nmb.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 811-09451

Nuveen Massachusetts Dividend Advantage 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, 2010

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.

 

 

 
 

 
 
INVESTMENT ADVISOR NAME CHANGE
 
Effective January 1, 2011, Nuveen Asset Management, the Funds’ investment adviser, has changed its name to Nuveen Fund Advisors, Inc. (“Nuveen Fund Advisors”). Concurrently, Nuveen Fund Advisors has formed a wholly-owned subsidiary, Nuveen Asset Management, LLC, to house its portfolio management capabilities. Nuveen Asset Management, LLC now serves as the Funds’ sub-adviser, and the Funds’ portfolio managers have become employees of Nuveen Asset Management, LLC rather than Nuveen Fund Advisors. Nuveen Fund Advisors will compensate Nuveen Asset Management, LLC for the portfolio management services it provides to the Funds from the Funds’ management fee, which will not change as a result of this reorganization. Nuveen Fund Advisors and Nuveen Asset Management, LLC retain the right to reallocate investment advisory responsibilities and fees between themselves in the future.
 
NUVEEN INVESTMENTS COMPLETES STRATEGIC COMBINATION WITH FAF ADVISORS
 
On January 3, 2011, Nuveen Investments announced the completion of the strategic combination with FAF Advisors and Nuveen Asset Management LLC, the largest investment affiliate of Nuveen Investments. As part of this transaction, U.S. Bancorp–the parent of FAF Advisors—received a 9.5% stake in Nuveen Investments as well as additional cash consideration in exchange for the long term investment business of FAF Advisors, including investment-management responsibilities for the mutual funds of the First American Funds family.
 
The approximately $27 billion of mutual fund and institutional assets managed by FAF Advisors, along with the investment professionals managing these assets and most other key personnel, have become part of Nuveen Asset Management LLC. With these additions to Nuveen Asset Management LLC, this affiliate now manages more than $100 billion of assets across a broad range of strategies from municipal and taxable fixed income to traditional and specialized equity investments.
 
This combination does not affect the investment objectives or strategies of the Funds in this report. Over time, Nuveen Investments expects that the combination will provide even more ways to meet the needs of investors who work with financial advisors and consultants by enhancing the multi-boutique model of Nuveen Investments, which also includes highly respected investment teams at Hyde Park, NWQ Investment Management, Santa Barbara Asset Management, Symphony Asset Management, Tradewinds Global Investors and Winslow Capital. Nuveen Investments managed approximately $195 billion of assets as of December 31, 2010.

 
 

 
 
Chairman’s
Letter to Shareholders
 
 
Dear Shareholders,
 
The global economy recorded another year of recovery from the financial and economic crises of 2008, but many of the factors that caused the crises still weigh on the prospects for continued recovery. In the U.S., ongoing weakness in housing values is putting pressure on homeowners and mortgage lenders. Similarly, the strong earnings recovery for corporations and banks has not been translated into increased hiring or more active lending. Globally, deleveraging by private and public borrowers is inhibiting economic growth and this process is far from complete.
 
Encouragingly, a variety of constructive actions are being taken by governments around the world to stimulate further recovery. In the U.S., the recent passage of a stimulatory tax bill relieves some of the pressure on the Federal Reserve System to promote economic expansion through quantitative easing and offers the promise of faster economic growth. A number of European governments are undertaking programs that could significantly reduce their budget deficits. Governments across the emerging markets are implementing various steps to deal with global capital flows without undermining international trade and investment.
 
The success of these government actions could have an important impact on whether 2011 brings further economic recovery and financial market progress. One risk associated with the extraordinary efforts to strengthen U.S. economic growth is that the debt of the U.S. government will continue to grow to unprecedented levels. Another risk is that over time there could be upward pressures on asset values in the U.S. and abroad, because what happens in the U.S. impacts the rest of the world economy. We must hope that the progress made on the fiscal front in 2010 will continue into 2011. In this environment, your Nuveen investment team continues to seek sustainable investment opportunities and to remain alert to potential risks in a recovery still facing many headwinds. On your behalf, we monitor their activities to assure they maintain their investment disciplines.
 
As you will note elsewhere in this report, on January 1, 2011, Nuveen Investments completed the acquisition of FAF Advisors, Inc., the manager of the First American Funds. The acquisition adds highly respected and distinct investment teams to meet the needs of investors and their advisors and is designed to benefit all fund shareholders by creating a fund organization with the potential for further economies of scale and the ability to draw from even greater talent and expertise to meet these investor needs.
 
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 21, 2011
 
Nuveen Investments 1

 
 

 
 
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)
 
Recently, portfolio managers Cathryn Steeves and Scott Romans discuss key investment strategies and the six-month performance of these eight Nuveen funds. Cathryn, who joined Nuveen in 1996, has managed the Connecticut and Massachusetts Funds since 2006. Scott, who has been with Nuveen since 2000, assumed portfolio management responsibility for NOM in 2003.
 
In January 2011, after the close of this reporting period, Michael Hamilton assumed management responsibility for the Connecticut and Massachusetts Funds and Christopher Drahn assumed responsibility for the Missouri Fund. Michael has 18 years and Christopher has 22 years of portfolio management experience.
 
What key strategies were used to manage these Funds during the six-month reporting period ended November 30, 2010?
 
During this period, the combination of strong demand and tighter supply of new tax-exempt municipal issuance continued to create favorable conditions. One reason for the decline in new tax-exempt supply was the considerable issuance of taxable municipal debt under the Build America Bond (BAB) program. These bonds, first issued in April 2009, offer municipal issuers a federal subsidy equal to 35% of a security’s interest payments, providing issuers with an alternative to traditional tax-exempt debt. For the six months ended November 30, 2010, taxable Build America Bond issuance totaled $57.5 billion, representing approximately 26% of new bonds in the municipal marketplace nationwide. In Connecticut and Massachusetts during this period, Build America Bonds accounted for 26% of municipal supply, while in Missouri, 22.5% of municipal bonds were issued as Build America Bonds. This meaningfully impacted tax-exempt supply in all three states, especially Connecticut and Missouri, where total municipal issuance was already lower than in Massachusetts. Since interest payments from Build America Bonds represent taxable income, we do not view these bonds as good investment opportunities for these Funds.
 
In addition, the severe decline in insured issuance made finding appropriate bonds for the insured NGX Fund more of a challenge. Through November 2010, new insured paper
 
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.
 
Any reference to credit ratings for portfolio holdings denotes the highest rating assigned by a Nationally Recognized Statistical Rating Organization (NRSRO) such as Standard & Poor’s, Moody’s or Fitch. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below investment grade. Holdings and ratings may change over time.
 
2 Nuveen Investments

 
 

 
 
accounted for less than 7% of national issuance, compared with 10% during the first eleven months of 2009 and historical levels of approximately 50%. In Massachusetts, no new insured bonds were issued during 2010, according to our research. Although NGX can invest up to 20% of its net assets in uninsured investment-grade credits rated BBB- or higher, the Fund had already reached that limit prior to this reporting period.
 
In this environment of constrained tax-exempt municipal bond issuance, we continued to take a bottom-up approach in attempting to discover undervalued sectors and individual credits with the potential to perform well over the long term. For the most part, all of the Funds focused on bonds with coupons of at least 5% and maturities between 20 and 30 years. During this period, the Connecticut Funds found value in health care, including bonds issued for Stamford Hospital and student loan credits. When in-state issues became especially scarce, the Connecticut Funds took advantage of their ability to invest up to 20% of their assets in out-of-state credits, buying Virgin Islands bonds and a New York hospital credit in order to keep the Funds as fully invested as possible. In the uninsured Massachusetts Funds, our purchases included higher education and port authority bonds, while NGX added insured water and sewer bonds and housing credits purchased in the secondary market and a new insured Guam issue. During this period, NOM found opportunities in the high-yield segment of the health care sector, purchasing bonds in both the primary and secondary markets. These bonds offered attractive yields and helped to replace some of the health care bonds called from our portfolio.
 
Some of our investment activity resulted from opportunities created by the provisions of the Build America Bond program. For example, tax-exempt supply was more plentiful in the health care and higher education sectors because, as 501(c)(3) (nonprofit) organizations, hospitals and private universities generally did not qualify for the Build America Bond program and continued to issue bonds in the tax-exempt municipal market. Bonds with proceeds earmarked for refundings, working capital, and private activities also were not covered by the Build America Bond program, and this resulted in attractive opportunities in various other sectors of the market.
 
The impact of the Build America Bond program also was evident in the area of longer-term issuance, as municipal issuers sought to take full advantage of the attractive financing terms offered by these bonds. Approximately 70% of Build America Bonds were issued with maturities of at least 30 years. Even though this significantly reduced the availability of tax-exempt credits with longer maturities, we continued to find good opportunities to purchase longer-term bonds for these Funds. The issuance of Build America Bonds ended on December 31, 2010.
 
Cash for new purchases during this period was generated primarily by the proceeds from bond calls and maturing bonds, which we worked to redeploy to keep the Funds fully invested. Although NOM sold a modest number of bonds, 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, 2010, all eight of these Funds continued to use inverse floating rate securities.1 We employ inverse floaters as a form of leverage for a variety of reasons, including duration management, income enhancement and total return enhancement.
 
1
An inverse floating rate security, also known as an inverse floater, is a financial instrument designed to pay long-term interest at a rate that varies inversely with a short-term interest rate index. For the Nuveen Funds, the index typically used is the Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index. Inverse floaters, including those inverse floating rate securities in which the Funds invested during this reporting period, are further defined within the Notes to Financial Statements and Glossary of Terms Used in this Report sections of this report.
 
Nuveen Investments 3

 
 

 
 
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 11/30/10
 
Fund
6-Month
 
1-Year
 
5-Year
 
10-Year
Connecticut Funds
             
NTC
1.03%
 
6.27%
 
4.64%
 
6.06%
NFC
0.45%
 
4.85%
 
4.83%
 
N/A
NGK
0.67%
 
5.03%
 
4.91%
 
N/A
NGO
0.80%
 
5.49%
 
4.47%
 
N/A
               
Standard & Poor’s (S&P) Connecticut Municipal Bond Index2
1.24%
 
3.74%
 
4.42%
 
5.08%
Standard & Poor’s (S&P) National Municipal Bond Index3
1.09%
 
5.06%
 
4.44%
 
5.27%
Lipper Other States Municipal Debt Funds Average4
0.78%
 
6.04%
 
4.23%
 
5.85%
               
Massachusetts Funds
             
NMT
1.27%
 
6.26%
 
4.71%
 
5.85%
NMB
0.74%
 
4.95%
 
4.08%
 
N/A
               
Standard & Poor’s (S&P) Massachusetts Municipal Bond Index2
1.07%
 
4.13%
 
4.91%
 
5.50%
Standard & Poor’s (S&P) National Municipal Bond Index3
1.09%
 
5.06%
 
4.44%
 
5.27%
Lipper Other States Municipal Debt Funds Average4
0.78%
 
6.04%
 
4.23%
 
5.85%
               
Missouri Fund
             
NOM
1.05%
 
6.71%
 
3.62%
 
5.62%
               
Standard & Poor’s (S&P) Missouri Municipal Bond Index2
1.39%
 
5.00%
 
4.51%
 
5.41%
Standard & Poor’s (S&P) National Municipal Bond Index3
1.09%
 
5.06%
 
4.44%
 
5.27%
Lipper Other States Municipal Debt Funds Average4
0.78%
 
6.04%
 
4.23%
 
5.85%
               
Insured Massachusetts Fund
             
NGX
0.68%
 
4.89%
 
4.74%
 
N/A
               
Standard & Poor’s (S&P) Massachusetts Municipal Bond Index2
1.07%
 
4.13%
 
4.91%
 
5.50%
Standard & Poor’s (S&P) Insured Municipal Bond Index5
0.90%
 
4.84%
 
4.37%
 
5.35%
Lipper Single-State Insured Municipal Debt Funds Average6
0.55%
 
6.36%
 
4.20%
 
5.62%
 
For the six months ended November 30, 2010, the cumulative returns on common share net asset value (NAV) for NMT exceeded the return for the Standard & Poor’s (S&P) Massachusetts Municipal Bond Index, while the remaining six non-insured Funds underperformed the return for their respective state’s S&P Municipal Bond Index. NMT also exceeded the return for the Standard & Poor’s (S&P) National Municipal Bond Index, NTC and NOM performed in line with the national index and NFC, NGK, NGO and NMB trailed this index. NTC, NGO, NMT and NOM outperformed the average return for the Lipper Other States Municipal Debt Funds Average, NGK and NMB performed in line
 
*
Six-month returns are cumulative; all other returns are annualized.
 
Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares.
 
For additional information, see the individual Performance Overview for your Fund in this report.
2
The Standard & Poor’s (S&P) Municipal Bond Indexes for Connecticut, Massachusetts and Missouri are unleveraged, market value-weighted indexes designed to measure the performance of the tax-exempt, investment-grade municipal bond markets in Connecticut, Massachusetts and Missouri, respectively. These indexes do not reflect any initial or ongoing expenses and are not available for direct investment.
3
The Standard & Poor’s (S&P) National Municipal Bond Index is an unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. This index does not reflect any initial or ongoing expenses and is not available for direct investment.
4
The Lipper Other States Municipal Debt Funds Average is calculated using the returns of all leveraged and unleveraged closed-end funds in this category for each period as follows: 6-month, 46 funds; 1-year, 46 funds; 5-year, 46 funds; and 10-year, 20 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. Shareholders should note that the performance of the Lipper Other States category 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.
5
The Standard & Poor’s (S&P) Insured Municipal Bond Index is a national unlever-aged, market value-weighted index designed to measure the performance of the insured U.S. municipal bond market. This index does not reflect any initial or ongoing expenses and is not available for direct investment.
6
The Lipper Single-State Insured Municipal Debt Funds Average is calculated using the returns of all closed-end funds in this category for each period as follows: 6-month, 44 funds; 1-year, 44 funds; 5-year, 44 funds; and 10-year, 24 funds. The performance of the Lipper Single-State Insured Municipal Debt Funds Average represents the overall average of returns for funds from eight different states with a wide variety of municipal market conditions. Fund and Lipper returns assume reinvestment of dividends. 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.
 
4 Nuveen Investments

 
 

 
 
with this Lipper average, while NFC lagged this measure. For the same period, NGX outperformed the Lipper Single-State Insured Municipal Debt Funds Average and underperformed the Standard & Poor’s (S&P) Massachusetts Municipal Bond Index and the national Standard & Poor’s (S&P) Insured Municipal Bond Index. Shareholders should note that the performance of the Lipper Other States Average 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.
 
Key management factors that influenced the Funds’ returns during this period included duration and yield curve positioning, credit exposure and sector allocation. The use of financial leverage also factored into the Funds’ performance. Leverage is discussed in more detail on page six.
 
During this period, municipal bonds with intermediate maturities generally outperformed other maturities, with credits at both the shortest and longest ends of the municipal yield curve posting the weakest returns. On the whole, duration and yield curve positioning were net positive contributors to the performance of all of the Funds in this report. NTC, NGK, NGO, NMB and NOM benefited from both their overweighting in the outperforming intermediate-maturity sector and their underexposure to the underperforming long part of the curve. Although NFC, NMT and NGX were underweighted in the intermediate part of the curve, this was offset to some degree by their underexposure to longer bonds, which was positive for their performance.
 
Credit exposure also played a role in the performance of these Funds. For the period, bonds rated AA generally performed poorly, while those rated BBB or below and non-rated bonds posted stronger returns. All of the non-insured Funds tended to be overweighted in lower-rated and non-rated bonds and underweighted in bonds rated AA, which benefited their performance for this period. In the insured NGX, the Fund’s heavier weighting in non-rated bonds helped to compensate for its underexposure to bonds rated BBB and lower.
 
Holdings that positively contributed to the Funds’ returns during this period included housing, utilities and health care bonds. In general, all of these Funds were overweighted in the housing and health care sectors relative to the overall municipal market, which was positive for their performance. NMT and NMB, in particular, received a boost from their heavier health care exposure. The positive impact of the housing and health care holdings was offset to a slight degree in all of the Funds by their underweighting of the utilities sector.
 
In contrast, the education and water and sewer sectors turned in relatively weak performance and zero coupon bonds trailed the municipal market by the widest margin. The transportation sector also failed to keep pace with the municipal market return for the six months. An overexposure to education credits detracted from the performance of the Connecticut and Massachusetts Funds, and NOM was negatively impacted by its holdings in the “other revenue” category, specifically tax increment financing and
 
Nuveen Investments 5

 
 

 
 
community redevelopment bonds. All of the Funds were underweighted in transportation, which lessened the negative impact of this sector.
 
IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE
 
One important factor impacting the returns of most of these Funds relative to the comparative indexes was the Funds’ use of financial 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’ LEVERAGED CAPITAL STRUCTURE
 
Shortly after their respective inception, each of the Funds issued auction rate preferred shares (ARPS) to create financial leverage. As noted in past shareholder reports, the ARPS issued by many closed-end funds, including these Funds, have been hampered by a lack of liquidity since February 2008. Since that time, more ARPS have been submitted for sale in each of their regularly scheduled auctions than there have been offers to buy. In fact, offers to buy have been almost completely non-existent since late February 2008. This means that these auctions have “failed to clear,” and that many, or all, of the ARPS shareholders who wanted to sell their shares in these auctions were unable to do so. This lack of liquidity in ARPS did not lower the credit quality of these shares, and ARPS shareholders unable to sell their shares continued to receive distributions at the “maximum rate” applicable to failed auctions, as calculated in accordance with the pre-established terms of the ARPS. In the recent market, with short-term rates at multi-generational lows, those maximum rates also have been low.
 
One continuing implication for common shareholders from the auction failures is that each Fund’s cost of leverage likely has been incrementally higher at times than it otherwise might have been had the auctions continued to be successful. As a result, each Fund’s common share earnings likely have been incrementally lower at times than they otherwise might have been.
 
As noted in past shareholder reports, the Nuveen funds’ Board of Directors/Trustees authorized several methods that can be used separately or in combination to refinance a portion of the Nuveen funds’ outstanding ARPS. Some funds have utilized tender option bonds (TOBs), also known as inverse floating rate securities, for leverage purposes. The amount of TOBs that a fund may use varies according to the composition of each fund’s
 
6 Nuveen Investments

 
 

 
 
portfolio. Some funds have a greater ability to use TOBs than others. Some funds have issued Variable Rate Demand Preferred (VRDP) Shares, a floating rate form of preferred stock. Some funds have issued MuniFund Term Preferred (MTP) Shares, a fixed rate form of preferred stock with a mandatory redemption period of five years.
 
While all these efforts have reduced the total amount of outstanding ARPS issued by the Nuveen funds, the funds cannot provide any assurance on when the remaining outstanding ARPS might be redeemed.
 
During 2010, and as of the time this report was prepared, 33 Nuveen leveraged closed-end funds (excluding all of 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.
 
Subsequently, 26 of the funds that received demand letters, were named as nominal defendants in a putative shareholder derivative action complaint captioned Safier and Smith 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 July 27, 2010. Three additional funds were named as nominal defendants in a similar complaint captioned Curbow v. Nuveen Asset Management, et al. filed in the Cook County Chancery Court on August 12, 2010, and three additional funds were named as nominal defendants in a similar complaint captioned Beidler v. Nuveen Asset Management, et al. filed in the Cook County Chancery Court on September 21, 2010 (collectively, the “Complaints”). The Complaints, filed on behalf of purported holders of each fund’s common shares, also name Nuveen Asset Management as a defendant, together with current and former Officers and interested Director/Trustees of each of the funds (together with the nominal defendants, collectively, the “Defendants”). The Complaints contain the same basic allegations contained in the demand letters. The suits seek a declaration that the Defendants have breached their fiduciary duties, an order directing the Defendants not to redeem any ARPS at their liquidation value using fund assets, indeterminate monetary damages in favor of the funds and an award of plaintiffs’ costs and disbursements in pursuing the action. Nuveen Asset Management believes that the Complaints are without merit, and intends to defend vigorously against these charges.
 
Nuveen Investments 7

 
 

 
 
As of November 30, 2010, the amount of ARPS redeemed by the Funds are as shown in the accompanying table.

Fund
 
Auction Rate
Preferred Shares
Redeemed
 
% of Original
Auction Rate
Preferred Shares
NTC
 
$
22,575,000
   
58.9
%
NFC
 
$
19,500,000
   
100.0
%
NGK
 
$
17,500,000
   
100.0
%
NGO
 
$
32,000,000
   
100.0
%
NMT
 
$
19,600,000
   
57.7
%
NMB
 
$
15,000,000
   
100.0
%
NGX
 
$
20,500,000
   
100.0
%
NOM
 
$
16,000,000
 
100.0
%
 
* Includes ARPS noticed for redemption at the end of the reporting period.
 
MTP
As of November 30, 2010, the following Funds have issued and outstanding MTP Shares, at liquidation value, as shown in the accompanying table.

Fund
 
MTP Shares at Liquidation Value
 
NTC
 
$
18,300,000
 
NFC
 
$
20,470,000
 
NGK
 
$
16,950,000
 
NGO
 
$
32,000,000
 
NMT
 
$
20,210,000
 
NMB
 
$
14,725,000
 
NGX
 
$
22,075,000
 
NOM
 
$
17,880,000
 
 
During the current reporting period, NOM completed the issuance of $17.9 million of 2.10% Series 2015 MTP. The net proceeds from this offering was used to refinance the Fund’s outstanding ARPS at par. The newly-issued MTP shares trade on the New York Stock Exchange (NYSE) under the symbol “NOM Pr C.” MTP is a fixed-rate form of preferred stock with a mandatory redemption period, in this case, of five years. By issuing MTP, the Fund seeks to take advantage of the current historically low interest rate environment to lock in an attractive federally tax-exempt cost of leverage for a period as long as the term of the MTP. The Fund’s managers believe that issuing MTP may help the Fund mitigate the risk of a significant increase in its cost of leverage should short term interest rates rise sharply in the coming years.
 
8 Nuveen Investments

 
 

 
 
Subsequent to the reporting period, NTC completed the issuance of $17.78 million of 2.55%, Series 2016 MTP. The newly issued MTP shares trade on the NYSE under the symbol “NTC Pr D.” The net proceeds from this offering were used to refinance the Fund’s remaining outstanding ARPS at par. Immediately following its MTP issuance, NTC noticed for redemption at par its remaining $15.725 million ARPS outstanding using the MTP proceeds.
 
Subsequent to the reporting period, NMT completed the issuance of $14.94 million of 2.75% Series 2016 MTP. The newly issued MTP shares trade on the NYSE under the symbol “NMT Pr D.” The net proceeds from this offering were used to refinance the Fund’s remaining outstanding ARPS at par.
 
(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 November 30, 2010, all 84 of the Nuveen closed-end municipal funds that had issued ARPS have redeemed at par all or a portion of these shares. These redemptions bring the total amount of Nuveen’s municipal closed-end funds’ ARPS redemptions to approximately $5.8 billion of the approximately $11.0 billion originally outstanding.
 
For up-to-date information, please visit the Nuveen CEF Auction Rate Preferred Resource Center at: http://www.nuveen.com/arps.
 
Nuveen Investments 9

 
 

 
 
Common Share Dividend and
Share Price Information
 
The monthly dividends of all eight Funds in this report remained stable throughout the six-month reporting period ended November 30, 2010. In addition, NOM had a dividend increase that was declared just prior to the start of this reporting period and took effect in June 2010.
 
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, 2010, all eight of the Funds in this report had positive UNII balances, based upon our best estimates, for tax purposes and positive UNII balances for financial reporting purposes.
 
COMMON SHARE REPURCHASES AND SHARE PRICE INFORMATION
 
Since the inception of the Funds’ repurchase program, the Funds have not repurchased any of their outstanding common shares.
 
10 Nuveen Investments

 
 

 
 
As of November 30, 2010, the Funds’ common share prices were trading at (+)premiums or (-)discounts to their common share NAVs as shown in the accompanying table.
 
