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: May 31, 2011

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.


 
 

 


ITEM 1. REPORTS TO STOCKHOLDERS.

 
 

 
 
 

 

 
INVESTMENT ADVISER NAME CHANGE
 
Effective January 1, 2011, Nuveen Asset Management, the Funds’ investment adviser, changed its name to Nuveen Fund Advisors, Inc. (“Nuveen Fund Advisors”). Concurrently, Nuveen Fund Advisors formed a wholly-owned subsidiary, Nuveen Asset Management, LLC, to house its portfolio management capabilities.
 
NUVEEN INVESTMENTS COMPLETES STRATEGIC COMBINATION WITH FAF ADVISORS
 
On December 31, 2010, Nuveen Investments completed the strategic combination between Nuveen Asset Management, the largest investment affiliate of Nuveen Investments, and FAF Advisors. As part of this transaction, U.S. Bancorp – the parent of FAF Advisors – received cash consideration and a 9.5% stake in Nuveen Investments in exchange for the long-term investment business of FAF Advisors, including investment management responsibilities for the non-money market 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 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 HydePark, NWQ Investment Management, Santa Barbara Asset Management, Symphony Asset Management, Tradewinds Global Investors and Winslow Capital. Nuveen Investments managed approximately $206 billion of assets as of March 31, 2011.
 
 
 
 

 

 
Table of Contents
   
Chairman’s Letter to Shareholders 
Portfolio Managers’ Comments 
Common Share Dividend and Share Price Information 
15 
Performance Overviews 
16 
Report of Independent Registered Public Accounting Firm 
24 
Portfolios of Investments 
25 
Statement of Assets and Liabilities 
59 
Statement of Operations 
61 
Statement of Changes in Net Assets 
63 
Statement of Cash Flows 
66 
Financial Highlights 
68 
Notes to Financial Statements 
79 
Board Members and Officers 
94 
Annual Investment Management Agreement Approval Process 
99 
Reinvest Automatically, Easily and Conveniently 
107 
Glossary of Terms Used in this Report 
109 
Other Useful Information 
111 
 
 
 
 
 
 

 

 
Chairman’s
 
Letter to Shareholders
 
 
 
Dear Shareholders,
 
In 2010, the global economy recorded another year of recovery from the financial and economic crises of 2008, but many of the factors that caused the downturn still weigh on the prospects for continued improvement. In the U.S., ongoing weakness in housing values has put pressure on homeowners and mortgage lenders. Similarly, the strong earnings recovery for corporations and banks is only slowly being translated into increased hiring or more active lending. Globally, deleveraging by private and public borrowers has inhibited economic growth and that process is far from complete.
 
Encouragingly, constructive actions are being taken by governments around the world to deal with economic issues. In the U.S., the recent passage of a stimulatory tax bill relieved some of the pressure on the Federal Reserve to promote economic expansion through quantitative easing and offers the promise of sustained 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 determine 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 inflationary pressures on asset values in the U.S. and abroad, because what happens in the U.S. impacts the rest of the world economy. Also, these various actions are being taken in a setting of heightened global economic uncertainty, primarily about the supplies of energy and other critical commodities. In this challenging 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 December 31, 2010, Nuveen Investments completed a strategic combination with FAF Advisors, Inc., the manager of the First American Funds. The combination 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 those investor needs.
 
As of the end of June 2011, Nuveen Investments had completed the refinancing of all of the Auction Rate Preferred Securities issued by its taxable closed-end funds and 93% of the MuniPreferred shares issued by its tax-exempt closed-end funds. Please consult the Nuveen Investments web site, www.Nuveen.com, for the current status of this important refinancing program.
 
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
July 21, 2011
 
4 Nuveen Investments
 
 
 
 

 
Portfolio Managers’ Comments

 
Nuveen Connecticut Premium Income Municipal Fund (NTC)
Nuveen Connecticut Dividend Advantage Municipal Fund (NFC)
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK)
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO)
Nuveen Massachusetts Premium Income Municipal Fund (NMT)
Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB)
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX)
Nuveen Missouri Premium Income Municipal Fund (NOM)
 
Portfolio managers Michael Hamilton and Chris Drahn review economic and municipal market conditions at the national and state levels, key investment strategies, and the twelve-month performance of these eight Nuveen Funds. With 22 years of investment experience, Michael assumed portfolio management responsibility for the Connecticut and Massachusetts Funds in January 2011 from Cathryn Steeves, who managed these seven Funds from 2006 until December 2010. Chris, who has 31 years of financial industry experience, took on portfolio management responsibility for NOM in January 2011 from Scott Romans, who managed this Fund from 2003 until December 2010.
 
What factors affected the U.S. economic and municipal market environments during the twelve-month reporting period ended May 31, 2011?
 
During this period, the U.S. economy demonstrated some signs of modest improvement, supported by the efforts of both the Federal Reserve (Fed) and the federal government. For its part, the Fed continued to hold the benchmark fed funds rate in a target range of zero to 0.25% since cutting it to this record low level in December 2008. At its June 2011 meeting (following the end of this reporting period), the central bank stated that it anticipated keeping the fed funds rate at “exceptionally low levels” for an “extended period.” The Fed also completed its second round of quantitative easing, with the purchase of $600 billion in longer-term U.S. Treasury bonds. The goal of this plan was to lower long-term interest rates and thereby stimulate economic activity and create jobs. The federal government continued to focus on implementing the economic stimulus package passed in early 2009 and aimed at providing job creation, tax relief, fiscal assistance to state and local governments, and expansion of unemployment benefits and other federal social welfare programs.
 
In the first quarter of 2011, the U.S. economy, as measured by the U.S. gross domestic product (GDP), grew at an annualized rate of 1.9%, marking the seventh consecutive quarter of positive growth. The employment situation slowly improved, with the national jobless rate registering 9.1% in May 2011, down from 9.6% a year earlier. While the Fed’s longer-term inflation expectations remained stable, inflation over this period
 
Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.
 
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 (S&P), 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.
 
 
Nuveen Investments 5
 
 
 
 

 

 
posted its largest twelve-month gain since October 2008, as the Consumer Price Index (CPI) rose 3.6% year-over-year as of May 2011. The core CPI (which excludes food and energy) increased 1.5%, staying within the Fed’s unofficial objective of 2.0% or lower for this measure. The housing market remained a major weak spot in the economy. For the twelve months ended April 2011 (most recent data available at the time this report was prepared), the average home price in the Standard & Poor’s (S&P)/Case-Shiller index of 20 major metropolitan areas lost 4.0%, with six of the 20 metropolitan areas hitting their lowest levels since housing prices peaked in 2006.
 
The municipal bond market was affected by a significant decline in new tax exempt issuance during this period. One reason for the decrease in new tax-exempt supply was the heavy issuance of taxable municipal debt in 2010 under the Build America Bond (BAB) program, which was created as part of the American Recovery and Reinvestment Act of February 2009 and expired on December 31, 2010. Between the beginning of this reporting period on June 1, 2010, and the end of the BAB program, taxable Build America Bond issuance totaled $74.5 billion, accounting for 28% of new bonds issued in the municipal market.
 
After rallying strongly during the first part of the period, the municipal market suffered a reversal in mid-November 2010, due largely to investor concerns about inflation, the federal deficit, and the deficit’s impact on demand for U.S. Treasury securities. Adding to this market pressure was media coverage of the strained finances of some state and local governments. As a result, money began to flow out of municipal mutual funds as yields rose and valuations declined. As we moved into the second quarter of 2011, we saw the environment in the municipal market improve.
 
Over the twelve months ended May 31, 2011, municipal bond issuance nationwide—both tax-exempt and taxable—totaled $335.7 billion, a decrease of 15% compared with the issuance of the twelve-month period ended May 31, 2010. For the first five months of 2011, municipal issuance nationwide was down 50% from the first five months of 2010. This decline reflects the heavy issuance of BABs at the end of 2010, as borrowers took advantage of the program’s favorable terms before its expiration at year end.
 
How were the economic and market conditions in Connecticut, Massachusetts and Missouri during this period?
 
During the twelve-month period, Connecticut’s economy gained some ground in its efforts to recover from the recent recession. For 2010, Connecticut posted GDP growth of 3.1%, compared with national growth of 2.6%, which ranked Connecticut 12th in percentage GDP growth by state. As of May 2011, the jobless rate in Connecticut was 9.1%, the same as it was in May 2010. Connecticut’s ranking as the state with the highest per capita income in the nation remained a positive for housing and retail trade. The downside included high energy costs, slow population growth, and relatively high business taxes. In the state’s housing market, lower prices, a lack of recent residential construction, and pent-up demand were expected to help improve the market for home sales once employment picks up. In May 2011, Connecticut passed a $40.1 billion biennium state budget for fiscal 2012-2013 that provided for the largest tax increase in state history, including a broad array of new taxes and the end of tax exemptions on items such as entertainment, clothes, nonprescription drugs, alcohol and tobacco. The budget
 
6 Nuveen Investments
 
 
 
 

 

 
also called for $1 billion in wage and benefit concessions from 45,000 unionized state workers. As of May 2011, Moody’s and Standard & Poor’s (S&P) rated Connecticut general obligation debt at Aa2 and AA, respectively, with stable outlooks. Issuance of municipal debt in Connecticut during the twelve months ended May 31, 2011, totaled $4.8 billion, down 29% from the twelve months ended May 31, 2010.
 
In 2010, Massachusetts’s economy expanded at a rate of 4.2%, compared with national growth of 2.6%, ranking Massachusetts fourth in the nation in percentage GDP growth by state. As of May 2011, the jobless rate in Massachusetts was 7.6%, its lowest reading since February 2009 and down from 8.5% in May 2010. This compared with the national unemployment rate of 9.1% in May 2011. Job growth was reported across all sectors, with professional and business services, education and health services, and finance leading the way. Goods-producing industries also saw small gains in payrolls, as industrial production benefited from a recovery in business spending. Through December 2010, the commonwealth had regained approximately 40% of the industrial jobs lost during the recent recession, compared with 25% nationally. The concentration of colleges and universities also continued to make Massachusetts a significant center for research and development, primarily in the Cambridge area, which has one of the highest concentrations of high-tech jobs in the nation. Despite the commonwealth’s overall progress, the housing sector continued to be a problem area. According to the S&P/Case-Shiller home price index of 20 major metropolitan areas, housing prices in Boston fell 4.2% between April 2010 and April 2011 (most recent data available at the time this report was prepared), partly due to a large increase in the inventory of foreclosed homes, which weighed on prices. In government, Massachusetts’s $30.6 billion budget for fiscal 2012 contained no new taxes, but cut funding for many state agencies and included provisions limiting the collective bargaining powers of public unions—teachers, police, and firefighters—as part of a plan to save cities and towns $100 million annually in health insurance costs. As of May 2011, Moody’s rated Massachusetts general obligation debt at Aa1, with a stable outlook. In February 2011, S&P confirmed its Massachusetts rating at AA and revised its outlook to positive from stable. For the twelve months ended May 31, 2011, new municipal supply in Massachusetts totaled $9.6 billion, a decrease of 19% from the previous twelve months.
 
For 2010, Missouri posted GDP growth of 1.4%, compared with the national measure of 2.6%, which ranked Missouri 39th in percentage GDP growth by state. Although this represented a significant turnaround from 2009, when Missouri’s economy contracted 3.8%, the state’s heavy reliance on the manufacturing sector has hampered its ability to more fully participate in recovery. In May 2011, the jobless rate in Missouri was 8.9%, its lowest level since March 2009, down from 9.5% in May 2010. In May 2011, the Missouri legislature approved a $23.2 billion state budget for fiscal 2012 that cut funding for colleges and universities by 5.5% and held basic aid for K-12 education flat. As of May 2011, Moody’s and S&P rated Missouri general obligation debt at Aaa and AAA, respectively, with stable outlooks. During the twelve months ended May 31, 2011, municipal issuance in Missouri was down 28% from the previous twelve-month period, to $4.6 billion.
 
Nuveen Investments 7
 
 
 
 

 

 
What key strategies were used to manage these Funds during this period?
 
As previously mentioned, the new issue supply of tax-exempt bonds declined nationally during this period, due largely to the issuance of taxable bonds under the BAB program. The BAB program also significantly affected the availability of tax-exempt bonds in these three states. Between the beginning of this reporting period on June 1, 2010, and the end of the BAB program, BABs accounted for approximately 24% of municipal supply in Connecticut, 31% in Massachusetts, and 33% in Missouri. Since interest payments from BABs represent taxable income, we did not view these bonds as appropriate investment opportunities for these Funds. Further compounding the supply situation was the drop-off in new municipal issuance during the first five months of 2011, when issuance in Connecticut, Massachusetts, and Missouri declined 48%, 51%, and 74%, respectively, from that of the same period in 2010.
 
For NGX, the tighter supply situation was compounded by the severe decline in the issuance of AAA rated insured bonds. Between May 2010 and May 2011, the supply of new insured paper fell by 50%, accounting for only 6% of issuance nationwide, compared with historical levels of approximately 50%. NGX’s investment policies were changed in May 2010 to allow this insured Fund to invest up to 20% of its net assets in uninsured investment-grade credits rated BBB- or higher. However, at least 80% of its net assets must be invested in municipal securities that are covered by insurance from insurers with a claims-paying ability rated at least BBB- at the time of purchase.
 
In this environment of constrained tax-exempt municipal bond issuance, we continued to take a bottom-up approach to discovering undervalued sectors and individual credits with the potential to perform well over the long term. During this period, the Connecticut and Massachusetts Funds took advantage of attractive opportunities in the market to add to some of the Fund’s existing holdings. The Massachusetts Funds also added a new name, the Broad Institute, a medical research center affiliated with MIT and Harvard. In NOM, we purchased bonds issued for the Carroll County public water supply district and Rockhurst University. Because of the general lack of supply in these states, the Connecticut Funds also purchased territorial paper, including sales tax and water and sewer bonds issued by Puerto Rico. NOM also bought Puerto Rican sales tax bonds, while NGX purchased a Guam power utility credit. The purchase of these bonds benefited the Funds by helping to keep them as fully invested as possible, adding diversification, and providing double exemption (i.e., exemption from both federal and state taxes). In addition, the Connecticut Funds bought some securities issued in New York and Oregon.
 
During this period, the Funds generally focused on purchasing longer bonds in order to take advantage of attractive yields at the longer end of the municipal yield curve. The purchase of longer bonds also provided some protection for the Funds’ duration and yield curve positioning in the event that the BAB program was extended and continued to have an impact on tax-exempt issuance. The Connecticut Funds were somewhat hampered in this area due to the generally shorter nature of debt issued in that state.
 
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. In addition, the Massachusetts Funds sold some pre-refunded bonds with short
 
8 Nuveen Investments
 
 
 
 

 

 
maturities (less than two years) to provide additional cash for purchases. In general, selling was minimal because of the challenge of finding appropriate tax-exempt paper.
 
As of May 31, 2011, all of these Funds continued to use inverse floating rate securities. We employ inverse floaters as a form of leverage for a variety of reasons, including duration management, income enhancement and total return enhancement.
 
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 5/31/11 
                 
   
1-Year
   
5-Year
   
10-Year
 
Connecticut Funds 
                 
NTC 
    2.63 %      4.72 %      5.59 % 
NFC 
    2.09 %      4.87 %      6.05 % 
NGK 
    1.41 %      4.81 %      N/A  
NGO 
    2.52 %      4.59 %      N/A  
                         
Standard & Poor’s (S&P) Connecticut Municipal Bond Index1 
    3.28 %      4.51 %      4.75 % 
Standard & Poor’s (S&P) National Municipal Bond Index2 
    3.17 %      4.46 %      5.02 % 
Lipper Other States Municipal Debt Funds Average3 
    2.49 %      4.18 %      5.60 % 
                         
Massachusetts Funds 
                       
NMT 
    3.58 %      4.82 %      5.56 % 
NMB 
    3.05 %      4.21 %      6.10 % 
                         
Standard & Poor’s (S&P) Massachusetts Municipal Bond Index1 
    3.63 %      5.12 %      5.28 % 
Standard & Poor’s (S&P) National Municipal Bond Index2 
    3.17 %      4.46 %      5.02 % 
Lipper Other States Municipal Debt Funds Average3 
    2.49 %      4.18 %      5.60 % 
                         
Missouri Fund 
                       
NOM 
    3.22 %      3.72 %      5.22 % 
                         
Standard & Poor’s (S&P) Missouri Municipal Bond Index1 
    4.04 %      4.60 %      5.18 % 
Standard & Poor’s (S&P) National Municipal Bond Index2 
    3.17 %      4.46 %      5.02 % 
Lipper Other States Municipal Debt Funds Average3 
    2.49 %      4.18 %      5.60 % 
                         
Insured Massachusetts Fund 
                       
NGX 
    2.89 %      4.88 %      N/A  
                         
Standard & Poor’s (S&P) Massachusetts Municipal Bond Index1 
    3.63 %      5.12 %      5.28 % 
Standard & Poor’s (S&P) National Insured Municipal Bond Index2 
    2.92 %      4.44 %      5.08 % 
Lipper Single State Insured Municipal Debt Funds Average4 
    2.28 %      4.55 %      5.52 % 
 
 
 
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.
 
1
The Standard & Poor’s (S&P) Municipal Bond Indexes for Connecticut, Massachusetts and Missouri are unlever-aged, market value-weighted indexes designed to measure the performance of the tax-exempt, investment-grade Connecticut, Massachusetts, and Missouri municipal bond markets, respectively.These indexes do not reflect any initial or ongoing expenses and are not available for direct investment.
 
2
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. The S&P National Insured Municipal Bond Index is an unleveraged, market value-weighted index designed to measure the performance of the insured, tax-exempt segment of the U.S. municipal bond market. These indexes do not reflect any initial or ongoing expenses and are not available for direct investment.
 
3
The Lipper Other States Municipal Debt Funds Average is calculated using the returns of all closed-end funds in this category for each period as follows: 1-year, 46 funds; 5-year, 46 funds; and 10-years, 27 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, which may make direct comparisons less meaningful.
 
4
The Lipper Single-State Insured Municipal Debt Funds Average is calculated using the returns of all closed-end exchange-traded funds in this category for each period as follows: 1-year, 13 funds; 5-year, 13 funds; and 10-year, 8 funds. Lipper returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges.The Lipper average is not available for direct investment. Shareholders should note that the performance of the Lipper Single-State average represents the overall average of returns for funds from eight different states with a wide variety of municipal market conditions, which may make direct comparisons less meaningful.
 
Nuveen Investments 9
 
 
 
 

 

 
For the twelve months ended May 31, 2011, the total return on common share net asset value (NAV) for NMT performed in line with the Standard & Poor’s (S&P) Massachusetts Municipal Bond Index, while the remaining Connecticut, Massachusetts and Missouri Funds underperformed the returns for their respective state’s S&P Municipal Bond Index. NMT exceeded the return for the Standard & Poor’s (S&P) National Municipal Bond Index, NMB and NOM performed in line with this index, while the four Connecticut Funds lagged this benchmark. NTC, NGO, NMT, NMB and NOM outperformed the average return for the Lipper Other States Municipal Debt Funds Average, while NFC and NGK trailed this Lipper average. For the same period, NGX performed in line with the S&P National Insured Municipal Bond Index and outperformed the average return for the Lipper Single State Insured Municipal Debt Funds Average.
 
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 leverage also had an impact on the Funds’ performance. Leverage is discussed in more detail on page eleven.
 
During this period, municipal bonds with intermediate maturities generally outperformed other maturity categories, with credits at both the shorter and longer ends of the yield curve posting weaker returns. Overall, duration and yield curve positioning was a positive contributor to the performance of NMT, NMB and NOM. These three Funds were overweighted in the intermediate parts of the yield curve that performed best. NMT and NMB also benefited from being underweighted in the short end of the curve, while NOM was underweight in the underperforming longer end of the curve. Duration and yield curve positioning was generally a neutral factor in NTC, NFC, NGO and NGX. On the other hand, NGK was overweighted in the shorter part of the curve that underperformed, which detracted from the Fund’s performance during this period. Some of the maturity weightings in NGK and across the other Connecticut Funds were attributable to the fact that much of the issuance in Connecticut comes to market with shorter maturities.
 
Credit exposure played a smaller role in performance. During the market reversal of late 2010, as redemption activity in high-yield funds increased and risk aversion mounted, lower-rated credits were negatively impacted. For the period as a whole, bonds rated BBB typically underperformed those rated AAA. In this environment, the Funds’ performance generally benefited from their allocations to higher quality credits. As an insured Fund, NGK had the largest exposure to AAA credits and NGX had the smallest allocation of BBB bonds. This overall higher credit quality helped NGX’s performance for the period. NGX also had a holding pre-refunded during this period, which benefited the Fund through enhanced credit quality and price appreciation.
 
Holdings that generally made positive contributions to the Funds’ returns during this period included general obligation (GO) and other tax-supported bonds, housing credits and resource recovery bonds. The electric utilities, water and sewer, and leasing sectors also outperformed the municipal market as a whole. All of these Funds were generally underweighted in the tax-supported sector, specifically in state GOs, which restricted their ability to participate in the rally of this sector. One of the reasons these Funds tend to hold fewer state GOs than the market average is that these bonds offer less of a yield advantage than other bonds we can purchase for our portfolios.
 
