Unassociated Document



 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 
Investment Company Act file number 811-09451
 
Nuveen Massachusetts Dividend Advantage Municipal Fund
(Exact name of registrant as specified in charter)
 
Nuveen Investments
        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)
 

Kevin J. McCarthy
Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)
 
Registrant's telephone number, including area code:         312-917-7700        
 
Date of fiscal year end:            5/31          
 
Date of reporting period:         2/28/10         
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 
 
 
 
Item 1. Schedule of Investments
 

  Portfolio of Investments (Unaudited)       
  Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB)       
  February 28, 2010       
Principal    Optional Call     
Amount (000)  Description (1)  Provisions (2)  Ratings (3)  Value 
  Consumer Discretionary – 1.0% (0.6% of Total Investments)       
$     480  Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,  9/12 at 102.00  Caa3  $     277,046 
  Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)       
  Education and Civic Organizations – 43.8% (28.8% of Total Investments)       
375  Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1,  10/19 at 100.00  A  386,224 
  5.000%, 10/01/29       
450  Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute,  9/17 at 100.00  A+  452,516 
  Series 2007, 5.000%, 9/01/37 – NPFG Insured       
495  Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy  7/15 at 100.00  AAA  517,379 
  and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured       
500  Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A,  9/13 at 100.00  AA–  531,445 
  5.000%, 9/01/19       
500  Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,  No Opt. Call  N/R  533,585 
  Series 2002A, 5.750%, 1/01/42 – AMBAC Insured       
2,100  Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,  1/18 at 100.00  AAA  2,138,052 
  Series 2008A, 5.000%, 1/01/42 – AGC Insured (UB)       
1,000  Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University,  5/29 at 105.00  A2  1,119,470 
  Series 1999P, 6.000%, 5/15/59       
990  Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2001E,  7/10 at 100.00  AA  994,990 
  5.300%, 1/01/16 – AMBAC Insured (Alternative Minimum Tax)       
1,000  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College,  6/13 at 100.00  AA–  1,105,200 
  Series 2003N, 5.250%, 6/01/18       
1,000  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Hebrew College,  3/10 at 100.00  N/R  950,000 
  Series 1999A,, 0.560%, 7/01/31 – RAAI Insured (5)       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College  10/19 at 100.00  Baa1  501,820 
  Issue, Series 2010, 5.500%, 10/15/31       
2,000  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University,  2/11 at 100.00  Aa2  2,018,160 
  Series 2001I, 5.500%, 2/15/36       
590  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College,  7/16 at 100.00  AAA  623,264 
  Series 2007L, 5.000%, 7/01/31       
500  Massachusetts Health and Educational Facilities Authority, Revenue Refunding Bonds, Suffolk  7/19 at 100.00  BBB  509,365 
  University Issue, Series A (2009) Series B (2009) (Federally Taxable), 5.750%, 7/01/39       
12,000  Total Education and Civic Organizations      12,381,470 
  Health Care – 26.4% (17.4% of Total Investments)       
1,000  Massachusetts Health and Educational Facilities Authority Revenue Bonds, Children’s Hospital  12/19 at 100.00  AA  1,055,570 
  Issue, Series M (2009), 5.500%, 12/01/39       
500  Massachusetts Health and Educational Facilities Authority Revenue Bonds, Quincy Medical Center  1/18 at 100.00  N/R  444,480 
  Issue, Series A (2008), 6.500%, 1/15/38       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health  10/11 at 101.00  BBB+  505,885 
  System, Series 2001E, 6.250%, 10/01/31       
775  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset  8/18 at 100.00  A  781,394 
  Program, Series 1998B-1, 5.375%, 2/01/26 – MBIA Insured       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset  8/18 at 100.00  A  501,155 
  Program, Series 1998B-2, 5.375%, 2/01/27 – MBIA Insured       
250  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi  1/11 at 100.00  BBB  247,568 
  Obligated Group, Series 1999A, 5.625%, 7/01/20       
295  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health  1/12 at 101.00  A  300,773 
  Systems Obligated Group, Series 2002, 6.000%, 7/01/31       
315  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital,  8/15 at 100.00  N/R  235,803 
  Series 2005E, 5.000%, 8/15/35 – RAAI Insured       
600  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical  8/15 at 100.00  A+  610,902 
  Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured       
1,000  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical  8/17 at 100.00  A+  988,340 
  Center, Series 2007D, 5.250%, 8/15/28       
290  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional  7/17 at 100.00  BBB–  235,816 
  Medical Center, Series 2007E, 5.000%, 7/15/32       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital  7/15 at 100.00  BB–  335,305 
  Project, Series 2005D, 5.250%, 7/01/30       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire  7/14 at 100.00  BB  433,295 
  Community Services Inc., Series 2004B, 6.375%, 7/01/34       
35  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare  7/11 at 101.00  AA  35,916 
  System Inc., Series 2001C, 5.750%, 7/01/32       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial  7/11 at 100.00  BBB+  505,030 
  Health Care, Series 2001C, 6.625%, 7/01/32       
285  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial  7/15 at 100.00  BBB+  253,681 
  Health Care, Series 2005D, 5.000%, 7/01/33       
7,845  Total Health Care      7,470,913 
  Housing/Multifamily – 11.4% (7.5% of Total Investments)       
565  Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor  7/17 at 100.00  AAA  534,095 
  Project, Series 2007, 4.800%, 7/20/48       
500  Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23  6/13 at 100.00  AA–  502,200 
  (Alternative Minimum Tax)       
1,135  Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2001A,  1/11 at 100.00  N/R  1,136,033 