Fund
11/30/10
(+)Premium/(-)Discount
6-Month Average
(+)Premium/(-)Discount
NTC
-5.43%
-3.92%
NFC
-3.01%
+0.50%
NGK
-0.27%
+4.65%
NGO
-3.87%
-2.51%
NMT
+0.35%
+2.78%
NMB
+0.21%
+3.60%
NGX
-1.32%
+5.76%
NOM
+20.29%
+17.56%
 
Nuveen Investments 11

 
 

 
 
NTC
 
Nuveen Connecticut
Performance
 
Premium Income
OVERVIEW
 
Municipal Fund
as of November 30, 2010
 
 
Fund Snapshot
       
Common Share Price
 
$
13.58
 
Common Share Net Asset Value (NAV)
 
$
14.36
 
Premium/(Discount) to NAV
   
-5.43
%
Market Yield
   
5.21
%
Taxable-Equivalent Yield1
   
7.62
%
Net Assets Applicable to Common Shares ($000)
 
$
77,025
 

Average Annual Total Return
(Inception 5/20/93)
   
On Share Price
 
On NAV
 
6-Month (Cumulative)
   
-0.11
%
 
1.03
%
1-Year
   
3.28
%
 
6.27
%
5-Year
   
4.03
%
 
4.64
%
10-Year
   
4.80
%
 
6.06
%

Portfolio Composition4
(as a % of total investments)
Education and Civic Organizations
25.9%
Tax Obligation/Limited
14.0%
Health Care
13.3%
Tax Obligation/General
12.4%
U.S. Guaranteed
8.8%
Water and Sewer
8.2%
Housing/Single Family
6.6%
Utilities
5.7%
Other
5.1%
 
 
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 of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. AAA includes bonds with an implied AAA rating since they are backed by U.S. Government or agency securities. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below-investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
3
The Fund paid shareholders capital gains distributions in December 2009 of $0.0041 per share.
4 Holdings are subject to change.
 
12 Nuveen Investments

 
 

 
 
NFC
 
Nuveen Connecticut
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund
as of November 30, 2010
 
 
Fund Snapshot
       
Common Share Price
 
$
14.16
 
Common Share Net Asset Value (NAV)
 
$
14.60
 
Premium/(Discount) to NAV
   
-3.01
%
Market Yield
   
5.42
%
Taxable-Equivalent Yield1
   
7.92
%
Net Assets Applicable to Common Shares ($000)
 
$
37,754
 

Average Annual Total Return
(Inception 1/26/01)
   
On Share Price
 
On NAV
 
6-Month (Cumulative)
   
-4.98
%
 
0.45
%
1-Year
   
3.90
%
 
4.85
%
5-Year
   
2.96
%
 
4.83
%
Since Inception
   
4.79
%
 
5.79
%

Portfolio Composition3
(as a % of total investments)
Education and Civic Organizations
23.2%
U.S. Guaranteed
17.0%
Tax Obligation/Limited
16.9%
Health Care
12.3%
Water and Sewer
8.5%
Housing/Single Family
5.9%
Tax Obligation/General
5.5%
Other
10.7%
 
 
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 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. AAA includes bonds with an implied AAA rating since they are backed by U.S. Government or agency securities. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below-investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
3
Holdings are subject to change.
 
Nuveen Investments 13

 
 

 


NGK
 
Nuveen Connecticut
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund 2
as of November 30, 2010
 
 
Fund Snapshot
       
Common Share Price
 
$
14.69
 
Common Share Net Asset Value (NAV)
 
$
14.73
 
Premium/(Discount) to NAV
   
-0.27
%
Market Yield
   
5.39
%
Taxable-Equivalent Yield1
   
7.88
%
Net Assets Applicable to Common Shares ($000)
 
$
34,174
 

Average Annual Total Return
(Inception 3/25/02)
   
On Share Price
   
On NAV
 
6-Month (Cumulative)
   
-6.93
%
 
0.67
%
1-Year
   
6.71
%
 
5.03
%
5-Year
   
4.11
%
 
4.91
%
Since Inception
   
5.40
%
 
6.05
%

Portfolio Composition3
(as a % of total investments)
Education and Civic Organizations
22.6%
U.S. Guaranteed
21.8%
Health Care
14.0%
Tax Obligation/Limited
9.8%
Water and Sewer
7.1%
Housing/Single Family
5.5%
Tax Obligation/General
5.3%
Utilities
5.2%
Other
8.7%
 
 
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 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. AAA includes bonds with an implied AAA rating since they are backed by U.S. Government or agency securities. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below-investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
3
Holdings are subject to change.
 
14 Nuveen Investments

 
 

 
 
NGO
 
Nuveen Connecticut
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund 3
as of November 30, 2010
 
 
Fund Snapshot
       
Common Share Price
 
$
13.65
 
Common Share Net Asset Value (NAV)
 
$
14.20
 
Premium/(Discount) to NAV
   
-3.87
%
Market Yield
   
5.27
%
Taxable-Equivalent Yield1
   
7.70
%
Net Assets Applicable to Common Shares ($000)
 
$
62,016
 
 
Average Annual Total Return
(Inception 9/26/02)
   
On Share Price
 
On NAV
 
6-Month (Cumulative)
   
-0.42
%
 
0.80
%
1-Year
   
7.99
%
 
5.49
%
5-Year
   
3.17
%
 
4.47
%
Since Inception
   
3.86
%
 
4.83
%

Portfolio Composition3
(as a % of total investments)
Education and Civic Organizations
19.2%
U.S. Guaranteed
18.9%
Health Care
12.3%
Tax Obligation/Limited
11.4%
Water and Sewer
9.6%
Long-Term Care
7.6%
Tax Obligation/General
7.0%
Utilities
5.2%
Housing/Single Family
5.2%
Other
3.6%
 
 
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 of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. AAA includes bonds with an implied AAA rating since they are backed by U.S. Government or agency securities. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below-investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
3
Holdings are subject to change.
 
Nuveen Investments 15

 
 

 


NMT
 
Nuveen Massachusetts
Performance
 
Premium Income
OVERVIEW
 
Municipal Fund
as of November 30, 2010
 
 
Fund Snapshot
       
Common Share Price
 
$
14.33
 
Common Share Net Asset Value (NAV)
 
$
14.28
 
Premium/(Discount) to NAV
   
0.35
%
Market Yield
   
5.44
%
Taxable-Equivalent Yield1
   
7.98
%
Net Assets Applicable to Common Shares ($000)
 
$
68,190
 

Average Annual Total Return
(Inception 3/18/93)
   
On Share Price
 
On NAV
 
6-Month (Cumulative)
   
-1.44
%
 
1.27
%
1-Year
   
10.39
%
 
6.26
%
5-Year
   
2.84
%
 
4.71
%
10-Year
   
5.53
%
 
5.85
%

Portfolio Composition3
(as a % of total investments)
Education and Civic Organizations
21.7%
Health Care
16.8%
Tax Obligation/General
11.2%
U.S. Guaranteed
11.0%
Tax Obligation/Limited
9.3%
Water and Sewer
7.9%
Transportation
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 of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. AAA includes bonds with an implied AAA rating since they are backed by U.S. Government or agency securities. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below-investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
3
Holdings are subject to change.
 
16 Nuveen Investments

 
 

 

NMB
 
Nuveen Massachusetts
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund
as of November 30, 2010
 
 
Fund Snapshot
       
Common Share Price
 
$
14.11
 
Common Share Net Asset Value (NAV)
 
$
14.08
 
Premium/(Discount) to NAV
   
0.21
%
Market Yield
   
5.87
%
Taxable-Equivalent Yield1
   
8.61
%
Net Assets Applicable to Common Shares ($000)
 
$
27,663
 

Average Annual Total Return
(Inception 1/30/01)
   
On Share Price
 
On NAV
 
6-Month (Cumulative)
   
2.96
%
 
0.74
%
1-Year
   
3.89
%
 
4.95
%
5-Year
   
2.70
%
 
4.08
%
Since Inception
   
5.11
%
 
5.79
%

Portfolio Composition4
(as a % of total investments)
Education and Civic Organizations
   
29.8
%
Health Care
   
18.0
%
U.S. Guaranteed
   
11.0
%
Tax Obligation/Limited
   
7.7
%
Housing/Multifamily
   
7.6
%
Water and Sewer
   
5.8
%
Long-Term Care
   
5.7
%
Other
   
14.4
%
 
 
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 of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. AAA includes bonds with an implied AAA rating since they are backed by U.S. Government or agency securities. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below-investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
3
The Fund paid shareholders net ordinary income distributions in December 2009 of $0.0283 per share.
4
Holdings are subject to change.
 
Nuveen Investments 17

 
 

 
 
NGX
 
Nuveen Insured
Performance
 
Massachusetts Tax-Free
OVERVIEW
 
Advantage Municipal Fund
as of November 30, 2010
 
 
Fund Snapshot
       
Common Share Price
 
$
14.25
 
Common Share Net Asset Value (NAV)
 
$
14.44
 
Premium/(Discount) to NAV
   
-1.32
%
Market Yield
   
5.31
%
Taxable-Equivalent Yield3
   
7.79
%
Net Assets Applicable to Common Shares ($000)
 
$
39,384
 

Average Annual Total Return
(Inception 11/21/02)
   
On Share Price
 
On NAV
 
6-Month (Cumulative)
   
-7.47
%
 
0.68
%
1-Year
   
1.58
%
 
4.89
%
5-Year
   
3.32
%
 
4.74
%
Since Inception
   
4.41
%
 
5.27
%

Portfolio Composition5
(as a % of total investments)
U.S. Guaranteed
22.6%
Education and Civic Organizations
16.7%
Water and Sewer
12.1%
Tax Obligation/Limited
11.4%
Health Care
10.8%
Tax Obligation/General
8.2%
Housing/Multifamily
7.3%
Other
10.9%

Insurers5
(as a % of total Insured investments)
NPFG4
35.1%
AMBAC
20.9%
FGIC
18.0%
AGM
11.0%
AGC
9.3%
SYNCORA
5.7%
 
 
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
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 of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. AAA includes bonds with an implied AAA rating since they are backed by U.S. Government or agency securities. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below-investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
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.
 
18 Nuveen Investments

 
 

 

NOM
 
Nuveen Missouri
Performance
 
Premium Income
OVERVIEW
 
Municipal Fund
   
as of November 30, 2010
 
 
Fund Snapshot
       
Common Share Price
 
$
16.01
 
Common Share Net Asset Value (NAV)
 
$
13.31
 
Premium/(Discount) to NAV
   
20.29
%
Market Yield
   
4.87
%
Taxable-Equivalent Yield1
   
7.19
%
Net Assets Applicable to Common Shares ($000)
 
$
30,836
 

Average Annual Total Return
(Inception 5/20/93)
   
On Share Price
 
On NAV
 
6-Month (Cumulative)
   
-0.51
%
 
1.05
%
1-Year
   
20.92
%
 
6.71
%
5-Year
   
3.55
%
 
3.62
%
10-Year
   
7.51
%
 
5.62
%

Portfolio Composition3
(as a % of total investments)
Tax Obligation/General
19.9%
Health Care
19.3%
Tax Obligation/Limited
14.0%
U.S. Guaranteed
13.6%
Transportation
11.0%
Water and Sewer
6.3%
Long-Term Care
5.3%
Other
10.6%
 
 
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 of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. AAA includes bonds with an implied AAA rating since they are backed by U.S. Government or agency securities. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below-investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
3
Holdings are subject to change.
 
Nuveen Investments 19

 
 

 

NTC
 
Shareholder Meeting Report
NFC
   
NGK
 
The annual meeting of shareholders was held in the offices of Nuveen Investments on November 16, 2010; 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 NOM was subsequently adjourned to January 6, 2011.

   
NTC
 
NFC
 
NGK
 
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
 
To approve the elimination of the Fund’s fundamental policy relating to investments in municipal securities and below investment grade securities.
                                   
For
 
   
   
   
   
   
 
Against
 
   
   
   
   
   
 
Abstain
 
   
   
   
   
   
 
Broker Non-Votes
 
   
   
   
   
   
 
Total
 
   
   
   
   
   
 
To approve the new fundamental policy relating to investments in municipal securities for the Fund.
                                   
For
 
   
   
   
   
   
 
Against
 
   
   
   
   
   
 
Abstain
 
   
   
   
   
   
 
Broker Non-Votes
 
   
   
   
   
   
 
Total
 
   
   
   
   
   
 
To approve the elimination of the fundamental policy prohibiting investment in other investment companies.
                                   
For
 
   
   
   
   
   
 
Against
 
   
   
   
   
   
 
Abstain
 
   
   
   
   
   
 
Broker Non-Votes
 
   
   
   
   
   
 
Total
 
   
   
   
   
   
 
To approve the elimination of the fundamental policy relating to derivatives and short sales.
                                   
For
 
   
   
   
   
   
 
Against
 
   
   
   
   
   
 
Abstain
 
   
   
   
   
   
 
Broker Non-Votes
 
   
   
   
   
   
 
Total
 
   
   
   
   
   
 
To approve the elimination of the fundamental policy relating to commodities.
                                   
For
 
   
   
   
   
   
 
Against
 
   
   
   
   
   
 
Abstain
 
   
   
   
   
   
 
Broker Non-Votes
 
   
   
   
   
   
 
Total
 
   
   
   
   
   
 
To approve the new fundamental policy relating to commodities.
                                   
For
 
   
   
   
   
   
 
Against
 
   
   
   
   
   
 
Abstain
 
   
   
   
   
   
 
Broker Non-Votes
 
   
   
   
   
   
 
Total
 
   
   
   
   
   
 
 
20 Nuveen Investments

 
 

 

   
NTC
   
NFC
   
NGK
 
 
 
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
 
Approval of the Board Members was reached as follows:
                                   
William C. Hunter
                                   
For
 
   
1,701,826
   
   
1,643,413
   
   
1,493,325
 
Withhold
 
   
2,204
   
   
66,991
   
   
2,100
 
Total
 
   
1,704,030
   
   
1,710,404
   
   
1,495,425
 
William J. Schneider
                                   
For
 
   
1,701,826
   
   
1,643,413
   
   
1,493,325
 
Withhold
 
   
2,204
   
   
66,991
   
   
2,100
 
Total
 
   
1,704,030
   
   
1,710,404
   
   
1,495,425
 
Judith M. Stockdale
                                   
For
 
6,564,442
   
   
4,017,538
   
   
3,647,151
   
 
Withhold
 
155,787
   
   
163,161
   
   
81,255
   
 
Total
 
6,720,229
   
   
4,180,699
   
   
3,728,406
   
 
Carole E. Stone
                                   
For
 
6,570,131
   
   
4,019,238
   
   
3,649,651
   
 
Withhold
 
150,098
   
   
161,461
   
   
78,755
   
 
Total
 
6,720,229
   
   
4,180,699
   
   
3,728,406
   
 
 
Nuveen Investments 21

 
 

 
 
NGO
 
Shareholder Meeting Report (continued)
NMT
   
NMB
   

     
NGO
   
NMT
   
NMB
 
     
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
 
To approve the elimination of the Fund’s fundamental policy relating to investments in municipal securities and below investment grade securities.
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Votes
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
To approve the new fundamental policy relating to investments in municipal securities for the Fund.
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Votes
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
To approve the elimination of the fundamental policy prohibiting investment in other investment companies.
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Votes
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
To approve the elimination of the fundamental policy relating to derivatives and short sales.
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Votes
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
To approve the elimination of the fundamental policy relating to commodities.
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Votes
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
To approve the new fundamental policy relating to commodities.
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Votes
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
 
22 Nuveen Investments

 
 

 

     
NGO
   
NMT
   
NMB
 
     
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
 
Approval of the Board Members was reached as follows:
                                     
William C. Hunter
                                     
For
   
   
2,946,120
   
   
1,904,421
   
   
1,426,148
 
Withhold
   
   
2,000
   
   
7,650
   
   
 
Total
   
   
2,948,120
   
   
1,912,071
   
   
1,426,148
 
William J. Schneider
                                     
For
   
   
2,946,120
   
   
1,904,421
   
   
1,426,148
 
Withhold
   
   
2,000
   
   
7,650
   
   
 
Total
   
   
2,948,120
   
   
1,912,071
   
   
1,426,148
 
Judith M. Stockdale
                                     
For
   
6,884,664
   
   
6,372,919
   
   
3,270,396
   
 
Withhold
   
148,425
   
   
92,814
   
   
33,092
   
 
Total
   
7,033,089
   
   
6,465,733
   
   
3,303,488
   
 
Carole E. Stone
                                     
For
   
6,887,964
   
   
6,378,358
   
   
3,271,739
   
 
Withhold
   
145,125
   
   
87,375
   
   
31,749
   
 
Total
   
7,033,089
   
   
6,465,733
   
   
3,303,488
   
 
 
Nuveen Investments 23

 
 

 

NGX
 
Shareholder Meeting Report (continued)
NOM
   

     
NGX
   
NOM
 
     
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
 
To approve the elimination of the Fund’s fundamental policy relating to investments in municipal securities and below investment grade securities.
                         
For
   
   
   
1,184,693
   
473
 
Against
   
   
   
357,437
   
5
 
Abstain
   
   
   
25,656
   
 
Broker Non-Votes
   
   
   
199,217
   
 
Total
   
   
   
1,767,003
   
478
 
To approve the new fundamental policy relating to investments in municipal securities for the Fund.
                         
For
   
   
   
1,189,274
   
473
 
Against
   
   
   
352,931
   
5
 
Abstain
   
   
   
25,581
   
 
Broker Non-Votes
   
   
   
199,217
   
 
Total
   
   
   
1,767,003
   
478
 
To approve the elimination of the fundamental policy prohibiting investment in other investment companies.
                         
For
   
   
   
1,187,943
   
473
 
Against
   
   
   
354,192
   
5
 
Abstain
   
   
   
25,651
   
 
Broker Non-Votes
   
   
   
199,217
   
 
Total
   
   
   
1,767,003
   
478
 
To approve the elimination of the fundamental policy relating to derivatives and short sales.
                         
For
   
   
   
1,175,820
   
473
 
Against
   
   
   
352,105
   
5
 
Abstain
   
   
   
39,861
   
 
Broker Non-Votes
   
   
   
199,217
   
 
Total
   
   
   
1,767,003
   
478
 
To approve the elimination of the fundamental policy relating to commodities.
                         
For
   
   
   
1,441,507
   
473
 
Against
   
   
   
81,331
   
5
 
Abstain
   
   
   
44,948
   
 
Broker Non-Votes
   
   
   
199,217
   
 
Total
   
   
   
1,767,003
   
478
 
To approve the new fundamental policy relating to commodities.
                         
For
   
   
   
1,442,477
   
473
 
Against
   
   
   
79,931
   
5
 
Abstain
   
   
   
45,378
   
 
Broker Non-Votes
   
   
   
199,217
   
 
Total
   
   
   
1,767,003
   
478
 
 
24 Nuveen Investments

 
 

 

     
NGX
   
NOM
 
     
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
   
Common and Preferred shares voting together as a class
   
Preferred shares voting together as a class
 
Approval of the Board Members was reached as follows:
                         
William C. Hunter
                         
For
   
   
1,985,869
   
   
451
 
Withhold
   
   
118,276
   
   
27
 
Total
   
   
2,104,145
   
   
478
 
William J. Schneider
                         
For
   
   
1,985,869
   
   
451
 
Withhold
   
   
118,276
   
   
27
 
Total
   
   
2,104,145
   
   
478
 
Judith M. Stockdale
                         
For
   
4,533,719
   
   
1,665,698
   
 
Withhold
   
184,185
   
   
101,305
   
 
Total
   
4,717,904
   
   
1,767,003
   
 
Carole E. Stone
                         
For
   
4,538,746
   
   
1,674,534
   
 
Withhold
   
179,158
   
   
92,469
   
 
Total
   
4,717,904
   
   
1,767,003
   
 

Nuveen Investments 25

 
 

 
 

 
 
Nuveen Connecticut Premium Income Municipal Fund
NTC
 
Portfolio of Investments
November 30, 2010 (Unaudited)

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Consumer Staples – 1.6% (1.1% of Total Investments)
         
$
1,300
 
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
$
1,261,221
 
     
Education and Civic Organizations – 38.9% (25.9% of Total Investments)
         
 
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
A
 
925,629
 
 
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
 
446,370
 
 
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
 
287,267
 
 
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–
 
1,002,980
 
 
750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Horace Bushnell Memorial Hall, Series 1999A, 5.625%, 7/01/29 – NPFG Insured
1/11 at 100.50
Baa1
 
755,798
 
 
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
 
915,792
 
 
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–
 
1,005,760
 
 
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
 
1,649,150
 
 
270
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
N/R
 
252,852
 
 
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+
 
1,458,765
 
 
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–
 
1,865,440
 
 
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–
 
940,065
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
AA
 
824,864
 
 
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
 
1,524,840
 
 
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
 
3,678,368
 
 
6,150
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB)
7/17 at 100.00
AAA
 
6,424,475
 
 
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)
5/11 at 101.00
AAA
 
247,857
 
 
610
 
Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 – NPFG Insured (Alternative Minimum Tax)
11/11 at 100.00
Aa2
 
617,881
 
 
1,000
 
University of Connecticut, General Obligation Bonds, Series 2004A, 5.000%, 1/15/18 – NPFG Insured
1/14 at 100.00
AA
 
1,080,310
 
 
1,220
 
University of Connecticut, General Obligation Bonds, Series 2005A, 5.000%, 2/15/17 – AGM Insured
2/15 at 100.00
AA+
 
1,383,553
 
 
685
 
University of Connecticut, General Obligation Bonds, Series 2006A, 5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
AA
 
736,875
 
 
535
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
AA
 
578,624
 
 
225
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27
11/19 at 100.00
Aa2
 
244,179
 
 
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
 
1,082,940
 
 
29,090
 
Total Education and Civic Organizations
     
29,930,634
 
 
26  Nuveen Investments

 
 

 

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Health Care – 20.0% (13.3% of Total Investments)
         
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B:
         
$
500
 
5.500%, 7/01/21 – RAAI Insured
7/12 at 101.00
N/R
$
474,955
 
 
700
 
5.500%, 7/01/32 – RAAI Insured
7/12 at 101.00
N/R
 
632,079
 
 
645
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 – RAAI Insured
7/11 at 100.00
N/R
 
644,336
 
     
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
 
789,192
 
 
500
 
5.000%, 7/01/23 – RAAI Insured
7/15 at 100.00
N/R
 
470,980
 
     
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–
 
354,212
 
 
150
 
5.250%, 7/01/37 – RAAI Insured
7/17 at 100.00
BBB–
 
134,771
 
 
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
 
2,628,122
 
 
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
 
404,540
 
 
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
 
1,405,407
 
 
3,000
 
Connecticut Health and Educational Facilities Authority, Revenue Refunding Bonds, Middlesex Health Services, Series 1997H, 5.125%, 7/01/27 – NPFG Insured
1/11 at 100.00
A2
 
2,865,900
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
Aa1
 
1,012,950
 
 
350
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
A1
 
344,407
 
 
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
 
3,224,002
 
 
15,495
 
Total Health Care
     
15,385,853
 
     
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
 
957,110
 
     
Housing/Single Family – 9.9% (6.6% of Total Investments)
         
     
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C:
         
 
1,000
 
5.300%, 11/15/33 (Alternative Minimum Tax)
5/11 at 100.00
AAA
 
999,990
 
 
500
 
5.450%, 11/15/43 (Alternative Minimum Tax)
5/11 at 100.00
AAA
 
500,020
 
 
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
 
1,696,172
 
     
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1:
         
 
205
 
4.700%, 11/15/26 (Alternative Minimum Tax)
11/15 at 100.00
AAA
 
202,300
 
 
220
 
4.800%, 11/15/31 (Alternative Minimum Tax)
11/15 at 100.00
AAA
 
213,765
 
 
2,045
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
AAA
 
2,051,012
 
 
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
 
1,989,540
 
 
7,645
 
Total Housing/Single Family
     
7,652,799
 
     
Long-Term Care – 3.7% (2.5% of Total Investments)
         
 
320
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Church Homes Inc. – Congregational Avery Heights, Series 1997, 5.700%, 4/01/12
4/11 at 100.00
BBB–
 
320,483
 
 
540
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Connecticut Baptist Homes Inc., Series 1999, 5.500%, 9/01/15 – RAAI Insured
3/11 at 101.00
BBB–
 
544,509
 
 
Nuveen Investments  27

 
 

 

 
 
Nuveen Connecticut Premium Income Municipal Fund (continued)
NTC  
Portfolio of Investments November 30, 2010 (Unaudited)

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Long-Term Care (continued)
         
     
Connecticut Development Authority, Revenue Refunding Bonds, Duncaster Inc., Series 1999A:
         
$
1,000
 
5.250%, 8/01/19 – RAAI Insured
2/11 at 101.00
BBB
$
1,007,460
 
 
1,000
 
5.375%, 8/01/24 – RAAI Insured
2/11 at 101.00
BBB
 
1,002,040
 
 
2,860
 
Total Long-Term Care
     
2,874,492
 
     
Tax Obligation/General – 18.7% (12.4% 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
 