10 Nuveen Investments
 
 
 
 

 

 
In contrast, the industrial development revenue, health care and transportation sectors turned in relatively weaker performance. All of these Funds were hurt by their weightings in health care, with the exception of NOM. Despite the poor performance of the health care sector nationally, credit spreads on Missouri health care bonds remained relatively stable during this period, and NOM’s health care holdings performed well. In general, the Connecticut and Massachusetts Funds tended to be underweighted in transportation, which helped their performance. However, the poor performance of NGK’s holding in the transportation sector along with the Fund’s underweighting of state GOs, was the primary reason NGK underperformed the other Funds in this report.
 
IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE
 
One important factor impacting the returns of all these Funds relative to the comparative indexes was the Funds’ use of leverage. The Funds use leverage because their managers believe that, over time, leveraging provides opportunities for additional income and total return for common shareholders. However, use of leverage also can expose common shareholders to additional volatility. For example, as the prices of securities held by a Fund decline, the negative impact of these valuation changes on common share net asset value and common shareholder total return is magnified by the use of leverage. This is what happened in these Funds during the period, as the use of leverage hurt their overall performance.
 
APPROVED FUND MERGERS
 
After the close of this reporting period, the Funds’ Board of Trustees approved a series of mergers for all the Connecticut funds included in this report. The mergers are subject to shareholder approval at the Funds’ regular shareholder meeting later this year. The mergers are intended to create a single, larger state fund with enhanced trading appeal and lower operating expenses of traded common shares of the fund.
 
More information on the proposed mergers will be contained in the proxy materials expected to be filed with the Securities and Exchange Commission in the coming weeks. The proposed fund mergers are as follows:
 
 
   
Acquired Fund 
Acquiring Fund 
Nuveen Connecticut Dividend Advantage 
Nuveen Connecticut Premium Income 
Municipal Fund (NFC) 
Municipal Fund (NTC) 
Nuveen Connecticut Dividend Advantage 
  Municipal Fund 2 (NGK)
Nuveen Connecticut Dividend Advantage
  Municipal Fund 3 (NGO)
 
 
 
RECENT DEVELOPMENTS REGARDING THE FUNDS’ REDEMPTION OF AUCTION RATE PREFERRED SHARES
 
Shortly after their respective inceptions, each of the Funds issued auction rate preferred shares (ARPS) to create structural leverage. As noted in past shareholder reports, the 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.
 
Nuveen Investments 11
 
 
 
 

 

 
In fact, offers to buy have been almost completely nonexistent 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 portfolio. Some funds have a greater ability to use TOBs than others. Some funds have issued Variable Rate Demand Preferred (VRDP) Shares or Variable MuniFund Term Preferred (VMTP) Shares, which are a floating rate form of preferred stock with a mandatory term redemption. Some funds have issued MuniFund Term Preferred (MTP) Shares, a fixed rate form of preferred stock with a mandatory redemption period of three to five years.
 
During 2010 and 2011, certain Nuveen leveraged closed-end funds (excluding all the Funds included in this report) received a demand letter from a law firm on behalf of purported holders of common shares of each such fund, alleging that Nuveen and the funds’ officers and Board of Directors/Trustees breached their fiduciary duties related to the redemption at par of the funds’ ARPS. In response, the Board established an ad hoc Demand Committee consisting of certain of its disinterested and independent Board members to investigate the claims. The Demand Committee retained independent counsel to assist it in conducting an extensive investigation. Based upon its investigation, the Demand Committee found that it was not in the best interests of each fund or its shareholders to take the actions suggested in the demand letters, and recommended that the full Board reject the demands made in the demand letters. After reviewing the findings and recommendation of the Demand Committee, the full Board of each fund unanimously adopted the Demand Committee’s recommendation.
 
Subsequently, the funds that received demand letters were named in a consolidated complaint as nominal defendants in a putative shareholder derivative action captioned Martin Safier, et al. v. Nuveen Asset Management, et al. that was filed in the Circuit Court of Cook County, Illinois, Chancery Division (the “Cook County Chancery Court”) on February 18, 2011 (the “Complaint”). The Complaint, filed on behalf of purported holders of each fund’s common shares, also name Nuveen Fund Advisors, Inc. as a defendant, together with current and former Officers and interested Directors/Trustees of each of the funds (together with the nominal defendants, collectively, the “Defendants”). The Complaint contains the same basic allegations contained in the demand letters. The suits
 
12 Nuveen Investments
 
 
 
 

 

 
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 Fund Advisors, Inc. believes that the Complaint is without merit, and is defending vigorously against these charges.
 
As of May 31, 2011, each of the Funds has redeemed all of their outstanding ARPS at par.
 
MTP Shares
 
As of May 31, 2011, the following Funds have issued and outstanding MTP Shares, at liquidation value, as shown in the accompanying table.
 
   
 
MTP Shares 
Fund 
at Liquidation Value 
NTC 
$36,080,000 
NFC 
20,470,000 
NGK 
16,950,000 
NGO 
32,000,000 
NMT 
36,645,000 
NMB 
14,725,000 
NGX 
22,075,000 
NOM 
17,880,000 
 
 
 
The net proceeds from each Fund’s issuance of MTP Shares was used to refinance all, or a portion of, the Fund’s remaining outstanding ARPS at par. Each Fund’s MTP Shares trade on the New York Stock Exchange (NYSE). At May 31, 2011, the details on each Fund’s series of MTP Shares are as shown in the following table.
         
   
Shares Issued 
Annual 
NYSE 
Fund 
Series 
At Liquidation Value 
Interest Rate 
Ticker 
NTC 
2015 
18,300,000 
2.65% 
NTC Pr C 
NTC 
2016 
17,780,000 
2.55% 
NTC Pr D 
NFC 
2015 
20,470,000 
2.60% 
NFC Pr C 
NGK 
2015 
16,950,000 
2.60% 
NGK Pr C 
NGO 
2015 
32,000,000 
2.65% 
NGO Pr C 
NMT 
2015 
20,210,000 
2.65% 
NMT Pr C 
NMT 
2016 
16,435,000 
2.75% 
NMT Pr D 
NMB 
2015 
14,725,000 
2.60% 
NMB Pr C 
NGX 
2015 
22,075,000 
2.65% 
NGX Pr C 
NOM 
2015 
17,880,000 
2.10% 
NOM Pr C 
 
(Refer to Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies and Footnote 4 – Fund Shares for further details on MTP Shares.)
 
At the time this report was prepared, 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 $10.3 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 13
 
 
 
 

 

 
Regulatory Matters
 
During May 2011, Nuveen Securities, LLC, known as Nuveen Investments, LLC prior to April 30, 2011, entered into a settlement with the Financial Industry Regulatory Authority (FINRA) with respect to certain allegations regarding Nuveen-sponsored closed-end fund ARPS marketing brochures. As part of this settlement, Nuveen Securities, LLC neither admitted to nor denied FINRA’s allegations. Nuveen Securities, LLC is the broker-dealer subsidiary of Nuveen Investments.
 
The settlement with FINRA concludes an investigation that followed the widespread failure of auctions for ARPS and other auction rate securities, which generally began in mid-February 2008. In the settlement, FINRA alleged that certain marketing materials provided by Nuveen Securities, LLC were false and misleading. Nuveen Securities, LLC agreed to a censure and the payment of a $3 million fine.
 
RISK CONSIDERATIONS
 
Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation. Shares of closed-end funds are subject to investment risks, including the possible loss of principal invested. Past performance is no guarantee of future results.
 
Price Risk; Common shares of closed-end investment companies like the Funds frequently trade at a discount to their net asset value. The Funds cannot predict whether the common shares will trade at, above or below net asset value. Your common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.
 
Leverage Risk; Each Fund’s use of leverage creates the possibility of higher volatility for the Fund’s per share NAV, market price, and distributions. Leverage risk can be introduced through structural leverage (issuing preferred shares or debt borrowings at the Fund level) or through certain derivative investments held in the Fund’s portfolio. Leverage typically magnifies the total return of a Fund’s portfolio, whether that return is positive or negative. There is no assurance that a Fund’s leveraging strategy will be successful. 
 
Credit and Interest Rate Risk; Debt or fixed income securities are subject to credit risk and interest rate risk. The value of, and income generated by debt securities will decrease or increase based on changes in market interest rates. As interest rates rise, bond prices fall. Credit risk refers to an issuer's ability to make interest and principal payments when due.
 
14 Nuveen Investments
 
 
 
 

 

 
Common Share Dividend and
Share Price Information
 
The monthly dividends of all eight Funds in this report remained stable throughout the twelve-month reporting period ended May 31, 2011.
 
Due to normal portfolio activity, common shareholders of NMT received a long-term capital gains distribution of $0.0376 per share in December 2010.
 
All of these Funds 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 May 31, 2011, all eight of the Funds in this report had positive UNII balances for both tax and 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.
 
As of May 31, 2011, the Funds’ common share prices were trading at premiums (+) or (-) discounts to their common share NAVs as shown in the accompanying table.
     
 
5/31/11 
12-Month Average 
Fund 
(+) Premium/(-)Discount 
(+) Premium/(-)Discount 
NTC 
(-)7.31% 
(-)4.90% 
NFC 
(-)4.09% 
(-)2.01% 
NGK 
(-)3.26% 
(+)0.16% 
NGO 
(-)8.39% 
(-)4.60% 
NMT 
(-)4.03% 
(-)0.56% 
NMB 
(-)3.15% 
(+)0.07% 
NGX 
(-)5.15% 
(+)0.72% 
NOM 
(+) 5.23% 
(+)16.16% 
 
 
 
Nuveen Investments 15
 
 
 
 

 

   
NTC 
Nuveen Connecticut 
 
Premium Income 
Performance 
Municipal Fund 
OVERVIEW 
 
 
as of May 31, 2011 
 
 
Fund Snapshot 
   
Common Share Price 
 
$13.18 
Common Share 
   
Net Asset Value (NAV) 
 
$14.22 
Premium/(Discount) to NAV 
 
-7.31% 
Market Yield 
 
5.37% 
Taxable-Equivalent Yield1 
 
7.85% 
Net Assets Applicable to 
   
Common Shares ($000) 
 
$76,284 
 
Average Annual Total Return 
   
(Inception 5/20/93) 
   
 
On Share Price 
On NAV 
1-Year 
-0.39% 
2.63% 
5-Year 
4.04% 
4.72% 
10-Year 
3.40% 
5.59% 
 
Leverage 
   
(as a % of managed assets) 
   
Structural Leverage 
 
30.78% 
Effective Leverage 
 
36.60% 
 
Portfolio Composition3 
   
(as a % of total investments) 
   
Education and Civic Organizations 
 
25.4% 
Tax Obligation/General 
 
14.2% 
Tax Obligation/Limited 
 
13.7% 
Health Care 
 
13.7% 
Water and Sewer 
 
8.9% 
U.S. Guaranteed 
 
8.1% 
Housing/Single Family 
 
6.5% 
Utilities 
 
5.7% 
Other 
 
3.8% 
 
 
 
 
 
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.
 
16 Nuveen Investments
 
 
 
 

 

   
NFC 
Nuveen Connecticut 
 
Dividend Advantage 
Performance 
Municipal Fund 
OVERVIEW 
 
 
as of May 31, 2011 
 
 
     
Fund Snapshot 
   
Common Share Price 
 
$13.85 
Common Share 
   
Net Asset Value (NAV) 
 
$14.44 
Premium/(Discount) to NAV 
 
-4.09% 
Market Yield 
 
5.55% 
Taxable-Equivalent Yield1 
 
8.11% 
Net Assets Applicable to 
   
Common Shares ($000) 
 
$37,334 
 
Average Annual Total Return 
   
(Inception 1/26/01) 
   
 
On Share Price 
On NAV 
1-Year 
-4.38% 
2.09% 
5-Year 
2.06% 
4.87% 
10-Year 
4.40% 
6.05% 
 
Leverage 
   
(as a % of managed assets) 
   
Structural Leverage 
 
34.09% 
Effective Leverage 
 
39.42% 
 
Portfolio Composition3 
   
(as a % of total investments) 
   
Education and Civic Organizations 
 
23.6% 
Tax Obligation/Limited 
 
18.3% 
Health Care 
 
15.3% 
U.S. Guaranteed 
 
10.7% 
Tax Obligation/General 
 
10.1% 
Water and Sewer 
 
9.5% 
Housing/Single Family 
 
5.9% 
Other 
 
6.6% 
 
 
 
 
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 17
 
 
 
 

 

   
NGK 
Nuveen Connecticut 
 
Dividend Advantage 
Performance 
Municipal Fund 2 
OVERVIEW 
 
 
as of May 31, 2011 
 
 
     
Fund Snapshot 
   
Common Share Price 
 
$13.96 
Common Share 
   
Net Asset Value (NAV) 
 
$14.43 
Premium/(Discount) to NAV 
 
-3.26% 
Market Yield 
 
5.67% 
Taxable-Equivalent Yield1 
 
8.29% 
Net Assets Applicable to 
   
Common Shares ($000) 
 
$33,478 
 
Average Annual Total Return 
   
(Inception 3/25/02) 
   
 
On Share Price 
On NAV 
1-Year 
-8.96% 
1.41% 
5-Year 
1.90% 
4.81% 
Since Inception 
4.85% 
5.79% 
 
Leverage 
   
(as a % of managed assets) 
   
Structural Leverage 
 
32.30% 
Effective Leverage 
 
37.87% 
 
Portfolio Composition3 
   
(as a % of total investments) 
   
Education and Civic Organizations 
 
22.4% 
U.S. Guaranteed 
 
17.2% 
Health Care 
 
15.1% 
Tax Obligation/Limited 
 
10.9% 
Tax Obligation/General 
 
8.0% 
Water and Sewer 
 
7.9% 
Housing/Single Family 
 
5.3% 
Utilities 
 
5.1% 
Other 
 
8.1% 
 
 
 
 
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     
Holdings are subject to change.
 
 
18 Nuveen Investments
 
 
 
 

 

   
NGO 
Nuveen Connecticut 
 
Dividend Advantage 
Performance 
Municipal Fund 3 
OVERVIEW 
 
 
as of May 31, 2011 
 
 
     
Fund Snapshot 
   
Common Share Price 
 
$12.89 
Common Share 
   
Net Asset Value (NAV) 
 
$14.07 
Premium/(Discount) to NAV 
 
-8.39% 
Market Yield 
 
5.59% 
Taxable-Equivalent Yield1 
 
8.17% 
Net Assets Applicable to 
   
Common Shares ($000) 
 
$61,459 
 
Average Annual Total Return 
   
(Inception 9/26/02) 
   
 
On Share Price 
On NAV 
1-Year 
-3.29% 
2.52% 
5-Year 
3.10% 
4.59% 
Since Inception 
3.29% 
4.75% 
 
Leverage 
   
(as a % of managed assets) 
   
Structural Leverage 
 
32.93% 
Effective Leverage 
 
38.07% 
 
Portfolio Composition3 
   
(as a % of total investments) 
   
Education and Civic Organizations 
 
19.1% 
U.S. Guaranteed 
 
18.2% 
Health Care 
 
12.7% 
Tax Obligation/Limited 
 
11.3% 
Water and Sewer 
 
10.6% 
Tax Obligation/General 
 
8.5% 
Long-Term Care 
 
6.1% 
Housing/Single Family 
 
5.1% 
Utilities 
 
5.1% 
Other 
 
3.3% 
 
 
 
 
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 19
 
 
 
 

 

   
NMT 
Nuveen Massachusetts 
 
Premium Income 
Performance 
Municipal Fund 
OVERVIEW 
 
 
as of May 31, 2011 
 
 
     
Fund Snapshot 
   
Common Share Price 
 
$13.59 
Common Share 
   
Net Asset Value (NAV) 
 
$14.16 
Premium/(Discount) to NAV 
 
-4.03% 
Market Yield 
 
5.74% 
Taxable-Equivalent Yield1 
 
8.42% 
Net Assets Applicable to 
   
Common Shares ($000) 
 
$67,605 
 
Average Annual Total Return 
   
(Inception 3/18/93) 
   
 
On Share Price 
On NAV 
1-Year 
-3.48% 
3.58% 
5-Year 
4.32% 
4.82% 
10-Year 
4.30% 
5.56% 
 
Leverage 
   
(as a % of managed assets) 
   
Structural Leverage 
 
35.15% 
Effective Leverage 
 
37.81% 
 
Portfolio Composition4 
   
(as a % of total investments) 
   
Education and Civic Organizations 
 
23.0% 
Health Care 
 
16.9% 
Tax Obligation/General 
 
14.0% 
Tax Obligation/Limited 
 
9.2% 
Water and Sewer 
 
8.0% 
U.S. Guaranteed 
 
7.4% 
Transportation 
 
7.1% 
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 capital gains distributions in December 2010 of $0.0376 per share.
4     
Holdings are subject to change.
 
20 Nuveen Investments
 
 
 
 

 

   
NMB
Nuveen Massachusetts
Dividend Advantage
Performance
Municipal Fund
OVERVIEW 
 
 
as of May 31, 2011 
 
 
     
Fund Snapshot 
   
Common Share Price 
 
$13.53 
Common Share 
   
Net Asset Value (NAV) 
 
$13.97 
Premium/(Discount) to NAV 
 
-3.15% 
Market Yield 
 
6.12% 
Taxable-Equivalent Yield1 
 
8.97% 
Net Assets Applicable to 
   
Common Shares ($000) 
 
$27,465 
 
Average Annual Total Return 
   
(Inception 1/30/01) 
   
 
On Share Price 
On NAV 
1-Year 
1.87% 
3.05% 
5-Year 
2.66% 
4.21% 
Since Inception 
4.90% 
6.10% 
 
Leverage 
   
(as a % of managed assets) 
   
Structural Leverage 
 
34.90% 
Effective Leverage 
 
37.95% 
 
Portfolio Composition3 
   
(as a % of total investments) 
   
Education and Civic Organizations 
 
30.5% 
Health Care 
 
21.2% 
Tax Obligation/General 
 
10.2% 
Tax Obligation/Limited 
 
7.8% 
Long-Term Care 
 
5.7% 
Water and Sewer 
 
5.6% 
Housing/Multifamily 
 
5.1% 
U.S. Guaranteed 
 
4.0% 
Utilities 
 
3.8% 
Other 
 
6.1% 
 
 
 
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 31.8%. 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.
 
Nuveen Investments 21
 
 
 
 

 

   
NGX 
Nuveen Insured 
 
Massachusetts Tax-Free 
Performance 
Advantage Municipal Fund 
OVERVIEW 
 
 
as of May 31, 2011 
 
 
     
Fund Snapshot 
   
Common Share Price 
 
$13.62 
Common Share 
   
Net Asset Value (NAV) 
 
$14.36 
Premium/(Discount) to NAV 
 
-5.15% 
Market Yield 
 
5.55% 
Taxable-Equivalent Yield3 
 
8.14% 
Net Assets Applicable to 
   
Common Shares ($000) 
 
$39,158 
 
Average Annual Total Return 
   
(Inception 11/21/02) 
   
 
On Share Price 
On NAV 
1-Year 
-9.04% 
2.89% 
5-Year 
5.32% 
4.88% 
Since Inception 
3.94% 
5.22% 
 
Leverage 
   
(as a % of managed assets) 
   
Structural Leverage 
 
36.05% 
Effective Leverage 
 
37.58% 
 
Portfolio Composition5 
   
(as a % of total investments) 
   
U.S. Guaranteed 
 
25.3% 
Education and Civic Organizations 
 
17.6% 
Water and Sewer 
 
12.2% 
Tax Obligation/Limited 
 
11.5% 
Tax Obligation/General 
 
8.3% 
Housing/Multifamily 
 
7.3% 
Health Care 
 
7.1% 
Industrials 
 
4.7% 
Other 
 
6.0% 
 
Insurers5 
   
(as a % of total Insured investments) 
 
NPFG4 
 
33.7% 
AMBAC 
 
20.7% 
FGIC 
 
18.3% 
AGM 
 
12.2% 
AGC 
 
9.3% 
SYNCORA GTY 
 
5.8% 
 
 
  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
  AAArating 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.
 
22 Nuveen Investments
 
 
 
 

 

   
NOM 
Nuveen Missouri 
 
Premium Income 
Performance 
Municipal Fund 
OVERVIEW 
 
 
as of May 31, 2011 
 
 
     
Fund Snapshot 
   
Common Share Price 
 
$13.88 
Common Share 
   
Net Asset Value (NAV) 
 
$13.19 
Premium/(Discount) to NAV 
 
5.23% 
Market Yield 
 
5.62% 
Taxable-Equivalent Yield1 
 
8.30% 
Net Assets Applicable to 
   
Common Shares ($000) 
 
$30,595 
 
Average Annual Total Return 
   
(Inception 5/20/93) 
   
 
On Share Price 
On NAV 
1-Year 
-11.29% 
3.22% 
5-Year 
1.88% 
3.72% 
10-Year 
5.08% 
5.22% 
 
Leverage 
   
(as a % of managed assets) 
   
Structural Leverage 
 
36.89% 
Effective Leverage 
 
39.65% 
 
Portfolio Composition3 
   
(as a % of total investments) 
   
Health Care 
 
20.0% 
Tax Obligation/Limited 
 
18.5% 
Tax Obligation/General 
 
17.0% 
Transportation 
 
10.7% 
U.S. Guaranteed 
 
8.5% 
Water and Sewer 
 
7.5% 
Long-Term Care 
 
6.0% 
Other 
 
11.8% 
 
 
 
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 23
 
 
 
 

 

 
Report of Independent
Registered Public Accounting Firm
 
The Board of Trustees and Shareholders
 
Nuveen Connecticut Premium Income Municipal Fund
Nuveen Connecticut Dividend Advantage Municipal Fund
Nuveen Connecticut Dividend Advantage Municipal Fund 2
Nuveen Connecticut Dividend Advantage Municipal Fund 3
Nuveen Massachusetts Premium Income Municipal Fund
Nuveen Massachusetts Dividend Advantage Municipal Fund
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund
Nuveen Missouri Premium Income Municipal Fund
 
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund, and Nuveen Missouri Premium Income Municipal Fund (the “Funds”) as of May 31, 2011, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
 
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of May 31, 2011, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
 
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of Nuveen Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund, and Nuveen Missouri Premium Income Municipal Fund at May 31, 2011, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with U.S. generally accepted accounting principles.
 