  5.850%, 7/01/35 – AMBAC Insured (Alternative Minimum Tax)       
1,000  Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds,  5/12 at 103.00  AAA  1,049,590 
  Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22       
3,200  Total Housing/Multifamily      3,221,918 
  Housing/Single Family – 4.0% (2.6% of Total Investments)       
650  Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126,  6/16 at 100.00  AA  604,240 
  4.625%, 6/01/32 (Alternative Minimum Tax)       
480  Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust  6/18 at 100.00  AA  523,637 
  3145, 15.436%, 12/01/33 (IF)       
1,130  Total Housing/Single Family      1,127,877 
  Industrials – 1.2% (0.8% of Total Investments)       
145  Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,  No Opt. Call  N/R  130,955 
  Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)       
200  Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management  No Opt. Call  BBB  214,248 
  Inc., Series 2003, 5.450%, 6/01/14       
345  Total Industrials      345,203 
  Long-Term Care – 8.2% (5.4% of Total Investments)       
725  Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,  10/12 at 102.00  N/R  587,482 
  5.250%, 10/01/26       
655  Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire  7/11 at 102.00  BBB  665,080 
  Retirement Community – Edgecombe Project, Series 2001A, 6.750%, 7/01/21       
1,000  Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility  3/12 at 105.00  AAA  1,055,450 
  Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)       
2,380  Total Long-Term Care      2,308,012 
  Tax Obligation/General – 13.9% (9.1% of Total Investments)       
310  Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured  5/15 at 100.00  A1  334,676 
2,000  Brookline, Massachusetts, General Obligation Bonds, Series 2000, 5.375%, 4/01/17  4/10 at 101.00  Aaa  2,029,320 
440  Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – AGM Insured  2/13 at 101.00  AAA  459,690 
500  Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured  No Opt. Call  AAA  594,650 
500  Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/29 –  No Opt. Call  Baa3  507,725 
  FGIC Insured       
3,750  Total Tax Obligation/General      3,926,061 
  Tax Obligation/Limited – 11.8% (7.8% of Total Investments)       
395  Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 –  5/14 at 100.00  A  408,509 
  AMBAC Insured       
85  Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A, 5.250%, 7/01/30  7/10 at 100.00  AAA  85,728 
385  Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds,  No Opt. Call  AAA  462,027 
  Series 2004C, 5.250%, 7/01/21       
230  Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%,  5/14 at 100.00  Aa3  249,453 
  5/01/19 – NPFG Insured       
250  Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%,  5/16 at 100.00  Aa3  255,040 
  5/01/31 – AMBAC Insured       
550  Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%,  5/18 at 100.00  AAA  570,328 
  5/01/33 – AGC Insured       
500  Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,  8/15 at 100.00  AAA  548,585 
  5.000%, 8/15/20 – AGM Insured       
230  Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 –  No Opt. Call  A  257,094 
  FGIC Insured       
500  Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A,  10/10 at 101.00  BBB+  509,910 
  6.375%, 10/01/19       
3,125  Total Tax Obligation/Limited      3,346,674 
  Transportation – 1.4% (0.9% of Total Investments)       
400  Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series  7/17 at 100.00  A  381,844 
  2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)       
  U.S. Guaranteed – 14.5% (9.6% of Total Investments) (4)       
1,000  Boston, Massachusetts, General Obligation Bonds, Series 2001A, 5.000%, 2/01/20  2/11 at 100.00  AA+ (4)  1,044,030 
  (Pre-refunded 2/01/11)       
1,675  Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 5.000%, 2/01/21 (Pre-refunded  2/11 at 100.00  Aa3 (4)  1,748,750 
  2/01/11) – AMBAC Insured       
125  Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A, 5.250%, 7/01/30  7/10 at 100.00  Aa1 (4)  127,223 
  (Pre-refunded 7/01/10)       
80  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health  1/12 at 101.00  A (4)  88,738 
  Systems Obligated Group, Series 2002, 6.000%, 7/01/31 (Pre-refunded 1/01/12)       
215  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare  7/11 at 101.00  AAA  232,469 
  System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11)       
750  Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25  1/14 at 100.00  A (4)  859,440 
  (Pre-refunded 1/01/14) – FGIC Insured       
3,845  Total U.S. Guaranteed      4,100,650 
  Utilities – 5.6% (3.7% of Total Investments)       
1,070  Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System,  1/12 at 101.00  A  1,113,078 
  Series 2001A, 5.625%, 1/01/14 – NPFG Insured       
500  Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden  6/10 at 101.00  BBB  473,315 
  Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)       
1,570  Total Utilities      1,586,393 
  Water and Sewer – 8.8% (5.8% of Total Investments)       
530  Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series  11/14 at 100.00  AA+  564,895 
  2004A, 5.000%, 11/01/25       
125  Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005,  7/15 at 100.00  Ba2  125,839 
  6.000%, 7/01/25       
500  Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11,  8/15 at 100.00  AAA  514,420 
  4.500%, 8/01/29       
400  Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12,  8/16 at 100.00  AAA  400,656 
  4.375%, 8/01/31       
500  Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A,  8/12 at 100.00  AAA  549,335 
  5.250%, 8/01/20       
105  Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Subordinate  8/10 at 100.00  AAA  106,408 
    Series 1999A, 5.750%, 8/01/29       
250  Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46  8/16 at 100.00  AA+  211,910 
2,410  Total Water and Sewer      2,473,463 
$    42,480  Total Investments (cost $42,926,950) – 152.0%      42,947,524 
  Floating Rate Obligations – (3.7)%      (1,050,000)
  Other Assets Less Liabilities – 2.1%      607,068 
  Preferred Shares, at Liquidation Value – (50.4)% (6)      (14,250,000)
  Net Assets Applicable to Common Shares – 100%      $ 28,254,592 