776,153
 
 
1,110
 
Connecticut State, General Obligation Bonds, Series 2004C, 5.000%, 4/01/23 – FGIC Insured
4/14 at 100.00
AA
 
1,187,001
 
 
2,000
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
AA
 
2,121,180
 
 
1,300
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured
6/16 at 100.00
AA+
 
1,398,046
 
 
500
 
Connecticut State, General Obligation Bonds, Series 2006E, 5.000%, 12/15/20
12/16 at 100.00
AA
 
561,365
 
     
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
         
 
775
 
5.000%, 8/01/20 – AGM Insured
8/15 at 100.00
AA+
 
841,472
 
 
525
 
4.375%, 8/01/24 – AGM Insured
8/15 at 100.00
AA+
 
534,560
 
 
500
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 11/01/17 – AMBAC Insured
11/16 at 100.00
A1
 
560,420
 
 
500
 
North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24
No Opt. Call
Aa1
 
579,525
 
 
1,860
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/20 – NPFG Insured
No Opt. Call
A
 
1,983,318
 
 
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
 
1,543,554
 
     
Suffield, Connecticut, General Obligation Bonds, Series 2005:
         
 
465
 
5.000%, 6/15/17
No Opt. Call
AA+
 
552,959
 
 
460
 
5.000%, 6/15/19
No Opt. Call
AA+
 
546,899
 
 
1,000
 
5.000%, 6/15/21
No Opt. Call
AA+
 
1,178,500
 
 
13,165
 
Total Tax Obligation/General
     
14,364,952
 
     
Tax Obligation/Limited – 21.1% (14.0% 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+
 
1,330,771
 
 
1,000
 
5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
AA+
 
1,013,810
 
 
1,945
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Child Care Facilities Program, Series 1999C, 5.625%, 7/01/29 – AMBAC Insured
1/11 at 101.00
N/R
 
1,946,342
 
 
500
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 – FGIC Insured
1/14 at 100.00
AA
 
534,130
 
 
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
 
1,858,308
 
 
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
 
1,152,954
 
     
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A:
         
 
960
 
0.000%, 7/01/32 – FGIC Insured
No Opt. Call
A3
 
236,534
 
 
2,615
 
0.000%, 7/01/33 – FGIC Insured
No Opt. Call
A3
 
596,482
 
 
2,000
 
Puerto Rico Municipal Finance Agency, Series 2002A, 5.250%, 8/01/21 – AGM Insured
8/12 at 100.00
AA+
 
2,075,300
 
 
2,400
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured
8/15 at 100.00
AA+
 
2,579,736
 
 
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+
 
979,475
 
 
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+
 
1,066,700
 
 
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
 
879,928
 
 
18,440
 
Total Tax Obligation/Limited
     
16,250,470
 
 
28  Nuveen Investments

 
 

 
 
 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Transportation – 1.0% (0.7% of Total Investments)
         
$
750
 
Connecticut, General Airport Revenue Bonds, Bradley International Airport, Series 2001A, 5.125%, 10/01/26 – NPFG Insured (Alternative Minimum Tax)
4/11 at 101.00
A
$
753,405
 
     
U.S. Guaranteed – 13.3% (8.8% of Total Investments) (4)
         
 
650
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11)
7/11 at 101.00
N/R (4)
 
676,208
 
 
40
 
Connecticut, General Obligation Bonds, Series 1993E, 6.000%, 3/15/12 (ETM)
No Opt. Call
AA (4)
 
42,865
 
 
1,500
 
Connecticut, General Obligation Bonds, Series 2002B, 5.500%, 6/15/21 (Pre-refunded 6/15/12)
6/12 at 100.00
AA (4)
 
1,615,815
 
     
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B:
         
 
2,000
 
5.000%, 12/01/20 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
AA (4)
 
2,173,720
 
 
1,000
 
5.000%, 12/01/21 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
AA (4)
 
1,086,860
 
 
600
 
Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11)
5/11 at 100.00
N/R (4)
 
613,800
 
 
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 (4)
 
1,207,745
 
 
1,000
 
Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 5.375%, 4/01/17 (Pre-refunded 4/01/12) – AGM Insured
4/12 at 100.00
AA+ (4)
 
1,062,680
 
 
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
 
1,736,400
 
 
9,390
 
Total U.S. Guaranteed
     
10,216,093
 
     
Utilities – 8.5% (5.7% of Total Investments)
         
 
1,150
 
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
 
1,221,542
 
 
1,000
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28
4/11 at 101.00
Baa1
 
1,010,440
 
 
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
 
1,054,100
 
 
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)
12/11 at 102.00
Ba1
 
1,726,270
 
     
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
         
 
260
 
5.500%, 1/01/14 (Alternative Minimum Tax)
1/11 at 100.00
BBB
 
260,738
 
 
1,290
 
5.500%, 1/01/20 (Alternative Minimum Tax)
1/11 at 100.00
BBB
 
1,290,232
 
 
6,520
 
Total Utilities
     
6,563,322
 
     
Water and Sewer – 12.3% (8.2% 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
 
440,075
 
 
1,185
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16
10/13 at 100.00
AAA
 
1,307,624
 
     
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
 
1,543,286
 
 
2,260
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
A1
 
2,268,814
 
 
725
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
Ba2
 
681,718
 
     
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
 
1,040,710
 
 
1,075
 
5.000%, 8/01/33 – NPFG Insured
8/13 at 100.00
Aa3
 
1,084,277
 
 
Nuveen Investments  29

 
 

 

 
 
Nuveen Connecticut Premium Income Municipal Fund (continued)
NTC  
Portfolio of Investments November 30, 2010 (Unaudited)

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Water and Sewer (continued)
         
$
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+
$
1,139,677
 
 
9,365
 
Total Water and Sewer
     
9,506,181
 
$
114,980
 
Total Investments (cost $114,202,210) – 150.2%
     
115,716,532
 
     
Floating Rate Obligations – (10.3)%
     
(7,965,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (23.8)% (5)
     
(18,300,000
     
Other Assets Less Liabilities – 4.3%
     
3,298,413
 
     
Auction Rate Preferred Shares, at Liquidation Value – (20.4)% (5)
     
(15,725,000
     
Net Assets Applicable to Common Shares – 100%
   
$
77,024,945
 
 
(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 Investor 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. Such investments are normally considered to be equivalent to AAA rated securities.
(5)
 
MuniFund Term Preferred Shares and Auction Rate Preferred Shares, at Liquidation Value as a percentage of Total Investments are 15.8% and 13.6%, respectively.
  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.
 
30  Nuveen Investments

 
 

 

 
 
Nuveen Connecticut Dividend Advantage Municipal Fund
NFC  
Portfolio of Investments
November 30, 2010 (Unaudited)
 
 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Education and Civic Organizations – 37.1% (23.2% of Total Investments)
         
$
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
$
223,185
 
 
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
 
141,279
 
 
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–
 
501,490
 
 
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
 
506,392
 
 
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
 
821,990
 
 
130
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
N/R
 
121,744
 
 
50
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 1998E, 5.000%, 7/01/28 – RAAI Insured
1/11 at 100.00
Baa2
 
47,636
 
 
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+
 
388,465
 
 
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–
 
932,720
 
 
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–
 
447,650
 
 
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
 
1,649,727
 
 
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
 
508,280
 
 
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
 
1,865,088
 
 
3,050
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB)
7/17 at 100.00
AAA
 
3,186,122
 
 
475
 
Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 – NPFG Insured (Alternative Minimum Tax)
11/11 at 100.00
Aa2
 
481,137
 
     
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999:
         
 
125
 
5.375%, 2/01/19
2/11 at 100.00
BBB–
 
125,081
 
 
270
 
5.375%, 2/01/29
2/11 at 100.00
BBB–
 
259,243
 
 
485
 
University of Connecticut, General Obligation Bonds, Series 2006A, 5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
AA
 
521,729
 
 
1,070
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
AA
 
1,157,248
 
 
115
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27
11/19 at 100.00
Aa2
 
124,803
 
 
13,655
 
Total Education and Civic Organizations
     
14,011,009
 
     
Health Care – 19.7% (12.3% 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
 
1,264,158
 
 
25
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Danbury Hospital, Series 1999G, 5.700%, 7/01/22 – AMBAC Insured
1/11 at 100.50
N/R
 
25,101
 
 
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
 
750,784
 
 
Nuveen Investments  31

 
 

 


   
Nuveen Connecticut Dividend Advantage Municipal Fund (continued)
NFC
 
Portfolio of Investments November 30, 2010 (Unaudited)
 
 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Health Care (continued)
         
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B:
         
$
500
 
5.000%, 7/01/20 – RAAI Insured
7/15 at 100.00
N/R
$
493,245
 
 
250
 
5.000%, 7/01/23 – RAAI Insured
7/15 at 100.00
N/R
 
235,490
 
 
185
 
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–
 
170,206
 
 
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
 
60,186
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 100.00
A
 
202,270
 
 
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
 
1,883,949
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
Aa1
 
506,475
 
 
175
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
A1
 
172,204
 
 
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
 
1,691,279
 
 
7,605
 
Total Health Care
     
7,455,347
 
     
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
 
478,555
 
     
Housing/Single Family – 9.4% (5.9% of Total Investments)
         
     
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C:
         
 
1,000
 
5.300%, 11/15/33 (Alternative Minimum Tax)
5/11 at 100.00
AAA
 
999,990
 
 
250
 
5.450%, 11/15/43 (Alternative Minimum Tax)
5/11 at 100.00
AAA
 
250,010
 
 
800
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34
5/13 at 100.00
AAA
 
810,112
 
 
685
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
AAA
 
687,014
 
 
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
 
805,208
 
 
3,535
 
Total Housing/Single Family
     
3,552,334
 
     
Long-Term Care – 2.0% (1.2% 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
12/11 at 102.00
BBB+
 
304,026
 
 
110
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Church Homes Inc. –
Congregational Avery Heights, Series 1997, 5.800%, 4/01/21
4/11 at 100.00
BBB–
 
109,148
 
 
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
 
222,618
 
 
105
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 7.625%, 1/01/30
1/20 at 100.00
N/R
 
110,522
 
 
765
 
Total Long-Term Care
     
746,314
 
 
32  Nuveen Investments

 
 

 

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Tax Obligation/General – 8.8% (5.5% of Total Investments)
         
$
560
 
Connecticut State, General Obligation Bonds, Series 2004C, 5.000%, 4/01/23 – FGIC Insured
4/14 at 100.00
AA
$
598,847
 
 
700
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
AA
 
742,413
 
 
100
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured
6/16 at 100.00
AA+
 
107,542
 
     
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
         
 
360
 
5.000%, 8/01/21 – AGM Insured
8/15 at 100.00
AA+
 
386,075
 
 
240
 
4.375%, 8/01/24 – AGM Insured
8/15 at 100.00
AA+
 
244,370
 
 
400
 
North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24
No Opt. Call
Aa1
 
463,620
 
     
Suffield, Connecticut, General Obligation Bonds, Series 2005:
         
 
335
 
5.000%, 6/15/17
No Opt. Call
AA+
 
398,369
 
 
335
 
5.000%, 6/15/19
No Opt. Call
AA+
 
398,285
 
 
3,030
 
Total Tax Obligation/General
     
3,339,521
 
     
Tax Obligation/Limited – 27.1% (16.9% of Total Investments)
         
     
Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F:
         
 
650
 
5.000%, 7/01/31 – AGC Insured
7/16 at 100.00
AA+
 
665,386
 
 
500
 
5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
AA+
 
506,905
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, New Opportunities for Waterbury Inc., Series 1998A, 6.750%, 7/01/28
1/11 at 103.00
A
 
1,040,670
 
     
Connecticut, Certificates of Participation, Juvenile Training School, Series 2001:
         
 
600
 
5.000%, 12/15/20
12/11 at 101.00
AA–
 
626,436
 
 
1,000
 
5.000%, 12/15/30
12/11 at 101.00
AA–
 
1,010,700
 
 
1,475
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 1998B, 5.500%, 11/01/12 – AGM Insured
No Opt. Call
AA+
 
1,611,172
 
 
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
 
955,701
 
 
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
 
524,070
 
 
600
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 7/01/31 – AMBAC Insured
No Opt. Call
A3
 
601,470
 
 
470
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 0.000%, 7/01/32 – FGIC Insured
No Opt. Call
A3
 
115,803
 
 
1,200
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured
8/15 at 100.00
AA+
 
1,289,868
 
 
325
 
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+
 
326,492
 
 
750
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A, 6.375%, 10/01/19
4/11 at 101.00
BBB+
 
758,955
 
 
210
 
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
 
206,464
 
 
10,180
 
Total Tax Obligation/Limited
     
10,240,092
 
     
Transportation – 6.7% (4.2% of Total Investments)
         
 
2,500
 
Connecticut, General Airport Revenue Bonds, Bradley International Airport, Series 2001A, 5.125%, 10/01/26 – NPFG Insured (Alternative Minimum Tax)
4/11 at 101.00
A
 
2,511,349
 
 
Nuveen Investments  33

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund (continued)
NFC
 
Portfolio of Investments November 30, 2010 (Unaudited)
 
 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
U.S. Guaranteed – 27.3% (17.0% of Total Investments) (4)
         
$
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11)
7/11 at 101.00
N/R (4)
$
1,040,320
 
 
2,000
 
Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 5.500%, 10/01/20 (Pre-refunded 10/01/11)
10/11 at 100.00
AAA
 
2,086,339
 
 
500
 
Connecticut, General Obligation Bonds, Series 2002B, 5.500%, 6/15/21 (Pre-refunded 6/15/12)
6/12 at 100.00
AA (4)
 
538,605
 
 
500
 
East Lyme, Connecticut, General Obligation Bonds, Series 2001, 5.125%, 7/15/20 (Pre-refunded 7/15/11) – FGIC Insured
7/11 at 102.00
Aa2 (4)
 
525,270
 
     
Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001A:
         
 
25
 
5.000%, 5/15/22 (Pre-refunded 5/15/11)
5/11 at 100.00
N/R (4)
 
25,518
 
 
500
 
5.400%, 5/15/31 (Pre-refunded 5/15/11)
5/11 at 100.00
N/R (4)
 
510,450
 
 
1,270
 
Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11)
5/11 at 100.00
N/R (4)
 
1,299,210
 
 
220
 
New Haven, Connecticut, General Obligation Bonds, Series 2001A, 5.000%, 11/01/20 (Pre-refunded 11/01/11) – FGIC Insured
11/11 at 100.00
A1 (4)
 
223,065
 
     
University of Connecticut, General Obligation Bonds, Series 2001A:
         
 
1,000
 
4.750%, 4/01/20 (Pre-refunded 4/01/11)
4/11 at 101.00
AA (4)
 
1,024,980
 
 
1,000
 
4.750%, 4/01/21 (Pre-refunded 4/01/11)
4/11 at 101.00
AA (4)
 
1,024,980
 
 
1,000
 
Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 5.375%, 4/01/17 (Pre-refunded 4/01/12) – AGM Insured
4/12 at 100.00
AA+ (4)
 
1,062,680
 
 
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
 
937,656
 
 
9,825
 
Total U.S. Guaranteed
     
10,299,073
 
     
Utilities – 7.2% (4.5% of Total Investments)
         
 
500
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28
4/11 at 101.00
Baa1
 
505,220
 
 
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
 
551,678
 
 
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)
12/11 at 102.00
Ba1
 
986,440
 
 
665
 
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax)
1/11 at 100.00
BBB
 
666,889
 
 
2,725
 
Total Utilities
     
2,710,227
 
     
Water and Sewer – 13.6% (8.5% 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
 
224,438
 
 
1,185
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16
10/13 at 100.00
AAA
 
1,307,624
 
     
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
 
731,030
 
 
1,110
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
A1
 
1,114,329
 
 
140
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
Ba2
 
141,750
 
 
34  Nuveen Investments

 
 

 
 
 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Water and Sewer (continued)
         
$
375
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
Ba2
$
352,613
 
     
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
 
780,533
 
 
470
 
5.000%, 8/01/33 – NPFG Insured
8/13 at 100.00
Aa3
 
474,056
 
 
5,005
 
Total Water and Sewer
     
5,126,373
 
$
59,305
 
Total Investments (cost $59,731,487) – 160.2%
     
60,470,194
 
     
Floating Rate Obligations – (10.1)%
     
(3,820,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (54.2)% (5)
     
(20,470,000
     
Other Assets Less Liabilities – 4.1%
     
1,573,417
 
     
Net Assets Applicable to Common Shares – 100%
   
$
37,753,611
 
 
(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 Investor 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. Such investments are normally considered to be equivalent to AAA rated securities.
(5)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 33.9%.
 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  35

 
 

 
 
   
Nuveen Connecticut Dividend Advantage Municipal Fund 2
NGK
 
Portfolio of Investments
November 30, 2010 (Unaudited)

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Consumer Staples – 1.9% (1.2% of Total Investments)
         
$
655
 
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
$
635,461
 
     
Education and Civic Organizations – 34.8% (22.6% of Total Investments)
         
 
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
 
178,548
 
 
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
 
127,151
 
 
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–
 
501,490
 
 
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
 
354,869
 
 
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
 
739,274
 
 
120
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
N/R
 
112,379
 
     
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–
 
600,414
 
 
1,000
 
5.250%, 7/01/32 – RAAI Insured
7/12 at 101.00
BBB–
 
932,720
 
 
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–
 
447,650
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
AA
 
824,864
 
 
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
 
508,280
 
 
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
 
1,657,856
 
 
2,750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB)
7/17 at 100.00
AAA
 
2,872,733
 
     
University of Connecticut, General Obligation Bonds, Series 2006A:
         
 
450
 
5.000%, 2/15/19 – FGIC Insured
2/16 at 100.00
AA
 
503,739
 
 
490
 
5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
AA
 
527,108
 
 
460
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
AA
 
497,508
 
 
500
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%, 11/15/22 – FGIC Insured
11/12 at 101.00
Aa2
 
524,290
 
 
11,620
 
Total Education and Civic Organizations
     
11,910,873
 
     
Health Care – 21.7% (14.0% 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
 
270,891
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A:
         
 
20
 
6.125%, 7/01/20 – RAAI Insured
7/11 at 100.00
N/R
 
20,091
 
 
315
 
6.000%, 7/01/25 – RAAI Insured
7/11 at 100.00
N/R
 
314,676
 
     
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
 
421,220
 
 
300
 
5.000%, 7/01/20 – RAAI Insured
7/15 at 100.00
N/R
 
295,947
 
 
300
 
5.000%, 7/01/23 – RAAI Insured
7/15 at 100.00
N/R
 
282,588
 
 
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–
 
156,405
 
 
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
 
1,193,689
 
 
36  Nuveen Investments

 
 

 

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Health Care (continued)
         
$
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
$
906,410
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 100.00
A
 
202,270
 
 
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
 
1,178,728
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
Aa1
 
506,475
 
 
175
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
A1
 
172,204
 
 
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
 
1,479,870
 
 
7,440
 
Total Health Care
     
7,401,464
 
     
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
 
478,555
 
     
Housing/Single Family – 8.4% (5.5% of Total Investments)
         
 
250
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C, 5.450%, 11/15/43 (Alternative Minimum Tax)
5/11 at 100.00
AAA
 
250,010
 
 
700
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34
5/13 at 100.00
AAA
 
708,848
 
     
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
 
300,983
 
 
330
 
4.800%, 11/15/31 (Alternative Minimum Tax)
11/15 at 100.00
AAA
 
320,648
 
 
585
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
AAA
 
586,720
 
 
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
 
704,557
 
 
2,870
 
Total Housing/Single Family
     
2,871,766
 
     
Long-Term Care – 3.7% (2.4% 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
12/11 at 102.00
BBB+
 
324,294
 
 
140
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Church Homes Inc. –
Congregational Avery Heights, Series 1997, 5.700%, 4/01/12
4/11 at 100.00
BBB–
 
140,211
 
 
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
 
451,931
 
 
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
 
222,618
 
 
105
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 7.625%, 1/01/30
1/20 at 100.00
N/R
 
110,522
 
 
1,265
 
Total Long-Term Care
     
1,249,576
 
     
Tax Obligation/General – 8.2% (5.3% of Total Investments)
         
 
600
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
AA
 
636,354
 
 
400
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured
6/16 at 100.00
AA+
 
430,168
 
     
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
         
 
360
 
5.000%, 8/01/21 – AGM Insured
8/15 at 100.00
AA+
 
386,075
 
 
140
 
4.375%, 8/01/24 – AGM Insured
8/15 at 100.00
AA+
 
142,549
 
 
650
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 11/01/17 – AMBAC Insured
11/16 at 100.00
A1
 
728,546
 
 
400
 
Suffield, Connecticut, General Obligation Bonds, Series 2005, 5.000%, 6/15/21
No Opt. Call
AA+
 
471,400
 
 
2,550
 
Total Tax Obligation/General
     
2,795,092
 
 
 
Nuveen Investments  37

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued)
NGK
 
Portfolio of Investments November 30, 2010 (Unaudited)
 
 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Tax Obligation/Limited – 15.2% (9.8% 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+
$
588,610
 
 
500
 
5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
AA+
 
506,905
 
 
500
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2001B, 5.375%, 10/01/13 – AGM Insured
10/11 at 100.00
AA+
 
519,640
 
 
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
 
902,607
 
 
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
 
524,070
 
 
500
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250% , 7/01/31 – AMBAC Insured
No Opt. Call
A3
 
501,225
 
 
430
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 0.000%, 7/01/32 – FGIC Insured
No Opt. Call
A3
 
105,948
 
 
750
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured
8/15 at 100.00
AA+
 
806,168
 
 
325
 
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+
 
326,492
 
 
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
 
412,927
 
 
5,350
 
Total Tax Obligation/Limited
     
5,194,592
 
     
Transportation – 6.5% (4.2% 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
 
2,234,720
 
     
U.S. Guaranteed – 33.7% (21.8% of Total Investments) (4)
         
 
2,250
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds,
   Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21
   (Pre-refunded 11/01/11) – AGM Insured
11/11 at 100.00
AA+ (4)
 
2,348,254
 
 
400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 (Pre-refunded 3/01/11) – AGM Insured
3/11 at 101.00
AA+ (4)
 
408,820
 
 
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+ (4)
 
1,748,776
 
     
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
 
1,088,440
 
 
1,450
 
5.000%, 9/15/21 (Pre-refunded 9/15/12)
9/12 at 101.00
Aaa
 
1,578,238
 
 
250
 
Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11)
5/11 at 100.00
N/R (4)
 
255,750
 
 
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+ (4)
 
1,397,250
 
 
1,535
 
Regional School District 8, Andover, Hebron and Marlborough, Connecticut, General Obligation Bonds, Series 2002, 5.000%, 5/01/22 (Pre-refunded 5/01/11) – AGM Insured
5/11 at 101.00
Aa3 (4)
 
1,581,050
 
 
500
 
Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 5.375%, 4/01/17 (Pre-refunded 4/01/12) – AGM Insured
4/12 at 100.00
AA+ (4)
 
531,340
 
 
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
 
578,800
 
 
10,815
 
Total U.S. Guaranteed
     
11,516,718
 
     
Utilities – 7.9% (5.2% of Total Investments)
         
 
500
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28
4/11 at 101.00
Baa1
 
505,220
 
 
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
 
463,016
 
 
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)
12/11 at 102.00
Ba1
 
988,940
 
 
38  Nuveen Investments

 
 

 

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Utilities (continued)
         
     
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
         
$
250
 
5.500%, 1/01/15 (Alternative Minimum Tax)
1/11 at 100.00
BBB
$
250,298
 
 
510
 
5.500%, 1/01/20 (Alternative Minimum Tax)
1/11 at 100.00
BBB
 
510,092
 
 
2,730
 
Total Utilities
     
2,717,566
 
     
Water and Sewer – 10.9% (7.1% 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
 
193,633
 
 
785
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16
10/13 at 100.00
AAA
 
866,232
 
     
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
 
700,571
 
 
320
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
A1
 
321,248
 
 
130
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
Ba2
 
131,625
 
 
350
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
Ba2
 
329,105
 
     
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
 
780,533
 
 
410
 
5.000%, 8/01/33 – NPFG Insured
8/13 at 100.00
Aa3
 
413,538
 
 
3,655
 
Total Water and Sewer
     
3,736,485
 
$
51,380
 
Total Investments (cost $51,683,828) – 154.3%
     
52,742,868
 
     
Floating Rate Obligations – (10.1)%
     
(3,460,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (49.6)% (5)
     
(16,950,000
     
Other Assets Less Liabilities – 5.4%
     
1,841,036
 
     
Net Assets Applicable to Common Shares – 100%
   
$
34,173,904
 
 
(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 Investor 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. Such investments are normally considered to be equivalent to AAA rated securities.
(5)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 32.1%.
 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.
 