 
Chicago, Illinois
July 28, 2011
 
24 Nuveen Investments
 
 
 
 

 

         
 
Nuveen Connecticut Premium Income Municipal Fund 
   
NTC 
Portfolio of Investments 
   
   
May 31, 2011 
   
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Consumer Staples – 1.5% (1.0% of Total Investments) 
     
$ 1,280 
 
Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, 
5/12 at 100.00 
BBB 
$ 1,133,235 
   
Series 2002, 5.375%, 5/15/33 
     
   
Education and Civic Organizations – 39.0% (25.4% of Total Investments) 
     
925 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Brunswick School, 
7/13 at 100.00 
Baa1 
926,499 
   
Series 2003B, 5.000%, 7/01/33 – NPFG Insured 
     
500 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, 
7/16 at 100.00 
N/R 
436,140 
   
Series 2006B, 5.000%, 7/01/36 – RAAI Insured 
     
305 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate 
7/17 at 100.00 
N/R 
286,673 
   
School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured 
     
1,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, 
7/20 at 100.00 
A– 
996,160 
   
Series 2010-O, 5.000%, 7/01/40 
     
750 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Horace Bushnell 
7/11 at 100.00 
Baa1 
750,075 
   
Memorial Hall, Series 1999A, 5.625%, 7/01/29 – NPFG Insured 
     
800 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, 
No Opt. Call 
A2 
918,432 
   
Series 2005F, 5.250%, 7/01/19 – AMBAC Insured 
     
1,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, 
7/16 at 100.00 
A– 
986,590 
   
Series 2006H, 5.000%, 7/01/36 – AMBAC Insured 
     
1,595 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, 
7/17 at 100.00 
A– 
1,651,989 
   
Series 2007-I, 5.000%, 7/01/25 – NPFG Insured 
     
270 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, 
7/17 at 100.00 
N/R 
247,736 
   
Series 2007A, 5.000%, 7/01/37 – AMBAC Insured 
     
1,375 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, 
7/14 at 100.00 
A+ 
1,478,194 
   
Series 2004H, 5.000%, 7/01/21 – NPFG Insured 
     
2,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of 
7/12 at 101.00 
BBB– 
1,826,240 
   
Hartford, Series 2002E, 5.250%, 7/01/32 – RAAI Insured 
     
1,050 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of 
7/16 at 100.00 
BBB– 
919,023 
   
Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured 
     
800 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, 
7/20 at 100.00 
AA 
830,432 
   
Series 2010G, 5.000%, 7/01/35 
     
1,500 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/13 at 100.00 
AAA 
1,518,720 
   
Series 2003X-1, 5.000%, 7/01/42 (UB) 
     
3,550 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/16 at 100.00 
AAA 
3,653,270 
   
Series 2007Z-1, 5.000%, 7/01/42 (UB) 
     
6,150 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/17 at 100.00 
AAA 
6,372,692 
   
Series 2007Z-3, 5.050%, 7/01/42 (UB) (4) 
     
245 
 
Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education 
11/11 at 100.00 
AAA 
247,617 
   
Loan Program, Series 1999A, 6.000%, 11/15/18 – AMBAC Insured (Alternative Minimum Tax) 
     
610 
 
Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education 
11/11 at 100.00 
Aa2 
614,496 
   
Loan Program, Series 2001A, 5.250%, 11/15/18 – NPFG Insured (Alternative Minimum Tax) 
     
1,000 
 
University of Connecticut, General Obligation Bonds, Series 2004A, 5.000%, 1/15/18 – 
1/14 at 100.00 
AA 
1,076,830 
   
NPFG Insured 
     
1,220 
 
University of Connecticut, General Obligation Bonds, Series 2005A, 5.000%, 2/15/17 – 
2/15 at 100.00 
AA+ 
1,374,550 
   
AGM Insured 
     
685 
 
University of Connecticut, General Obligation Bonds, Series 2006A, 5.000%, 2/15/23 – 
2/16 at 100.00 
AA 
740,266 
   
FGIC Insured 
     
535 
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28 
2/20 at 100.00 
AA 
580,320 
1,000 
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 
11/12 at 101.00 
Aa2 
1,068,180 
   
5.250%, 11/15/19 – FGIC Insured 
     
225 
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2010A, 
11/19 at 100.00 
Aa2 
244,789 
   
5.000%, 11/15/27 
     
29,090 
 
Total Education and Civic Organizations 
   
29,745,913 
 
 
 
Nuveen Investments 25
 
 
 
 

 

         
 
Nuveen Connecticut Premium Income Municipal Fund (continued) 
   
NTC   
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Health Care – 21.0% (13.7% of Total Investments) 
     
$ 1,240 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health 
11/19 at 100.00 
AA+ 
$ 1,243,360 
   
Series 2010A, 5.000%, 11/15/40 
     
   
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 
479,800 
700 
 
5.500%, 7/01/32 – RAAI Insured 
7/12 at 101.00 
N/R 
626,115 
350 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East 
11/20 at 100.00 
A1 
343,245 
   
Series 2010, 4.750%, 11/15/29 
     
645 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut 
7/11 at 100.00 
N/R 
644,961 
   
Health Network, Series 2000A, 6.000%, 7/01/25 – RAAI Insured 
     
   
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, 
     
   
Series 2005B: 
     
800 
 
5.000%, 7/01/20 – RAAI Insured 
7/15 at 100.00 
N/R 
797,080 
500 
 
5.000%, 7/01/23 – RAAI Insured 
7/15 at 100.00 
N/R 
476,000 
   
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– 
354,577 
150 
 
5.250%, 7/01/37 – RAAI Insured 
7/17 at 100.00 
BBB– 
134,168 
2,620 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, 
7/16 at 100.00 
Aa3 
2,614,812 
   
Series 2006, 5.000%, 7/01/32 – AGM Insured 
     
400 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, 
7/20 at 10.00 
A
404,348 
   
Series 2010-I, 5.000%, 7/01/30 
     
1,395 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven 
7/16 at 100.00 
Aa3 
1,412,730 
   
Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured 
     
425 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven 
7/20 at 100.00 
Aa3 
431,656 
   
Hospital, Series 2010M, 5.500%, 7/01/40 
     
3,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Refunding Bonds, Middlesex 
7/11 at 100.00 
A2 
2,883,870 
   
Health Services, Series 1997H, 5.125%, 7/01/27 – NPFG Insured 
     
3,050 
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue 
2/21 at 100.00 
Aa2 
3,181,638 
   
Bonds, Unity Hospital of Rochester Project, Series 2010, 5.500%, 8/15/40 
     
16,160 
 
Total Health Care 
   
16,028,360 
   
Housing/Multifamily – 1.2% (0.8% of Total Investments) 
     
960 
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, 
11/15 at 100.00 
AAA 
926,093 
   
Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 
     
   
Housing/Single Family – 9.9% (6.5% of Total Investments) 
     
   
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C: 
     
1,000 
 
5.300%, 11/15/33 (Alternative Minimum Tax) 
11/11 at 100.00 
AAA 
999,910 
500 
 
5.450%, 11/15/43 (Alternative Minimum Tax) 
8/11 at 100.00 
AAA 
494,725 
1,675 
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 
5/13 at 100.00 
AAA 
1,685,921 
   
5.050%, 11/15/34 
     
   
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 
198,001 
220 
 
4.800%, 11/15/31 (Alternative Minimum Tax) 
11/15 at 100.00 
AAA 
207,669 
2,045 
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 
5/16 at 100.00 
AAA 
2,042,628 
   
4.650%, 11/15/27 
     
2,000 
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, 
11/19 at 100.00 
AAA 
1,946,840 
   
Series 2010-A2, 4.500%, 11/15/30 
     
7,645 
 
Total Housing/Single Family 
   
7,575,694 
   
Long-Term Care – 3.1% (2.0% of Total Investments) 
     
165 
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, 
10/11 at 100.00 
BBB– 
165,294 
   
Church Homes Inc. – Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 
     
540 
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, 
9/11 at 100.00 
BBB– 
541,944 
   
Connecticut Baptist Homes Inc., Series 1999, 5.500%, 9/01/15 – RAAI Insured 
     
 
 
 
26 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Long-Term Care (continued) 
     
$ 1,600 
 
Connecticut Housing Finance Authority, State Supported Special Obligation Bonds, Refunding 
6/20 at 100.00 
AA 
$  1,643,296 
   
Series 2010-16, 5.000%, 6/15/30 
     
2,305 
 
Total Long-Term Care 
   
2,350,534 
   
Tax Obligation/General – 21.7% (14.2% of Total Investments) 
     
750 
 
Bridgeport, Connecticut, General Obligation Refunding Bonds, Series 2002A, 5.375%, 8/15/19 – 
8/12 at 100.00 
A1 
770,528 
   
FGIC Insured 
     
1,110 
 
Connecticut State, General Obligation Bonds, Series 2004C, 5.000%, 4/01/23 – FGIC Insured 
4/14 at 100.00 
AA 
1,199,977 
2,000 
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24 
12/16 at 100.00 
AA 
2,133,880 
1,300 
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured 
6/16 at 100.00 
AA+ 
1,408,836 
500 
 
Connecticut State, General Obligation Bonds, Series 2006E, 5.000%, 12/15/20 
12/16 at 10.00 
AA 
571,395 
   
Hartford, Connecticut, General Obligation Bonds, Series 2005A: 
     
775 
 
5.000%, 8/01/20 – AGM Insured 
8/15 at 100.00 
AA+ 
843,146 
525 
 
4.375%, 8/01/24 – AGM Insured 
8/15 at 100.00 
AA+ 
537,364 
700 
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 – AGC Insured 
8/19 at 100.00 
AA+ 
744,233 
500 
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 11/01/17 – 
11/16 at 100.00 
A1 
554,520 
   
AMBAC Insured 
     
500 
 
North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24 
No Opt. Call 
Aa1 
593,440 
1,380 
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 
8/21 at 100.00 
AA+ 
1,448,931 
   
5.000%, 8/01/36 
     
1,860 
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/20 – 
No Opt. Call 
A3 
1,957,669 
   
NPFG Insured 
     
1,420 
 
Regional School District 16, Connecticut, General Obligation Bonds, Series 2003, 5.000%, 
3/13 at 101.00 
A1 
1,511,136 
   
3/15/16 – AMBAC Insured 
     
   
Suffield, Connecticut, General Obligation Bonds, Series 2005: 
     
465 
 
5.000%, 6/15/17 
No Opt. Call 
AA+ 
553,592 
460 
 
5.000%, 6/15/19 
No Opt. Call 
AA+ 
551,388 
1,000 
 
5.000%, 6/15/21 
No Opt. Call 
AA+ 
1,201,450 
15,245 
 
Total Tax Obligation/General 
   
16,581,485 
   
Tax Obligation/Limited – 21.1% (13.7% 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+ 
1,326,533 
1,000 
 
5.000%, 7/01/36 – AGC Insured 
7/16 at 100.00 
AA+ 
1,010,910 
1,945 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Child Care Facilities 
7/11 at 100.00 
N/R 
1,945,195 
   
Program, Series 1999C, 5.625%, 7/01/29 – AMBAC Insured 
     
500 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2003B, 
1/14 at 100.00 
AA 
536,005 
   
5.000%, 1/01/23 – FGIC Insured 
     
1,750 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, 
8/17 at 100.00 
AA 
1,863,890 
   
Series 2007A, 5.000%, 8/01/27 – AMBAC Insured 
     
1,100 
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue 
4/20 at 100.00 
N/R 
1,163,426 
   
Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39 
     
   
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: 
     
960 
 
0.000%, 7/01/32 – FGIC Insured 
No Opt. Call 
A3 
223,459 
2,615 
 
0.000%, 7/01/33 – FGIC Insured 
No Opt. Call 
A3 
554,380 
2,000 
 
Puerto Rico Municipal Finance Agency, Series 2002A, 5.250%, 8/01/21 – AGM Insured 
8/12 at 100.00 
AA+ 
2,017,700 
2,400 
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured 
8/15 at 100.00 
AA+ 
2,577,528 
975 
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 
2/20 at 100.00 
A+ 
952,107 
   
2010A, 5.375%, 8/01/39 
     
1,000 
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 2003, 5.250%, 
10/14 at 100.00 
AA+ 
1,069,510 
   
10/01/19 – AGM Insured 
     
895 
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien 
10/20 at 100.00 
BBB 
836,798 
   
Series 2010A, 5.000%, 10/01/29 
     
18,440 
 
Total Tax Obligation/Limited 
   
16,077,441 
 
 
 
Nuveen Investments 27
 
 
 
 

 

         
 
Nuveen Connecticut Premium Income Municipal Fund (continued) 
   
NTC  
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
U.S. Guaranteed – 12.4% (8.1% of Total Investments) (5) 
     
$   650 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, 
7/11 at 101.00 
N/R (5) 
$   659,315 
   
Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 
     
40 
 
Connecticut, General Obligation Bonds, Series 1993E, 6.000%, 3/15/12 (ETM) 
No Opt. Call 
Aa2 (5) 
41,846 
1,500 
 
Connecticut, General Obligation Bonds, Series 2002B, 5.500%, 6/15/21 (Pre-refunded 6/15/12) 
6/12 at 100.00 
AA (5) 
1,582,695 
   
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 (5) 
2,138,320 
1,000 
 
5.000%, 12/01/21 (Pre-refunded 12/01/12) – AMBAC Insured 
12/12 at 100.00 
AA (5) 
1,069,160 
1,100 
 
University of Connecticut, General Obligation Bonds, Series 2003A, 5.125%, 2/15/21 
2/13 at 100.00 
AA (5) 
1,188,154 
   
(Pre-refunded 2/15/13) – NPFG Insured 
     
1,000 
 
Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 5.375%, 4/01/17 (Pre-refunded 
4/12 at 100.00 
AA+ (5) 
1,041,820 
   
4/01/12) – AGM Insured 
     
1,500 
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/18 
10/15 at 100.00 
AAA 
1,734,810 
   
(Pre-refunded 10/01/15) 
     
8,790 
 
Total U.S. Guaranteed 
   
9,456,120 
   
Utilities – 8.7% (5.7% of Total Investments) 
     
1,150 
 
Bristol Resource Recovery Facility Operating Committee, Connecticut, Solid Waste Revenue 
No Opt. Call 
AA 
1,199,243 
   
Bonds, Covanta Bristol Inc., Series 2005, 5.000%, 7/01/12 – AMBAC Insured 
     
1,000 
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Connecticut 
10/11 at 100.50 
BBB+ 
1,003,190 
   
Light and Power Company, Series 1993A, 5.850%, 9/01/28 
     
175 
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Western 
10/11 at 100.50 
BBB+ 
175,558 
   
Massachusetts Electric Company, Series 1993A, 5.850%, 9/01/28 
     
1,070 
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power 
11/12 at 100.00 
Baa1 
1,029,233 
   
LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) 
     
1,750 
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of 
12/11 at 102.00 
Ba1 
1,751,173 
   
Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) 
     
   
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator 
     
   
Lisbon Project, Series 1993A: 
     
205 
 
5.500%, 1/01/14 (Alternative Minimum Tax) 
7/11 at 100.00 
BBB 
205,558 
1,290 
 
5.500%, 1/01/20 (Alternative Minimum Tax) 
7/11 at 100.00 
BBB 
1,290,026 
6,640 
 
Total Utilities 
   
6,653,981 
   
Water and Sewer – 13.7% (8.9% of Total Investments) 
     
500 
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company 
9/17 at 100.00 
N/R 
431,705 
   
Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax) 
     
1,185 
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16 
10/13 at 100.00 
AAA 
1,293,546 
   
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 
1,547,573 
2,260 
 
5.000%, 8/15/35 – NPFG Insured 
11/15 at 100.00 
A1 
2,265,762 
725 
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 
7/20 at 100.00 
Ba2 
640,232 
   
5.625%, 7/01/40 
     
1,000 
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 
7/18 at 100.00 
Baa1 
1,003,079 
   
6.000%, 7/01/38 
     
 
 
 
28 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Water and Sewer (continued) 
     
   
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth 
     
   
Series 2003A: 
     
$    1,000 
 
   5.000%, 8/01/20 – NPFG Insured 
8/13 at 100.00 
Aa3 
$    1,039,239 
1,075 
 
   5.000%, 8/01/33 – NPFG Insured 
8/13 at 100.00 
Aa3 
1,083,814 
1,100 
 
Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 
11/13 at 100.00 
AA+ 
1,119,634 
   
2003A, 5.000%, 11/15/32 
     
10,365 
 
Total Water and Sewer 
   
10,424,584 
$ 116,920 
 
Total Investments (cost $116,039,117) – 153.3% 
   
116,953,440 
   
Floating Rate Obligations – (10.4)% 
   
(7,965,000)
   
MuniFund Term Preferred Shares, at Liquidation Value – (47.3)% (6) 
   
(36,080,000)
   
Other Assets Less Liabilities – 4.4% 
   
3,375,076 
   
Net Assets Applicable to Common Shares – 100% 
   
$ 76,283,516 
 
 
(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 (not covered by the report of independent registered public accounting firm): 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 (not covered by the report of independent registered public accounting firm): 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 30.8%. 
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.
 
Nuveen Investments 29
 
 
 
 

 

         
 
Nuveen Connecticut Dividend Advantage Municipal Fund 
 
NFC 
Portfolio of Investments 
   
   
May 31, 2011 
   
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Education and Civic Organizations – 37.3% (23.6% of Total Investments) 
     
$     250 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, 
7/16 at 100.00 
N/R 
$ 218,070 
   
Series 2006B, 5.000%, 7/01/36 – RAAI Insured 
     
150 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate 
7/17 at 100.00 
N/R 
140,987 
   
School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured 
     
500 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, 
7/20 at 100.00 
A– 
498,080 
   
Series 2010-O, 5.000%, 7/01/40 
     
440 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, 
No Opt. Call 
A2 
506,528 
   
Series 2005F, 5.250%, 7/01/18 – AMBAC Insured 
     
795 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, 
7/17 at 100.00 
A– 
823,405 
   
Series 2007-I, 5.000%, 7/01/25 – NPFG Insured 
     
130 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, 
7/17 at 100.00 
N/R 
119,280 
   
Series 2007A, 5.000%, 7/01/37 – AMBAC Insured 
     
50 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart 
7/11 at 100.00 
BBB 
46,363 
   
University, Series 1998E, 5.000%, 7/01/28 – RAAI Insured 
     
350 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, 
7/14 at 100.00 
A+ 
385,837 
   
Series 2004H, 5.000%, 7/01/17 – NPFG Insured 
     
1,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of 
7/12 at 101.00 
BBB– 
913,120 
   
Hartford, Series 2002E, 5.250%, 7/01/32 – RAAI Insured 
     
500 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of 
7/16 at 100.00 
BBB– 
437,630 
   
Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured 
     
1,600 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, 
7/20 at 100.00 
AA 
1,660,864 
   
Series 2010G, 5.000%, 7/01/35 
     
500 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/13 at 100.00 
AAA 
506,240 
   
Series 2003X-1, 5.000%, 7/01/42 (UB) 
     
1,800 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/16 at 100.00 
AAA 
1,852,362 
   
Series 2007Z-1, 5.000%, 7/01/42 (UB) 
     
3,050 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/17 at 100.00 
AAA 
3,160,441 
   
Series 2007Z-3, 5.050%, 7/01/42 (UB) (4) 
     
475 
 
Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, Family Education 
11/11 at 100.00 
Aa2 
478,501 
   
Loan Program, Series 2001A, 5.250%, 11/15/18 – NPFG Insured (Alternative Minimum Tax) 
     
   
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities 
     
   
Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, 
     
   
Series 1999: 
     
115 
 
5.375%, 2/01/19 
8/11 at 100.00 
BBB– 
114,991 
270 
 
5.375%, 2/01/29 
8/11 at 100.00 
BBB– 
238,337 
485 
 
University of Connecticut, General Obligation Bonds, Series 2006A, 5.000%, 2/15/23 – 
2/16 at 100.00 
AA 
524,130 
   
FGIC Insured 
     
1,070 
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28 
2/20 at 100.00 
AA 
1,160,640 
115 
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27 
11/19 at 100.00 
Aa2 
125,114 
13,645 
 
Total Education and Civic Organizations 
   
13,910,920 
   
Health Care – 24.1% (15.3% of Total Investments) 
     
1,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health 
11/19 at 100.00 
AA+ 
1,002,710 
   
Series 2010A, 5.000%, 11/15/40 
     
1,400 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, 
7/12 at 101.00 
N/R 
1,252,230 
   
Series 2002B, 5.500%, 7/01/32 – RAAI Insured 
     
175 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East 
11/20 at 100.00 
A1 
171,623 
   