 
 
 

Fair Value Measurements

In determining the value of the Fund’s investments, various inputs are used. These inputs are 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 methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of February 28, 2010:

  Level 1  Level 2  Level 3  Total 
Investments:         
Municipal Bonds  $ —  $41,997,524  $950,000  $42,947,524 

The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the measurement period:

  Level 3 
  Municipal Bonds 
Balance at beginning of period  $915,010 
Gains (losses):   
Net realized gains (losses)  — 
Net change in unrealized appreciation (depreciation)  34,990 
Net purchases at cost (sales at proceeds)  — 
Net discounts (premiums)  — 
Net transfers in to (out of) at end of period fair value  — 
Balance at end of period  $950,000 

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 on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

At February 28, 2010, the cost of investments was $41,855,172.

Gross unrealized appreciation and gross unrealized depreciation of investments at February 28, 2010, were as follows:

Gross unrealized:   
  Appreciation  $ 1,066,495 
  Depreciation  (1,024,122)
Net unrealized appreciation (depreciation) of investments  $      42,373 

(1)  All percentages shown in the Portfolio of Investments are based on net assets applicable to Common 
  shares unless otherwise noted. 
(2)  Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. 
  There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities 
  may be subject to periodic principal paydowns. 
(3)  Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, 
  Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be 
  below investment grade. 
(4)  Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities 
  which ensure the timely payment of principal and interest. Such investments are normally considered to 
  be equivalent to AAA rated securities. 
(5)  Investment valued at fair value using methods determined in good faith by, or at the discretion of, the 
  Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3. 
(6)  Preferred Shares, at Liquidation Value as a percentage of Total Investments is 33.2%. 
N/R  Not rated. 
(IF)  Inverse floating rate investment. 
(UB)  Underlying bond of an inverse floating rate trust reflected as a financing transaction. 

 
 
 
 
Item 2. 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 Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (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 registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
 
Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: See EX-99 CERT attached hereto.

 
 
 
 
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 Dividend Advantage Municipal Fund 
 
By (Signature and Title)     /s/ Kevin J. McCarthy                    
                                                   Kevin J. McCarthy
                                                   Vice President and Secretary
 
Date         April 29, 2010        
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
By (Signature and Title)     /s/ Gifford R. Zimmerman                    
                                                    Gifford R. Zimmerman
                                                  Chief Administrative Officer (principal executive officer) 
 
Date         April 29, 2010        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date        April 29, 2010