Nuveen Investments  39

 
 

 
 
   
Nuveen Connecticut Dividend Advantage Municipal Fund 3
NGO
 
Portfolio of Investments
November 30, 2010 (Unaudited)

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Consumer Staples – 3.3% (2.1% of Total Investments)
         
$
2,090
 
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
$
2,027,655
 
     
Education and Civic Organizations – 30.0% (19.2% 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
 
312,459
 
 
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
 
235,465
 
 
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
A
 
933,130
 
 
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–
 
807,248
 
 
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
 
457,896
 
 
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–
 
1,005,760
 
 
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
 
1,344,135
 
 
215
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
N/R
 
201,345
 
 
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–
 
763,238
 
 
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–
 
581,945
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
AA
 
824,864
 
 
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
 
3,108,480
 
 
5,050
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB)
7/17 at 100.00
AAA
 
5,275,382
 
     
University of Connecticut, General Obligation Bonds, Series 2006A:
         
 
850
 
5.000%, 2/15/19 – FGIC Insured
2/16 at 100.00
AA
 
951,507
 
 
490
 
5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
AA
 
527,108
 
 
535
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
AA
 
578,624
 
 
175
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27
11/19 at 100.00
Aa2
 
189,917
 
 
500
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%, 11/15/22 – FGIC Insured
11/12 at 101.00
Aa2
 
524,290
 
 
18,115
 
Total Education and Civic Organizations
     
18,622,793
 
     
Health Care – 19.2% (12.3% of Total Investments)
         
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B:
         
 
500
 
5.500%, 7/01/21 – RAAI Insured
7/12 at 101.00
N/R
 
474,955
 
 
600
 
5.500%, 7/01/32 – RAAI Insured
7/12 at 101.00
N/R
 
541,782
 
 
750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 – RAAI Insured
7/11 at 100.00
N/R
 
749,228
 
     
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
 
515,995
 
 
800
 
5.000%, 7/01/20 – RAAI Insured
7/15 at 100.00
N/R
 
789,192
 
 
40  Nuveen Investments

 
 

 

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Health Care (continued)
         
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C:
         
$
310
 
5.250%, 7/01/32 – RAAI Insured
7/17 at 100.00
BBB–
$
285,209
 
 
150
 
5.250%, 7/01/37 – RAAI Insured
7/17 at 100.00
BBB–
 
134,771
 
 
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
 
2,136,602
 
 
300
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 100.00
A
 
303,405
 
 
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
 
1,334,885
 
 
1,500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
Aa1
 
1,519,425
 
 
300
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
A1
 
295,206
 
 
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
 
154,728
 
 
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
 
2,695,477
 
 
11,905
 
Total Health Care
     
11,930,860
 
     
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
 
957,110
 
     
Housing/Single Family – 8.1% (5.2% of Total Investments)
         
 
750
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C, 5.450%, 11/15/43 (Alternative Minimum Tax)
5/11 at 100.00
AAA
 
750,030
 
 
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
 
1,316,432
 
     
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
 
429,271
 
 
465
 
4.800%, 11/15/31 (Alternative Minimum Tax)
11/15 at 100.00
AAA
 
451,822
 
 
585
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
AAA
 
586,720
 
 
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
 
1,492,155
 
 
5,035
 
Total Housing/Single Family
     
5,026,430
 
     
Long-Term Care – 12.0% (7.6% 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
12/11 at 102.00
BBB+
 
506,710
 
 
260
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Church Homes
Inc. – Congregational Avery Heights, Series 1997, 5.700%, 4/01/12
4/11 at 100.00
BBB–
 
260,393
 
     
Connecticut Development Authority, Revenue Bonds, Duncaster Inc., Series 2002:
         
 
650
 
5.125%, 8/01/22 – RAAI Insured
8/12 at 101.00
BBB
 
608,407
 
 
1,025
 
4.750%, 8/01/32 – RAAI Insured
8/12 at 101.00
BBB
 
819,980
 
     
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
 
434,339
 
 
475
 
5.000%, 7/01/20 – AMBAC Insured
7/12 at 101.00
N/R
 
475,095
 
 
260
 
5.000%, 7/01/23 – AMBAC Insured
7/12 at 101.00
N/R
 
251,615
 
 
1,000
 
5.000%, 7/01/32 – AMBAC Insured
7/12 at 101.00
N/R
 
882,000
 
     
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
 
1,013,240
 
 
1,500
 
5.000%, 6/15/32 – AMBAC Insured
6/12 at 101.00
N/R
 
1,502,370
 
 
Nuveen Investments  41

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued)
NGO
 
Portfolio of Investments November 30, 2010 (Unaudited)
 
 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Long-Term Care (continued)
         
$
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
$
445,235
 
 
210
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 7.625%, 1/01/30
1/20 at 100.00
N/R
 
221,044
 
 
7,810
 
Total Long-Term Care
     
7,420,428
 
     
Tax Obligation/General – 10.9% (7.0% of Total Investments)
         
 
1,200
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
AA
 
1,272,708
 
 
1,500
 
Connecticut State, General Obligation Bonds, Series 2006E, 5.000%, 12/15/20
12/16 at 100.00
AA
 
1,684,095
 
 
600
 
Hartford, Connecticut, General Obligation Bonds, Series 2005A, 5.000%, 8/01/21 – AGM Insured
8/15 at 100.00
AA+
 
643,458
 
 
1,000
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 11/01/17 – AMBAC Insured
11/16 at 100.00
A1
 
1,120,840
 
     
Stratford, Connecticut, General Obligation Bonds, Series 2002:
         
 
1,375
 
4.000%, 2/15/19 – AGM Insured
2/12 at 100.00
AA+
 
1,401,221
 
 
630
 
4.125%, 2/15/20 – AGM Insured
2/12 at 100.00
AA+
 
640,905
 
 
6,305
 
Total Tax Obligation/General
     
6,763,227
 
     
Tax Obligation/Limited – 17.9% (11.4% 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+
 
942,843
 
 
40
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 1992B, 6.125%, 9/01/12
No Opt. Call
AA
 
42,204
 
 
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
 
1,038,100
 
 
500
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 – FGIC Insured
1/14 at 100.00
AA
 
534,130
 
 
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
 
1,592,835
 
 
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
 
943,326
 
 
1,000
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 7/01/31 – AMBAC Insured
No Opt. Call
A3
 
1,002,450
 
     
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A:
         
 
780
 
0.000%, 7/01/32 – FGIC Insured
No Opt. Call
A3
 
192,184
 
 
2,120
 
0.000%, 7/01/33 – FGIC Insured
No Opt. Call
A3
 
483,572
 
     
Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G:
         
 
890
 
5.250%, 7/01/17
7/12 at 100.00
A3
 
904,721
 
 
1,000
 
5.250%, 7/01/20
7/12 at 100.00
A3
 
1,006,750
 
 
1,045
 
5.250%, 7/01/21
7/12 at 100.00
A3
 
1,049,285
 
 
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+
 
652,984
 
 
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
 
722,623
 
 
13,090
 
Total Tax Obligation/Limited
     
11,108,007
 
     
Transportation – 0.8% (0.5% 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
 
475,594
 
 
42  Nuveen Investments

 
 

 

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
U.S. Guaranteed – 29.7% (18.9% of Total Investments) (4)
         
     
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 (4)
$
567,315
 
 
525
 
5.000%, 11/01/19 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
Aa2 (4)
 
567,315
 
 
525
 
5.000%, 11/01/20 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
Aa2 (4)
 
567,315
 
 
525
 
5.000%, 11/01/21 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
Aa2 (4)
 
567,315
 
 
525
 
5.000%, 11/01/22 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
Aa2 (4)
 
567,315
 
 
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+ (4)
 
562,260
 
 
3,100
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21 (Pre-refunded 7/01/11) – AMBAC Insured
7/11 at 101.00
N/R (4)
 
3,215,906
 
     
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B:
         
 
2,810
 
5.000%, 12/01/20 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
AA (4)
 
3,054,076
 
 
1,000
 
5.000%, 12/01/21 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
AA (4)
 
1,086,860
 
 
450
 
Farmington, Connecticut, General Obligation Bonds, Series 2002, 5.000%, 9/15/20 (Pre-refunded 9/15/12)
9/12 at 101.00
Aaa
 
489,798
 
     
New Canaan, Connecticut, General Obligation Bonds, Series 2002A:
         
 
950
 
4.500%, 5/01/19 (Pre-refunded 5/01/11)
5/11 at 100.00
Aaa
 
966,483
 
 
900
 
4.600%, 5/01/20 (Pre-refunded 5/01/11)
5/11 at 100.00
Aaa
 
915,993
 
 
500
 
4.700%, 5/01/21 (Pre-refunded 5/01/11)
5/11 at 100.00
Aaa
 
509,095
 
 
40
 
New Haven, Connecticut, General Obligation Bonds, Series 2002A, 5.250%, 11/01/17 – AMBAC Insured (ETM)
11/11 at 101.00
A1 (4)
 
42,121
 
 
1,010
 
Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 – AMBAC Insured
No Opt. Call
AAA
 
1,135,422
 
 
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
 
205,916
 
     
Southbury, Connecticut, General Obligation Bonds, Series 2002:
         
 
500
 
4.875%, 12/15/20 (Pre-refunded 12/15/11)
12/11 at 101.00
Aa2 (4)
 
528,860
 
 
500
 
4.875%, 12/15/21 (Pre-refunded 12/15/11)
12/11 at 101.00
Aa2 (4)
 
528,860
 
 
500
 
5.000%, 12/15/22 (Pre-refunded 12/15/11)
12/11 at 101.00
Aa2 (4)
 
529,510
 
 
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 (4)
 
1,207,745
 
 
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
 
578,800
 
 
17,180
 
Total U.S. Guaranteed
     
18,394,280
 
     
Utilities – 8.1% (5.2% of Total Investments)
         
 
720
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28
4/11 at 101.00
Baa1
 
727,517
 
 
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
 
847,220
 
 
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)
12/11 at 102.00
Ba1
 
1,972,880
 
     
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
         
 
665
 
5.500%, 1/01/14 (Alternative Minimum Tax)
1/11 at 100.00
BBB
 
666,889
 
 
305
 
5.500%, 1/01/20 (Alternative Minimum Tax)
1/11 at 100.00
BBB
 
305,055
 
 
530
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010XX, 5.250%, 7/01/40
7/20 at 100.00
A3
 
524,477
 
 
5,080
 
Total Utilities
     
5,044,038
 
 
Nuveen Investments  43

 
 

 
 
   
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued)
NGO
 
Portfolio of Investments November 30, 2010 (Unaudited)
 
 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Water and Sewer – 15.1% (9.6% 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
$
352,060
 
 
1,185
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16
10/13 at 100.00
AAA
 
1,307,624
 
     
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
 
1,248,844
 
 
640
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
A1
 
642,496
 
 
230
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
Ba2
 
232,875
 
 
600
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
Ba2
 
564,180
 
     
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
 
2,133,455
 
 
590
 
5.000%, 8/01/33 – NPFG Insured
8/13 at 100.00
Aa3
 
595,092
 
 
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
 
1,890,103
 
 
350
 
Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
11/13 at 100.00
AA+
 
362,625
 
 
9,115
 
Total Water and Sewer
     
9,329,354
 
$
97,100
 
Total Investments (cost $96,554,649) – 156.6%
     
97,099,776
 
     
Floating Rate Obligations – (9.3)%
     
(5,780,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (51.6)% (5)
     
(32,000,000
     
Other Assets Less Liabilities – 4.3%
     
2,696,534
 
     
Net Assets Applicable to Common Shares – 100%
   
$
62,016,310
 
 
(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 Investor 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. Such investments are normally considered to be equivalent to AAA rated securities.
(5)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 33.0%.
 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.
 
44  Nuveen Investments

 
 

 
 
   
Nuveen Massachusetts Premium Income Municipal Fund
NMT
 
Portfolio of Investments
November 30, 2010 (Unaudited)

 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Consumer Discretionary – 1.1% (0.7% 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)
9/12 at 102.00
Caa3
$
744,748
 
     
Education and Civic Organizations – 33.1% (21.7% of Total Investments)
         
 
375
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29
10/19 at 100.00
A
 
378,709
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 5.000%, 1/01/40
1/20 at 100.00
A–
 
950,030
 
 
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+
 
1,035,783
 
 
830
 
Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A, 6.000%, 3/01/20 – ACA Insured
3/11 at 100.00
BBB
 
832,424
 
 
1,745
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured
7/15 at 100.00
AA+
 
1,798,589
 
 
1,500
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured
No Opt. Call
A
 
1,610,625
 
 
4,900
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 5.000%, 1/01/42 – AGC Insured (UB)
1/18 at 100.00
AA+
 
4,842,621
 
 
1,090
 
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/29
No Opt. Call
A2
 
1,259,593
 
 
1,550
 
Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2002A, 5.000%, 1/01/13 – AMBAC Insured (Alternative Minimum Tax)
1/12 at 100.00
AA
 
1,590,471
 
 
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–
 
2,180,300
 
 
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
 
1,023,190
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26
7/13 at 100.00
Aaa
 
520,450
 
 
555
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series 2003H, 5.000%, 7/01/21
7/13 at 100.00
AAA
 
600,948
 
 
1,380
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31
7/16 at 100.00
AAA
 
1,417,812
 
 
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
 
489,550
 
 
1,645
 
Massachusetts Industrial Finance Agency, Revenue Bonds, Whitehead Institute for Biomedical Research, Series 1993, 5.125%, 7/01/26
1/11 at 100.00
Aa1
 
1,646,217
 
 
375
 
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
2/11 at 100.00
BBB–
 
375,244
 
 
21,990
 
Total Education and Civic Organizations
     
22,552,556
 
     
Health Care – 25.6% (16.8% of Total Investments)
         
 
1,250
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31
10/11 at 101.00
BBB+
 
1,262,775
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 – RAAI Insured
11/11 at 101.00
BBB
 
916,750
 
     
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
 
2,346,736
 
 
770
 
5.375%, 2/01/28 – NPFG Insured
8/18 at 100.00
A
 
779,833
 
 
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
 
1,521,045
 
 
Nuveen Investments  45

 
 

 
 
   
Nuveen Massachusetts Premium Income Municipal Fund (continued)
NMT
 
Portfolio of Investments November 30, 2010 (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
$
1,045,480
 
 
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
 
750,908
 
 
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+
 
1,024,350
 
 
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+
 
2,015,580
 
 
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–
 
495,197
 
 
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–
 
752,550
 
 
750
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 – NPFG Insured
1/11 at 100.00
A
 
746,745
 
 
75
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32
7/11 at 101.00
AA
 
76,242
 
 
375
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32
7/11 at 100.00
BBB+
 
377,591
 
 
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
BBB+
 
1,353,907
 
 
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
 
2,006,580
 
 
17,985
 
Total Health Care
     
17,472,269
 
     
Housing/Multifamily – 6.9% (4.5% of Total Investments)
         
 
1,315
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48
7/17 at 100.00
BB
 
1,262,992
 
 
1,755
 
Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31
12/10 at 101.00
N/R
 
1,664,688
 
 
500
 
Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax)
6/13 at 100.00
AA–
 
501,630
 
 
215
 
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
 
217,483
 
 
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
 
1,043,670
 
 
4,785
 
Total Housing/Multifamily
     
4,690,463
 
     
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
 
1,400,175
 
 
985
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust 3145, 14.149%, 6/01/16 (IF)
No Opt. Call
Aa2
 
1,070,547
 
 
2,485
 
Total Housing/Single Family
     
2,470,722
 
     
Industrials – 1.0% (0.6% of Total Investments)
         
 
265
 
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
 
254,135
 
 
400
 
Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14
No Opt. Call
BBB
 
422,464
 
 
665
 
Total Industrials
     
676,599
 
 
46  Nuveen Investments

 
 

 
 
 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Long-Term Care – 7.2% (4.7% of Total Investments)
         
$
1,270
 
Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31
4/11 at 103.00
AAA
$
1,309,154
 
 
185
 
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30
12/19 at 100.00
A–
 
184,012
 
 
1,685
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26
10/12 at 102.00
N/R
 
1,411,659
 
 
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
 
1,576,350
 
 
400
 
Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement Community, Series 1994B, 4.750%, 7/01/17
1/11 at 101.00
BBB
 
396,864
 
 
5,040
 
Total Long-Term Care
     
4,878,039
 
     
Tax Obligation/General – 17.0% (11.2% of Total Investments)
         
 
500
 
Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured
5/15 at 100.00
Aa2
 
531,470
 
 
600
 
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17
1/15 at 100.00
Aaa
 
673,536
 
 
1,000
 
Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – AGM Insured
2/13 at 101.00
AA+
 
1,037,300
 
 
2,500
 
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21
No Opt. Call
Aa1
 
3,050,975
 
 
1,275
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2001D, 6.000%, 11/01/13 – NPFG Insured
No Opt. Call
Aa1
 
1,458,154
 
 
980
 
Monson, Massachusetts, General Obligation Bonds, Series 2002, 5.250%, 5/15/22 – AMBAC Insured
5/12 at 101.00
A1
 
1,038,869
 
 
1,260
 
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured
No Opt. Call
AAA
 
1,487,191
 
 
1,000
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 – FGIC Insured
No Opt. Call
A3
 
1,037,850
 
 
1,220
 
Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 – FGIC Insured
7/15 at 100.00
A1
 
1,307,559
 
 
10,335
 
Total Tax Obligation/General
     
11,622,904
 
     
Tax Obligation/Limited – 14.1% (9.3% 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
 
212,755
 
 
975
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 5.000%, 7/01/26
7/18 at 100.00
AAA
 
1,056,461
 
 
385
 
Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21
No Opt. Call
AAA
 
456,718
 
 
550
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 – NPFG Insured
5/14 at 100.00
Aa2
 
599,693
 
 
325
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 – AMBAC Insured
5/16 at 100.00
Aa2
 
332,647
 
 
1,200
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – AGC Insured
5/18 at 100.00
AA+
 
1,231,740
 
 
1,000
 
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 5.375%, 5/01/23 – SYNCORA GTY Insured
No Opt. Call
Aa2
 
1,155,280
 
 
1,300
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/20 – AGM Insured
8/15 at 100.00
AA+
 
1,442,545
 
 
540
 
Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured
No Opt. Call
A1
 
599,454
 
 
1,000
 
Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 – AGM Insured
No Opt. Call
AA+
 
1,113,510
 
 
240
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 0.000%, 7/01/43 – AMBAC Insured
No Opt. Call
A3
 
26,026
 
 
1,300
 
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19 – NPFG Insured
No Opt. Call
A
 
1,394,562
 
 
9,025
 
Total Tax Obligation/Limited
     
9,621,391
 
 
Nuveen Investments  47

 
 

 
 
   
Nuveen Massachusetts Premium Income Municipal Fund (continued)
NMT
 
Portfolio of Investments November 30, 2010 (Unaudited)
 
 
Principal
   
Optional Call
       
 
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
 
Value
 
     
Transportation – 11.0% (7.2% of Total Investments)
         
$
500
 
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30
7/20 at 100.00
AA–
$
520,655
 
 
2,000
 
Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 – NPFG Insured
7/13 at 100.00
AA–
 
2,045,060
 
 
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
A
 
924,740
 
 
225
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 – AMBAC
Insured (Alternative Minimum Tax)
1/11 at 101.00
N/R
 
180,284
 
 
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)
3/11 at 100.00
A
 
3,809,597
 
 
7,725
 
Total Transportation
     
7,480,336
 
     
U.S. Guaranteed – 16.8% (11.0% of Total Investments) (4)
         
 
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 (4)
 
748,339
 
 
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
 
29,953
 
 
2,500
 
Massachusetts Development Finance Authority, GNMA Collateralized Revenue Bonds, VOA Concord Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 (Pre-refunded 10/20/11)
10/11 at 105.00
N/R (4)
 
2,755,400
 
 
500
 
Massachusetts Development Finance Authority, Revenue Bonds, Belmont Hills School, Series 2001, 5.375%, 9/01/23 (Pre-refunded 9/01/11)
9/11 at 101.00
A (4)
 
523,965
 
 
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 (4)
 
1,138,870
 
 
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– (4)
 
834,458
 
 
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
A (4)
 
457,084
 
 
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
Baa2 (4)
 
1,096,520
 
 
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 (4)
 
640,410
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, University of Massachusetts – Worcester Campus, Series 2001B, 5.250%, 10/01/31 (Pre-refunded 10/01/11) – FGIC Insured
10/11 at 100.00
A+ (4)
 
1,041,340
 
 
420
 
Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM)
1/11 at 100.00
AAA
 
498,330
 
 
1,500
 
Massachusetts, 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 (4)
 
1,685,190
 
 
10,355
 
Total U.S. Guaranteed
     
11,449,859
 
     
Utilities – 3.0% (2.0% 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
A
 
1,029,610
 
 
1,000
 
Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
12/10 at 100.00
BBB
 
1,002,400
 
 
2,000
 
Total Utilities
     
2,032,010
 
     
Water and Sewer – 12.0% (7.9% 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+
 
538,155
 
 
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+
 
2,106,300
 
 
60
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22
8/13 at 100.00
AAA
 
62,765
 
 
285
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10, 5.000%, 8/01/26
8/14 at 100.00
AAA
 
288,984
 

48  Nuveen Investments

 
 

 

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Water and Sewer (continued)
         
$
750
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11, 4.500%, 8/01/29
8/15 at 100.00
AAA
$
754,823
 
 
1,000
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 4.375%, 8/01/31
8/16 at 100.00
AAA
 
991,880
 
 
1,250
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20
8/12 at 100.00
AAA
 
1,332,888
 
 
1,500
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28 – NPFG Insured
8/17 at 100.00
AA+
 
1,585,620
 
 
625
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46
8/16 at 100.00
AA+
 
550,906
 
 
7,970
 
Total Water and Sewer
     
8,212,321
 
$
101,785
 
Total Investments (cost $103,055,032) – 152.4%
     
103,904,217
 
     
Floating Rate Obligations – (3.6)%
     
(2,450,000
)
     
MuniFund Term Preferred Shares, at Liquidation Value – (29.6)% (5)
     
(20,210,000
)
     
Other Assets Less Liabilities – 1.9%
     
1,345,326
 
     
Auction Rate Preferred Shares, at Liquidation Value – (21.1)% (5)
     
(14,400,000
)
     
Net Assets Applicable to Common Shares – 100%
   
$
68,189,543
 
 
(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 Investor 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. Such investments are normally considered to be equivalent to AAA rated securities.
(5)
 
MuniFund Term Preferred Shares and Auction Rate Preferred Shares, at Liquidation Value as a percentage of Total Investments are 19.5% and 13.9%, respectively.
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.
 