Series 2010, 4.750%, 11/15/29 
     
25 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Danbury Hospital, 
7/11 at 100.00 
N/R 
25,017 
   
Series 1999G, 5.700%, 7/01/22 – AMBAC Insured 
     
840 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut 
7/15 at 100.00 
N/R 
757,882 
   
Health Network, Series 2005, 5.000%, 7/01/25 – RAAI Insured 
     
 
 
 
30 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, Griffin Hospital, 
     
   
Series 2005B: 
     
$    500 
 
5.000%, 7/01/20 – RAAI Insured 
7/15 at 100.00 
N/R 
$ 498,175 
250 
 
5.000%, 7/01/23 – RAAI Insured 
7/15 at 100.00 
N/R 
238,000 
200 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special 
7/17 at 100.00 
BBB– 
184,196 
   
Care, Series 2007C, 5.250%, 7/01/32 – RAAI Insured 
     
60 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, 
7/16 at 100.00 
Aa3 
59,881 
   
Series 2006, 5.000%, 7/01/32 – AGM Insured 
     
240 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, 
7/20 at 10.00 
A
242,609 
   
Series 2010-I, 5.000%, 7/01/30 
     
775 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, William W. Backus 
7/18 at 100.00 
AA+ 
782,758 
   
Hospital, Series 2005F, 5.125%, 7/01/35 – AGM Insured 
     
1,870 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven 
7/16 at 100.00 
Aa3 
1,893,768 
   
Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured 
     
225 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven 
7/20 at 100.00 
Aa3 
228,524 
   
Hospital, Series 2010M, 5.500%, 7/01/40 
     
1,600 
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue 
2/21 at 100.00 
Aa2 
1,669,056 
   
Bonds, Unity Hospital of Rochester Project, Series 2010, 5.500%, 8/15/40 
     
9,160 
 
Total Health Care 
   
9,006,429 
   
Housing/Multifamily – 1.2% (0.8% of Total Investments) 
     
480 
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, 
11/15 at 100.00 
AAA 
463,046 
   
Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 
     
   
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) 
11/11 at 100.00 
AAA 
999,910 
250 
 
5.450%, 11/15/43 (Alternative Minimum Tax) 
11/43 at 100.00 
AAA 
247,363 
800 
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 
5/13 at 100.00 
AAA 
805,216 
   
5.050%, 11/15/34 
     
685 
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 
5/16 at 100.00 
AAA 
684,205 
   
4.650%, 11/15/27 
     
800 
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, 
11/19 at 100.00 
AAA 
773,032 
   
Series 2010-A2, 4.750%, 11/15/35 
     
3,535 
 
Total Housing/Single Family 
   
3,509,726 
   
Long-Term Care – 2.1% (1.3% of Total Investments) 
     
300 
 
Connecticut Development Authority, First Mortgage Gross Revenue Healthcare Bonds, Elim Park 
12/11 at 102.00 
BBB+ 
304,482 
   
Baptist Home Inc., Series 2003, 5.750%, 12/01/23 
     
110 
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, 
10/11 at 100.00 
BBB– 
110,011 
   
Church Homes Inc. – Congregational Avery Heights, Series 1997, 5.800%, 4/01/21 
     
35 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families 
7/12 at 101.00 
N/R 
30,918 
   
and Children Inc., Series 2002A, 5.000%, 7/01/32 – AMBAC Insured 
     
250 
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer’s Resource 
8/17 at 100.00 
N/R 
216,803 
   
Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 
     
105 
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 
1/20 at 100.00 
N/R 
108,625 
   
7.625%, 1/01/30 
     
800 
 
Total Long-Term Care 
   
770,839 
   
Tax Obligation/General – 15.9% (10.1% of Total Investments) 
     
560 
 
Connecticut State, General Obligation Bonds, Series 2004C, 5.000%, 4/01/23 – FGIC Insured 
4/14 at 100.00 
AA 
605,394 
700 
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24 
12/16 at 100.00 
AA 
746,858 
100 
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured 
6/16 at 100.00 
AA+ 
108,372 
 
 
 
Nuveen Investments 31
 
 
 
 

 

         
 
Nuveen Connecticut Dividend Advantage Municipal Fund (continued) 
   
NFC  
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Tax Obligation/General (continued) 
     
   
Hartford, Connecticut, General Obligation Bonds, Series 2005A: 
     
$ 360 
 
5.000%, 8/01/21 – AGM Insured 
8/15 at 100.00 
AA+ 
$ 387,068 
240 
 
4.375%, 8/01/24 – AGM Insured 
8/15 at 100.00 
AA+ 
245,652 
600 
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 – AGC Insured 
8/19 at 100.00 
AA+ 
637,914 
400 
 
North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24 
No Opt. Call 
Aa1 
474,752 
1,850 
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 
8/21 at 100.00 
AA+ 
1,942,408 
   
5.000%, 8/01/36 
     
   
Suffield, Connecticut, General Obligation Bonds, Series 2005: 
     
335 
 
5.000%, 6/15/17 
No Opt. Call 
AA+ 
398,824 
335 
 
5.000%, 6/15/19 
No Opt. Call 
AA+ 
401,554 
5,480 
 
Total Tax Obligation/General 
   
5,948,796 
   
Tax Obligation/Limited – 28.9% (18.3% 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+ 
663,267 
500 
 
5.000%, 7/01/36 – AGC Insured 
7/16 at 100.00 
AA+ 
505,455 
1,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, New Opportunities for 
7/11 at 102.00 
A
1,033,960 
   
Waterbury Inc., Series 1998A, 6.750%, 7/01/28 
     
   
Connecticut, Certificates of Participation, Juvenile Training School, Series 2001: 
     
600 
 
5.000%, 12/15/20 
12/11 at 101.00 
AA– 
618,024 
1,000 
 
5.000%, 12/15/30 
12/11 at 101.00 
AA– 
1,009,630 
1,475 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 1998B, 
No Opt. Call 
AA+ 
1,582,646 
   
5.500%, 11/01/12 – AGM Insured 
     
900 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, 
8/17 at 100.00 
AA 
958,572 
   
Series 2007A, 5.000%, 8/01/27 – AMBAC Insured 
     
500 
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue 
4/20 at 100.00 
N/R 
528,830 
   
Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39 
     
600 
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 
No Opt. Call 
A3 
570,672 
   
7/01/31 – AMBAC Insured 
     
470 
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 
No Opt. Call 
A3 
109,402 
   
0.000%, 7/01/32 – FGIC Insured 
     
1,200 
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured 
8/15 at 100.00 
AA+ 
1,288,764 
1,000 
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 
2/20 at 100.00 
A+ 
976,520 
   
2010A, 5.375%, 8/01/39 
     
750 
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A, 
10/11 at 100.00 
BBB+ 
755,453 
   
6.375%, 10/01/19 
     
210 
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien 
10/20 at 100.00 
BBB 
196,344 
   
Series 2010A, 5.000%, 10/01/29 
     
10,855 
 
Total Tax Obligation/Limited 
   
10,797,539 
   
U.S. Guaranteed – 16.9% (10.7% of Total Investments) (5) 
     
1,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, 
7/11 at 101.00 
N/R (5) 
1,014,330 
   
Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 
     
2,000 
 
Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 5.500%, 10/01/20 
10/11 at 100.00 
N/R (5) 
2,035,200 
   
(Pre-refunded 10/01/11) 
     
500 
 
Connecticut, General Obligation Bonds, Series 2002B, 5.500%, 6/15/21 (Pre-refunded 6/15/12) 
6/12 at 100.00 
AA (5) 
527,565 
500 
 
East Lyme, Connecticut, General Obligation Bonds, Series 2001, 5.125%, 7/15/20 (Pre-refunded 
7/11 at 102.00 
Aa2 (5) 
513,045 
   
7/15/11) – FGIC Insured 
     
220 
 
New Haven, Connecticut, General Obligation Bonds, Series 2001A, 5.000%, 11/01/20 (Pre-refunded 
11/11 at 100.00 
A1 (5) 
223,073 
   
11/01/11) – FGIC Insured 
     
1,000 
 
Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 5.375%, 4/01/17 (Pre-refunded 
4/12 at 100.00 
AA+ (5) 
1,041,820 
   
4/01/12) – AGM Insured 
     
810 
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/18 
10/15 at 100.00 
AAA 
936,797 
   
(Pre-refunded 10/01/15) 
     
6,030 
 
Total U.S. Guaranteed 
   
6,291,830 
 
 
 
32 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Utilities – 7.1% (4.5% of Total Investments) 
     
$   575 
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Connecticut 
10/11 at 100.50 
BBB+ 
$       576,834 
   
Light and Power Company, Series 1993A, 5.850%, 9/01/28 
     
560 
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power 
11/12 at 100.00 
Baa1 
538,664 
   
LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) 
     
1,000 
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of 
12/11 at 102.00 
Ba1 
1,000,670 
   
Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) 
     
525 
 
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator 
7/11 at 100.00 
BBB 
526,428 
   
Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax) 
     
2,660 
 
Total Utilities 
   
2,642,596 
   
Water and Sewer – 14.9% (9.5% of Total Investments) 
     
255 
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company 
9/17 at 100.00 
N/R 
220,170 
   
Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax) 
     
1,185 
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16 
10/13 at 100.00 
AAA 
1,293,546 
   
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 
733,061 
1,110 
 
5.000%, 8/15/35 – NPFG Insured 
11/15 at 100.00 
A1 
1,112,830 
140 
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, 
7/15 at 100.00 
Ba2 
134,592 
   
Series 2005, 6.000%, 7/01/25 
     
375 
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, 
7/20 at 100.00 
Ba2 
331,154 
   
Series 2010, 5.625%, 7/01/40 
     
500 
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 
7/18 at 100.00 
Baa1 
501,539 
   
6.000%, 7/01/38 
     
   
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth 
     
   
Series 2003A: 
     
750 
 
5.000%, 8/01/20 – NPFG Insured 
8/13 at 100.00 
Aa3 
779,429 
470 
 
5.000%, 8/01/33 – NPFG Insured 
8/13 at 100.00 
Aa3 
473,853 
5,505 
 
Total Water and Sewer 
   
5,580,174 
$ 58,150 
 
Total Investments (cost $58,543,199) – 157.8% 
   
58,921,895 
   
Floating Rate Obligations – (10.2)% 
   
(3,820,000)
   
MuniFund Term Preferred Shares, at Liquidation Value – (54.8)% (6) 
   
(20,470,000)
   
Other Assets Less Liabilities – 7.2% 
   
2,702,589 
   
Net Assets Applicable to Common Shares – 100% 
   
$ 37,334,484 
 
(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 (not covered by the report of independent registered public accounting firm): 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 (not covered by the report of independent registered public accounting firm): 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 34.7%.
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 33
 

 
 
 

       
 
Nuveen Connecticut Dividend Advantage Municipal Fund 2
NGK 
Portfolio of Investments 
   
    May 31, 2011 
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Consumer Staples – 1.7% (1.1% of Total Investments) 
     
$    645 
 
Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, 
5/12 at 100.00 
BBB 
$   571,044 
   
Series 2002, 5.375%, 5/15/33 
     
   
Education and Civic Organizations – 35.4% (22.4% of Total Investments) 
     
200 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, 
7/16 at 100.00 
N/R 
174,456 
   
Series 2006B, 5.000%, 7/01/36 – RAAI Insured 
     
135 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate 
7/17 at 100.00 
N/R 
126,888 
   
School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured 
     
500 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, 
7/20 at 100.00 
A– 
498,080 
   
Series 2010-O, 5.000%, 7/01/40 
     
310 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, 
No Opt. Call 
A2 
355,892 
   
Series 2005F, 5.250%, 7/01/19 – AMBAC Insured 
     
715 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, 
7/17 at 100.00 
A– 
740,547 
   
Series 2007-I, 5.000%, 7/01/25 – NPFG Insured 
     
120 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, 
7/17 at 100.00 
N/R 
110,105 
   
Series 2007A, 5.000%, 7/01/37 – AMBAC Insured 
     
   
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of 
     
   
Hartford, Series 2002E: 
     
590 
 
5.500%, 7/01/22 – RAAI Insured 
7/12 at 101.00 
BBB– 
594,620 
1,000 
 
5.250%, 7/01/32 – RAAI Insured 
7/12 at 101.00 
BBB– 
913,120 
500 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of 
7/16 at 100.00 
BBB– 
437,630 
   
Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured 
     
800 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, 
7/20 at 100.00 
AA 
830,432 
   
Series 2010G, 5.000%, 7/01/35 
     
500 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/13 at 100.00 
AAA 
506,240 
   
Series 2003X-1, 5.000%, 7/01/42 (UB) 
     
1,600 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/16 at 100.00 
AAA 
1,646,544 
   
Series 2007Z-1, 5.000%, 7/01/42 (UB) 
     
2,750 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/17 at 100.00 
AAA 
2,849,578 
   
Series 2007Z-3, 5.050%, 7/01/42 (UB) (4) 
     
   
University of Connecticut, General Obligation Bonds, Series 2006A: 
     
450 
 
5.000%, 2/15/19 – FGIC Insured 
2/16 at 100.00 
AA 
503,924 
490 
 
5.000%, 2/15/23 – FGIC Insured 
2/16 at 100.00 
AA 
529,533 
460 
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28 
2/20 at 100.00 
AA 
498,967 
500 
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%, 
11/12 at 101.00 
Aa2 
526,240 
   
11/15/22 – FGIC Insured 
     
11,620 
 
Total Education and Civic Organizations 
   
11,842,796 
   
Health Care – 23.9% (15.1% of Total Investments) 
     
800 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health 
11/19 at 100.00 
AA+ 
802,168 
   
Series 2010A, 5.000%, 11/15/40 
     
300 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, 
7/12 at 101.00 
N/R 
268,335 
   
Series 2002B, 5.500%, 7/01/32 – RAAI Insured 
     
175 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East 
11/20 at 100.00 
A1 
171,623 
   
Series 2010, 4.750%, 11/15/29 
     
   
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 
20,017 
315 
 
6.000%, 7/01/25 – RAAI Insured 
7/11 at 100.00 
N/R 
314,981 
   
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 
423,260 
300 
 
5.000%, 7/01/20 – RAAI Insured 
7/15 at 100.00 
N/R 
298,905 
300 
 
5.000%, 7/01/23 – RAAI Insured 
7/15 at 100.00 
N/R 
285,600 
 
 
34      Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Health Care (continued) 
     
$    170 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special 
7/17 at 100.00 
BBB– 
$    156,567 
   
Care, Series 2007C, 5.250%, 7/01/32 – RAAI Insured 
     
1,190 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, 
7/16 at 100.00 
Aa3 
1,187,644 
   
Series 2006, 5.000%, 7/01/32 – AGM Insured 
     
1,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, St. Francis Hospital 
7/12 at 101.00 
N/R 
917,560 
   
and Medical Center, Series 2002D, 5.000%, 7/01/22 – RAAI Insured 
     
315 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, 
7/20 at 10.00 
A
318,424 
   
Series 2010-I, 5.000%, 7/01/30 
     
1,170 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven 
7/16 at 100.00 
Aa3 
1,184,871 
   
Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured 
     
200 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven 
7/20 at 100.00 
Aa3 
203,132 
   
Hospital, Series 2010M, 5.500%, 7/01/40 
     
1,400 
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue 
2/21 at 100.00 
Aa2 
1,460,424 
   
Bonds, Unity Hospital of Rochester Project, Series 2010, 5.500%, 8/15/40 
     
8,055 
 
Total Health Care 
   
8,013,511 
   
Housing/Multifamily – 1.4% (0.9% of Total Investments) 
     
480 
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, 
11/15 at 100.00 
AAA 
463,046 
   
Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 
     
   
Housing/Single Family – 8.4% (5.3% of Total Investments) 
     
250 
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C, 
8/11 at 100.00 
AAA 
247,363 
   
5.450%, 11/15/43 (Alternative Minimum Tax) 
     
700 
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 
5/13 at 100.00 
AAA 
704,564 
   
5.050%, 11/15/34 
     
   
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 
     
305 
 
4.700%, 11/15/26 (Alternative Minimum Tax) 
11/15 at 100.00 
AAA 
294,587 
330 
 
4.800%, 11/15/31 (Alternative Minimum Tax) 
11/15 at 100.00 
AAA 
311,504 
585 
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 
5/16 at 100.00 
AAA 
584,321 
   
4.650%, 11/15/27 
     
700 
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, 
11/19 at 100.00 
AAA 
676,403 
   
Series 2010-A2, 4.750%, 11/15/35 
     
2,870 
 
Total Housing/Single Family 
   
2,818,742 
   
Long-Term Care – 3.5% (2.2% of Total Investments) 
     
320 
 
Connecticut Development Authority, First Mortgage Gross Revenue Healthcare Bonds, Elim Park 
12/11 at 102.00 
BBB+ 
324,781 
   
Baptist Home Inc., Series 2003, 5.750%, 12/01/23 
     
70 
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, 
10/11 at 100.00 
BBB– 
70,125 
   
Church Homes Inc. – Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 
     
450 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families 
7/12 at 101.00 
N/R 
454,410 
   
and Children Inc., Series 2002A, 5.000%, 7/01/19 – AMBAC Insured 
     
250 
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer’s Resource 
8/17 at 100.00 
N/R 
216,803 
   
Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 
     
105 
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 
1/20 at 100.00 
N/R 
108,625 
   
7.625%, 1/01/30 
     
1,195 
 
Total Long-Term Care 
   
1,174,744 
   
Tax Obligation/General – 12.7% (8.0% of Total Investments) 
     
600 
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24 
12/16 at 100.00 
AA 
640,164 
400 
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured 
6/16 at 100.00 
AA+ 
433,488 
   
Hartford, Connecticut, General Obligation Bonds, Series 2005A: 
     
360 
 
5.000%, 8/01/21 – AGM Insured 
8/15 at 100.00 
AA+ 
387,068 
140 
 
4.375%, 8/01/24 – AGM Insured 
8/15 at 100.00 
AA+ 
143,297 
650 
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 11/01/17 – 
11/16 at 100.00 
A1 
720,876 
   
AMBAC Insured 
     
1,380 
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 
8/21 at 100.00 
AA+ 
1,448,931 
   
5.000%, 8/01/36 
     
 
 
 
Nuveen Investments 35
 
 
 
 

 

         
 
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued) 
   
NGK  
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Tax Obligation/General (continued) 
     
$   400 
 
Suffield, Connecticut, General Obligation Bonds, Series 2005, 5.000%, 6/15/21 
No Opt. Call 
AA+ 
$ 480,580 
3,930 
 
Total Tax Obligation/General 
   
4,254,404 
   
Tax Obligation/Limited – 17.3% (10.9% 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+ 
586,736 
500 
 
5.000%, 7/01/36 – AGC Insured 
7/16 at 100.00 
AA+ 
505,455 
500 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2001B, 
10/11 at 100.00 
AA+ 
507,990 
   
5.375%, 10/01/13 – AGM Insured 
     
850 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, 
8/17 at 100.00 
AA 
905,318 
   
Series 2007A, 5.000%, 8/01/27 – AMBAC Insured 
     
500 
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue 
4/20 at 100.00 
N/R 
528,830 
   
Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39 
     
500 
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 
No Opt. Call 
A3 
475,560 
   
7/01/31 – AMBAC Insured 
     
430 
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 
No Opt. Call 
A3 
100,091 
   
0.000%, 7/01/32 – FGIC Insured 
     
750 
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured 
8/15 at 100.00 
AA+ 
805,478 
1,000 
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 
2/20 at 100.00 
A+ 
976,520 
   
2010A, 5.375%, 8/01/39 
     
420 
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien 
10/20 at 100.00 
BBB 
392,687 
   
Series 2010A, 5.000%, 10/01/29 
     
6,025 
 
Total Tax Obligation/Limited 
   
5,784,665 
   
Transportation – 6.2% (3.9% of Total Investments) 
     
1,950 
 
New Haven, Connecticut, Revenue Refunding Bonds, Air Rights Parking Facility, Series 2002, 
No Opt. Call 
N/R 
2,083,419 
   
5.375%, 12/01/15 – AMBAC Insured 
     
   
U.S. Guaranteed – 27.2% (17.2% of Total Investments) (5) 
     
2,250 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut State 
11/11 at 100.00 
AA+ (5) 
2,295,540 
   
University System, Series 2002D-2, 5.000%, 11/01/21 (Pre-refunded 11/01/11) – AGM Insured 
     
1,625 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002A, 
7/12 at 100.00 
AA+ (5) 
1,714,213 
   
5.375%, 7/01/20 (Pre-refunded 7/01/12) – AGM Insured 
     
   
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 
1,070,330 
1,450 
 
5.000%, 9/15/21 (Pre-refunded 9/15/12) 
9/12 at 101.00 
Aaa 
1,551,979 
1,305 
 
Hartford County Metropolitan District, Connecticut, General Obligation Bonds, Series 2002, 
4/12 at 101.00 
AA+ (5) 
1,370,785 
   
5.000%, 4/01/22 (Pre-refunded 4/01/12) 
     
500 
 
Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 5.375%, 4/01/17 (Pre-refunded 
4/12 at 100.00 
AA+ (5) 
520,910 
   
4/01/12) – AGM Insured 
     
500 
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/17 
10/15 at 100.00 
AAA 
578,270 
   
(Pre-refunded 10/01/15) 
     
8,630 
 
Total U.S. Guaranteed 
   
9,102,027 
   
Utilities – 8.1% (5.1% of Total Investments) 
     
