 8 funds. Lipper returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. The Lipper average is not available for direct investment.
   
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): The net market value of all securities held in a portfolio.
   
Net Asset Value (NAV) Per Share: The market value of one share of a mutual fund or closed-end fund. For a Fund, the NAV is calculated daily by taking the Fund’s total assets (securities, cash, and accrued earnings), subtracting the Fund’s liabilities, and dividing by the number of shares outstanding.
   
Pre-Refunding: Pre-Refunding, also known as advanced refundings or refinancings, is a procedure used by state and local governments to refinance municipal bonds to lower interest expenses. The issuer sells new bonds with a lower yield and uses the proceeds to buy U.S. Treasury securities, the interest from which is used to make payments on the higher-yielding bonds. Because of this collateral, pre-refunding generally raises a bond’s credit rating and thus its value.
   
Standard & Poor’s (S&P) Connecticut Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade Connecticut municipal bond market. The index returns assume reinvestment of dividends but do not reflect any applicable sales charges. You cannot invest directly in an index.
 
100
 
Nuveen Investments

 
 

 
 
Standard & Poor’s (S&P) Massachusetts Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade Massachusetts municipal bond market. The index returns assume reinvestment of dividends but do not reflect any applicable sales charges. You cannot invest directly in an index.
   
Standard & Poor’s (S&P) Missouri Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade Missouri municipal bond market. The index returns assume reinvestment of dividends but do not reflect any applicable sales charges. You cannot invest directly in an index.
   
Standard & Poor’s (S&P) National Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. The index returns assume reinvestment of dividends but do not reflect any applicable sales charges. You cannot invest directly in an index.
   
Standard & Poor’s (S&P) National Insured Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the insured, tax-exempt U.S. municipal bond market. The index returns assume reinvestment of dividends but do not reflect any applicable sales charges. You cannot invest directly in an index.
   
Structural Leverage: Structural Leverage consists of preferred shares or debt issued by the Fund. Both of these are part of a Fund’s capital structure. Structural leverage is sometimes referred to as “40 Act Leverage” and is subject to asset coverage limits set in the Investment Company Act of 1940.
   
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.
 
Nuveen Investments
 
101

 
 

 
 
Notes
 
102
 
Nuveen Investments

 
 

 
 
Additional Fund Information
 
Board of Trustees
John P. Amboian
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Judith M. Stockdale
Carole E. Stone
Virginia L. Stringer
Terence J. Toth
 
Fund Manager
Nuveen Fund Advisors, Inc.
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
 
Quarterly Portfolio of Investments and Proxy Voting Information
 
You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, and (iii) a description of the policies and procedures that each Fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com.
 
You may also obtain this and other Fund information directly from the Securities and Exchange Commission (SEC). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public References Section at 100 F Street NE, Washington, D.C. 20549.
 
CEO Certification Disclosure
 
Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual.
 
Each Fund has filed with the SEC the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
 
Common Share Information
 
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. During the period covered by this report, the Funds repurchased shares of their common stock as shown in the accompanying table.
 
     
Common Shares
 
Fund
   
Repurchased
 
NTC
   
 
NFC
   
 
NGK
   
 
NGO
   
 
NMT
   
 
NMB
   
 
NGX
   
 
NOM
   
 
 
Any future repurchases will be reported to shareholders in the next annual or semi-annual report.
 
Nuveen Investments
 
103

 
 

 
 
Nuveen Investments:
Serving Investors for Generations
 
Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.
 
Focused on meeting investor needs.
 
Nuveen Investments is a global investment management firm that seeks to help secure the long-term goals of institutions and high net worth investors as well as the consultants and financial advisors who serve them. We market our growing range of specialized investment solutions under the high-quality brands of Nuveen Asset Management, NWQ, Santa Barbara, Symphony, Tradewinds and Winslow Capital. In total, Nuveen Investments managed approximately $207 billion of assets as of October 31, 2011.
 
Find out how we can help you.
 
To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain 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/cef
 
Distributed by
Nuveen Securities, LLC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com

ESA-B-1111D

 
 

 
 
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.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.

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 of Directors or Trustees 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: See 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: See 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 6, 2012

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 6, 2012

By (Signature and Title) /s/ Stephen D. Foy
Stephen D. Foy
Vice President and Controller
 (principal financial officer)

Date: February 6, 2012