Nuveen Investments 49

 
 

 
 

   
Nuveen Massachusetts Dividend Advantage Municipal Fund
NMB
 
Portfolio of Investments
November 30, 2010 (Unaudited)

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Consumer Discretionary – 0.9% (0.6% 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)
9/12 at 102.00
Caa3
$
250,862
 
     
Education and Civic Organizations – 45.6% (29.8% of Total Investments)
         
 
375
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29
10/19 at 100.00
A
 
378,709
 
 
400
 
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 5.000%, 1/01/40
1/20 at 100.00
A–
 
380,012
 
 
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+
 
446,031
 
 
495
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured
7/15 at 100.00
AA+
 
510,201
 
 
500
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured
No Opt. Call
A
 
536,875
 
 
2,100
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 5.000%, 1/01/42 – AGC Insured (UB)
1/18 at 100.00
AA+
 
2,075,409
 
 
1,000
 
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/59
5/29 at 105.00
A2
 
1,109,710
 
 
990
 
Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2001E, 5.300%, 1/01/16 – AMBAC Insured (Alternative Minimum Tax)
1/11 at 100.00
AA
 
991,643
 
 
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–
 
1,090,150
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, Series 2010, 5.500%, 10/15/31
10/19 at 100.00
Baa1
 
511,595
 
 
2,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36
2/11 at 100.00
Aa2
 
2,003,056
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College Issues, Series 2010F, 5.000%, 1/01/41
No Opt. Call
A2
 
1,476,990
 
 
590
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31
7/16 at 100.00
AAA
 
606,166
 
 
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
 
506,900
 
 
12,400
 
Total Education and Civic Organizations
     
12,623,447
 
     
Health Care – 27.6% (18.0% of Total Investments)
         
 
500
 
Massachusetts Health and Educational Facilities Authority Revenue Bonds, Quincy Medical Center Issue, Series 2008A, 6.500%, 1/15/38
1/18 at 100.00
N/R
 
434,080
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31
10/11 at 101.00
BBB+
 
505,110
 
 
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
 
790,748
 
 
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
 
507,015
 
 
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
 
1,045,480
 
 
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
 
299,640
 
     
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
 
482,994
 
 
315
 
5.000%, 8/15/35 – RAAI Insured
8/15 at 100.00
N/R
 
252,980
 
 
50 Nuveen Investments

 
 

 


 
 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Health Care (continued)
         
$
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+
$
614,610
 
 
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+
 
1,007,790
 
 
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–
 
245,482
 
 
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–
 
376,275
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire Community Services Inc., Series 2004B, 6.375%, 7/01/34
7/14 at 100.00
CCC
 
258,650
 
 
35
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32
7/11 at 101.00
AA
 
35,580
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32
7/11 at 100.00
BBB+
 
503,455
 
 
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
BBB+
 
267,034
 
 
8,145
 
Total Health Care
     
7,626,923
 
     
Housing/Multifamily – 11.7% (7.6% 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
 
542,654
 
 
500
 
Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax)
6/13 at 100.00
AA–
 
501,630
 
 
1,135
 
Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2001A, 5.850%, 7/01/35 – AMBAC Insured (Alternative Minimum Tax)
1/11 at 100.00
N/R
 
1,134,887
 
 
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
 
1,043,670
 
 
3,200
 
Total Housing/Multifamily
     
3,222,841
 
     
Housing/Single Family – 4.1% (2.6% 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
 
606,743
 
 
480
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust 3145, 15.203%, 6/01/16 (IF)
No Opt. Call
AA
 
518,539
 
 
1,130
 
Total Housing/Single Family
     
1,125,282
 
     
Industrials – 1.2% (0.8% of Total Investments)
         
 
125
 
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
 
119,875
 
 
200
 
Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14
No Opt. Call
BBB
 
211,232
 
 
325
 
Total Industrials
     
331,107
 
     
Long-Term Care – 8.8% (5.7% 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–
 
99,466
 
 
725
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26
10/12 at 102.00
N/R
 
607,391
 
 
655
 
Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire Retirement Community – Edgecombe Project, Series 2001A, 6.750%, 7/01/21
7/11 at 102.00
BBB
 
669,541
 
 
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
 
1,050,900
 
 
2,480
 
Total Long-Term Care
     
2,427,298
 
 
Nuveen Investments 51

 
 

 
 
   
Nuveen Massachusetts Dividend Advantage Municipal Fund (continued)
NMB
 
Portfolio of Investments November 30, 2010 (Unaudited)

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Tax Obligation/General – 6.9% (4.5% of Total Investments)
         
$
310
 
Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured
5/15 at 100.00
Aa2
$
329,511
 
 
440
 
Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – AGM Insured
2/13 at 101.00
AA+
 
456,412
 
 
500
 
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured
No Opt. Call
AAA
 
590,155
 
 
500
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 – FGIC Insured
No Opt. Call
A3
 
518,925
 
 
1,750
 
Total Tax Obligation/General
     
1,895,003
 
     
Tax Obligation/Limited – 11.7% (7.7% 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
 
400,182
 
 
385
 
Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21
No Opt. Call
AAA
 
456,718
 
 
230
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 – NPFG Insured
5/14 at 100.00
Aa2
 
250,781
 
 
250
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 – AMBAC Insured
5/16 at 100.00
Aa2
 
255,883
 
 
550
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – AGC Insured
5/18 at 100.00
AA+
 
564,548
 
 
500
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/20 – AGM Insured
8/15 at 100.00
AA+
 
554,825
 
 
230
 
Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured
No Opt. Call
A1
 
255,323
 
 
500
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A, 6.375%, 10/01/19
4/11 at 101.00
BBB+
 
505,970
 
 
3,040
 
Total Tax Obligation/Limited
     
3,244,230
 
     
Transportation – 3.2% (2.1% of Total Investments)
         
 
500
 
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30
7/20 at 100.00
AA–
 
520,655
 
 
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
A
 
369,896
 
 
900
 
Total Transportation
     
890,551
 
     
U.S. Guaranteed – 16.8% (11.0% of Total Investments) (4)
         
 
1,000
 
Boston, Massachusetts, General Obligation Bonds, Series 2001A, 5.000%, 2/01/20 (Pre-refunded 2/01/11)
2/11 at 100.00
Aaa
 
1,008,060
 
 
1,675
 
Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 5.000%, 2/01/21 (Pre-refunded 2/01/11) – AMBAC Insured
2/11 at 100.00
Aa2 (4
)
1,688,501
 
 
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– (4
)
556,305
 
 
250
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi Obligated Group, Series 1999A, 5.625%, 7/01/20 (Pre-refunded 1/01/11)
1/11 at 100.00
Baa2 (4
)
251,045
 
 
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 (4
)
85,550
 
 
215
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11)
7/11 at 101.00
AAA
 
223,983
 
 
750
 
Massachusetts, 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 (4
)
842,595
 
 
4,470
 
Total U.S. Guaranteed
     
4,656,039
 
 
52 Nuveen Investments

 
 

 
 

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Utilities – 5.8% (3.8% 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
A
$
1,102,956
 
 
500
 
Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
12/10 at 100.00
BBB
 
501,200
 
 
1,570
 
Total Utilities
     
1,604,156
 
     
Water and Sewer – 8.8% (5.8% 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+
 
558,170
 
 
125
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
Ba2
 
126,563
 
 
500
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11, 4.500%, 8/01/29
8/15 at 100.00
AAA
 
503,215
 
 
400
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 4.375%, 8/01/31
8/16 at 100.00
AAA
 
396,752
 
 
500
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20
8/12 at 100.00
AAA
 
533,155
 
 
105
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29
2/11 at 100.00
AAA
 
105,350
 
 
250
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46
8/16 at 100.00
AA+
 
220,363
 
 
2,410
 
Total Water and Sewer
     
2,443,568
 
$
42,300
 
Total Investments (cost $42,620,016) – 153.1%
     
42,341,307
 
     
Floating Rate Obligations – (3.8)%
     
(1,050,000
)
     
MuniFund Term Preferred Shares, at Liquidation Value – (53.2)% (5)
     
(14,725,000
)
     
Other Assets Less Liabilities – 3.9%
     
1,096,394
 
     
Net Assets Applicable to Common Shares – 100%
   
$
27,662,701
 
 
(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 Investor 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. Such investments are normally considered to be equivalent to AAA rated securities.
(5)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 34.8%.
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.
 
Nuveen Investments 53

 
 

 
 

   
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund
NGX
 
Portfolio of Investments
November 30, 2010 (Unaudited)

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Education and Civic Organizations – 26.2% (16.7% of Total Investments)
         
$
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
$
1,135,885
 
 
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+
 
594,708
 
 
1,250
 
Massachusetts Development Finance Authority, Revenue Bonds, Middlesex School, Series 2003, 5.000%, 9/01/33
9/13 at 100.00
A1
 
1,257,088
 
 
1,000
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured
No Opt. Call
A
 
1,073,750
 
 
3,000
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 5.000%, 1/01/42 – AGC Insured (UB)
1/18 at 100.00
AA+
 
2,964,870
 
 
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–
 
1,801,450
 
 
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
 
1,468,650
 
 
10,235
 
Total Education and Civic Organizations
     
10,296,401
 
     
Health Care – 16.9% (10.8% 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+
 
496,505
 
 
455
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 – NPFG Insured
1/11 at 100.00
A
 
446,669
 
     
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
 
459,144
 
 
600
 
5.375%, 2/01/27 – NPFG Insured
8/18 at 100.00
A
 
608,418
 
 
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
 
1,519,155
 
 
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–
 
495,197
 
 
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–
 
150,510
 
 
2,400
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 – FGIC Insured
5/12 at 100.00
N/R
 
2,247,888
 
 
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
BBB+
 
234,240
 
 
6,940
 
Total Health Care
     
6,657,726
 
     
Housing/Multifamily – 11.5% (7.3% 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+
 
532,635
 
 
760
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48
7/17 at 100.00
BB
 
729,942
 
 
2,000
 
Massachusetts Housing Finance Agency, Housing Bonds, Series 2003H, 5.125%, 6/01/43
12/12 at 100.00
AA–
 
2,001,500
 
 
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+
 
1,267,416
 
 
4,525
 
Total Housing/Multifamily
     
4,531,493
 
     
Industrials – 7.3% (4.7% 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
A
 
1,468,112
 
 
1,500
 
5.125%, 2/01/34 – NPFG Insured
2/12 at 100.00
A
 
1,422,000
 
 
2,975
 
Total Industrials
     
2,890,112
 
 
54 Nuveen Investments

 
 

 
 

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Long-Term Care – 4.8% (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
AAA
$
1,888,968
 
     
Tax Obligation/General – 12.8% (8.2% of Total Investments)
         
 
1,280
 
Littleton, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 1/15/21 – FGIC Insured
1/13 at 101.00
AA
 
1,329,178
 
 
1,500
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2004B,
   5.250%, 8/01/21 – AGM Insured
No Opt. Call
AA+
 
1,771,560
 
 
1,705
 
North Attleborough, Massachusetts, General Obligation Bonds, Series 2004, 5.000%, 7/15/15 – FGIC Insured
7/14 at 101.00
Aa2
 
1,936,556
 
 
4,485
 
Total Tax Obligation/General
     
5,037,294
 
     
Tax Obligation/Limited – 17.8% (11.4% 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
 
3,015,480
 
 
750
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – AGC Insured
5/18 at 100.00
AA+
 
769,838
 
 
2,790
 
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003A, 5.250%, 5/01/22 – SYNCORA GTY Insured
5/13 at 100.00
Aa2
 
2,898,754
 
 
300
 
Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured
No Opt. Call
A1
 
333,030
 
 
6,840
 
Total Tax Obligation/Limited
     
7,017,102
 
     
Transportation – 2.6% (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–
 
1,022,530
 
     
U.S. Guaranteed – 35.3% (22.6% 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
 
2,141,180
 
 
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
)
577,430
 
 
100
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 (Pre-refunded 5/15/12) – FGIC Insured
5/12 at 100.00
N/R (4
)
106,192
 
 
415
 
Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM)
1/11 at 100.00
AAA
 
492,398
 
 
2,000
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2001D, 5.000%, 11/01/20 (Pre-refunded 11/01/11) – NPFG Insured
11/11 at 100.00
Aa1 (4
)
2,084,880
 
 
1,000
 
Massachusetts, 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
)
1,123,460
 
 
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
Aa2 (4
)
1,606,815
 
 
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
)
3,286,377
 
 
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
A+ (4
)
2,491,859
 
 
12,655
 
Total U.S. Guaranteed
     
13,910,591
 
     
Utilities – 2.2% (1.4% of Total Investments)
         
 
900
 
Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 – AGM Insured
10/20 at 100.00
AA+
 
872,784
 
     
Water and Sewer – 19.0% (12.1% 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
 
1,901,045
 
 
600
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 4.375%, 8/01/31
8/16 at 100.00
AAA
 
595,128
 
 
1,000
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 8/01/19 – AGM Insured
No Opt. Call
AA+
 
1,195,890
 
 
Nuveen Investments 55

 
 

 


 
   
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (continued)
NGX
 
Portfolio of Investments November 30, 2010 (Unaudited)

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Water and Sewer (continued)
         
$
1,000
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2004D, 5.000%, 8/01/24 – NPFG Insured
8/13 at 100.00
AA+
$
1,065,070
 
     
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A:
         
 
1,500
 
5.000%, 8/01/31 – AMBAC Insured
8/16 at 100.00
AA+
 
1,554,150
 
 
125
 
4.000%, 8/01/46
8/16 at 100.00
AA+
 
110,181
 
 
500
 
Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Refunding Series 2010B, 5.000%, 11/15/30 – AGC Insured
No Opt. Call
AA+
 
528,310
 
 
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+
 
541,456
 
 
7,120
 
Total Water and Sewer
     
7,491,230
 
$
59,425
 
Total Investments (cost $60,155,255) – 156.4%
     
61,616,231
 
     
Floating Rate Obligations – (3.8)%
     
(1,500,000
)
     
MuniFund Term Preferred Shares, at Liquidation Value – (56.1)% (5)
     
(22,075,000
)
     
Other Assets Less Liabilities – 3.5%
     
1,343,243
 
     
Net Assets Applicable to Common Shares – 100%
   
$
39,384,474
 
 
   
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 Investor 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. Such investments are normally considered to be equivalent to AAA rated securities.
(5)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 35.8%.
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.
 
56 Nuveen Investments

 
 

 
 

   
Nuveen Missouri Premium Income Municipal Fund
NOM
 
Portfolio of Investments
November 30, 2010 (Unaudited)

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Consumer Staples – 3.3% (2.1% 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–
$
1,011,130
 
     
Education and Civic Organizations – 2.0% (1.3% of Total Investments)
         
 
250
 
Lincoln University, Missouri, Auxiliary System Revenue Bonds, Series 2007, 5.125%, 6/01/37 – AGC Insured
6/17 at 100.00
AA+
 
250,138
 
 
365
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Webster University, Series 2001, 5.500%, 4/01/18 – NPFG Insured
4/11 at 100.00
A3
 
367,712
 
 
615
 
Total Education and Civic Organizations
     
617,850
 
     
Health Care – 29.9% (19.3% of Total Investments)
         
 
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
N/R
 
703,585
 
 
930
 
Cass County, Missouri, Hospital Revenue Bonds, Series 2007, 5.625%, 5/01/38
11/16 at 100.00
N/R
 
815,712
 
 
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
 
335,213
 
 
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+
 
723,203
 
 
500
 
Missouri Health & Educational Facilities Authority, St. Luke’s Episcopal – Presbyterian Hospitals Revenue Bonds, Series 2001, 5.250%, 12/01/26 – AGM Insured
6/11 at 101.00
AA+
 
503,045
 
 
2,000
 
Missouri Health and Educational Facilities Authority, Health Facility Revenue Bonds, St. Lukes’s Health System, Series 2010A, 5.000%, 11/15/30
11/20 at 100.00
A+
 
1,980,020
 
     
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
 
1,523,655
 
 
1,155
 
5.250%, 5/15/32
5/13 at 100.00
AA
 
1,158,927
 
 
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+
 
503,150
 
 
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
N/R
 
678,737
 
 
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
 
298,249
 
 
9,645
 
Total Health Care
     
9,223,496
 
     
Housing/Multifamily – 3.4% (2.2% of Total Investments)
         
 
385
 
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)
12/11 at 100.00
N/R
 
385,296
 
 
165
 
Missouri Housing Development Commission, Multifamily Housing Revenue Bonds, Series 2001II, 5.250%, 12/01/16
12/11 at 100.00
AA
 
168,587
 
 
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)
4/11 at 100.00
AAA
 
500,160
 
 
1,050
 
Total Housing/Multifamily
     
1,054,043
 
 
Nuveen Investments 57

 
 

 
 
 
   
Nuveen Missouri Premium Income Municipal Fund (continued)
NOM
 
Portfolio of Investments November 30, 2010 (Unaudited)

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Housing/Single Family – 4.0% (2.5% of Total Investments)
         
$
60
 
Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax)
3/11 at 100.00
AAA
$
61,225
 
 
430
 
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
AAA
 
428,147
 
 
755
 
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
AAA
 
725,842
 
 
1,245
 
Total Housing/Single Family
     
1,215,214
 
     
Long-Term Care – 8.3% (5.3% 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
N/R
 
1,675,485
 
 
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
N/R
 
412,438
 
 
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
N/R
 
466,155
 
 
2,725
 
Total Long-Term Care
     
2,554,078
 
     
Materials – 2.2% (1.4% 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
BBB–
 
679,718
 
     
Tax Obligation/General – 30.8% (19.9% 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 (4)
No Opt. Call
AA+
 
1,631,925
 
 
1,685
 
Independence School District, Jackson County, Missouri, General Obligation Bonds, Series 2010, 5.000%, 3/01/27
3/20 at 100.00
AA+
 
1,833,853
 
 
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+
 
525,215
 
 
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+
 
528,435
 
 
1,630
 
North Kansas City School District, Missouri, General Obligation Bonds, Series 2003A, 5.000%, 3/01/23
3/13 at 100.00
AA+
 
1,740,384
 
 
1,000
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series
   2002A, 5.500%, 7/01/20 – NPFG Insured
No Opt. Call
A
 
1,066,300
 
 
1,800
 
Ritenour Consolidated School District, St. Louis County, Missouri, General Obligation Bonds, Series 1995, 7.375%, 2/01/12 – FGIC Insured
No Opt. Call
Aa2
 
1,877,382
 
 
270
 
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+
 
296,239
 
 
8,885
 
Total Tax Obligation/General
     
9,499,733
 
     
Tax Obligation/Limited – 21.7% (14.0% of Total Investments)
         
 
600
 
Chesterfield, Missouri, Certificates of Participation, Series 2005, 5.000%,
12/01/24 – FGIC Insured
12/15 at 100.00
Aa1
 
617,634
 
 
80
 
Cottleville, Missouri, Certificates of Participation, Series 2006, 5.250%, 8/01/31
8/14 at 100.00
N/R
 
69,858
 
 
320
 
Fenton, Missouri, Tax Increment Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2006, 4.500%, 4/01/21
4/14 at 100.00
N/R
 
311,213
 
 
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
 
246,919
 
 
475
 
Kansas City Tax Increment Financing District, Missouri, Tax Increment Revenue Bonds, Briarcliff West Project, Series 2006A, 5.400%, 6/01/24
6/14 at 102.00
N/R
 
402,306
 
 
58 Nuveen Investments

 
 

 
 

 
Principal
Amount (000)
 
Description (1)
Optional Call
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
$
334,105
 
 
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
 
403,745
 
 
450
 
Monarch-Chesterfield Levee District, St. Louis County, Missouri, Levee District Improvement Bonds, Series 1999, 5.750%, 3/01/19 – NPFG Insured
3/11 at 100.00
A
 
454,464
 
 
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
 
412,455
 
 
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
 
615,174
 
 
2,000
 
Springfield Public Building Corporation, Missouri, Lease Revenue Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 – AMBAC Insured
12/10 at 100.00
N/R
 
2,002,380
 
     
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
 
301,298
 
 
400
 
5.500%, 11/01/27
11/14 at 100.00
N/R
 
347,812
 
 
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
 
171,218
 
 
7,055
 
Total Tax Obligation/Limited
     
6,690,581
 
     
Transportation – 17.1% (11.0% 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)
4/11 at 101.00
A
 
501,715
 
 
1,000
 
St. Louis Land Clearance Redevelopment Authority, Missouri, Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19
3/11 at 101.00
N/R
 
999,920
 
 
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
 
1,088,750
 
 
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+
 
2,692,900
 
 
5,000
 
Total Transportation
     
5,283,285
 
     
U.S. Guaranteed – 21.1% (13.6% of Total Investments) (5)
         
 
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
N/R (5
)
748,369
 
 
2,500
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, SSM Healthcare System, Series 2001A, 5.250%, 6/01/28 (Pre-refunded 6/01/11) – AMBAC Insured
6/11 at 101.00
AA– (5
)
2,585,500
 
 
1,380
 
Springfield Center City Development Corporation, Missouri, Lease Revenue Bonds, Jordan Valley Park Parking Garage, Series 2002D, 5.000%, 11/01/22 (Pre-refunded 11/01/11) – AMBAC Insured
11/11 at 100.00
Aa3 (5
)
1,437,518
 
 
80
 
St. Louis County Pattonville School District R3, Missouri, General Obligation Bonds, Series 2004, 5.250%, 3/01/20 (Pre-refunded 3/01/14) – AGM Insured
3/14 at 100.00
AA+ (5
)
90,867
 
 
500
 
St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) (ETM)
No Opt. Call
AAA
 
578,945
 
 
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 (5
)
1,063,030
 
 
6,145
 
Total U.S. Guaranteed
     
6,504,229
 
     
Utilities – 1.7% (1.1% of Total Investments)
         
 
530
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010XX, 5.250%, 7/01/40
7/20 at 100.00
A3
 
524,477
 
 
Nuveen Investments 59

 
 

 


 
   
Nuveen Missouri Premium Income Municipal Fund (continued)
NOM
 
Portfolio of Investments November 30, 2010 (Unaudited)

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
Ratings (3)
 
Value
 
     
Water and Sewer – 9.7% (6.3% of Total Investments)
         
$
2,965
 
Missouri Environmental Improvement and Energy Resources Authority, Water Facility Revenue Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 – BHAC Insured (Alternative Minimum Tax) (UB)
12/16 at 100.00
AA+
$
2,629,214
 
 
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
 
372,652
 
 
3,315
 
Total Water and Sewer
     
3,001,866
 
$
47,960
 
Total Investments (cost $48,314,693) – 155.2%
     
47,859,700
 
     
Floating Rate Obligations – (7.2)%
     
(2,225,000
)
     
MuniFund Term Preferred Shares, at Liquidation Value – (58.0)% (6)
     
(17,880,000
)
     
Other Assets Less Liabilities – 10.0%
     
3,081,222
 
     
Net Assets Applicable to Common Shares – 100%
   
$
30,835,922
 
 
(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 Investor 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. Such investments are normally considered to be equivalent to AAA rated securities.
(6)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 37.4%.
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.
 