500 
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Connecticut 
10/11 at 100.50 
BBB+ 
501,595 
   
Light and Power Company, Series 1993A, 5.850%, 9/01/28 
     
470 
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power 
11/12 at 100.00 
Baa1 
452,093 
   
LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) 
     
1,000 
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of 
12/11 at 102.00 
Ba1 
1,000,670 
   
Southeastern Connecticut LP, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax) 
     
   
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator 
     
   
Lisbon Project, Series 1993A: 
     
250 
 
5.500%, 1/01/15 (Alternative Minimum Tax) 
8/11 at 100.00 
BBB 
250,368 
510 
 
5.500%, 1/01/20 (Alternative Minimum Tax) 
7/11 at 100.00 
BBB 
510,010 
2,730 
 
Total Utilities 
   
2,714,736 
 
 
 
36 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Water and Sewer – 12.6% (7.9% of Total Investments) 
     
$    220 
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company 
9/17 at 100.00 
N/R 
$       189,950 
   
Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax) 
     
785 
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16 
10/13 at 100.00 
AAA 
856,906 
   
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 
702,517 
320 
 
5.000%, 8/15/35 – NPFG Insured 
11/15 at 100.00 
A1 
320,816 
130 
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, 
7/15 at 100.00 
Ba2 
124,979 
   
Series 2005, 6.000%, 7/01/25 
     
350 
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, 
7/20 at 100.00 
Ba2 
309,077 
   
Series 2010, 5.625%, 7/01/40 
     
500 
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 
7/18 at 100.00 
Baa1 
501,539 
   
6.000%, 7/01/38 
     
   
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth 
     
   
Series 2003A: 
     
750 
 
5.000%, 8/01/20 – NPFG Insured 
8/13 at 100.00 
Aa3 
779,429 
410 
 
5.000%, 8/01/33 – NPFG Insured 
8/13 at 100.00 
Aa3 
413,361 
4,155 
 
Total Water and Sewer 
   
4,198,574 
$ 52,285 
 
Total Investments (cost $52,528,793) – 158.4% 
   
53,021,708 
   
Floating Rate Obligations – (10.3)% 
   
(3,460,000)
   
MuniFund Term Preferred Shares, at Liquidation Value – (50.6)% (6) 
   
(16,950,000)
   
Other Assets Less Liabilities – 2.5% 
   
866,505 
   
Net Assets Applicable to Common Shares – 100% 
   
$ 33,478,213 
 
 
 
(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 (not covered by the report of independent registered public accounting firm): 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 (not covered by the report of independent registered public accounting firm): 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 32.0%.
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 37
 
 
 
 

 

       
 
Nuveen Connecticut Dividend Advantage Municipal Fund 3
NGO 
Portfolio of Investments 
   
 
May 31, 2011 
   
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Consumer Staples – 3.0% (1.9% of Total Investments) 
     
$ 2,055 
 
Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, 
5/12 at 100.00 
BBB 
$ 1,819,374 
   
Series 2002, 5.375%, 5/15/33 
     
   
Education and Civic Organizations – 30.1% (19.1% of Total Investments) 
     
350 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, 
7/16 at 100.00 
N/R 
305,298 
   
Series 2006B, 5.000%, 7/01/36 – RAAI Insured 
     
250 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate 
7/17 at 100.00 
N/R 
234,978 
   
School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured 
     
1,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, 
7/17 at 100.00 
A2 
928,230 
   
Series 2007G, 4.500%, 7/01/37 – NPFG Insured 
     
800 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, 
7/20 at 100.00 
A– 
803,736 
   
Series 2010-O, 5.000%, 7/01/35 
     
400 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, 
No Opt. Call 
A2 
459,216 
   
Series 2005F, 5.250%, 7/01/19 – AMBAC Insured 
     
1,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, 
7/16 at 100.00 
A– 
986,590 
   
Series 2006H, 5.000%, 7/01/36 – AMBAC Insured 
     
1,300 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, 
7/17 at 100.00 
A– 
1,346,449 
   
Series 2007-I, 5.000%, 7/01/25 – NPFG Insured 
     
215 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, 
7/17 at 100.00 
N/R 
197,271 
   
Series 2007A, 5.000%, 7/01/37 – AMBAC Insured 
     
750 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of 
7/12 at 101.00 
BBB– 
755,873 
   
Hartford, Series 2002E, 5.500%, 7/01/22 – RAAI Insured 
     
650 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of 
7/16 at 100.00 
BBB– 
568,919 
   
Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured 
     
800 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, 
7/20 at 100.00 
AA 
830,432 
   
Series 2010G, 5.000%, 7/01/35 
     
3,000 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/16 at 100.00 
AAA 
3,087,270 
   
Series 2007Z-1, 5.000%, 7/01/42 (UB) 
     
5,050 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, 
7/17 at 100.00 
AAA 
5,232,861 
   
Series 2007Z-3, 5.050%, 7/01/42 (UB) (4) 
     
   
University of Connecticut, General Obligation Bonds, Series 2006A: 
     
850 
 
5.000%, 2/15/19 – FGIC Insured 
2/16 at 100.00 
AA 
951,856 
490 
 
5.000%, 2/15/23 – FGIC Insured 
2/16 at 100.00 
AA 
529,533 
535 
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28 
2/20 at 100.00 
AA 
580,320 
175 
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 
11/19 at 100.00 
Aa2 
190,391 
   
5.000%, 11/15/27 
     
500 
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%, 
11/12 at 101.00 
Aa2 
526,240 
   
11/15/22 – FGIC Insured 
     
18,115 
 
Total Education and Civic Organizations 
   
18,515,463 
   
Health Care – 19.9% (12.7% of Total Investments) 
     
1,500 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health 
11/19 at 100.00 
AA+ 
1,504,065 
   
Series 2010A, 5.000%, 11/15/40 
     
   
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 
479,800 
600 
 
5.500%, 7/01/32 – RAAI Insured 
7/12 at 101.00 
N/R 
536,670 
300 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East 
11/20 at 100.00 
A1 
294,210 
   
Series 2010, 4.750%, 11/15/29 
     
200 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Danbury Hospital, 
1/16 at 100.00 
N/R 
155,584 
   
Series 2006H, 4.500%, 7/01/33 – AMBAC Insured 
     
750 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut 
7/11 at 100.00 
N/R 
749,955 
   
Health Network, Series 2000A, 6.000%, 7/01/25 – RAAI Insured 
     
 
 
 
38 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, Griffin Hospital, 
     
   
Series 2005B: 
     
$    490 
 
5.000%, 7/01/15 – RAAI Insured 
No Opt. Call 
N/R 
$   518,494 
800 
 
5.000%, 7/01/20 – RAAI Insured 
7/15 at 100.00 
N/R 
797,080 
   
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– 
285,504 
150 
 
5.250%, 7/01/37 – RAAI Insured 
7/17 at 100.00 
BBB– 
134,168 
2,130 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, 
7/16 at 100.00 
Aa3 
2,125,783 
   
Series 2006, 5.000%, 7/01/32 – AGM Insured 
     
300 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, 
7/20 at 10.00 
A
303,261 
   
Series 2010-I, 5.000%, 7/01/30 
     
1,325 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven 
7/16 at 100.00 
Aa3 
1,341,841 
   
Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured 
     
350 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven 
7/20 at 100.00 
Aa3 
355,481 
   
Hospital, Series 2010M, 5.500%, 7/01/40 
     
2,550 
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue 
2/21 at 100.00 
Aa2 
2,660,058 
   
Bonds, Unity Hospital of Rochester Project, Series 2010, 5.500%, 8/15/40 
     
12,255 
 
Total Health Care 
   
12,241,954 
   
Housing/Multifamily – 1.5% (0.9% of Total Investments) 
     
960 
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, 
11/15 at 100.00 
AAA 
926,093 
   
Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) 
     
   
Housing/Single Family – 8.1% (5.1% of Total Investments) 
     
750 
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C, 
8/11 at 100.00 
AAA 
742,088 
   
5.450%, 11/15/43 (Alternative Minimum Tax) 
     
1,300 
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 
5/13 at 100.00 
AAA 
1,308,476 
   
5.050%, 11/15/34 
     
   
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 
420,149 
465 
 
4.800%, 11/15/31 (Alternative Minimum Tax) 
11/15 at 100.00 
AAA 
438,937 
585 
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 
5/16 at 100.00 
AAA 
584,321 
   
4.650%, 11/15/27 
     
1,500 
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, 
11/19 at 100.00 
AAA 
1,460,130 
   
Series 2010-A2, 4.500%, 11/15/30 
     
5,035 
 
Total Housing/Single Family 
   
4,954,101 
   
Long-Term Care – 9.6% (6.1% of Total Investments) 
     
500 
 
Connecticut Development Authority, First Mortgage Gross Revenue Healthcare Bonds, Elim Park 
12/11 at 102.00 
BBB+ 
507,470 
   
Baptist Home Inc., Series 2003, 5.750%, 12/01/23 
     
135 
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, 
10/11 at 100.00 
BBB– 
135,240 
   
Church Homes Inc. – Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 
     
   
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 
436,480 
475 
 
5.000%, 7/01/20 – AMBAC Insured 
7/12 at 101.00 
N/R 
478,202 
260 
 
5.000%, 7/01/23 – AMBAC Insured 
7/12 at 101.00 
N/R 
255,939 
1,000 
 
5.000%, 7/01/32 – AMBAC Insured 
7/12 at 101.00 
N/R 
883,380 
   
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 
1,022,980 
1,500 
 
5.000%, 6/15/32 – AMBAC Insured 
6/12 at 101.00 
N/R 
1,504,365 
500 
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer’s Resource 
8/17 at 100.00 
N/R 
433,605 
   
Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 
     
210 
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 
1/20 at 100.00 
N/R 
217,249 
   
7.625%, 1/01/30 
     
6,010 
 
Total Long-Term Care 
   
5,874,910 
 
 
 
Nuveen Investments 39
 
 
 
 

 

         
 
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued) 
   
NGO  
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Tax Obligation/General – 13.4% (8.5% of Total Investments) 
     
$   1,200 
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24 
12/16 at 100.00 
AA 
$ 1,280,328 
1,500 
 
Connecticut State, General Obligation Bonds, Series 2006E, 5.000%, 12/15/20 
12/16 at 10.00 
AA 
1,714,185 
600 
 
Hartford, Connecticut, General Obligation Bonds, Series 2005A, 5.000%, 8/01/21 – AGM Insured 
8/15 at 100.00 
AA+ 
645,114 
440 
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 – AGC Insured 
8/19 at 100.00 
AA+ 
467,804 
1,000 
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 11/01/17 – AMBAC Insured 
11/16 at 100.00 
A1 
1,109,040 
925 
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 
8/21 at 100.00 
AA+ 
971,204 
   
5.000%, 8/01/36 
     
   
Stratford, Connecticut, General Obligation Bonds, Series 2002: 
     
1,375 
 
4.000%, 2/15/19 – AGM Insured 
2/12 at 100.00 
AA+ 
1,391,830 
630 
 
4.125%, 2/15/20 – AGM Insured 
2/12 at 100.00 
AA+ 
637,132 
7,670 
 
Total Tax Obligation/General 
   
8,216,637 
   
Tax Obligation/Limited – 17.8% (11.3% of Total Investments) 
     
930 
 
Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue 
7/16 at 100.00 
AA+ 
940,146 
   
Bonds, Series 2006F, 5.000%, 7/01/36 – AGC Insured 
     
40 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 1992B, 
No Opt. Call 
AA 
41,422 
   
6.125%, 9/01/12 
     
1,000 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B, 
12/12 at 100.00 
AA 
1,044,070 
   
5.000%, 12/01/22 – AMBAC Insured 
     
500 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2003B, 
1/14 at 100.00 
AA 
536,005 
   
5.000%, 1/01/23 – FGIC Insured 
     
1,500 
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, 
8/17 at 100.00 
AA 
1,597,620 
   
Series 2007A, 5.000%, 8/01/27 – AMBAC Insured 
     
900 
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue 
4/20 at 100.00 
N/R 
951,894 
   
Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39 
     
1,000 
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 
No Opt. Call 
A3 
951,120 
   
7/01/31 – AMBAC Insured 
     
   
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: 
     
780 
 
0.000%, 7/01/32 – FGIC Insured 
No Opt. Call 
A3 
181,561 
2,120 
 
0.000%, 7/01/33 – FGIC Insured 
No Opt. Call 
A3 
449,440 
   
Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, 
     
   
Series 2002G: 
     
890 
 
5.250%, 7/01/17 
7/12 at 100.00 
A3 
901,267 
1,000 
 
5.250%, 7/01/20 
7/12 at 100.00 
A3 
1,003,810 
1,045 
 
5.250%, 7/01/21 
7/12 at 100.00 
A3 
1,046,797 
650 
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 
2/20 at 100.00 
A+ 
634,738 
   
2010A, 5.375%, 8/01/39 
     
735 
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien 
10/20 at 100.00 
BBB 
687,203 
   
Series 2010A, 5.000%, 10/01/29 
     
13,090 
 
Total Tax Obligation/Limited 
   
10,967,093 
   
Transportation – 0.7% (0.5% of Total Investments) 
     
415 
 
New Haven, Connecticut, Revenue Refunding Bonds, Air Rights Parking Facility, Series 2002, 
No Opt. Call 
N/R 
443,394 
   
5.375%, 12/01/15 – AMBAC Insured 
     
   
U.S. Guaranteed – 28.5% (18.2% of Total Investments) (5) 
     
   
Bethel, Connecticut, General Obligation Bonds, Series 2002: 
     
525 
 
5.000%, 11/01/18 (Pre-refunded 11/01/12) – FGIC Insured 
11/12 at 100.00 
Aa2 (5) 
558,553 
525 
 
5.000%, 11/01/19 (Pre-refunded 11/01/12) – FGIC Insured 
11/12 at 100.00 
Aa2 (5) 
558,553 
525 
 
5.000%, 11/01/20 (Pre-refunded 11/01/12) – FGIC Insured 
11/12 at 100.00 
Aa2 (5) 
558,553 
525 
 
5.000%, 11/01/21 (Pre-refunded 11/01/12) – FGIC Insured 
11/12 at 100.00 
Aa2 (5) 
558,553 
525 
 
5.000%, 11/01/22 (Pre-refunded 11/01/12) – FGIC Insured 
11/12 at 100.00 
Aa2 (5) 
558,553 
500 
 
Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 5.250%, 9/15/23 (Pre-refunded 
9/13 at 100.00 
AA+ (5) 
554,125 
   
9/15/13) – AGM Insured 
     
 
 
 
40 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
U.S. Guaranteed (5) (continued) 
     
   
Connecticut Development Authority, Revenue Bonds, Duncaster Inc., Series 2002: 
     
$    650 
 
5.125%, 8/01/22 (Pre-refunded 8/01/12) – RAAI Insured 
8/12 at 101.00 
BBB (5) 
$ 691,470 
1,025 
 
4.750%, 8/01/32 (Pre-refunded 8/01/12) – RAAI Insured 
8/12 at 101.00 
BBB (5) 
1,085,936 
3,100 
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, 
7/11 at 101.00 
N/R (5) 
3,143,121 
   
Series 2001G, 5.000%, 7/01/21 (Pre-refunded 7/01/11) – AMBAC Insured 
     
   
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 (5) 
3,004,340 
1,000 
 
5.000%, 12/01/21 (Pre-refunded 12/01/12) – AMBAC Insured 
12/12 at 100.00 
AA (5) 
1,069,160 
450 
 
Farmington, Connecticut, General Obligation Bonds, Series 2002, 5.000%, 9/15/20 
9/12 at 101.00 
Aaa 
481,649 
   
(Pre-refunded 9/15/12) 
     
40 
 
New Haven, Connecticut, General Obligation Bonds, Series 2002A, 5.250%, 11/01/17 – AMBAC 
11/11 at 101.00 
A1 (5) 
41,194 
   
Insured (ETM) 
     
1,010 
 
Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 
No Opt. Call 
AAA 
1,159,945 
   
5.125%, 6/01/24 – AMBAC Insured (ETM) 
     
195 
 
Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 2002E, 
2/12 at 100.00 
AAA 
201,755 
   
5.500%, 8/01/29 (Pre-refunded 2/01/12) 
     
   
Southbury, Connecticut, General Obligation Bonds, Series 2002: 
     
500 
 
4.875%, 12/15/20 (Pre-refunded 12/15/11) 
12/11 at 101.00 
Aa2 (5) 
517,735 
500 
 
4.875%, 12/15/21 (Pre-refunded 12/15/11) 
12/11 at 101.00 
Aa2 (5) 
517,735 
500 
 
5.000%, 12/15/22 (Pre-refunded 12/15/11) 
12/11 at 101.00 
Aa2 (5) 
518,075 
1,100 
 
University of Connecticut, General Obligation Bonds, Series 2003A, 5.125%, 2/15/21 
2/13 at 100.00 
AA (5) 
1,188,154 
   
(Pre-refunded 2/15/13) – NPFG Insured 
     
500 
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/18 
10/15 at 100.00 
AAA 
578,270 
   
(Pre-refunded 10/01/15) 
     
16,505 
 
Total U.S. Guaranteed 
   
17,545,429 
   
Utilities – 8.0% (5.1% of Total Investments) 
     
720 
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Connecticut 
10/11 at 100.50 
BBB+ 
722,297 
   
Light and Power Company, Series 1993A, 5.850%, 9/01/28 
     
860 
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power 
11/12 at 100.00 
Baa1 
827,234 
   
LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) 
     
2,000 
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of 
12/11 at 102.00 
Ba1 
2,001,340 
   
Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) 
     
   
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator 
     
   
Lisbon Project, Series 1993A: 
     
525 
 
5.500%, 1/01/14 (Alternative Minimum Tax) 
7/11 at 100.00 
BBB 
526,428 
305 
 
5.500%, 1/01/20 (Alternative Minimum Tax) 
7/11 at 100.00 
BBB 
305,006 
530 
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010XX, 5.250%, 7/01/40 
7/20 at 100.00 
A3 
501,316 
4,940 
 
Total Utilities 
   
4,883,621 
   
Water and Sewer – 16.7% (10.6% of Total Investments) 
     
400 
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company 
9/17 at 100.00 
N/R 
345,364 
   
Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax) 
     
1,185 
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16 
10/13 at 100.00 
AAA 
1,293,546 
   
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 
1,252,312 
640 
 
5.000%, 8/15/35 – NPFG Insured 
11/15 at 100.00 
A1 
641,632 
230 
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, 
7/15 at 100.00 
Ba2 
221,117 
   
Series 2005, 6.000%, 7/01/25 
     
600 
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, 
7/20 at 100.00 
Ba2 
529,848 
   
Series 2010, 5.625%, 7/01/40 
     
1,000 
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 
7/18 at 100.00 
Baa1 
1,003,079 
   
6.000%, 7/01/38 
     
 
 
 
Nuveen Investments 41
 
 
 
 

 

         
 
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued) 
   
NGO   
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Water and Sewer (continued) 
     
   
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth 
     
   
Series 2003A: 
     
$  2,050 
 
5.000%, 8/01/20 – NPFG Insured 
8/13 at 100.00 
Aa3 
$    2,130,441 
590 
 
5.000%, 8/01/33 – NPFG Insured 
8/13 at 100.00 
Aa3 
594,837 
1,840 
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth 
8/16 at 100.00 
Aa3 
1,895,990 
   
Series, 2007A, 5.000%, 8/01/30 – NPFG Insured 
     
350 
 
Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 
11/13 at 100.00 
AA+ 
356,247 
   
2003A, 5.000%, 11/15/32 
     
10,115 
 
Total Water and Sewer 
   
10,264,413 
$ 97,165 
 
Total Investments (cost $96,478,883) – 157.3% 
   
96,652,482 
   
Floating Rate Obligations – (9.4)% 
   
(5,780,000)
   
MuniFund Term Preferred Shares, at Liquidation Value – (52.1)% (6) 
   
(32,000,000)
   
Other Assets Less Liabilities – 4.2% 
   
2,586,791 
   
Net Assets Applicable to Common Shares – 100% 
   
$ 61,459,273 
 
 
 
(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 (not covered by the report of independent registered public accounting firm): 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 (not covered by the report of independent registered public accounting firm): 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 33.1%.
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.
 