60 Nuveen Investments

 
 

 
 

   
Statement of
   
Assets & Liabilities
November 30, 2010 (Unaudited)
 
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Assets
                         
Investments, at value (cost $114,202,210, $59,731,487, $51,683,828 and $96,554,649, respectively)
 
$
115,716,532
 
$
60,470,194
 
$
52,742,868
 
$
97,099,776
 
Cash
   
739,835
   
691,495
   
1,062,668
   
1,212,235
 
Cash equivalents
   
   
   
   
 
Receivables:
                         
Interest
   
1,693,241
   
824,454
   
718,709
   
1,432,700
 
Investments sold
   
1,006,028
   
   
   
 
Deferred offering costs
   
459,521
   
491,051
   
436,667
   
630,553
 
Other assets
   
21,510
   
9,422
   
31,358
   
11,134
 
Total assets
   
119,636,667
   
62,486,616
   
54,992,270
   
100,386,398
 
Liabilities
                         
Cash overdraft
   
   
   
   
 
Floating rate obligations
   
7,965,000
   
3,820,000
   
3,460,000
   
5,780,000
 
Payables:
                         
Auction Rate Preferred shares noticed for redemption, at liquidation value
   
   
   
   
 
Auction Rate Preferred share dividends
   
1,268
   
   
   
 
Common share dividends
   
285,293
   
155,189
   
146,152
   
238,883
 
Interest
   
40,415
   
44,348
   
36,722
   
70,674
 
Offering costs
   
199,815
   
202,286
   
192,286
   
215,182
 
MuniFund Term Preferred shares, at liquidation value
   
18,300,000
   
20,470,000
   
16,950,000
   
32,000,000
 
Accrued expenses:
                         
Management fees
   
60,497
   
29,081
   
23,364
   
51,015
 
Other
   
34,434
   
12,101
   
9,842
   
14,334
 
Total liabilities
   
26,886,722
   
24,733,005
   
20,818,366
   
38,370,088
 
Auction Rate Preferred shares, at liquidation value
   
15,725,000
   
   
   
 
Net assets applicable to Common shares
 
$
77,024,945
 
$
37,753,611
 
$
34,173,904
 
$
62,016,310
 
Common shares outstanding
   
5,365,029
   
2,586,033
   
2,320,177
   
4,367,134
 
Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding)
 
$
14.36
 
$
14.60
 
$
14.73
 
$
14.20
 
Net assets applicable to Common shares consist of:
                         
Common shares, $.01 par value per share
 
$
53,650
 
$
25,860
 
$
23,202
 
$
43,671
 
Paid-in surplus
   
74,482,375
   
36,666,461
   
32,838,376
   
61,584,748
 
Undistributed (Over-distribution of) net investment income
   
974,470
   
356,861
   
298,622
   
344,448
 
Accumulated net realized gain (loss)
   
128
   
(34,278
)
 
(45,336
)
 
(501,684
)
Net unrealized appreciation (depreciation)
   
1,514,322
   
738,707
   
1,059,040
   
545,127
 
Net assets applicable to Common shares
 
$
77,024,945
 
$
37,753,611
 
$
34,173,904
 
$
62,016,310
 
Authorized shares:
                         
Common
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
Auction Rate Preferred
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
MuniFund Term Preferred
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 61

 
 

 
 
 
   
Statement of
   
Assets & Liabilities (Unaudited) (continued)

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Assets
                         
Investments, at value (cost $103,055,032, $42,620,016, $60,155,255 and $48,314,693, respectively)
 
$
103,904,217
 
$
42,341,307
 
$
61,616,231
 
$
47,859,700
 
Cash
   
   
211,344
   
378,235
   
1,276,160
 
Cash equivalents(1)
   
   
   
   
16,003,015
 
Receivables:
                         
Interest
   
1,744,893
   
775,548
   
900,107
   
777,801
 
Investments sold
   
20,000
   
   
   
934,294
 
Deferred offering costs
   
483,527
   
401,679
   
480,165
   
591,082
 
Other assets
   
18,484
   
7,881
   
32,395
   
13,279
 
Total assets
   
106,171,121
   
43,737,759
   
63,407,133
   
67,455,331
 
Liabilities
                         
Cash overdraft
   
280,700
   
   
   
 
Floating rate obligations
   
2,450,000
   
1,050,000
   
1,500,000
   
2,225,000
 
Payables:
                         
Auction Rate Preferred shares noticed for redemption, at liquidation value
   
   
   
   
16,000,000
 
Auction Rate Preferred share dividends
   
1,339
   
   
   
969
 
Common share dividends
   
286,010
   
131,046
   
168,021
   
138,363
 
Interest
   
44,634
   
31,901
   
48,754
   
22,946
 
Offering costs
   
229,925
   
109,189
   
190,950
   
317,424
 
MuniFund Term Preferred shares, at liquidation value
   
20,210,000
   
14,725,000
   
22,075,000
   
17,880,000
 
Accrued expenses:
                         
Management fees
   
53,745
   
20,417
   
28,048
   
24,938
 
Other
   
25,225
   
7,505
   
11,886
   
9,769
 
Total liabilities
   
23,581,578
   
16,075,058
   
24,022,659
   
36,619,409
 
Auction Rate Preferred shares, at liquidation value
   
14,400,000
   
   
   
 
Net assets applicable to Common shares
 
$
68,189,543
 
$
27,662,701
 
$
39,384,474
 
$
30,835,922
 
Common shares outstanding
   
4,773,801
   
1,965,205
   
2,726,864
   
2,316,388
 
Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding)
 
$
14.28
 
$
14.08
 
$
14.44
 
$
13.31
 
Net assets applicable to Common shares consist of:
                         
Common shares, $.01 par value per share
 
$
47,738
 
$
19,652
 
$
27,269
 
$
23,164
 
Paid-in surplus
   
66,246,786
   
27,784,843
   
38,392,108
   
31,059,937
 
Undistributed (Over-distribution of) net investment income
   
932,051
   
236,600
   
208,839
   
520,398
 
Accumulated net realized gain (loss)
   
113,783
   
(99,685
)
 
(704,718
)
 
(312,584
)
Net unrealized appreciation (depreciation)
   
849,185
   
(278,709
)
 
1,460,976
   
(454,993
)
Net assets applicable to Common shares
 
$
68,189,543
 
$
27,662,701
 
$
39,384,474
 
$
30,835,922
 
Authorized shares:
                         
Common
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
Auction Rate Preferred
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
MuniFund Term Preferred
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
 
(1) Segregated for the payment of Auction Rate Preferred shares noticed for redemption.
 
See accompanying notes to financial statements.
 
62 Nuveen Investments

 
 

 


 
   
Statement of
   
Operations
Six Months Ended November 30, 2010 (Unaudited)
 
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Investment Income
 
$
2,712,704
 
$
1,455,962
 
$
1,257,424
 
$
2,248,898
 
Expenses
                         
Management fees
   
373,675
   
195,316
   
171,559
   
309,684
 
Auction fees
   
11,825
   
   
   
 
Dividend disbursing agent fees
   
5,014
   
   
   
 
Shareholders’ servicing agent fees and expenses
   
5,320
   
1,899
   
1,890
   
1,930
 
Interest expense and amortization of offering costs
   
328,821
   
337,679
   
284,255
   
520,138
 
Custodian’s fees and expenses
   
13,215
   
8,902
   
8,630
   
12,435
 
Trustees’ fees and expenses
   
1,360
   
826
   
731
   
1,152
 
Professional fees
   
7,388
   
5,334
   
5,156
   
6,455
 
Shareholders’ reports — printing and mailing expenses
   
18,063
   
10,128
   
8,358
   
17,726
 
Stock exchange listing fees
   
4,559
   
179
   
161
   
303
 
Investor relations expense
   
4,396
   
2,137
   
1,965
   
3,493
 
Other expenses
   
2,573
   
11,721
   
2,100
   
3,691
 
Total expenses before custodian fee credit and expense reimbursement
   
776,209
   
574,121
   
484,805
   
877,007
 
Custodian fee credit
   
(2,141
)
 
(791
)
 
(800
)
 
(1,988
)
Expense reimbursement
   
   
(15,420
)
 
(27,089
)
 
(25,861
)
Net expenses
   
774,068
   
557,910
   
456,916
   
849,158
 
Net investment income
   
1,938,636
   
898,052
   
800,508
   
1,399,740
 
Realized and Unrealized Gain (Loss)
                         
Net realized gain (loss) from investments
   
27,967
   
(2,130
)
 
6,151
   
(696
)
Change in net unrealized appreciation (depreciation) of investments
   
(1,115,467
)
 
(708,410
)
 
(563,663
)
 
(869,598
)
Net realized and unrealized gain (loss)
   
(1,087,500
)
 
(710,540
)
 
(557,512
)
 
(870,294
)
Distributions to Auction Rate Preferred Shareholders
                         
From net investment income
   
(32,899
)
 
   
   
 
Decrease in net assets applicable to Common shares from distributions to Auction Rate Preferred shareholders
   
(32,899
)
 
   
   
 
Net increase (decrease) in net assets applicable to Common shares from operations
 
$
818,237
 
$
187,512
 
$
242,996
 
$
529,446
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 63

 
 

 
 
 
   
Statement of
   
Operations (Unaudited) (continued)

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Investment Income
 
$
2,644,754
 
$
1,110,832
 
$
1,453,464
 
$
1,249,376
 
Expenses
                         
Management fees
   
332,109
   
137,213
   
193,120
   
152,104
 
Auction fees
   
10,830
   
   
   
12,032
 
Dividend disbursing agent fees
   
5,014
   
   
   
5,014
 
Shareholders’ servicing agent fees and expenses
   
3,717
   
1,572
   
1,621
   
1,668
 
Interest expense and amortization of offering costs
   
333,772
   
241,257
   
353,968
   
34,424
 
Custodian’s fees and expenses
   
12,869
   
7,015
   
7,074
   
7,220
 
Trustees’ fees and expenses
   
1,261
   
520
   
755
   
576
 
Professional fees
   
7,145
   
4,920
   
5,494
   
5,476
 
Shareholders’ reports — printing and mailing expenses
   
18,368
   
8,310
   
10,724
   
7,105
 
Stock exchange listing fees
   
4,559
   
136
   
189
   
160
 
Investor relations expense
   
4,112
   
1,722
   
2,377
   
1,983
 
Other expenses
   
3,029
   
11,405
   
4,355
   
5,094
 
Total expenses before custodian fee credit and expense reimbursement
   
736,785
   
414,070
   
579,677
   
232,856
 
Custodian fee credit
   
(61
)
 
(186
)
 
(798
)
 
(156
)
Expense reimbursement
   
   
(10,833
)
 
(24,399
)
 
 
Net expenses
   
736,724
   
403,051
   
554,480
   
232,700
 
Net investment income
   
1,908,030
   
707,781
   
898,984
   
1,016,676
 
Realized and Unrealized Gain (Loss)
                         
Net realized gain (loss) from investments
   
(77,740
)
 
(169,511
)
 
(151
)
 
39,938
 
Change in net unrealized appreciation (depreciation) of investments
   
(867,405
)
 
(316,054
)
 
(593,323
)
 
(665,680
)
Net realized and unrealized gain (loss)
   
(945,145
)
 
(485,565
)
 
(593,474
)
 
(625,742
)
Distributions to Auction Rate Preferred Shareholders
                         
From net investment income
   
(30,127
)
 
   
   
(33,474
)
Decrease in net assets applicable to Common shares from distributions to Auction Rate Preferred shareholders
   
(30,127
)
 
   
   
(33,474
)
Net increase (decrease) in net assets applicable to Common shares from operations
 
$
932,758
 
$
222,216
 
$
305,510
 
$
357,460
 
 
See accompanying notes to financial statements.
 
64 Nuveen Investments

 
 

 
 

   
Statement of
   
Changes in Net Assets (Unaudited)

   
Connecticut
Premium Income (NTC)
 
Connecticut
Dividend Advantage (NFC)
 
Connecticut
Dividend Advantage 2 (NGK)
 
   
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Operations
                                     
Net investment income
 
$
1,938,636
 
$
4,267,900
 
$
898,052
 
$
2,204,210
 
$
800,508
 
$
2,000,123
 
Net realized gain (loss) from investments
   
27,967
   
60,723
   
(2,130
)
 
10,610
   
6,151
   
12,514
 
Change in net unrealized appreciation (depreciation) of investments
   
(1,115,467
)
 
4,700,543
   
(708,410
)
 
1,900,772
   
(563,663
)
 
1,510,001
 
Distributions to Auction Rate
                                     
Preferred Shareholders:
                                     
From net investment income
   
(32,899
)
 
(119,197
)
 
   
(66,605
)
 
   
(59,765
)
From accumulated net realized gains
   
   
(5,151
)
 
   
   
   
 
Net increase (decrease) in net assets applicable to Common shares from operations
   
818,237
   
8,904,818
   
187,512
   
4,048,987
   
242,996
   
3,462,873
 
Distributions to Common Shareholders
                                     
From net investment income
   
(1,899,221
)
 
(3,693,594
)
 
(992,787
)
 
(1,898,150
)
 
(918,611
)
 
(1,752,532
)
From accumulated net realized gains
   
   
(21,997
)
 
   
   
   
 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
   
(1,899,221
)
 
(3,715,591
)
 
(992,787
)
 
(1,898,150
)
 
(918,611
)
 
(1,752,532
)
Capital Share Transactions
                                     
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions
   
   
15,348
   
26,531
   
52,783
   
16,467
   
30,801
 
Net increase in net assets applicable to Common shares from capital share transactions
   
   
15,348
   
26,531
   
52,783
   
16,467
   
30,801
 
Net increase (decrease) in net assets applicable to Common shares
   
(1,080,984
)
 
5,204,575
   
(778,744
)
 
2,203,620
   
(659,148
)
 
1,741,142
 
Net assets applicable to Common shares at the beginning of period
   
78,105,929
   
72,901,354
   
38,532,355
   
36,328,735
   
34,833,052
   
33,091,910
 
Net assets applicable to Common shares at the end of period
 
$
77,024,945
 
$
78,105,929
 
$
37,753,611
 
$
38,532,355
 
$
34,173,904
 
$
34,833,052
 
Undistributed (Over-distribution of) net investment income at the end of period
 
$
974,470
 
$
967,954
 
$
356,861
 
$
451,596
 
$
298,622
 
$
416,725
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 65

 
 

 


 
   
Statement of
   
Changes in Net Assets (Unaudited) (continued)

   
Connecticut
Dividend Advantage 3 (NGO)
 
Massachusetts
Premium Income (NMT)
 
Massachusetts
Dividend Advantage (NMB)
 
   
Six Months
 Ended
11/30/10
 
Year
Ended
5/31/10
 
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Operations
                                     
Net investment income
 
$
1,399,740
 
$
3,346,745
 
$
1,908,030
 
$
4,145,590
 
$
707,781
 
$
1,739,913
 
Net realized gain (loss) from investments
   
(696
)
 
1,887
   
(77,740
)
 
209,192
   
(169,511
)
 
60,102
 
Change in net unrealized appreciation (depreciation) of investments
   
(869,598
)
 
3,514,247
   
(867,405
)
 
5,077,663
   
(316,054
)
 
1,496,853
 
Distributions to Auction Rate
                                     
Preferred Shareholders:
                                     
From net investment income
   
   
(92,898
)
 
(30,127
)
 
(122,559
)
 
   
(45,739
)
From accumulated net realized gains
   
   
   
   
   
   
(13,657
)
Net increase (decrease) in net assets applicable to Common shares from operations
   
529,446
   
6,769,981
   
932,758
   
9,309,886
   
222,216
   
3,237,472
 
Distributions to Common Shareholders
                                     
From net investment income
   
(1,572,168
)
 
(2,973,311
)
 
(1,860,834
)
 
(3,645,432
)
 
(813,336
)
 
(1,507,494
)
From accumulated net realized gains
   
   
   
   
   
   
(55,550
)
Decrease in net assets applicable to Common shares from distributions to Common shareholders
   
(1,572,168
)
 
(2,973,311
)
 
(1,860,834
)
 
(3,645,432
)
 
(813,336
)
 
(1,563,044
)
Capital Share Transactions
                                     
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions
   
   
17,921
   
86,708
   
45,881
   
18,328
   
31,080
 
Net increase in net assets applicable to Common shares from capital share transactions
   
   
17,921
   
86,708
   
45,881
   
18,328
   
31,080
 
Net increase (decrease) in net assets applicable to Common shares
   
(1,042,722
)
 
3,814,591
   
(841,368
)
 
5,710,335
   
(572,792
)
 
1,705,508
 
Net assets applicable to Common shares at the beginning of period
   
63,059,032
   
59,244,441
   
69,030,911
   
63,320,576
   
28,235,493
   
26,529,985
 
Net assets applicable to Common shares at the end of period
 
$
62,016,310
 
$
63,059,032
 
$
68,189,543
 
$
69,030,911
 
$
27,662,701
 
$
28,235,493
 
Undistributed (Over-distribution of) net investment income at the end of period
 
$
344,448
 
$
516,876
 
$
932,051
 
$
914,982
 
$
236,600
 
$
342,155
 
 
See accompanying notes to financial statements.
 
66 Nuveen Investments

 
 

 


 
   
Insured Massachusetts
Tax-Free Advantage (NGX)
 
Missouri
Premium Income (NOM)
 
   
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Operations
                         
Net investment income
 
$
898,984
 
$
2,227,100
 
$
1,016,676
 
$
1,926,445
 
Net realized gain (loss) from investments
   
(151
)
 
(18,813
)
 
39,938
   
12,118
 
Change in net unrealized appreciation (depreciation) of investments
   
(593,323
)
 
2,157,735
   
(665,680
)
 
2,255,157
 
Distributions to Auction Rate
                         
Preferred Shareholders:
                         
From net investment income
   
   
(68,205
)
 
(33,474
)
 
(67,634
)
From accumulated net realized gains
   
   
   
   
 
Net increase (decrease) in net assets applicable to Common shares from operations
   
305,510
   
4,297,817
   
357,460
   
4,126,086
 
Distributions to Common Shareholders
                         
From net investment income
   
(1,030,608
)
 
(1,982,428
)
 
(903,024
)
 
(1,571,225
)
From accumulated net realized gains
   
   
   
   
 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
   
(1,030,608
)
 
(1,982,428
)
 
(903,024
)
 
(1,571,225
)
Capital Share Transactions
                         
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions
   
14,937
   
24,769
   
33,782
   
58,988
 
Net increase in net assets applicable to Common shares from capital share transactions
   
14,937
   
24,769
   
33,782
   
58,988
 
Net increase (decrease) in net assets applicable to Common shares
   
(710,161
)
 
2,340,158
   
(511,782
)
 
2,613,849
 
Net assets applicable to Common shares at the beginning of period
   
40,094,635
   
37,754,477
   
31,347,704
   
28,733,855
 
Net assets applicable to Common shares at the end of period
 
$
39,384,474
 
$
40,094,635
 
$
30,835,922
 
$
31,347,704
 
Undistributed (Over-distribution of)net investment income at the end of period
 
$
208,839
 
$
340,463
 
$
520,398
 
$
440,220
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 67

 
 

 


 
   
Statement of
   
Cash Flows
Six Months Ended November 30, 2010 (Unaudited)
 
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Cash Flows from Operating Activities:
                         
Net Increase (Decrease) In Net Assets Applicable to Common Shares from Operations
 
$
818,237
 
$
187,512
 
$
242,996
 
$
529,446
 
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
   
(5,530,475
)
 
(2,554,295
)
 
(2,817,932
)
 
(5,086,838
)
Proceeds from sales and maturities of investments
   
6,850,500
   
3,023,500
   
4,206,600
   
6,342,500
 
Amortization (Accretion) of premiums and discounts, net
   
132,926
   
69,204
   
53,531
   
108,175
 
(Increase) Decrease in receivable for interest
   
69,745
   
(16,922
)
 
12,381
   
37,271
 
(Increase) Decrease in receivable for investments sold
   
(606,028
)
 
250,000
   
   
 
(Increase) Decrease in other assets
   
(1,005
)
 
(2,948
)
 
(492
)
 
(549
)
Increase (Decrease) in payable for investments purchased
   
   
   
   
 
Increase (Decrease) in payable for Auction Rate Preferred share dividends
   
216
   
   
   
 
Increase (Decrease) in payable for interest
   
3
   
(4
)
 
(3
)
 
7
 
Increase (Decrease) in accrued management fees
   
(2,414
)
 
(1,309
)
 
(1,069
)
 
4,532
 
Increase (Decrease) in accrued other liabilities
   
(21,616
)
 
(17,545
)
 
(18,201
)
 
(24,510
)
Net realized (gain) loss from investments
   
(27,967
)
 
2,130
   
(6,151
)
 
696
 
Change in net unrealized (appreciation) depreciation of investments
   
1,115,467
   
708,410
   
563,663
   
869,598
 
Taxes paid on undistributed capital gains
   
(17,876
)
 
(4,173
)
 
(424
)
 
 
Net cash provided by (used in) operating activities
   
2,779,713
   
1,643,560
   
2,234,899
   
2,780,328
 
Cash Flows from Financing Activities:
                         
Increase (Decrease) in cash overdraft balance
   
(138,105
)
 
(10,549
)
 
(288,379
)
 
(36,404
)
(Increase) Decrease in cash equivalents
   
   
   
   
 
Increase (Decrease) in payable for Auction Rate Preferred shares noticed for redemption, at liquidation value
   
   
   
   
 
Increase (Decrease) in MuniFund Term Preferred shares, at liquidation value
   
   
   
   
 
Increase (Decrease) in Auction Rate Preferred shares, at liquidation value
   
   
   
   
 
(Increase) Decrease in deferred offering costs
   
55,178
   
56,767
   
50,480
   
74,350
 
Increase (Decrease) in payable for offering costs
   
(58,050
)
 
(32,114
)
 
(32,114
)
 
(33,725
)
Cash distributions paid to Common shareholders
   
(1,898,901
)
 
(966,169
)
 
(902,218
)
 
(1,572,314
)
Net cash provided by (used in) financing activities
   
(2,039,878
)
 
(952,065
)
 
(1,172,231
)
 
(1,568,093
)
Net Increase (Decrease) in Cash
   
739,835
   
691,495
   
1,062,668
   
1,212,235
 
Cash at the beginning of period
   
   
   
   
 
Cash at the End of Period
 
$
739,835
 
$
691,495
 
$
1,062,668
 
$
1,212,235
 
 
Supplemental Disclosure of Cash Flow Information
Non-cash financing activities not included herein consist of reinvestments of Common share distributions as follows:
                           
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
 (NGO
)
   
$
 
$
26,531
 
$
16,467
 
$
 
 
Cash paid for interest (excluding amortization of offering costs) was as follows:
                           
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
 (NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
   
$
273,639
 
$
280,916
 
$
233,778
 
$
445,782
 
 
See accompanying notes to financial statements.
 
68 Nuveen Investments

 
 

 
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Cash Flows from Operating Activities:
                         
Net Increase (Decrease) In Net Assets Applicable to Common Shares from Operations
 
$
932,758
 
$
222,216
 
$
305,510
 
$
357,460
 
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
   
(1,493,095
)
 
(917,227
)
 
(1,944,263
)
 
(1,018,131
)
Proceeds from sales and maturities of investments
   
640,234
   
1,080,467
   
1,520,000
   
1,657,138
 
Amortization (Accretion) of premiums and discounts, net
   
136,445
   
39,912
   
73,325
   
53,098
 
(Increase) Decrease in receivable for interest
   
(18,533
)
 
(48,619
)
 
27,505
   
40,519
 
(Increase) Decrease in receivable for investments sold
   
105,000
   
   
110,000
   
15,706
 
(Increase) Decrease in other assets
   
(1,026
)
 
(2,887
)
 
(483
)
 
(5,410
)
Increase (Decrease) in payable for investments purchased
   
   
   
   
(1,987,280
)
Increase (Decrease) in payable for Auction Rate Preferred share dividends
   
198
   
   
   
220
 
Increase (Decrease) in payable for interest
   
4
   
(3
)
 
5
   
22,946
 
Increase (Decrease) in accrued management fees
   
(2,028
)
 
(890
)
 
(1,218
)
 
(521
)
Increase (Decrease) in accrued other liabilities
   
(24,522
)
 
(18,147
)
 
(18,347
)
 
(16,553
)
Net realized (gain) loss from investments
   
77,740
   
169,511
   
151
   
(39,938
)
Change in net unrealized (appreciation) depreciation of investments
   
867,405
   
316,054
   
593,323
   
665,680
 
Taxes paid on undistributed capital gains
   
(3,196
)
 
(19,977
)
 
(152
)
 
 
Net cash provided by (used in) operating activities
   
1,217,384
   
820,410
   
665,356
   
(255,066
)
Cash Flows from Financing Activities:
                         
Increase (Decrease) in cash overdraft balance
   
280,700
   
   
   
 
Increase (Decrease) in cash equivalents(1)
   
   
   
   
(16,003,015
)
Increase (Decrease) in payable for Auction Rate Preferred shares noticed for redemption, at liquidation value
   
   
   
   
16,000,000
 
Increase (Decrease) in MuniFund Term Preferred shares, at liquidation value
   
   
   
   
17,880,000
 
Increase (Decrease) in Auction Rate Preferred shares, at liquidation value
   
   
   
   
(16,000,000
)
(Increase) Decrease in deferred offering costs
   
58,060
   
46,434
   
56,618
   
(591,082
)
Increase (Decrease) in payable for offering costs
   
(34,350
)
 
(110,127
)
 
(20,625
)
 
317,424
 
Cash distributions paid to Common shareholders
   
(1,772,446
)
 
(794,710
)
 
(1,014,384
)
 
(856,489
)
Net cash provided by (used in) financing activities
   
(1,468,036
)
 
(858,403
)
 
(978,391
)
 
746,838
 
Net Increase (Decrease) in Cash
   
(250,652
)
 
(37,993
)
 
(313,035
)
 
491,772
 
Cash at the beginning of period
   
250,652
   
249,337
   
691,270
   
784,388
 
Cash at the End of Period
 
$
 
$
211,344
 
$
378,235
 
$
1,276,160
 
 
Supplemental Disclosure of Cash Flow Information
Non-cash financing activities not included herein consist of reinvestments of Common share distributions as follows:
                           
   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
 (NMB
)
Insured
Massachusetts
 Tax-Free
Advantage
 (NGX
)
Missouri
Premium
Income
(NOM
)
   
$
86,708
 
$
18,328
 
$
14,937
 
$
33,782
 
 
Cash paid for interest (excluding amortization of offering costs) was as follows:
                           
   
Massachusetts
Premium
Income
 (NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
 (NOM
)
   
$
275,707
 
$
194,826
 
$
297,345
 
$
4,361
 

(1) Segregated for the payment of Auction Rate Preferred shares noticed for redemption.
 
See accompanying notes to financial statements.
 
Nuveen Investments 69

 
 

 
 
 
   
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
 
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:
                                                             
2011(f)
 
$
14.56
 
$
.36
 
$
(.20
)
$
(.01
)
$
 
$
.15
 
$
(.35
)
$
 
$
(.35
)
$
14.36
 
$
13.58
 
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
 
2006
   
15.26
   
.84
   
(.54
)
 
(.14
)
 
(.03
)
 
.13
   
(.75
)
 
(.22
)
 
(.97
)
 
14.42
   
13.95
 
                                                                     
Connecticut Dividend Advantage (NFC)
                                           
Year Ended 5/31:
                                                             
2011(f)
   
14.91
   
.35
   
(.28
)
 
   
   
.07
   
(.38
)
 
   
(.38
)
 
14.60
   
14.16
 
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
 
2006
   
15.39
   
.93
   
(.55
)
 
(.17
)
 
   
.21
   
(.85
)
 
   
(.85
)
 
14.75
   
16.26
 

   
Auction Rate Preferred Shares
at End of Period
 
MuniFund Term Preferred Shares
at End of Period
 
Auction Rate Preferred Shares and MuniFund Term Preferred Shares at End of Period
 
   
Aggregate
 Amount Outstanding
 (000)
 
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Aggregate
Amount Outstanding
 (000)
 
Liquidation
Value
Per Share
 
Ending
Market
Value
Per Share
 
Average
 Market
Value
Per Share
 
Asset
Coverage
Per Share
 
Asset Coverage Per $1 Liquidation Preference
 
Connecticut Premium Income (NTC)
                                           
Year Ended 5/31:
                                                       
2011(f)
 
$
15,725
 
$
25,000
 
$
81,594
 
$
18,300
 
$
10.00
 
$
10.08
 
$
10.09
 
$
32.64
 
$
3.26
 
2010
   
15,725
   
25,000
   
82,389
   
18,300
   
10.00
   
10.00
   
10.02
 
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
   
   
   
   
   
   
 
2006
   
38,300
   
25,000
   
75,443
   
   
   
   
   
   
 
                                                         
Connecticut Dividend Advantage (NFC)
                                           
Year Ended 5/31:
                                                       
2011(f)
   
   
   
   
20,470
   
10.00
   
10.08
   
10.07
   
28.44
   
 
2010
   
   
   
   
20,470
   
10.00
   
9.98
   
9.95
∆∆  
28.82
   
 
2009
   
18,000
   
25,000
   
75,457
   
   
   
   
   
   
 
2008
   
19,500
   
25,000
   
73,556
   
   
   
   
   
   
 
2007
   
19,500
   
25,000
   
73,749
   
   
   
   
   
   
 
2006
   
19,500
   
25,000
   
73,596
   
   
   
   
   
   
 
 
70 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 Including Interest
(e)
Expenses Excluding Interest
 
Net
Investment Income
 
Expenses Including Interest
(e)
Expenses Excluding Interest
 
Net
Investment Income
 
Portfolio Turnover
Rate
 
                                                         
                                                         
(.11)
%
 
1.03
%
$
77,025
   
1.96
%**
 
1.27
%**
 
4.90
%**
 
N/A
   
N/A
   
N/A
   
5
%
9.76
   
12.49
   
78,106
   
1.57
   
1.25
   
5.64
   
N/A
   
N/A
   
N/A
   
5
 
.32
   
.45
   
72,901
   
1.43
   
1.32
   
6.40
   
N/A
   
N/A
   
N/A
   
0
 
(1.08)
   
3.60
   
76,441
   
1.30
   
1.27
   
5.82
   
N/A
   
N/A
   
N/A
   
22
 
12.33
   
4.79
   
77,151
   
1.24
   
1.24
   
5.67
   
N/A
   
N/A
   
N/A
   
8
 
(6.00)
   
.88
   
77,278
   
1.25
   
1.25
   
5.66
   
N/A
   
N/A
   
N/A
   
16
 
                                                         
                                                         
(4.98)
   
.45%
   
37,754
   
2.95
**
 
1.51
**
 
4.53
**
 
2.87
%**
 
1.43
%**
 
4.61
%**
 
4
 
16.92
   
11.34
   
38,532
   
1.62
   
1.31
   
5.73
   
1.49
   
1.18
   
5.86
   
4
 
(2.10)
   
1.50
   
36,329
   
1.47
   
1.36
   
6.45
   
1.26
   
1.15
   
6.66
   
0
 
(4.10)
   
4.62
   
37,874
   
1.33
   
1.31
   
5.90
   
1.05
   
1.03
   
6.18
   
20
 
5.46
   
5.05
   
38,024
   
1.29
   
1.29
   
5.78
   
.94
   
.94
   
6.14
   
9
 
8.79
   
1.38
   
37,905
   
1.29
   
1.29
   
5.70
   
.86
   
.86
   
6.12
   
14
 
 
(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.
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders; Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Auction Rate Preferred shares and/or MuniFund Term Preferred 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.
(e)
The expense ratios reflect, among other things, payments to MuniFund Term Preferred shareholders 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.
(f)
For the six months ended November 30, 2010.
*
Rounds to less than $.01 per share.
**
Annualized.
For the period January 19, 2010 (issuance date of shares) through May 31, 2010.
∆∆
For the period March 31, 2010 (issuance date of shares) through May 31, 2010.
N/A
Fund does not have a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.
 
Nuveen Investments 71

 
 

 
 

   
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
 
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:
                                                             
2011(f)
 
$
15.02
 
$
.35
 
$
(.24
)
$
 
$
 
$
.11
 
$
(.40
)
$
 
$
(.40
)
$
14.73
 
$
14.69
 
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
 
2006
   
15.64
   
.91
   
(.60
)
 
(.17
)
 
(.01
)
 
.13
   
(.83
)
 
(.08
)
 
(.91
)
 
14.86
   
16.60
 
                                                                     
Connecticut Dividend Advantage 3 (NGO)
                                                 
Year Ended 5/31:
                                                             
2011(f)
   
14.44
   
.32
   
(.20
)
 
   
   
.12
   
(.36
)
 
   
(.36
)
 
14.20
   
13.65
 
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
 
2006
   
14.78
   
.84
   
(.54
)
 
(.18
)
 
   
.12
   
(.72
)
 
   
(.72
)
 
14.18
   
14.09
 

   
Auction Rate Preferred Shares
at End of Period
 
MuniFund Term Preferred Shares
at End of Period
   
Aggregate Amount Outstanding (000)
 
Liquidation Value
Per Share
 
Asset
Coverage
 Per Share
 
Aggregate
Amount Outstanding
(000)
 
Liquidation Value
 Per Share
 
Ending
Market
Value
Per Share
 
Average
 Market
Value
Per Share
 
Asset Coverage
Per Share
 
Connecticut Dividend Advantage 2 (NGK)
                                   
Year Ended 5/31:
                                             
2011(f)
 
$
 
$
 
$
 
$
16,950
 
$
10.00
 
$
10.05
 
$
10.10
 
$
30.16
 
2010
   
   
   
   
16,950
   
10.00
   
9.97
   
9.96
 
30.55
 
2009
   
16,125
   
25,000
   
76,305
   
   
   
   
   
 
2008
   
17,500
   
25,000
   
73,840
   
   
   
   
   
 
2007
   
17,500
   
25,000
   
74,094
   
   
   
   
   
 
2006
   
17,500
   
25,000
   
74,074
   
   
   
   
   
 
                                                   
Connecticut Dividend Advantage 3 (NGO)
                                   
Year Ended 5/31:
                                             
2011(f)
   
   
   
   
32,000
   
10.00
   
10.09
   
10.09
   
29.38
 
2010
   
   
   
   
32,000
   
10.00
   
10.00
   
9.99
∆∆  
29.71
 
2009
   
30,025
   
25,000
   
74,329
   
   
   
   
   
 
2008
   
32,000
   
25,000
   
73,028
   
   
   
   
   
 
2007
   
32,000
   
25,000
   
73,691
   
   
   
   
   
 
2006
   
32,000
   
25,000
   
73,302
   
   
   
   
   
 
 
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
Including
Interest
(e)
Expenses
Excluding
Interest
 
Net
 Investment
Income
 
Expenses
Including
Interest
(e)
Expenses Excluding Interest
 
Net Investment Income
 
Portfolio
Turnover
 Rate
 
                                                         
                                                         
(6.93)
%
 
.67
%
$
34,174
   
2.76
%*
 
1.43
%*
 
4.40
%*
 
2.61
%*
 
1.28
%*
 
4.55
%*
 
5
%
19.15
   
10.69
   
34,833
   
1.61
   
1.32
   
5.64
   
1.40
   
1.11
   
5.86
   
3
 
1.40
   
2.52
   
33,092
   
1.48
   
1.37
   
6.31
   
1.19
   
1.08
   
6.60
   
0
 
(3.63)
   
4.54
   
34,188
   
1.36
   
1.33
   
5.79
   
1.00
   
.97
   
6.15
   
23
 
3.58
   
5.13
   
34,366
   
1.31
   
1.31
   
5.60
   
.87
   
.87
   
6.04
   
12
 
9.78
   
.84
   
34,352
   
1.29
   
1.29
   
5.51
   
.84
   
.84
   
5.96
   
11
 
                                                         
                                                         
(.42)
   
.80
   
62,016
   
2.75
*
 
1.35
*
 
4.31
*
 
2.67
*
 
1.27
*
 
4.39
*
 
5
 
13.26
   
11.66
   
63,059
   
1.78
   
1.28
   
5.28
   
1.61
   
1.12
   
5.45
   
3
 
.53
   
.89
   
59,244
   
1.43
   
1.32
   
6.12
   
1.14
   
1.03
   
6.41
   
0
 
(3.07)
   
2.79
   
61,476
   
1.29
   
1.27
   
5.70
   
.88
   
.86
   
6.11
   
24
 
9.15
   
5.42
   
62,325
   
1.26
   
1.26
   
5.44
   
.78
   
.78
   
5.92
   
15
 
1.84
   
.83
   
61,826
   
1.24
   
1.24
   
5.30
   
.76
   
.76
   
5.78
   
9
 
 
(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.
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders; Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Auction Rate Preferred shares and/or MuniFund Term Preferred 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 and expenses.
(e)
The expense ratios reflect, among other things, payments to MuniFund Term Preferred shareholders 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.
(f)
For the six months ended November 30, 2010.
*
Annualized.
For the period March 31, 2010 (issuance date of shares) through May 31, 2010.
∆∆
For the period February 10, 2010 (issuance date of shares) through May 31, 2010.
 
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
 
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:
                                                             
2011(f)
 
$
14.48
 
$
.40
 
$
(.20
)
$
(.01
)
$
 
$
.19
 
$
(.39
)
$
 
$
(.39
)
$
14.28
 
$
14.33
 
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
 
2006
   
15.10
   
.88
   
(.50
)
 
(.18
)
 
   
.20
   
(.81
)
 
(.04
)
 
(.85
)
 
14.45
   
14.35
 
                                                                     
Massachusetts Dividend Advantage (NMB)
                                                 
Year Ended 5/31:
                                                             
2011(f)
   
14.38
   
.36
   
(.25
)
 
   
   
.11
   
(.41
)
 
   
(.41
)
 
14.08
   
14.11
 
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
 
2006
   
15.65
   
.95
   
(.54
)
 
(.17
)
 
(.02
)
 
.22
   
(.85
)
 
(.19
)
 
(1.04
)
 
14.83
   
15.53
 

   
Auction Rate Preferred Shares
at End of Period
 
MuniFund Term Preferred Shares
at End of Period
 
Auction Rate Preferred Shares and MuniFund Term Preferred Shares at End of Period
 
   
Aggregate Amount Outstanding (000)
 
Liquidation Value
Per Share
 
Asset
Coverage
 Per Share
 
Aggregate Amount Outstanding (000)
 
Liquidation Value
Per Share
 
Ending
Market
 Value
Per Share
 
Average
Market
Value
 Per Share
 
Asset
Coverage
 Per Share
 
Asset Coverage Per $1 Liquidation Preference
 
Massachusetts Premium Income (NMT)
                                           
Year Ended 5/31:
                                                       
2011(f)
 
$
14,400
 
$
25,000
 
$
74,256
 
$
20,210
 
$
10.00
 
$
10.07
 
$
10.09
 
$
29.70
 
$
2.97
 
2010
   
14,400
   
25,000
   
74,863
   
20,210
   
10.00
   
10.00
   
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
   
   
   
   
   
   
 
2006
   
34,000
   
25,000
   
75,571
   
   
   
   
   
   
 
                                                         
Massachusetts Dividend Advantage (NMB)
                                           
Year Ended 5/31:
                                                       
2011(f)
   
   
   
   
14,725
   
10.00
   
10.04
   
10.07
   
28.79
   
 
2010
   
   
   
   
14,725
   
10.00
   
9.98
   
9.95
∆∆  
29.18
   
 
2009
   
14,250
   
25,000
   
71,544
   
   
   
   
   
   
 
2008
   
15,000
   
25,000
   
71,892
   
   
   
   
   
   
 
2007
   
15,000
   
25,000
   
73,453
   
   
   
   
   
   
 
2006
   
15,000
   
25,000
   
73,340
   
   
   
   
   
   
 
 
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 Including Interest
(e)
 
Expenses Excluding Interest
   
Net
Investment Income
   
Expenses Including Interest
(e)
 
Expenses Excluding Interest
   
Net
Investment Income
   
Portfolio Turnover
Rate
 
                                       
                                                         
(1.44
)%
 
1.27
%
$
68,190
   
2.10
%**
 
1.31
%**
 
5.43
%**
 
N/A
   
N/A
   
N/A
   
1
%
18.77
   
15.03
   
69,031
   
1.60
   
1.29
   
6.21
   
N/A
   
N/A
   
N/A
   
3
 
3.54
   
(1.36
)
 
63,321
   
1.43
   
1.34
   
7.01
   
N/A
   
N/A
   
N/A
   
1
 
(.48
)
 
2.08
   
67,720
   
1.26
   
1.26
   
6.09
   
N/A
   
N/A
   
N/A
   
14
 
4.60
   
5.47
   
69,323
   
1.24
   
1.24
   
5.97
   
N/A
   
N/A
   
N/A
   
9
 
(6.14
)
 
1.41
   
68,776
   
1.25
   
1.25
   
5.98
   
N/A
   
N/A
   
N/A
   
13
 
                                                         
                                                         
2.96
   
.74
   
27,663
   
2.90
**   
1.53
**   
4.88
**   
2.82
%**
 
1.46
%**
 
4.95
%**
 
2
 
7.90
   
12.50
   
28,235
   
1.67
   
1.38
   
6.16
   
1.54
   
1.25
   
6.29
   
11
 
(.04
)
 
(.70
)
 
26,530
   
1.54
   
1.44
   
7.09
   
1.33
   
1.23
   
7.30
   
1
 
(5.73
)
 
1.55
   
28,135
   
1.32
   
1.32
   
6.11
   
1.05
   
1.05
   
6.39
   
15
 
10.04
   
5.14
   
29,072
   
1.33
   
1.33
   
5.84
   
.97
   
.97
   
6.19
   
9
 
(5.23
)
 
1.49
   
29,004
   
1.29
   
1.29
   
5.79
   
.86
   
.86
   
6.21
   
13
 
 
(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.
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders; Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Auction Rate Preferred shares and/or MuniFund Term Preferred 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.
(e)
The expense ratios reflect, among other things, payments to MuniFund Term Preferred shareholders 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.
(f)
For the six months ended November 30, 2010.
*
Rounds to less than $.01 per share.
**
Annualized.
For the period January 21, 2010 (issuance date of shares) through May 31, 2010.
∆∆
For the period March 23, 2010 (issuance date of shares) through May 31, 2010.
N/A
Fund does not have a contractual reimbursement with the Adviser.
 
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
 
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:
                                                             
2011(f)
 
$
14.71
 
$
.33
 
$
(.22
)
$
 
$
 
$
.11
 
$
(.38
)
$
 
$
(.38
)
$
14.44
 
$
14.25
 
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
 
2006
   
14.93
   
.90
   
(.53
)
 
(.20
)
 
   
.17
   
(.71
)
 
   
(.71
)
 
14.39
   
13.43
 
                                                                     
Missouri Premium Income (NOM)
                                                 
Year Ended 5/31:
                                                             
2011(f)
   
13.55
   
.44
   
(.28
)
 
(.01
)
 
   
.15
   
(.39
)
 
   
(.39
)
 
13.31
   
16.01
 
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
 
2006
   
15.11
   
.92
   
(.51
)
 
(.17
)
 
(.01
)
 
.23
   
(.84
)
 
(.10
)
 
(.94
)
 
14.40
   
16.35
 

   
Auction Rate Preferred Shares
at End of Period
 
MuniFund Term Preferred Shares
at End of Period
 
Auction Rate Preferred Shares and MuniFund Term Preferred Shares at End of Period
 
   
Aggregate Amount Outstanding
 (000)
 
Liquidation
Value
Per Share
 
Asset
Coverage
 Per Share
 
Aggregate
Amount Outstanding
 (000)
 
Liquidation
Value
Per Share
 
Ending
Market
Value
Per Share
 
Average
Market
Value
 Per Share
 
Asset
Coverage
Per Share
 
Asset Coverage Per $1
Liquidation Preference
 
Insured Massachusetts Tax-Free Advantage (NGX)
                                     
Year Ended 5/31:
                                                 
2011(f)
 
$
 
$
 
$
 
$
22,075
 
$
10.00
 
$
10.08
 
$
10.10
 
$
27.84
 
$
 
2010
   
   
   
   
22,075
   
10.00
   
10.00
   
9.98
 
28.16
   
 
2009
   
20,500
   
25,000
   
71,042
   
   
   
   
   
   
 
2008
   
20,500
   
25,000
   
72,407
   
   
   
   
   
   
 
2007
   
20,500
   
25,000
   
73,120
   
   
   
   
   
   
 
2006
   
20,500
   
25,000
   
72,779
   
   
   
   
   
   
 
                                                         
Missouri Premium Income (NOM)
                                           
Year Ended 5/31:
                                                 
2011(f)
   
16,000
   
25,000
   
47,754
   
17,880
   
10.00
   
9.95
   
9.98
∆∆  
19.10
   
1.91
 
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
   
   
   
   
   
   
 
2006
   
16,000
   
25,000
   
76,460
   
   
   
   
   
   
 
 
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
Including
Interest
(e)
Expenses Excluding
Interest
 
Net
Investment
Income
 
Expenses
Including
Interest
(e)
Expenses Excluding
Interest
 
Net
Investment
 Income
 
Portfolio
Turnover
 Rate
 
                                       
                                                         
(7.47
)%
 
.68
%
$
39,384
   
2.85
%**
 
1.39
%**
 
4.30
%**
 
2.73
%**
 
1.27
%**
 
4.42
%**
 
2
%
26.19
   
11.61
   
40,095
   
1.86
   
1.38
   
5.50
   
1.67
   
1.19
   
5.69
   
1
 
(2.11
)
 
2.00
   
37,754
   
1.47
   
1.38
   
6.47
   
1.16
   
1.06
   
6.78
   
0
 
2.49
   
3.04
   
38,873
   
1.29
   
1.29
   
5.82
   
.85
   
.85
   
6.25
   
13
 
12.49
   
5.12
   
39,458
   
1.28
   
1.28
   
5.67
   
.79
   
.79
   
6.15
   
6
 
(11.62
)
 
1.20
   
39,179
   
1.29
   
1.29
   
5.66
   
.81
   
.81
   
6.14
   
5
 
                                                         
                                                         
(.51
)
 
1.05
   
30,836
   
1.46
**   
1.29
**   
6.38
**   
N/A
   
N/A
   
N/A
   
2
 
34.31
   
14.69
   
31,348
   
1.37
   
1.34
   
6.37
   
N/A
   
N/A
   
N/A
   
7
 
(7.83
)
 
(2.92
)
 
28,734
   
1.55
   
1.42
   
6.96
   
N/A
   
N/A
   
N/A
   
2
 
(5.74
)
 
.26
   
31,170
   
1.52
   
1.31
   
6.43
   
N/A
   
N/A
   
N/A
   
5
 
5.98
   
4.17
   
32,826
   
1.39
   
1.30
   
6.15
   
N/A
   
N/A
   
N/A
   
16
 
(3.53
)
 
1.57
   
32,934
   
1.29
   
1.29
   
6.20
   
N/A
   
N/A
   
N/A
   
9
 
 
(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.
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders; Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Auction Rate Preferred shares and/or MuniFund Term Preferred 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.
(e)
The expense ratios reflect, among other things, payments to MuniFund Term Preferred shareholders 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.
(f)
For the six months ended November 30, 2010.
*
Rounds to less than $.01 per share.
**
Annualized.
For the period February 9, 2010 (issuance date of shares) through May 31, 2010.
∆∆
For the period November 9, 2010 (issuance date of shares) through November 30, 2010.
N/A
Fund does not have a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.
 
Nuveen Investments 77

 
 

 

   
Notes to
   
Financial Statements (Unaudited)
 
1. General Information and Significant Accounting Policies
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) (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.
 
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. 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 Asset Management (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.
 
Temporary investments in securities that have variable rate and demand features qualifying them as short-term investments are valued at amortized cost, which approximates market value. These securities are generally classified as Level 1 or Level 2, which is usually the case for municipal bonds.
 
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.
 
78 Nuveen Investments

 
 

 

 
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At November 30, 2010, there were no such outstanding purchase commitments in any of the Funds.
 
Investment Income
Interest 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.
 
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.
 
Dividends and Distributions to Common Shareholders
Dividends from tax-exempt net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
 
Distributions to Common shareholders of tax-exempt net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
 
Auction Rate Preferred Shares
Each Fund is authorized to issue Auction Rate Preferred Shares (“ARPS”). The following Funds have issued and outstanding ARPS, $25,000 stated value per share, which approximates market value, as a means of effecting financial leverage. Each Fund’s ARPS are issued in one Series. The dividend rate paid by the Funds on each Series is determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and is payable at the end of each rate period. As of November 30, 2010, the number of ARPS outstanding for each Fund is as follows:

   
Connecticut
Premium
Income
(NTC
)
Massachusetts
Premium
Income
(NMT
)
Missouri
Premium
Income
(NOM
)
Number of shares:
                   
Series TH
   
629
   
576
   
640
 
 
Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the ARPS issued by the Funds than there were offers to buy. This meant that these auctions “failed to clear,’’ and that many ARPS shareholders who wanted to sell their shares in these auctions were unable to do so. ARPS shareholders unable to sell their shares received distributions at the “maximum rate’’ applicable to failed auctions as calculated in accordance with the pre-established terms of the ARPS. As of November 30, 2010, the aggregate amount of outstanding ARPS redeemed, including ARPS noticed for redemption at the end of the reporting period, by each Fund is as follows:

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
ARPS redeemed, at liquidation value
 
$
22,575,000
 
$
19,500,000
 
$
17,500,000
 
$
32,000,000
 
 
Nuveen Investments 79

 
 

 

   
Notes to
   
Financial Statements (Unaudited) (continued)
 
   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
ARPS redeemed, at liquidation value
 
$
19,600,000
 
$
15,000,000
 
$
20,500,000
 
$
16,000,000
 
 
MuniFund Term Preferred Shares
The Funds have issued and outstanding MuniFund Term Preferred (“MTP”) Shares, with a $10 stated 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 are issued in one Series. Dividends, 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, 2010, the number of MTP Shares outstanding, fixed annual rate and NYSE “ticker” symbol for each Fund are as follows:

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

   
Connecticut Dividend Advantage 2 (NGK)
 
Connecticut Dividend Advantage 3 (NGO)
 
   
Shares Outstanding
 
Fixed
Annual
 Rate
 
NYSE
Ticker
 
Shares
Outstanding
 
Fixed
Annual
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
 
Fixed
Annual
Rate
 
NYSE
Ticker
 
Shares
Outstanding
 
Fixed
Annual
Rate
 
NYSE
Ticker
 
Series 2015
   
2,021,000
   
2.65
%
 
NMT Pr C
   
1,472,500
   
2.60
%
 
NMB Pr C
 

   
Insured Massachusetts Tax-Free Advantage (NGX)
 
Missouri Premium Income (NOM)
 
   
Shares
Outstanding
 
Fixed
Annual
Rate
 
NYSE
Ticker
 
Shares
Outstanding
 
Fixed
Annual
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. 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 MTP Shares are as follows:

 
Connecticut
Premium
Income
(NTC)
Series 2015
Connecticut
Dividend
Advantage
(NFC)
Series 2015
Connecticut
Dividend
Advantage 2
(NGK)
Series 2015
Connecticut
Dividend
Advantage 3
(NGO)
Series 2015
Term Redemption Date
February 1, 2015
April 1, 2015
April 1, 2015
March 1, 2015
Optional Redemption Date
February 1, 2011
April 1, 2011
April 1, 2011
March 1, 2011
Premium Expiration Date
January 31, 2012
March 31, 2012
March 31, 2012
February 29, 2012
 
80 Nuveen Investments

 
 

 

 
Massachusetts
Premium
Income
(NMT)
Series 2015
 
Massachusetts
Dividend
Advantage
(NMB)
Series 2015
 
Massachusetts
Tax-Free
Advantage
(NGX)
Series 2015
 
Insured
Missouri
Premium
Income
(NOM)
Series 2015
 
Term Redemption Date
February 1, 2015
 
April 1, 2015
 
March 1, 2015
 
December 1, 2015
 
Optional Redemption Date
February 1, 2011
 
April 1, 2011
 
March 1, 2011
 
December 1, 2011
 
Premium Expiration Date
January 31, 2012
 
March 31, 2012
 
February 29, 2012
 
November 30, 2012
 
 
The average liquidation value of MTP Shares outstanding for each Fund during the six months ended November 30, 2010, was as follows:

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Average liquidation value of MTP Shares outstanding
 
$
18,300,000
 
$
20,470,000
 
$
16,950,000
 
$
32,000,000
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)*
Average liquidation value of MTP Shares outstanding
 
$
20,210,000
 
$
14,725,000
 
$
22,075,000
 
$
17,289,091
 
 
*
For the period November 9, 2010 (issuance date of shares) through November 30, 2010.
 