42 Nuveen Investments
 
 
 
 

 

         
 
Nuveen Massachusetts Premium Income Municipal Fund 
 
NMT 
Portfolio of Investments 
   
   
May 31, 2011 
   
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Consumer Discretionary – 1.0% (0.7% of Total Investments) 
     
$  1,425 
 
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, 
9/12 at 102.00 
Caa3 
$ 703,879 
   
Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) 
     
   
Education and Civic Organizations – 35.6% (23.0% of Total Investments) 
     
1,000 
 
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and 
7/21 at 100.00 
AA+ 
1,017,580 
   
B-2, 5.250%, 7/01/33 – AGM Insured 
     
375 
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 
10/19 at 100.00 
A
385,395 
   
5.000%, 10/01/29 
     
1,000 
 
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 
1/20 at 100.00 
A– 
936,510 
   
5.000%, 1/01/40 
     
2,000 
 
Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 
4/21 at 100.00 
AA– 
2,023,600 
   
5.250%, 4/01/37 
     
1,045 
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, 
9/17 at 100.00 
A+ 
1,023,233 
   
Series 2007, 5.000%, 9/01/37 – NPFG Insured 
     
770 
 
Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A, 
9/11 at 100.00 
BBB 
770,801 
   
6.000%, 3/01/20 – ACA Insured 
     
1,745 
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy 
7/15 at 100.00 
AA+ 
1,801,119 
   
and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured 
     
1,500 
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
No Opt. Call 
A
1,524,930 
   
Series 2002A, 5.750%, 1/01/42 – AMBAC Insured 
     
4,900 
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
1/18 at 100.00 
AA+ 
4,880,792 
   
5.000%, 1/01/42 – AGC Insured (UB) 
     
1,090 
 
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, 
No Opt. Call 
A2 
1,257,511 
   
Series 1999P, 6.000%, 5/15/29 
     
2,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, 
6/13 at 100.00 
AA– 
2,137,760 
   
Series 2003N, 5.250%, 6/01/18 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, 
10/19 at 100.00 
Baa1 
997,500 
   
Series 2010, 5.500%, 10/15/31 
     
250 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, 
8/18 at 100.00 
Aa2 
264,500 
   
Series 2008O, 5.375%, 8/15/38 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College, 
7/13 at 100.00 
Aaa 
513,760 
   
Series 2003H, 5.000%, 7/01/26 
     
555 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, 
7/13 at 100.00 
AAA 
598,079 
   
Series 2003H, 5.000%, 7/01/21 
     
1,380 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, 
7/16 at 100.00 
AAA 
1,439,961 
   
Series 2007L, 5.000%, 7/01/31 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State 
11/12 at 100.00 
A2 
498,025 
   
College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured 
     
1,645 
 
Massachusetts Industrial Finance Agency, Revenue Bonds, Whitehead Institute for Biomedical 
7/11 at 100.00 
Aa1 
1,646,382 
   
Research, Series 1993, 5.125%, 7/01/26 
     
340 
 
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities 
8/11 at 100.00 
BBB– 
339,973 
   
Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 
     
   
1999, 5.375%, 2/01/19 
     
23,595 
 
Total Education and Civic Organizations 
   
24,057,411 
   
Health Care – 26.1% (16.9% of Total Investments) 
     
1,000 
 
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 
7/20 at 100.00 
AA 
1,016,840 
   
2011K-6, 5.375%, 7/01/41 
     
1,250 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health 
10/11 at 101.00 
BBB+ 
1,239,925 
   
System, Series 2001E, 6.250%, 10/01/31 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Health Care 
11/11 at 101.00 
BBB+ 
928,940 
   
Inc., Series 2001C, 5.250%, 11/15/31 – RAAI Insured 
     
 
 
 
Nuveen Investments 43
 
 
 
 

 

         
 
Nuveen Massachusetts Premium Income Municipal Fund (continued) 
   
NMT  
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Health Care (continued) 
     
   
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 
A3 
$ 2,333,258 
770 
 
5.375%, 2/01/28 – NPFG Insured 
8/18 at 100.00 
A3 
775,629 
1,500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., 
8/18 at 100.00 
A3 
1,500,315 
   
Series B2, Capital Asset Program, Converted June 9, 2009, 5.375%, 2/01/27 – NPFG Insured 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children’s Hospital, 
12/19 at 100.00 
AA 
1,025,930 
   
Series 2009M, 5.500%, 12/01/39 
     
935 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital, 
8/15 at 100.00 
N/R 
735,527 
   
Series 2005E, 5.000%, 8/15/35 – RAAI Insured 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical 
8/15 at 100.00 
A+ 
1,037,710 
   
Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured 
     
2,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical 
8/17 at 100.00 
A+ 
2,020,920 
   
Center, Series 2007D, 5.250%, 8/15/28 
     
585 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional 
7/17 at 100.00 
BBB– 
497,414 
   
Medical Center, Series 2007E, 5.000%, 7/15/32 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital 
7/15 at 100.00 
BB– 
812,670 
   
Project, Series 2005D, 5.250%, 7/01/30 
     
75 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare 
7/11 at 101.00 
AA 
75,685 
   
System Inc., Series 2001C, 5.750%, 7/01/32 
     
375 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial 
7/11 at 100.00 
BBB+ 
375,334 
   
Health Care, Series 2001C, 6.625%, 7/01/32 
     
1,445 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial 
7/15 at 100.00 
BBB+ 
1,250,330 
   
Health Care, Series 2005D, 5.000%, 7/01/33 
     
2,000 
 
Massachusetts State, Health and Educational Facilities Authority, Partners HealthCare System 
7/17 at 100.00 
AA 
2,000,960 
   
Inc., Series 2007G, 5.000%, 7/01/32 
     
18,235 
 
Total Health Care 
   
17,627,387 
   
Housing/Multifamily – 6.7% (4.3% of Total Investments) 
     
1,310 
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor 
7/17 at 100.00 
BB 
1,219,872 
   
Project, Series 2007, 4.800%, 7/20/48 
     
1,735 
 
Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House 
12/11 at 100.00 
N/R 
1,604,597 
   
Apartments, Series 1999, 7.000%, 12/01/31 
     
500 
 
Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23 
6/13 at 100.00 
AA– 
500,375 
   
(Alternative Minimum Tax) 
     
175 
 
Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 1999D, 
7/12 at 100.00 
N/R 
177,041 
   
5.500%, 7/01/13 – AMBAC Insured (Alternative Minimum Tax) 
     
1,000 
 
Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, 
5/12 at 103.00 
N/R 
1,036,120 
   
Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 
     
4,720 
 
Total Housing/Multifamily 
   
4,538,005 
   
Housing/Single Family – 3.6% (2.3% of Total Investments) 
     
1,500 
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126, 
6/16 at 100.00 
AA 
1,363,800 
   
4.625%, 6/01/32 (Alternative Minimum Tax) 
     
985 
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust 
No Opt. Call 
AA 
1,043,282 
   
3145, 14.394%, 6/01/16 (IF) 
     
2,485 
 
Total Housing/Single Family 
   
2,407,082 
   
Industrials – 1.0% (0.6% of Total Investments) 
     
265 
 
Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds, 
No Opt. Call 
N/R 
253,669 
   
Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 
     
400 
 
Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste 
No Opt. Call 
BBB 
422,672 
   
Management Inc., Series 2003, 5.450%, 6/01/14 
     
665 
 
Total Industrials 
   
676,341 
 
 
 
44 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Long-Term Care – 7.1% (4.6% of Total Investments) 
     
$  1,270 
 
Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc., 
10/11 at 102.00 
AAA 
$ 1,298,613 
   
Series 1998A, 6.125%, 10/01/31 
     
185 
 
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, 
12/19 at 100.00 
A– 
184,025 
   
Series 2010, 5.625%, 12/01/30 
     
1,685 
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 
10/12 at 102.00 
N/R 
1,380,032 
   
5.250%, 10/01/26 
     
1,500 
 
Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility 
3/12 at 105.00 
AAA 
1,547,115 
   
Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 
     
400 
 
Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement 
1/12 at 100.00 
BBB 
400,532 
   
Community, Series 1994B, 4.750%, 7/01/17 
     
5,040 
 
Total Long-Term Care 
   
4,810,317 
   
Tax Obligation/General – 21.7% (14.0% of Total Investments) 
     
500 
 
Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured 
5/15 at 100.00 
Aa2 
532,660 
600 
 
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17 
1/15 at 100.00 
Aaa 
670,536 
1,000 
 
Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – AGM Insured 
2/13 at 101.00 
AA+ 
1,035,550 
1,000 
 
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation 
2/21 at 100.00 
Aa3 
1,024,270 
   
Bonds, Series 2011, 5.000%, 2/15/41 
     
2,500 
 
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, 
No Opt. Call 
Aa1 
3,041,675 
   
Series 1991A, 7.000%, 3/01/21 
     
1,275 
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2001D, 6.000%, 11/01/13 – 
No Opt. Call 
Aa1 
1,439,411 
   
NPFG Insured 
     
980 
 
Monson, Massachusetts, General Obligation Bonds, Series 2002, 5.250%, 5/15/22 – AMBAC Insured 
5/12 at 101.00 
A1 
1,021,630 
1,260 
 
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured 
No Opt. Call 
AAA 
1,507,716 
1,000 
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 – 
No Opt. Call 
A3 
994,290 
   
FGIC Insured 
     
2,000 
 
Quincy, Massachusetts, General Obligation Bonds, Series 2011, 5.250%, 12/01/38 
12/20 at 100.00 
Aa2 
2,101,500 
1,220 
 
Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 – 
7/15 at 100.00 
A1 
1,305,327 
   
FGIC Insured 
     
13,335 
 
Total Tax Obligation/General 
   
14,674,565 
   
Tax Obligation/Limited – 14.3% (9.2% of Total Investments) 
     
210 
 
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 – 
5/14 at 100.00 
A– 
215,053 
   
AMBAC Insured 
     
975 
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 
7/18 at 100.00 
AAA 
1,054,892 
   
5.000%, 7/01/26 
     
385 
 
Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds, 
No Opt. Call 
AAA 
467,355 
   
Series 2004C, 5.250%, 7/01/21 
     
550 
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 
5/14 at 100.00 
Aa2 
596,514 
   
5/01/19 – NPFG Insured 
     
325 
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 
5/16 at 100.00 
Aa2 
335,338 
   
5/01/31 – AMBAC Insured 
     
1,200 
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 
5/18 at 100.00 
AA+ 
1,232,052 
   
5/01/33 – AGC Insured 
     
1,000 
 
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 
No Opt. Call 
Aa2 
1,186,220 
   
5.375%, 5/01/23 – SYNCORA GTY Insured 
     
1,300 
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 
8/15 at 100.00 
AA+ 
1,449,617 
   
5.000%, 8/15/20 – AGM Insured 
     
540 
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 
No Opt. Call 
A1 
604,903 
   
1/01/20 – FGIC Insured 
     
1,000 
 
Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note 
No Opt. Call 
AAA 
1,102,280 
   
Program, Series 2003A, 5.000%, 12/15/13 – AGM Insured 
     
240 
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 
No Opt. Call 
A3 
23,069 
   
0.000%, 7/01/43 – AMBAC Insured 
     
 
 
 
Nuveen Investments 45
 
 
 
 

 

         
 
Nuveen Massachusetts Premium Income Municipal Fund (continued) 
   
NMT  
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Tax Obligation/Limited (continued) 
     
$ 1,300 
 
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 
No Opt. Call 
A2 
$  1,384,591 
   
5.500%, 7/01/19 – NPFG Insured 
     
9,025 
 
Total Tax Obligation/Limited 
   
9,651,884 
   
Transportation – 11.0% (7.1% of Total Investments) 
     
500 
 
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30 
7/20 at 100.00 
AA– 
523,580 
2,000 
 
Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 – NPFG Insured 
7/13 at 100.00 
AA– 
2,013,860 
1,000 
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 
7/17 at 100.00 
A3 
932,690 
   
2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax) 
     
225 
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 
7/11 at 101.00 
N/R 
163,953 
   
2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax) 
     
4,000 
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, US Airways Group Inc., Series 
9/11 at 100.00 
Baa1 
3,781,280 
   
1996A, 5.750%, 9/01/16 – NPFG Insured (Alternative Minimum Tax) 
     
7,725 
 
Total Transportation 
   
7,415,363 
   
U.S. Guaranteed – 11.4% (7.4% of Total Investments) (4) 
     
650 
 
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17 
1/15 at 100.00 
N/R (4) 
742,645 
   
(Pre-refunded 1/01/15) 
     
25 
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 
7/18 at 100.00 
AAA 
30,150 
   
5.000%, 7/01/26 (Pre-refunded 7/01/18) 
     
750 
 
Massachusetts Development Finance Authority, GNMA Collateralized Revenue Bonds, VOA Concord 
10/11 at 105.00 
N/R (4) 
806,423 
   
Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 (Pre-refunded 10/20/11) 
     
1,000 
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy 
7/13 at 101.00 
A (4) 
1,120,240 
   
and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13) 
     
750 
 
Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A, 
9/13 at 100.00 
AA– (4) 
824,130 
   
5.000%, 9/01/19 (Pre-refunded 9/01/13) 
     
410 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., 
7/21 at 100.00 
BBB (4) 
466,719 
   
Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG Insured 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi 
7/12 at 101.00 
N/R (4) 
1,071,820 
   
Obligated Group, Series 2002B, 6.250%, 7/01/22 (Pre-refunded 7/01/12) 
     
600 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical 
5/12 at 100.00 
N/R (4) 
628,866 
   
Center Hospitals, Series 2002H, 5.375%, 5/15/19 (Pre-refunded 5/15/12) – FGIC Insured 
     
295 
 
Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM) 
7/11 at 100.00 
AAA 
334,515 
1,500 
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 
1/14 at 100.00 
A1 (4) 
1,670,520 
   
1/01/25 (Pre-refunded 1/01/14) – FGIC Insured 
     
6,980 
 
Total U.S. Guaranteed 
   
7,696,028 
   
Utilities – 3.0% (1.9% of Total Investments) 
     
1,000 
 
Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System, 
1/12 at 101.00 
Baa1 
1,022,140 
   
Series 2001A, 5.625%, 1/01/16 – NPFG Insured 
     
1,000 
 
Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden 
12/11 at 100.00 
A– 
1,002,860 
   
Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) 
     
2,000 
 
Total Utilities 
   
2,025,000 
   
Water and Sewer – 12.3% (8.0% of Total Investments) 
     
500 
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Lien 
11/19 at 100.00 
AA+ 
541,175 
   
Refunding Series 2010A, 5.000%, 11/01/30 
     
2,000 
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series 
11/14 at 100.00 
AA+ 
2,198,760 
   
2004A, 5.000%, 11/01/25 
     
60 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 
8/13 at 100.00 
AAA 
62,708 
   
5.000%, 8/01/22 
     
285 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10, 
8/14 at 100.00 
AAA 
297,913 
   
5.000%, 8/01/26 
     
750 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11, 
8/15 at 100.00 
AAA 
765,233 
   
4.500%, 8/01/29 
     
 
 
 
46 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Water and Sewer (continued) 
     
$   1,000 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 
8/16 at 100.00 
AAA 
$   1,010,089 
   
4.375%, 8/01/31 
     
1,250 
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, 
8/12 at 100.00 
AAA 
1,314,599 
   
Series 2002A, 5.250%, 8/01/20 
     
1,500 
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 
8/17 at 100.00 
AA+ 
1,601,024 
   
8/01/28 – NPFG Insured 
     
625 
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46 
8/16 at 100.00 
AA+ 
547,918 
7,970 
 
Total Water and Sewer 
   
8,339,419 
$ 103,200 
 
Total Investments (cost $104,179,923) – 154.8% 
   
104,622,681 
   
Floating Rate Obligations – (3.6)% 
   
(2,450,000)
   
MuniFund Term Preferred Shares, at Liquidation Value – (54.2)% (5) 
   
(36,645,000)
   
Other Assets Less Liabilities – 3.0% 
   
2,076,878 
   
Net Assets Applicable to Common Shares – 100% 
   
$ 67,604,559 
 
 
(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 (not covered by the report of independent registered public accounting firm): 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 (not covered by the report of independent registered public accounting firm): 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 Investment is 35.0%.
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 47
 
 
 
 

 

       
 
Nuveen Massachusetts Dividend Advantage Municipal Fund
NMB 
Portfolio of Investments 
   
 
May 31, 2011 
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Consumer Discretionary – 0.9% (0.6% of Total Investments) 
     
$   480 
 
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, 
9/12 at 102.00 
Caa3 
$    237,096 
   
Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) 
     
   
Education and Civic Organizations – 46.5% (30.5% of Total Investments) 
     
500 
 
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and 
7/21 at 100.00 
AA+ 
508,790 
   
B-2, 5.250%, 7/01/33 – AGM Insured 
     
375 
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 
10/19 at 100.00 
A
385,395 
   
5.000%, 10/01/29 
     
110 
 
Massachusetts Development Finance Agency, Revenue Bonds, Draper Laboratory, Series 2008, 
No Opt. Call 
Aa3 
117,263 
   
5.875%, 9/01/30 
     
400 
 
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 
1/20 at 100.00 
A– 
374,604 
   
5.000%, 1/01/40 
     
1,000 
 
Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 
4/21 at 100.00 
AA– 
1,011,800 
   
5.250%, 4/01/37 
     
450 
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, 
9/17 at 100.00 
A+ 
440,627 
   
Series 2007, 5.000%, 9/01/37 – NPFG Insured 
     
495 
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy 
7/15 at 100.00 
AA+ 
510,919 
   
and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured 
     
500 
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
No Opt. Call 
A
508,310 
   
Series 2002A, 5.750%, 1/01/42 – AMBAC Insured 
     
2,100 
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
1/18 at 100.00 
AA+ 
2,091,768 
   
5.000%, 1/01/42 – AGC Insured (UB) 
     
1,000 
 
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, 
5/29 at 105.00 
A2 
1,042,960 
   
Series 1999P, 6.000%, 5/15/59 
     
990 
 
Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2001E, 
7/11 at 100.00 
AA 
991,881 
   
5.300%, 1/01/16 – AMBAC Insured (Alternative Minimum Tax) 
     
625 
 
Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2008H, 
1/18 at 100.00 
AA+ 
653,450 
   
6.350%, 1/01/30 – AGC Insured (Alternative Minimum Tax) 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, 
6/13 at 100.00 
AA– 
1,068,880 
   
Series 2003N, 5.250%, 6/01/18 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, 
10/19 at 100.00 
Baa1 
498,750 
   
Series 2010, 5.500%, 10/15/31 
     
1,500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College 
No Opt. Call 
A2 
1,479,405 
   
Issues, Series 2010F, 5.000%, 1/01/41 
     
590 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, 
7/16 at 100.00 
AAA 
615,636 
   
Series 2007L, 5.000%, 7/01/31 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Refunding Bonds, Suffolk 
7/19 at 100.00 
BBB 
484,085 
   
University Issue, Series 2009A, 5.750%, 7/01/39 
     
12,635 
 
Total Education and Civic Organizations 
   
12,784,523 
   
Health Care – 32.3% (21.2% of Total Investments) 
     
1,200 
 
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 
7/20 at 100.00 
AA 
1,220,208 
   
2011K-6, 5.375%, 7/01/41 
     
500 
 
Massachusetts Health and Educational Facilities Authority Revenue Bonds, Quincy Medical Center 
1/18 at 100.00 
N/R 
416,385 
   
Issue, Series 2008A, 6.500%, 1/15/38 
     
75 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical 
7/19 at 100.00 
A+ 
75,236 
   
Center, Series 2009I, 5.750%, 7/01/36 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health 
10/11 at 101.00 
BBB+ 
495,970 
   
System, Series 2001E, 6.250%, 10/01/31 
     
775 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., 
8/18 at 100.00 
A3 
786,207 
   
Series B1 Capital Asset Program Converted June 13, 2008, 5.375%, 2/01/26 – NPFG Insured 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., 
8/18 at 100.00 
A3 
500,105 
   
Series B2, Capital Asset Program, Converted June 9, 2009, 5.375%, 2/01/27 – NPFG Insured 
     
 
 
 
48 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Health Care (continued) 
     
$ 1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children’s Hospital, 
12/19 at 100.00 
AA 
$ 1,025,930 
   
Series 2009M, 5.500%, 12/01/39 
     
295 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health 
1/12 at 101.00 
A
296,941 
   
Systems Obligated Group, Series 2002, 6.000%, 7/01/31 
     
   
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 
487,735 
315 
 
5.000%, 8/15/35 – RAAI Insured 
8/15 at 100.00 
N/R 
247,798 
600 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical 
8/15 at 100.00 
A+ 
622,626 
   
Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical 
8/17 at 100.00 
A+ 
1,010,460 
   
Center, Series 2007D, 5.250%, 8/15/28 
     
290 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional 
7/17 at 100.00 
BBB– 
246,581 
   
Medical Center, Series 2007E, 5.000%, 7/15/32 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital 
7/15 at 100.00 
BB– 
406,335 
   
Project, Series 2005D, 5.250%, 7/01/30 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire 
7/14 at 100.00 
CCC 
244,750 
   
Community Services Inc., Series 2004B, 6.375%, 7/01/34 (4) 
     
35 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare 
7/11 at 101.00 
AA 
35,320 
   
System Inc., Series 2001C, 5.750%, 7/01/32 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial 
7/11 at 100.00 
BBB+ 
500,445 
   
Health Care, Series 2001C, 6.625%, 7/01/32 
     
285 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial 
7/15 at 100.00 
BBB+ 
246,605 
   
Health Care, Series 2005D, 5.000%, 7/01/33 
     
9,420 
 
Total Health Care 
   
8,865,637 
   
Housing/Multifamily – 7.7% (5.1% of Total Investments) 
     
565 
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor 
7/17 at 100.00 
BB 
526,128 
   
Project, Series 2007, 4.800%, 7/20/48 
     
500 
 
Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23 
6/13 at 100.00 
AA– 
500,375 
   
(Alternative Minimum Tax) 
     
55 
 
Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2001A, 
7/11 at 100.00 
N/R 
54,022 
   
5.850%, 7/01/35 – AMBAC Insured (Alternative Minimum Tax) 
     
1,000 
 
Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, 
5/12 at 103.00 
N/R 
1,036,120 
   
Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 
     
2,120 
 
Total Housing/Multifamily 
   
2,116,645 
   
Housing/Single Family – 4.0% (2.6% of Total Investments) 
     
650 
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126, 
6/16 at 100.00 
AA 
590,980 
   
4.625%, 6/01/32 (Alternative Minimum Tax) 
     