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.
 
Net amounts earned by Nuveen as underwriter of each Fund’s MTP Share offering were recorded as reductions of offering costs recognized by the Funds. For the six months ended November 30, 2010, the net amounts earned by Nuveen for each Fund were as follows:

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Net amounts earned by Nuveen
 
$
 
$
797
 
$
1,200
 
$
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Net amounts earned by Nuveen
 
$
 
$
279
 
$
 
$
 
 
Insurance
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 credit worthy, 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 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.
 
Nuveen Investments 81

 
 

 

   
Notes to
   
Financial Statements (Unaudited) (continued)
 
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 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, 2010, 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, 2010, 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, 2010, were as follows:

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Average floating rate obligations outstanding
 
$
7,965,000
 
$
3,820,000
 
$
3,460,000
 
$
5,780,000
 
Average annual interest rate and fees
   
0.78
%
 
0.77
%
 
0.77
%
 
0.75
%

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Average floating rate obligations outstanding
 
$
2,450,000
 
$
1,050,000
 
$
1,500,000
 
$
2,225,000
 
Average annual interest rate and fees
   
0.65
%
 
0.65
%
 
0.65
%
 
0.46
%
 
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, 2010.
 
82 Nuveen Investments

 
 

 


 
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 5-year 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
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
MTP Shares offering costs
 
$
553,838
 
$
565,076
 
$
504,250
 
$
750,000
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
MTP Shares offering costs
 
$
581,955
 
$
465,875
 
$
569,951
 
$
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.
 
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.
 
Nuveen Investments 83

 
 

 

   
Notes to
   
Financial Statements (Unaudited) (continued)
 
2. Fair Value Measurements
In determining the fair value of each 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 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, 2010:
                           
Connecticut Premium Income (NTC)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments:
                         
Municipal Bonds
 
$
 
$
115,716,532
 
$
 
$
115,716,532
 
Connecticut Dividend Advantage (NFC)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments:
                         
Municipal Bonds
 
$
 
$
60,470,194
 
$
 
$
60,470,194
 
Connecticut Dividend Advantage 2 (NGK)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments:
                         
Municipal Bonds
 
$
 
$
52,742,868
 
$
 
$
52,742,868
 
Connecticut Dividend Advantage 3 (NGO)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments:
                         
Municipal Bonds
 
$
 
$
97,099,776
 
$
 
$
97,099,776
 
Massachusetts Premium Income (NMT)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments:
                         
Municipal Bonds
 
$
 
$
103,904,217
 
$
 
$
103,904,217
 
Massachusetts Dividend Advantage (NMB)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments:
                         
Municipal Bonds
 
$
 
$
42,341,307
 
$
 
$
42,341,307
 
Insured Massachusetts Tax-Free Advantage (NGX)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments:
                         
Municipal Bonds
 
$
 
$
61,616,231
 
$
 
$
61,616,231
 
Missouri Premium Income (NOM)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments:
                         
Municipal Bonds
 
$
 
$
47,859,700
 
$
 
$
47,859,700
 
 
The following is a reconciliation of the following Funds’ Level 3 investments held at the beginning and end of the measurement period:

   
Massachusetts
Premium
Income
(NMT)
Level 3
Municipal
Bonds
 
Massachusetts
Dividend
Advantage
(NMB)
Level 3
Municipal
Bonds
 
Balance at the beginning of period
 
$
344,410
 
$
688,820
 
Gains (losses):
             
Net realized gains (losses)
   
(74,766
)
 
(149,533
)
Net change in unrealized appreciation (depreciation)
   
155,590
   
311,180
 
Net purchases at cost (sales at proceeds)
   
(425,234
)
 
(850,467
)
Net discounts (premiums)
   
   
 
Net transfers in to (out of) at end of period fair value
   
   
 
Balance at the end of period
 
$
 
$
 
 
84 Nuveen Investments

 
 

 

 
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, 2010.
 
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
Ended
11/30/10
 
Year
Ended
5/31/10
 
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Common shares issued to shareholders due to reinvestment of distributions
   
   
1,053
   
1,764
   
3,615
   
1,073
   
2,074
 

   
Connecticut Dividend Advantage 3 (NGO)
 
Massachusetts Premium Income (NMT)
 
Massachusetts Dividend Advantage (NMB)
 
   
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Common shares issued to shareholders due to reinvestment of distributions
   
   
1,261
   
5,885
   
3,206
   
1,252
   
2,198
 

   
Insured Massachusetts Tax-Free Advantage (NGX)
 
Missouri Premium Income (NOM)
 
   
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Six Months
Ended
11/30/10
 
Year
Ended
5/31/10
 
Common shares issued to shareholders due to reinvestment of distributions
   
977
   
1,696
   
2,174
   
4,352
 
 
Preferred Shares
Transactions in ARPS were as follows:

   
Connecticut Premium Income (NTC)
 
Connecticut Dividend Advantage (NFC)
 
   
Six Months Ended 11/30/10
 
Year Ended 5/31/10
 
Six Months Ended 11/30/10
 
Year Ended 5/31/10
 
   
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
ARPS redeemed and/or noticed for redemption:
                                                 
Series T
   
 
$
   
 
$
   
 
$
   
609
 
$
17,250,000
 
Series TH
   
   
   
709
   
17,725,000
   
   
   
   
 
Total
   
 
$
   
709
 
$
17,725,000
   
 
$
   
609
 
$
17,250,000
 

   
Connecticut Dividend Advantage 2 (NGK)
 
Connecticut Dividend Advantage 3 (NGO)
 
   
Six Months Ended 11/30/10
 
Year Ended 5/31/10
 
Six Months Ended 11/30/10
 
Year Ended 5/31/10
 
   
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
ARPS redeemed and/or noticed for redemption:
                                                 
Series W
   
 
$
   
618
 
$
15,450,000
   
 
$
   
 
$
 
Series F
   
   
   
   
   
   
   
1,131
   
28,275,000
 
Total
   
 
$
   
618
 
$
15,450,000
   
 
$
   
1,131
 
$
28,275,000
 
 
Nuveen Investments 85

 
 

 

   
Notes to
   
Financial Statements (Unaudited) (continued)

   
Massachusetts Premium Income (NMT)
 
Massachusetts Dividend Advantage (NMB)
 
   
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
   
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
ARPS redeemed and/or noticed for redemption:
                                                 
Series T
   
 
$
   
 
$
   
 
$
   
570
 
$
14,250,000
 
Series TH
   
   
   
784
   
19,600,000
   
   
   
   
 
Total
   
 
$
   
784
 
$
19,600,000
   
 
$
   
570
 
$
14,250,000
 

   
Insured Massachusetts Tax-Free Advantage (NGX)
 
Missouri Premium Income (NOM)
 
   
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
Six Months Ended
11/30/10
 
Year Ended
 5/31/10
 
   
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
ARPS redeemed and/or noticed for redemption:
                                                 
Series W
   
 
$
   
820
 
$
20,500,000
   
 
$
   
 
$
 
Series TH
   
   
   
   
   
640
   
16,000,000
   
   
 
Total
   
 
$
   
820
 
$
20,500,000
   
640
 
$
16,000,000
   
 
$
 
 
Transactions in MTP Shares were as follows:

   
Connecticut Premium Income (NTC)
 
Connecticut Dividend Advantage (NFC)
 
   
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
   
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
MTP Shares issued:
                                                 
Series 2015
   
 
$
   
1,830,000
 
$
18,300,000
   
 
$
   
2,047,000
 
$
20,470,000
 

   
Connecticut Dividend Advantage 2 (NGK)
 
Connecticut Dividend Advantage 3 (NGO)
 
   
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
   
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
MTP Shares issued:
                                                 
Series 2015
   
 
$
   
1,695,000
 
$
16,950,000
   
 
$
   
3,200,000
 
$
32,000,000
 

   
Massachusetts Premium Income (NMT)
 
Massachusetts Dividend Advantage (NMB)
 
   
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
   
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
MTP Shares issued:
                                                 
Series 2015
   
 
$
   
2,021,000
 
$
20,210,000
   
 
$
   
1,472,500
 
$
14,725,000
 

   
Insured Massachusetts Tax-Free Advantage (NGX)
 
Missouri Premium Income (NOM)
 
   
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
Six Months Ended
11/30/10
 
Year Ended
5/31/10
 
   
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
MTP Shares issued:
                                                 
Series 2015
   
 
$
   
2,207,500
 
$
22,075,000
   
1,788,000
 
$
17,880,000
   
 
$
 
 
86 Nuveen Investments

 
 

 

 
5. Investment Transactions
Purchases and sales (including maturities but excluding short-term investments) during the six months ended November 30, 2010, were as follows:

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Purchases
 
$
5,530,475
 
$
2,554,295
 
$
2,817,932
 
$
5,086,838
 
Sales and maturities
   
6,850,500
   
3,023,500
   
4,206,600
   
6,342,500
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Purchases
 
$
1,493,095
 
$
917,227
 
$
1,944,263
 
$
1,018,131
 
Sales and maturities
   
640,234
   
1,080,467
   
1,520,000
   
1,657,138
 
 
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, 2010, the cost and unrealized appreciation (depreciation) of investments, as determined on a federal income tax basis, were as follows:

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Cost of investments
 
$
106,296,933
 
$
55,915,139
 
$
48,226,412
 
$
90,806,930
 
Gross unrealized:
                         
Appreciation
 
$
3,061,152
 
$
1,521,503
 
$
1,745,865
 
$
2,366,329
 
Depreciation
   
(1,605,136
)
 
(786,729
)
 
(689,509
)
 
(1,852,495
)
Net unrealized appreciation (depreciation) of investments
 
$
1,456,016
 
$
734,774
 
$
1,056,356
 
$
513,834
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Cost of investments
 
$
100,504,259
 
$
41,543,090
 
$
58,655,079
 
$
46,064,873
 
Gross unrealized:
                         
Appreciation
 
$
3,423,037
 
$
867,165
 
$
2,032,933
 
$
999,214
 
Depreciation
   
(2,473,079
)
 
(1,118,948
)
 
(571,781
)
 
(1,428,821
)
Net unrealized appreciation (depreciation) of investments
 
$
949,958
 
$
(251,783
)
$
1,461,152
 
$
(429,607
)
 
Permanent differences, primarily due to federal taxes paid, taxable market discount and distribution character reclassifications, resulted in reclassifications among the Funds’ components of Common share net assets at May 31, 2010, the Funds’ last tax year end, as follows:

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Paid-in surplus
 
$
(39,747
)
$
(16,159
)
$
(17,103
)
$
(45,073
)
Undistributed (Over-distribution of) net investment income
   
38,377
   
15,614
   
17,103
   
45,063
 
Accumulated net realized gain (loss)
   
1,370
   
545
   
   
10
 
 
Nuveen Investments 87

 
 

 

   
Notes to
   
Financial Statements (Unaudited) (continued)
 
   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Paid-in surplus
 
$
(41,587
)
$
(18,004
)
$
(34,342
)
$
 
Undistributed (Over-distribution of) net investment income
   
41,563
   
17,660
   
34,342
   
(5
)
Accumulated net realized gain (loss)
   
24
   
344
   
   
5
 
 
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at May 31, 2010, the Funds’ last tax year end, were as follows:

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Undistributed net tax-exempt income*
 
$
1,288,968
 
$
617,741
 
$
559,855
 
$
799,489
 
Undistributed net ordinary income **
   
2,399
   
6,433
   
   
 
Undistributed net long-term capital gains
   
50,047
   
9,165
   
1,210
   
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Undistributed net tax-exempt income*
 
$
1,175,615
 
$
469,338
 
$
559,768
 
$
553,717
 
Undistributed net ordinary income **
   
1,005
   
16,872
   
1,015
   
 
Undistributed net long-term capital gains
   
188,326
   
49,847
   
   
 
 
*
Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared May 3, 2010, paid on June 1, 2010.
**
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, 2010, was designated for purposes of the dividends paid deduction as follows:

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Distributions from net tax-exempt income
 
$
3,919,054
 
$
1,989,927
 
$
1,832,795
 
$
3,217,850
 
Distributions from net ordinary income **
   
   
   
   
 
Distributions from net long-term capital gains
   
27,148
   
   
   
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Distributions from net tax-exempt income
 
$
3,896,180
 
$
1,576,968
 
$
2,164,823
 
$
1,628,139
 
Distributions from net ordinary income **
   
   
69,207
   
   
 
Distributions from net long-term capital gains
   
   
   
   
 
 
**
Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.

88 Nuveen Investments

 
 

 
 
 
At May 31, 2010, 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:

 
 
Connecticut
Dividend
Advantage 3
(NGO
)
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Missouri
Premium
Income
(NOM
)
Expiration:
                   
May 31, 2013
 
$
35,642
 
$
18,655
 
$
 
May 31, 2014
   
111,331
   
427,135
   
 
May 31, 2015
   
211,213
   
   
 
May 31, 2017
   
43,691
   
215,629
   
260,982
 
May 31, 2018
   
13,130
   
24,486
   
91,539
 
Total
 
$
415,007
 
$
685,905
 
$
352,521
 
 
During the last tax year ended May 31, 2010, Connecticut Dividend Advantage (NFC) and Connecticut Dividend Advantage 2 (NGK) utilized $1,980 and $443, respectively, of their capital loss carryforwards.
 
The following Fund elected to defer net realized losses from investments incurred from November 1, 2009 through May 31, 2010, the Fund’s 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:

   
Insured
Massachusetts
Tax-Free
Advantage
(NGX
)
Post-October capital losses
 
$
18,813
 
 
7. Management Fees and Other Transactions with Affiliates
Each Fund’s management fee is separated into two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all fund assets managed by the Adviser. This pricing structure enables each Fund’s 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 schedule:

Average Daily Managed Assets*
Connecticut Premium Income (NTC)
Massachusetts Premium Income (NMT)
Missouri Premium Income (NOM)
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
 

Average Daily Managed Assets*
Connecticut Dividend Advantage (NFC)
Connecticut Dividend Advantage 2 (NGK)
Connecticut Dividend Advantage 3 (NGO)
Massachusetts Dividend Advantage (NMB)
Insured Massachusetts Tax-Free Advantage (NGX)
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
 
 
Nuveen Investments 89

 
 

 

   
Notes to
   
Financial Statements (Unaudited) (continued)
 
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, with such daily managed assets defined separately for each fund in its management agreement, but excluding assets attributable to investments in other Nuveen funds. As of November 30, 2010, the complex-level fee rate was .1824%.
 
The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds.
 
For the first ten years of Connecticut Dividend Advantage’s (NFC) and Massachusetts Dividend Advantage’s (NMB) operations, the Adviser has agreed to reimburse the Funds, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:

Year Ending January 31,
 
Year Ending January 31,
 
2001*
.30%
2007
.25
%
2002
.30
2008
.20
 
2003
.30
2009
.15
 
2004
.30
2010
.10
 
2005
.30
2011
.05
 
2006
.30
     
 
*
From the commencement of operations.
 
The Adviser has not agreed to reimburse Connecticut Dividend Advantage (NFC) and Massachusetts Dividend Advantage (NMB) for any portion of their fees and expenses beyond January 31, 2011.
 
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 March 31,
 
Year Ending 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.
 
90 Nuveen Investments

 
 

 
 
For the first eight years of Connecticut Dividend Advantage 3’s (NGO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
 
Year Ending September 30,
 
Year Ending September 30,
 
2002*
.32%
2007
.32
%
2003
.32
2008
.24
 
2004
.32
2009
.16
 
2005
.32
2010
.08
 
2006
.32
     
 
*
From the commencement of operations.
 
The Adviser has not agreed to reimburse Connecticut Dividend Advantage 3 (NGO) for any portion of its fees and expenses beyond September 30, 2010.
 
For the first eight years of Insured Massachusetts Tax-Free Advantage’s (NGX) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:

Year Ending November 30,
 
Year Ending November 30,
 
2002*
.32%
2007
.32
%
2003
.32
2008
.24
 
2004
.32
2009
.16
 
2005
.32
2010
.08
 
2006
.32
     
 
*
From the commencement of operations.
 
The Adviser has not agreed to reimburse Insured Massachusetts Tax-Free Advantage (NGX) for any portion of its fees and expenses beyond November 30, 2010.
 
8. New Accounting Standards
 
Fair Value Measurements
On January 21, 2010, the Financial Accounting Standards Board issued changes to the authoritative guidance under U.S. GAAP for fair value measurements. The objective of which is to provide guidance on how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose Level 3 activity for purchases, sales, issuances and settlements in the Level 3 roll-forward on a gross basis rather than as one net number. The effective date of the amendment is for interim and annual periods beginning after December 15, 2010. At this time, management is evaluating the implications of this guidance and the impact it will have to the footnote disclosures, if any.
 
9. Subsequent Events
 
Preferred Shares
Subsequent to the reporting period, Connecticut Premium Income (NTC) successfully completed the issuance of $17.78 million of 2.55%, Series 2016 MTP. The newly issued MTP Shares trade on the NYSE under the symbol “NTC Pr D.” Immediately following its MTP issuance, Connecticut Premium Income (NTC) noticed for redemption at par its remaining $15.725 million ARPS outstanding using the MTP proceeds.
 
Subsequent to the reporting period, Massachusetts Premium Income (NMT) successfully completed the issuance of $14.94 million of 2.75%, Series 2016 MTP. The newly-issued MTP Shares trade on the NYSE under the symbol “NMT Pr D.” Immediately following its MTP issuance, Massachusetts Premium Income (NMT) noticed for redemption at par its remaining $14.4 million ARPS outstanding using the MTP proceeds.
 
Investment Advisory Agreements
Effective January 1, 2011, Nuveen Asset Management, the Funds’ Adviser, has changed its name to Nuveen Fund Advisors, Inc. (“Nuveen Fund Advisors”). Concurrently, Nuveen Fund Advisors has formed a wholly-owned subsidiary, Nuveen Asset Management, LLC, to house its portfolio management capabilities. Nuveen Asset Management, LLC now serves as the Funds’ sub-adviser, and the Funds’ portfolio managers have become employees of Nuveen Asset Management, LLC rather than Nuveen Fund Advisors.
 
This allocation of responsibilities between Nuveen Fund Advisors and Nuveen Asset Management, LLC affects each Fund within this report. Nuveen Fund Advisors (as each affected Fund’s investment adviser) will compensate Nuveen Asset Management, LLC (as each such Fund’s newly-appointed sub-adviser) for the portfolio management services it provides to the Fund from the Fund’s management fee, which will not change as a result of this restructuring. Nuveen Fund Advisors and Nuveen Asset Management, LLC retain the right to reallocate investment management and advisory responsibilities and fees between themselves in the future.
 
Nuveen Investments 91

 
 

 
 
Board Approval of Sub-Advisory
Arrangements (Unaudited)
 
At a meeting held on May 25-26, 2010 (the “May Meeting”), the Boards of Trustees or Directors (as the case may be) (each a “Board” and each Trustee or Director, a “Board Member”) of the Funds, including a majority of the Independent Board Members, considered and approved the advisory agreements (each an “Advisory Agreement”) between each Fund and Nuveen Asset Management (“NAM”). Since the May Meeting, Nuveen has engaged in an internal restructuring (the “Restructuring”) pursuant to which the portfolio management services provided by NAM to the Funds would be transferred to Nuveen Asset Management, LLC (“NAM LLC”), a newly-organized wholly-owned subsidiary of NAM and NAM would change its name to Nuveen Fund Advisors, Inc. (“NFA”). NAM, under its new name NFA, will continue to serve as investment adviser to the Funds and, in that capacity, will continue to provide various oversight, administrative, compliance and other services. To effectuate the foregoing, NFA will enter into a sub-advisory agreement with NAM LLC on behalf of the Funds (the “Sub-Advisory Agreement”). Under the Sub-Advisory Agreement, NAM LLC, subject to the oversight of NFA and the Board, will furnish an investment program, make investment decisions for, and place all orders for the purchase and sale of securities for the portion of each Fund’s investment portfolio allocated to it by NFA. There will be no change in the advisory fees paid by the Funds. Rather, NFA will pay a portion of the investment advisory fee it receives to NAM LLC for its sub-advisory services. The Independent Board Members reviewed the allocation of fees between NFA and NAM LLC. NFA and NAM LLC do not anticipate any reduction in the nature or level of services provided to the Funds following the Restructuring. The personnel of NFA who engaged in portfolio management activities prior to the spinoff of NAM LLC are not expected to materially change as a result of the spinoff. In light of the foregoing, at a meeting held on November 16-18, 2010, the Board Members, including a majority of the Independent Board Members, approved the Sub-Advisory Agreement on behalf of each Fund. Given that the Restructuring was not expected to reduce the level or nature of services provided and the advisory fees paid by the Funds were the same, the factors considered and determinations made at the May Meeting in approving the Advisory Agreement were equally applicable to the approval of the Sub-Advisory Agreement. For a discussion of these considerations, please see the shareholder report of the Fund that was first issued after the May Meeting for the period including May 2010.
 
92 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 quarter 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 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
 
Nuveen Investments 93

 
 

 
 
Reinvest Automatically
Easily and Conveniently (continued)
 
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 financial 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.
 
94 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.
   
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.
 
Nuveen Investments 95

 
 

 
 
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.
   
Market Yield (also known as Dividend Yield or Current Yield): An investment’s current annualized dividend divided by its current market price.
   
Net Asset Value (NAV): A Fund’s NAV per common share is calculated by subtracting the liabilities of the Fund (including any Preferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of common shares outstanding. Fund NAVs are calculated at the end of each business day.
   
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.
   
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.
 
96 Nuveen Investments

 
 

 
 
Other Useful 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
Terence J. Toth
 
Fund Manager
Nuveen Fund Advisors, Inc.
333 West Wacker Drive
Chicago, IL 60606
 
Sub-Adviser
Nuveen Asset
Management, LLC
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 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 and Preferred Share Information
 
Each Fund intends to repurchase and/or redeem shares of its own common and/or auction rate preferred 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 and/or redeemed shares of their common and/or auction rate preferred stock as shown in the accompanying table.
 
Fund
Common Shares Repurchased
Preferred Shares Redeemed
 
NTC
 
NFC
 
NGK
 
NGO
 
NMT
 
NMB
 
NGX
 
NOM
640
 
*
Includes auction rate preferred shares noticed for redemption at the end of the reporting period.
 
Any future repurchases and/or redemptions will be reported to shareholders in the next annual or semi-annual report.
 
Nuveen Investments 97

 
 

 
 
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 HydePark, NWQ, Nuveen Asset Management, Santa Barbara, Symphony, Tradewinds and Winslow Capital. In total, Nuveen Investments managed approximately $195 billion of assets as of December 31, 2010.
 
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
 
Nuveen makes things e-simple.
 
It only takes a minute to sign up for e-Reports. Once enrolled, you’ll receive an e-mail as soon as your Nuveen Fund information is ready—no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish.
 
Free e-Reports right to your e-mail!
 
www.investordelivery.com
If you receive your Nuveen Fund distributions and statements from your financial advisor or brokerage account.
 
OR
 
www.nuveen.com/accountaccess
If you receive your Nuveen Fund distributions and statements directly from Nuveen.
 
Distributed by
Nuveen Investments, LLC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com
 
ESA-B-1110D

 
 

 
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 Dividend Advantage Municipal Fund

By (Signature and Title) /s/ Kevin J. McCarthy
Kevin J. McCarthy
(Vice President and Secretary)

Date: February 7, 2011

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 7, 2011

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

Date: February 7, 2011