480 
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust 
No Opt. Call 
AA 
506,261 
   
3145, 15.458%, 6/01/16 (IF) 
     
1,130 
 
Total Housing/Single Family 
   
1,097,241 
   
Industrials – 1.2% (0.8% of Total Investments) 
     
125 
 
Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds, 
No Opt. Call 
N/R 
119,655 
   
Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 
     
200 
 
Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste 
No Opt. Call 
BBB 
211,336 
   
Management Inc., Series 2003, 5.450%, 6/01/14 
     
325 
 
Total Industrials 
   
330,991 
   
Long-Term Care – 8.7% (5.7% of Total Investments) 
     
100 
 
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 
12/19 at 100.00 
A– 
99,473 
   
2010, 5.625%, 12/01/30 
     
725 
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 
10/12 at 102.00 
N/R 
593,782 
   
5.250%, 10/01/26 
     
 
 
 
Nuveen Investments 49
 
 
 
 

 

         
 
Nuveen Massachusetts Dividend Advantage Municipal Fund (continued) 
   
NMB   
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Long-Term Care (continued) 
     
$ 655 
 
Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire 
7/11 at 102.00 
BBB 
$ 668,290 
   
Retirement Community – Edgecombe Project, Series 2001A, 6.750%, 7/01/21 
     
1,000 
 
Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility 
3/12 at 105.00 
AAA 
1,031,410 
   
Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 
     
2,480 
 
Total Long-Term Care 
   
2,392,955 
   
Tax Obligation/General – 15.5% (10.2% of Total Investments) 
     
310 
 
Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured 
5/15 at 100.00 
Aa2 
330,249 
440 
 
Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – AGM Insured 
2/13 at 101.00 
AA+ 
455,642 
1,000 
 
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation 
2/21 at 100.00 
Aa3 
1,024,270 
   
Bonds, Series 2011, 5.000%, 2/15/41 
     
500 
 
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured 
No Opt. Call 
AAA 
598,300 
500 
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 – 
No Opt. Call 
A3 
497,145 
   
FGIC Insured 
     
1,280 
 
Quincy, Massachusetts, General Obligation Bonds, Series 2011, 5.125%, 12/01/33 
12/20 at 100.00 
Aa2 
1,351,117 
4,030 
 
Total Tax Obligation/General 
   
4,256,723 
   
Tax Obligation/Limited – 11.9% (7.8% of Total Investments) 
     
395 
 
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 – 
5/14 at 100.00 
A– 
404,504 
   
AMBAC Insured 
     
385 
 
Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds, 
No Opt. Call 
AAA 
467,355 
   
Series 2004C, 5.250%, 7/01/21 
     
230 
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 – 
5/14 at 100.00 
Aa2 
249,451 
   
NPFG Insured 
     
250 
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 – 
5/16 at 100.00 
Aa2 
257,953 
   
AMBAC Insured 
     
550 
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – 
5/18 at 100.00 
AA+ 
564,691 
   
AGC Insured 
     
500 
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 
8/15 at 100.00 
AA+ 
557,545 
   
5.000%, 8/15/20 – AGM Insured 
     
230 
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 
No Opt. Call 
A1 
257,644 
   
1/01/20 – FGIC Insured 
     
500 
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A, 
10/11 at 100.00 
BBB+ 
503,635 
   
6.375%, 10/01/19 
     
3,040 
 
Total Tax Obligation/Limited 
   
3,262,778 
   
Transportation – 3.3% (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– 
523,580 
400 
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 
7/17 at 100.00 
A3 
373,076 
   
2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax) 
     
900 
 
Total Transportation 
   
896,656 
   
U.S. Guaranteed – 6.1% (4.0% of Total Investments) (5) 
     
500 
 
Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A, 
9/13 at 100.00 
AA– (5) 
549,420 
   
5.000%, 9/01/19 (Pre-refunded 9/01/13) 
     
80 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health 
1/12 at 101.00 
A (5) 
83,511 
   
Systems Obligated Group, Series 2002, 6.000%, 7/01/31 (Pre-refunded 1/01/12) 
     
215 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare 
7/11 at 101.00 
AAA 
218,151 
   
System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11) 
     
750 
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 
1/14 at 100.00 
A1 (5) 
835,261 
   
1/01/25 (Pre-refunded 1/01/14) – FGIC Insured 
     
1,545 
 
Total U.S. Guaranteed 
   
1,686,343 
 
 
 
50 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
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, 
1/12 at 101.00 
Baa1 
$   1,094,065 
   
Series 2001A, 5.625%, 1/01/14 – NPFG Insured 
     
500 
 
Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden 
12/11 at 100.00 
A– 
501,431 
   
Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) 
     
1,570 
 
Total Utilities 
   
1,595,496 
   
Water and Sewer – 8.6% (5.6% of Total Investments) 
     
530 
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series 
11/14 at 100.00 
AA+ 
582,672 
   
2004A, 5.000%, 11/01/25 
     
125 
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 
7/15 at 100.00 
Ba2 
120,174 
   
6.000%, 7/01/25 
     
500 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11, 
8/15 at 100.00 
AAA 
510,156 
   
4.500%, 8/01/29 
     
400 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 
8/16 at 100.00 
AAA 
404,037 
   
4.375%, 8/01/31 
     
500 
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A, 
8/12 at 100.00 
AAA 
525,841 
   
5.250%, 8/01/20 
     
250 
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46 
8/16 at 100.00 
AA+ 
219,154 
2,305 
 
Total Water and Sewer 
   
2,362,034 
$ 41,980 
 
Total Investments (cost $42,203,988) – 152.5% 
   
41,885,118 
   
Floating Rate Obligations – (3.8)% 
   
(1,050,000)
   
MuniFund Term Preferred Shares, at Liquidation Value – (53.6)% (6) 
   
(14,725,000)
   
Other Assets Less Liabilities – 4.9% 
   
1,354,761 
   
Net Assets Applicable to Common Shares – 100% 
   
$ 27,464,879 
 
 
 
(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 (not covered by the report of independent registered public accounting firm): 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 (not covered by the report of independent registered public accounting firm): 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)  
At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(5)  
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. 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 Investment is 35.2%. N/R Not rated.
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 51
 
 
 
 

 

         
 
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund 
NGX 
Portfolio of Investments 
   
   
May 31, 2011 
   
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Education and Civic Organizations – 27.6% (17.6% of Total Investments) 
     
$   600 
 
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and 
7/21 at 100.00 
AA+ 
$   610,548 
   
B-2, 5.250%, 7/01/33 – AGM Insured 
     
1,135 
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2005T-1, 
10/15 at 100.00 
A
1,107,215 
   
5.000%, 10/01/39 – AMBAC Insured 
     
600 
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, 
9/17 at 100.00 
A+ 
587,502 
   
Series 2007, 5.000%, 9/01/37 – NPFG Insured 
     
1,250 
 
Massachusetts Development Finance Authority, Revenue Bonds, Middlesex School, Series 2003, 
9/13 at 100.00 
A1 
1,254,250 
   
5.000%, 9/01/33 
     
1,000 
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
No Opt. Call 
A
1,016,620 
   
Series 2002A, 5.750%, 1/01/42 – AMBAC Insured 
     
3,000 
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
1/18 at 100.00 
AA+ 
2,988,240 
   
5.000%, 1/01/42 – AGC Insured (UB) 
     
1,750 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, 
6/13 at 100.00 
AA– 
1,755,600 
   
Series 2003N, 5.125%, 6/01/37 
     
1,500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State 
11/12 at 100.00 
A2 
1,494,075 
   
College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured 
     
10,835 
 
Total Education and Civic Organizations 
   
10,814,050 
   
Health Care – 11.1% (7.1% of Total Investments) 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare 
11/19 at 100.00 
AA+ 
491,095 
   
Obligated Group, Series 2004D, 5.125%, 11/15/35 – AGC Insured 
     
455 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., 
7/11 at 100.00 
A3 
449,549 
   
Series 1998A, 5.000%, 7/01/25 – NPFG Insured 
     
   
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 
A3 
456,507 
600 
 
5.375%, 2/01/27 – NPFG Insured 
8/18 at 100.00 
A3 
605,454 
1,500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., 
8/18 at 100.00 
A3 
1,495,800 
   
Series B2, Capital Asset Program, Converted June 9, 2009, 5.375%, 2/01/28 – NPFG Insured 
     
585 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional 
7/17 at 100.00 
BBB– 
497,414 
   
Medical Center, Series 2007E, 5.000%, 7/15/32 
     
200 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital 
7/15 at 100.00 
BB– 
162,534 
   
Project, Series 2005D, 5.250%, 7/01/30 
     
250 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial 
7/15 at 100.00 
BBB+ 
216,320 
   
Health Care, Series 2005D, 5.000%, 7/01/33 
     
4,540 
 
Total Health Care 
   
4,374,673 
   
Housing/Multifamily – 11.4% (7.3% of Total Investments) 
     
500 
 
Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%, 
4/18 at 100.00 
AA+ 
537,750 
   
4/01/20 – AGM Insured 
     
755 
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor 
7/17 at 100.00 
BB 
703,056 
   
Project, Series 2007, 4.800%, 7/20/48 
     
2,000 
 
Massachusetts Housing Finance Agency, Housing Bonds, Series 2003H, 5.125%, 6/01/43 
12/12 at 100.00 
AA– 
1,958,420 
1,265 
 
Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2002H, 
7/12 at 100.00 
AA+ 
1,259,523 
   
5.200%, 7/01/42 – AGM Insured 
     
4,520 
 
Total Housing/Multifamily 
   
4,458,749 
   
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 
Baa1 
1,475,664 
1,500 
 
5.125%, 2/01/34 – NPFG Insured 
2/12 at 100.00 
Baa1 
1,409,955 
2,975 
 
Total Industrials 
   
2,885,619 
 
 
 
52 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Long-Term Care – 4.8% (3.0% of Total Investments) 
     
$ 1,750 
 
Massachusetts Development Finance Authority, GNMA Collateralized Revenue Bonds, Neville 
12/12 at 105.00 
AAA 
$  1,871,240 
   
Communities, Series 2002A, 6.000%, 6/20/44 
     
   
Tax Obligation/General – 13.0% (8.3% 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 
1,345,408 
1,500 
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.250%, 8/01/21 – 
No Opt. Call 
AA+ 
1,817,670 
   
AGM Insured 
     
1,705 
 
North Attleborough, Massachusetts, General Obligation Bonds, Series 2004, 5.000%, 7/15/15 – 
7/14 at 101.00 
Aa2 
1,923,240 
   
FGIC Insured 
     
4,485 
 
Total Tax Obligation/General 
   
5,086,318 
   
Tax Obligation/Limited – 18.0% (11.5% of Total Investments) 
     
3,000 
 
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2002, 5.000%, 5/01/32 – 
5/13 at 100.00 
A– 
3,004,770 
   
AMBAC Insured 
     
750 
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 
5/18 at 100.00 
AA+ 
770,033 
   
5/01/33 – AGC Insured 
     
2,790 
 
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003A, 
5/13 at 100.00 
Aa2 
2,947,719 
   
5.250%, 5/01/22 – SYNCORA GTY Insured 
     
300 
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 
No Opt. Call 
A1 
336,057 
   
1/01/20 – FGIC Insured 
     
6,840 
 
Total Tax Obligation/Limited 
   
7,058,579 
   
Transportation – 2.6% (1.6% 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– 
1,006,930 
   
U.S. Guaranteed – 39.7% (25.3% of Total Investments) (4) 
     
2,000 
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2002A, 
7/12 at 100.00 
AAA 
2,101,700 
   
5.000%, 7/01/27 (Pre-refunded 7/01/12) – FGIC Insured 
     
500 
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy 
7/13 at 101.00 
A (4) 
566,595 
   
and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 (Pre-refunded 7/01/13) 
     
   
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical 
     
   
Center Hospitals, Series 2002H: 
     
100 
 
5.000%, 5/15/25 (Pre-refunded 5/15/12) – FGIC Insured 
5/12 at 100.00 
N/R (4) 
104,335 
2,400 
 
5.000%, 5/15/25 (Pre-refunded 5/15/12) – FGIC Insured 
5/12 at 100.00 
N/R (4) 
2,504,040 
295 
 
Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM) 
7/11 at 100.00 
AAA 
334,515 
1,000 
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 
1/14 at 100.00 
A1 (4) 
1,113,680 
   
1/01/21 (Pre-refunded 1/01/14) – FGIC Insured 
     
1,500 
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2001D, 5.000%, 11/01/20 
11/11 at 100.00 
Aa1 (4) 
1,529,625 
   
(Pre-refunded 11/01/11) – NPFG Insured 
     
1,500 
 
Pittsfield, Massachusetts, General Obligation Bonds, Series 2002, 5.000%, 4/15/18 
4/12 at 101.00 
Aa2 (4) 
1,577,205 
   
(Pre-refunded 4/15/12) – NPFG Insured 
     
3,000 
 
Springfield, Massachusetts, General Obligation Bonds, Series 2003, 5.250%, 1/15/22 
1/13 at 100.00 
AA– (4) 
3,234,780 
   
(Pre-refunded 1/15/13) – NPFG Insured 
     
2,140 
 
University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 
11/14 at 100.00 
A+ (4) 
2,462,905 
   
2004-1, 5.375%, 11/01/21 (Pre-refunded 11/01/14) – AMBAC Insured 
     
14,435 
 
Total U.S. Guaranteed 
   
15,529,380 
   
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+ 
846,648 
   
Water and Sewer – 19.2% (12.2% of Total Investments) 
     
1,900 
 
Lynn Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2003A, 
12/13 at 100.00 
A1 
1,903,306 
   
5.000%, 12/01/32 – NPFG Insured 
     
600 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 
8/16 at 100.00 
AAA 
606,054 
   
4.375%, 8/01/31 
     
1,000 
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 
No Opt. Call 
AA+ 
1,205,580 
   
8/01/19 – AGM Insured 
     
 
 
 
Nuveen Investments 53
 
 
 
 

 

 
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (continued) 
 
NGX  
Portfolio of Investments May 31, 2011 
   
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Water and Sewer (continued) 
     
$ 1,000 
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2004D, 5.000%, 
8/13 at 100.00 
AA+ 
$   1,063,930 
   
8/01/24 – NPFG Insured 
     
   
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A: 
     
1,500 
 
5.000%, 8/01/31 – AMBAC Insured 
8/16 at 100.00 
AA+ 
1,562,550 
125 
 
4.000%, 8/01/46 
8/16 at 100.00 
AA+ 
109,584 
500 
 
Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Refunding 
No Opt. Call 
AA+ 
530,739 
   
Series 2010B, 5.000%, 11/15/30 – AGC Insured 
     
495 
 
Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Series 2003A, 
7/14 at 100.00 
A+ 
539,183 
   
5.000%, 7/01/16 – NPFG Insured 
     
7,120 
 
Total Water and Sewer 
   
7,520,926 
$ 59,400 
 
Total Investments (cost $60,027,197) – 156.9% 
   
61,453,112 
   
Floating Rate Obligations – (3.8)% 
   
(1,500,000)
   
MuniFund Term Preferred Shares, at Liquidation Value – (56.4)% (5) 
   
(22,075,000)
   
Other Assets Less Liabilities – 3.3% 
   
1,280,312 
   
Net Assets Applicable to Common Shares – 100% 
   
$ 39,158,424 
 
 
 
   
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 (not covered by the report of independent registered public accounting firm): 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 (not covered by the report of independent registered public accounting firm): 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 or Total Investments is 35.9%.
N/R   Not rated.
(ETM)
 
Escrowed to maturity.
(UB)  
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information.
 
 
 
 
 
 
 
See accompanying notes to financial statements.
54      Nuveen Investments
 
 
 
 

 

         
 
Nuveen Missouri Premium Income Municipal Fund 
   
NOM 
Portfolio of Investments 
   
   
May 31, 2011 
   
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Consumer Staples – 3.4% (2.1% of Total Investments) 
     
$ 1,000 
 
Missouri Development Finance Board, Solid Waste Disposal Revenue Bonds, Procter and Gamble 
No Opt. Call 
AA– 
$ 1,037,080 
   
Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax) 
     
   
Education and Civic Organizations – 4.4% (2.7% of Total Investments) 
     
250 
 
Lincoln University, Missouri, Auxiliary System Revenue Bonds, Series 2007, 5.125%, 6/01/37 – 
6/17 at 100.00 
AA+ 
250,513 
   
AGC Insured 
     
700 
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Rockhurst University, 
10/18 at 103.00 
BBB 
710,969 
   
Series 2011A, 6.500%, 10/01/35 
     
365 
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Webster University, 
10/11 at 100.00 
A3 
365,723 
   
Series 2001, 5.500%, 4/01/18 – NPFG Insured 
     
1,315 
 
Total Education and Civic Organizations 
   
1,327,205 
   
Health Care – 31.7% (20.0% of Total Investments) 
     
485 
 
Cape Girardeau County Industrial Development Authority, Missouri, Health Facilities Revenue 
6/19 at 100.00 
A+ 
493,391 
   
Bonds, Saint Francis Medical Center, Series 2009A, 5.750%, 6/01/39 
     
760 
 
Cape Girardeau County Industrial Development Authority, Missouri, Health Facilities Revenue 
6/17 at 100.00 
BBB+ 
691,258 
   
Bonds, Southeast Missouri Hospital Association, Series 2007, 5.000%, 6/01/27 
     
930 
 
Cass County, Missouri, Hospital Revenue Bonds, Series 2007, 5.625%, 5/01/38 
11/16 at 100.00 
BBB– 
797,838 
480 
 
Clinton County Industrial Development Authority, Missouri, Revenue Bonds, Cameron Regional 
12/17 at 100.00 
N/R 
321,749 
   
Medical Center, Series 2007, 5.000%, 12/01/37 
     
750 
 
Joplin Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, Freeman 
2/15 at 102.00 
BBB+ 
721,223 
   
Health System, Series 2004, 5.500%, 2/15/29 
     
500 
 
Missouri Health & Educational Facilities Authority, St. Luke’s Episcopal- Presbyterian 
12/11 at 101.00 
AA+ 
501,855 
   
Hospitals Revenue Bonds, Series 2001, 5.250%, 12/01/26 – AGM Insured 
     
2,000 
 
Missouri Health and Educational Facilities Authority, Health Facility Revenue Bonds, 
11/20 at 100.00 
A+ 
2,013,440 
   
St. Lukes’s Health System, Series 2010A, 5.000%, 11/15/30 
     
   
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 
1,522,935 
1,155 
 
5.250%, 5/15/32 
5/13 at 100.00 
AA 
1,160,070 
500 
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Lake Regional Health 
2/14 at 100.00 
BBB+ 
503,060 
   
System, Series 2003, 5.700%, 2/15/34 
     
720 
 
Saline County Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, 
12/20 at 100.00 
BBB– 
683,827 
   
John Fitzgibbon Memorial Hospital Inc., Series 2010, 5.600%, 12/01/28 
     
350 
 
St. Louis County Industrial Development Authority, Missouri, Healthcare Facilities Revenue 
11/16 at 100.00 
N/R 
288,292 
   
Bonds, Ranken-Jordan Project, Refunding Series 2007, 5.000%, 11/15/27 
     
10,130 
 
Total Health Care 
   
9,698,938 
   
Housing/Multifamily – 3.4% (2.2% of Total Investments) 
     
380 
 
Jefferson County Industrial Development Authority, Missouri, Multifamily Housing Revenue 
12/11 at 100.00 
N/R 
380,258 
   
Bonds, Lakewood Apartments Project, Series 2001B, 5.750%, 11/01/34 (Mandatory put 11/01/16) 
     
   
(Alternative Minimum Tax) 
     
165 
 
Missouri Housing Development Commission, Multifamily Housing Revenue Bonds, Series 2001II, 
12/11 at 100.00 
AA 
166,789 
   
5.250%, 12/01/16 
     
500 
 
St. Charles County Industrial Development Authority, Missouri, FHA-Insured Multifamily Housing 
10/11 at 100.00 
AAA 
500,075 
   
Revenue Bonds, Ashwood Apartments, Series 1998A, 5.600%, 4/01/30 – AGM Insured (Alternative 
     
   
Minimum Tax) 
     
1,045 
 
Total Housing/Multifamily 
   
1,047,122 
   
Housing/Single Family – 3.4% (2.2% of Total Investments) 
     
55 
 
Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership 
9/11 at 100.00 
AAA 
55,540 
   
Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax) 
     
365 
 
Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership 
9/16 at 100.00 
AAA 
352,101 
   
Loan Program, Series 2007A-1, 4.700%, 9/01/27 (Alternative Minimum Tax) 
     
 
 
 
Nuveen Investments 55
 
 
 
 

 

         
 
Nuveen Missouri Premium Income Municipal Fund (continued) 
     
NOM  
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Housing/Single Family (continued) 
     
 $   690 
 
Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership 
3/17 at 100.00 
AAA 
$ 639,561 
   
Loan Program, Series 2007C-1, 4.800%, 9/01/38 (Alternative Minimum Tax) 
     
1,110 
 
Total Housing/Single Family 
   
1,047,202 
   
Long-Term Care – 9.5% (6.0% of Total Investments) 
     
1,750 
 
Cole County Industrial Development Authority, Missouri, Revenue Bonds, Lutheran Senior 
2/14 at 100.00 
A– 
1,596,805 
   
Services – Heisinger Project, Series 2004, 5.500%, 2/01/35 
     
500 
 
Joplin Industrial Development Authority, Missouri, Revenue Bonds, Christian Homes Inc., Series 
5/17 at 100.00 
BBB– 
448,625 
   
2007F, 5.750%, 5/15/31 
     
475 
 
Lees Summit Industrial Development Authority, Missouri, Revenue Bonds, John Knox Village 
8/17 at 100.00 
BBB– 
414,148 
   
Obligated Group, Series 2007A, 5.125%, 8/15/32 
     
500 
 
St. Louis County Industrial Development Authority, Missouri, Revenue Bonds, Friendship Village 
9/17 at 100.00 
BBB 
456,760 
   
of West County, Series 2007A, 5.500%, 9/01/28 
     
3,225 
 
Total Long-Term Care 
   
2,916,338 
   
Materials – 2.1% (1.4% of Total Investments) 
     
750 
 
Sugar Creek, Missouri, Industrial Development Revenue Bonds, Lafarge North America Inc., 
6/13 at 101.00 
Baa3 
654,060 
   
Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax) 
     
   
Tax Obligation/General – 27.0% (17.0% of Total Investments) 
     
1,500 
 
Camdenton Reorganized School District R3, Camden County, Missouri, General Obligation Bonds, 
No Opt. Call 
AA+ 
1,643,400 
   
Series 2005, 5.250%, 3/01/24 – AGM Insured (4) 
     
1,685 
 
Independence School District, Jackson County, Missouri, General Obligation Bonds, Series 2010, 
3/20 at 100.00 
AA+ 
1,850,669 
   
5.000%, 3/01/27 
     
500 
 
Jackson County School District R-7, Lees Summit, Missouri, General Obligation Refunding and 
3/12 at 100.00 
AA+ 
515,750 
   
Improvement Bonds, Series 2002, 5.250%, 3/01/18 – AGM Insured 
     
500 
 
Missouri School Boards Association, Lease Participation Certificates, Clay County School 
3/17 at 100.00 
AA+ 
529,550 
   
District 53 Liberty, Series 2007, 5.250%, 3/01/27 – AGM Insured 
     
1,630 
 
North Kansas City School District, Missouri, General Obligation Bonds, Series 2003A, 
3/13 at 100.00 
AA+ 
1,720,579 
   
5.000%, 3/01/23 
     
1,000 
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 
No Opt. Call 
A3 
1,052,510 
   
7/01/20 – NPFG Insured 
     
900 
 
Ritenour Consolidated School District, St. Louis County, Missouri, General Obligation Bonds, 
No Opt. Call 
Aa2 
937,557 
   
Series 1995, 7.375%, 2/01/12 – FGIC Insured 
     
20 
 
St. Louis County Pattonville School District R3, Missouri, General Obligation Bonds, Series 
3/14 at 100.00 
AA+ 
21,786 
   
2004, 5.250%, 3/01/20 – AGM Insured 
     
7,735 
 
Total Tax Obligation/General 
   
8,271,801 
   
Tax Obligation/Limited – 29.4% (18.5% of Total Investments) 
     
600 
 
Chesterfield, Missouri, Certificates of Participation, Series 2005, 5.000%, 12/01/24 – 
12/15 at 100.00 
Aa1 
619,026 
   
FGIC Insured 
     
80 
 
Cottleville, Missouri, Certificates of Participation, Series 2006, 5.250%, 8/01/31 
8/14 at 100.00 
N/R 
71,822 
255 
 
Fenton, Missouri, Tax Increment Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 
4/14 at 100.00 
BBB+ 
257,078 
   
2006, 4.500%, 4/01/21 
     
315 
 
Fulton, Missouri, Tax Increment Revenue Bonds, Fulton Commons Redevelopment Project, Series 
6/16 at 100.00 
N/R 
246,116 
   
2006, 5.000%, 6/01/28 
     
250 
 
Jackson County, Missouri, Special Obligation Bonds, Truman Medical Center Project, Series 
12/21 at 100.00 
Aa3 
250,753 
   
2011B, 4.350%, 12/01/23 
     
475 
 
Kansas City Tax Increment Financing Commission, Missouri, Tax Increment Revenue Bonds, 
6/14 at 102.00 
N/R 
401,109 
   
Briarcliff West Project, Series 2006A, 5.400%, 6/01/24 
     
300 
 
Kansas City, Missouri, Industrial Development Authority, Downtown Redevelopment District 
9/21 at 100.00 
AA– 
292,125 
   
Revenue Bonds, Series 2011A, 5.000%, 9/01/32 (WI/DD, Settling 6/01/11) 
     
 
 
 
56 Nuveen Investments
 
 
 
 

 

           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Tax Obligation/Limited (continued) 
     
$   360 
 
Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, Branson Landing 
6/15 at 100.00 
A
$   337,082 
   
Project, Series 2005A, 5.000%, 6/01/35 
     
415 
 
Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, City of 
3/16 at 100.00 
A– 
410,792 
   
Independence, Crackerneck Creek Project, Series 2006C, 5.000%, 3/01/28 
     
450 
 
Monarch-Chesterfield Levee District, St. Louis County, Missouri, Levee District Improvement 
9/11 at 100.00 
Baa1 
451,548 
   
Bonds, Series 1999, 5.750%, 3/01/19 – NPFG Insured 
     
500 
 
Osage Beach, Missouri, Tax Increment Revenue Bonds, Prewitts Point Transportation Development 
5/12 at 102.00 
N/R 
411,210 
   
District, Series 2006, 5.000%, 5/01/23 
     
1,750 
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 
8/19 at 100.00 
A+ 
1,797,530 
   
2009A, 6.000%, 8/01/42 
     
600 
 
Riverside, Missouri, L-385 Levee Redevelopment Plan Tax Increment Revenue Bonds, Series 2004, 
5/15 at 100.00 
A
616,404 
   
5.250%, 5/01/20 
     
2,000 
 
Springfield Public Building Corporation, Missouri, Lease Revenue Bonds, Jordan Valley Park 
12/11 at 100.00 
N/R 
2,002,800 
   
Projects, Series 2000A, 6.125%, 6/01/21 – AMBAC Insured 
     
   
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 
302,722 
400 
 
5.500%, 11/01/27 
11/14 at 100.00 
N/R 
349,016 
200 
 
St. Joseph Industrial Development Authority, Missouri, Tax Increment Bonds, Shoppes at North 
11/14 at 100.00 
N/R 
171,854 
   
Village Project, Series 2005B, 5.500%, 11/01/27 
     
9,290 
 
Total Tax Obligation/Limited 
   
8,988,987 
   
Transportation – 17.0% (10.7% of Total Investments) 
     
500 
 
Kansas City, Missouri, Passenger Facility Charge Revenue Bonds, Kansas City International 
10/11 at 101.00 
A
502,860 
   
Airport, Series 2001, 5.000%, 4/01/23 – AMBAC Insured (Alternative Minimum Tax) 
     
1,000 
 
St. Louis Land Clearance Redevelopment Authority, Missouri, Revenue Refunding and Improvement 
9/11 at 100.00 
N/R 
999,720 
   
Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19 
     
1,000 
 
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series 
No Opt. Call 
A– 
1,106,040 
   
2005, 5.500%, 7/01/18 – NPFG Insured 
     
2,500 
 
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series 
7/17 at 100.00 
AA+ 
2,597,450 
   
2007A, 5.000%, 7/01/21 – AGM Insured 
     
5,000 
 
Total Transportation 
   
5,206,070 
   
U.S. Guaranteed – 13.6% (8.5% of Total Investments) (5) 
     
685 
 
Fenton, Missouri, Tax Increment Refunding and Improvement Revenue Bonds, Gravois Bluffs 
10/12 at 100.00 
AAA 
733,984 
   
Redevelopment Project, Series 2002, 6.125%, 10/01/21 (Pre-refunded 10/01/12) 
     
1,380 
 
Springfield Center City Development Corporation, Missouri, Lease Revenue Bonds, Jordan Valley 
11/11 at 100.00 
Aa3 (5) 
1,406,772 
   
Park Parking Garage, Series 2002D, 5.000%, 11/01/22 (Pre-refunded 11/01/11) – AMBAC Insured 
     
   
St. Louis County Pattonville School District R3, Missouri, General Obligation Bonds, Series 2004: 
     
80 
 
5.250%, 3/01/20 (Pre-refunded 3/01/14) – AGM Insured 
3/14 at 100.00 
AA+ (5) 
90,072 
250 
 
5.250%, 3/01/20 (Pre-refunded 3/01/14) – AGM Insured 
3/14 at 100.00 
AA+ (5) 
281,475 
500 
 
St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1993D, 5.650%, 
No Opt. Call 
AAA 
599,375 
   
7/01/20 (Alternative Minimum Tax) (ETM) 
     
1,000 
 
St. Louis Municipal Finance Corporation, Missouri, Leasehold Revenue Bonds, Carnahan 
2/12 at 100.00 
N/R (5) 
1,039,180 
   
Courthouse, Series 2002A, 5.750%, 2/15/16 (Pre-refunded 2/15/12) – FGIC Insured 
     
3,895 
 
Total U.S. Guaranteed 
   
4,150,858 
   
Utilities – 2.0% (1.2% of Total Investments) 
     
100 
 
Missouri Joint Municipal Electric Utility Commission, Iatan 2 Power Project Revenue Bonds, 
1/16 at 100.00 
A3 
100,537 
   
Series 2006A, 4.125%, 1/01/21 – AMBAC Insured 
     
530 
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010XX, 5.250%, 7/01/40 
7/20 at 100.00 
A3 
501,316 
630 
 
Total Utilities 
   
601,853 
 
 
 
Nuveen Investments 57
 
 
 
 

 

         
 
Nuveen Missouri Premium Income Municipal Fund (continued) 
     
NOM   
Portfolio of Investments May 31, 2011 
     
 
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Water and Sewer – 11.8% (7.5% of Total Investments) 
     
$     600 
 
Carroll County Public Water Supply District 1, Missouri, Water System Revenue Bonds, Refunding 
3/18 at 100.00 
A
$      627,773 
   
Series 2009, 6.000%, 3/01/39 
     
2,965 
 
Missouri Environmental Improvement and Energy Resources Authority, Water Facility Revenue 
12/16 at 100.00 
AA+ 
2,628,532 
   
Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 – AMBAC Insured 
     
   
(Alternative Minimum Tax) (UB) 
     
350 
 
Missouri Environmental Improvement and Energy Resources Authority, Water Pollution Control Revenue 
No Opt. Call 
Aaa 
362,840 
   
Bonds, State Revolving Fund Program – Kansas City Project, Series 1997C, 6.750%, 1/01/12 
     
3,915 
 
Total Water and Sewer 
   
3,619,145 
$ 49,040 
 
Total Investments (cost $49,289,899) – 158.7% 
   
48,566,659 
   
Floating Rate Obligations – (7.3)% 
   
(2,225,000)
   
MuniFund Term Preferred Shares, at Liquidation Value – (58.4)% (6) 
   
(17,880,000)
   
Other Assets Less Liabilities – 7.0% 
   
2,133,248 
   
Net Assets Applicable to Common Shares – 100% 
   
$ 30,594,907 
 
 
(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 (not covered by the report of independent registered public accounting firm): 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 (not covered by the report of independent registered public accounting firm): 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 36.8%. N/R Not rated.
N/R   Not rated.
WI/DD   Purchased on a when-issued or delayed delivery basis.
(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.
 
58 Nuveen Investments
 
 
 
 

 

                         
        Statement of 
                       
Assets & Liabilities
                   
         
May 31, 2011
       
                   
   
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
   
Premium
   
Dividend
   
Dividend
   
Dividend
 
   
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
   
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Assets 
                       
Investments, at value (cost $116,039,117, $58,543,199, 
                       
$52,528,793 and $96,478,883, respectively) 
  $ 116,953,440     $ 58,921,895     $ 53,021,708     $ 96,652,482  
Cash 
    1,422,993       1,876,874       96,626       1,099,885  
Receivables: 
                               
Interest 
    1,812,539       874,157       769,521       1,511,580  
Investments sold 
                       
Deferred offering costs 
    928,803       434,595       386,462       556,610  
Other assets 
    35,293       6,449       30,853       10,546  
Total assets 
    121,153,068       62,113,970       54,305,170       99,831,103  
Liabilities 
                               
Cash overdraft 
                       
Floating rate obligations 
    7,965,000       3,820,000       3,460,000       5,780,000  
Payables: 
                               
Common share dividends 
    286,916       153,424       147,146       234,872  
Interest 
    78,201       44,344       36,719       70,681  
Investment purchased 
          43,331              
Offering costs 
    366,540       188,065       180,488       201,568  
MuniFund Term Preferred (MTP) shares, at liquidation value 
    36,080,000       20,470,000       16,950,000       32,000,000  
Accrued expenses: 
                               
Management fees 
    62,237       31,893       25,660       51,610  
Other 
    30,658       28,429       26,944       33,099  
Total liabilities 
    44,869,552       24,779,486       20,826,957       38,371,830  
Net assets applicable to Common shares 
  $ 76,283,516     $ 37,334,484     $ 33,478,213     $ 61,459,273  
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) 
  $ 14.22     $ 14.44     $ 14.43     $ 14.07  
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 
    74,371,699       36,568,506       32,738,609       61,436,456  
Undistributed (Over-distribution of) net investment income 
    909,994       302,881       236,533       306,440  
Accumulated net realized gain (loss) 
    33,850       58,541       (13,046 )      (500,893 ) 
Net unrealized appreciation (depreciation) 
    914,323       378,696       492,915       173,599  
Net assets applicable to Common shares 
  $ 76,283,516     $ 37,334,484     $ 33,478,213     $ 61,459,273  
Authorized shares: 
                               
Common 
 
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
Auction Rate Preferred Shares (ARPS) 
 
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
MTP 
 
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
 
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 59
 
 
 
 

 

                         
Statement of 
                       
Assets & Liabilities (continued) 
                       
               
Insured
       
   
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
   
Premium
   
Dividend
   
Tax-Free
   
Premium
 
   
Income
   
Advantage
   
Advantage
   
Income
 
   
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
Assets 
                       
Investments, at value (cost $104,179,923, $42,203,988, 
                       
$60,027,197 and $49,289,899, respectively) 
  $ 104,622,681     $ 41,885,118     $ 61,453,112     $ 48,566,659  
Cash 
    81,106       582,507       257,452        
Receivables: 
                               
Interest 
    1,739,496       729,861       904,147       801,806  
Investments sold 
    145,000             120,000       2,050,353  
Deferred offering costs 
    942,362       355,498       423,856       532,201  
Other assets 
    33,085       5,116       31,886       14,288  
Total assets 
    107,563,730       43,558,100       63,190,453       51,965,307  
Liabilities 
                               
Cash overdraft 
                      583,922  
Floating rate obligations 
    2,450,000       1,050,000       1,500,000       2,225,000  
Payables: 
                               
Common share dividends 
    288,515       131,457       168,894       139,206  
Interest 
    82,302       31,897       48,760       31,290  
Investment purchased 
                      291,936  
Offering costs 
    409,467       113,514       181,007       169,198  
MuniFund Term Preferred (MTP) shares, at liquidation value 
    36,645,000       14,725,000       22,075,000       17,880,000  
Accrued expenses: 
                               
Management fees 
    55,364       22,373       32,531       25,773  
Other 
    28,523       18,980       25,837       24,075  
Total liabilities 
    39,959,171       16,093,221       24,032,029       21,370,400  
Net assets applicable to Common shares 
  $ 67,604,559     $ 27,464,879     $ 39,158,424     $ 30,594,907  
Common shares outstanding 
    4,774,788       1,965,699       2,727,011       2,318,947  
Net asset value per Common share outstanding (net assets applicable 
                               
to Common shares, divided by Common shares outstanding) 
  $ 14.16     $ 13.97     $ 14.36     $ 13.19  
Net assets applicable to Common shares consist of: 
                               
Common shares, $.01 par value per share 
  $ 47,748     $ 19,657     $ 27,270     $ 23,189  
Paid-in surplus 
    66,115,655       27,765,774       38,282,317       31,031,377  
Undistributed (Over-distribution of) net investment income 
    888,826       136,669       131,520       477,654  
Accumulated net realized gain (loss) 
    109,572       (138,351 )      (708,598 )      (214,073 ) 
Net unrealized appreciation (depreciation) 
    442,758       (318,870 )      1,425,915       (723,240 ) 
Net assets applicable to Common shares 
  $ 67,604,559     $ 27,464,879     $ 39,158,424     $ 30,594,907  
Authorized shares: 
                               
Common 
 
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
Auction Rate Preferred Shares (ARPS) 
 
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
MTP 
 
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
 
 
 
See accompanying notes to financial statements.
 
60 Nuveen Investments
 
 
 
 

 

                         
  Statement of 
                       
Operations 
                       
         
Year Ended May 31, 2011
       
                    
   
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
   
Premium
   
Dividend
   
Dividend
   
Dividend
 
   
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
   
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Investment Income 
  $ 5,458,758     $ 2,885,949     $ 2,516,141     $ 4,548,834  
Expenses 
                               
Management fees 
    734,234       381,000       334,430       609,760  
Auction fees 
    3,424                    
Dividend disbursing agent fees 
    12,521       10,000              
Shareholders’ servicing agent fees and expenses 
    35,003       21,594       21,529       24,284  
Interest expense and amortization of offering costs 
    915,912       674,638       567,865       1,039,257  
Custodian’s fees and expenses 
    26,257       17,831       16,233       24,241  
Trustees’ fees and expenses 
    3,180       1,664       1,466       2,506  
Professional fees 
    21,174       19,644       19,465       20,540  
Shareholders’ reports — printing and mailing expenses 
    31,276       17,916       15,775       28,989  
Stock exchange listing fees 
    34,702       17,306       17,269       18,920  
Other expenses 
    24,337       15,933       15,861       23,714  
Total expenses before custodian fee credit and expense reimbursement 
    1,842,020       1,177,526       1,009,893       1,792,211  
Custodian fee credit 
    (4,383 )      (1,739 )      (1,690 )      (3,124 ) 
Expense reimbursement 
          (20,437 )      (48,586 )      (25,861 ) 
Net expenses 
    1,837,637       1,155,350       959,617       1,763,226  
Net investment income (loss) 
    3,621,121       1,730,599       1,556,524       2,785,608  
Realized and Unrealized Gain (Loss) 
                               
Net realized gain (loss) from investments 
    109,734       99,244       39,359       95  
Change in net unrealized appreciation (depreciation) of investments 
    (1,715,466 )      (1,068,421 )      (1,129,788 )      (1,241,126 ) 
Net realized and unrealized gain (loss) 
    (1,605,732 )      (969,177 )      (1,090,429 )      (1,241,031 ) 
Distributions to Auction Rate Preferred Shareholders 
                               
From net investment income 
    (39,361 )                   
Decrease in net assets applicable to Common shares from distributions 
                               
to Auction Rate Preferred shareholders 
    (39,361 )                   
Net increase (decrease) in net assets applicable to Common shares 
                               
from operations 
  $ 1,976,028     $ 761,422     $ 466,095     $ 1,544,577  
 
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 61
 
 
 
 

 

                         
Statement of 
                       
Operations (continued) 
                       
               
Insured
       
   
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
   
Premium
   
Dividend
   
Tax-Free
   
Premium
 
   
Income
   
Advantage
   
Advantage
   
Income
 
   
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
Investment Income 
  $ 5,289,329     $ 2,178,339     $ 2,917,093     $ 2,520,462  
Expenses 
                               
Management fees 
    650,895       267,051       381,111       301,612  
Auction fees 
    12,042                   10,912  
Dividend disbursing agent fees 
    10,822       10,000             12,521  
Shareholders’ servicing agent fees and expenses 
    31,167       22,229       23,647       14,366  
Interest expense and amortization of offering costs 
    869,051       482,152       707,471       284,815  
Custodian’s fees and expenses 
    26,327       14,294       14,957       14,394  
Trustees’ fees and expenses 
    2,958       1,130       1,635       1,382  
Professional fees 
    20,966       19,259       19,742       19,650  
Shareholders’ reports — printing and mailing expenses 
    30,729       15,655       19,252       21,199  
Stock exchange listing fees 
    20,718       273       18,692       7,719  
Other expenses 
    24,818       15,738       15,533       18,756  
Total expenses before custodian fee credit and expense reimbursement 
    1,700,493       847,781       1,202,040       707,326  
Custodian fee credit 
    (293 )      (993 )      (1,110 )      (986 ) 
Expense reimbursement 
          (14,338 )      (24,400 )       
Net expenses 
    1,700,200       832,450       1,176,530       706,340  
Net investment income (loss) 
    3,589,129       1,345,889       1,740,563       1,814,122  
Realized and Unrealized Gain (Loss) 
                               
Net realized gain (loss) from investments 
    102,652       (158,330 )      (4,031 )      137,346  
Change in net unrealized appreciation (depreciation) of investments 
    (1,273,832 )      (356,215 )      (628,384 )      (933,927 ) 
Net realized and unrealized gain (loss) 
    (1,171,180 )      (514,545 )      (632,415 )      (796,581 ) 
Distributions to Auction Rate Preferred Shareholders 
                               
From net investment income 
    (42,554 )                  (33,471 ) 
Decrease in net assets applicable to Common shares from distributions 
                               
to Auction Rate Preferred shareholders 
    (42,554 )                  (33,471 ) 
Net increase (decrease) in net assets applicable to Common shares 
                               
from operations 
  $ 2,375,395     $ 831,344     $ 1,108,148     $ 984,070  
 
 
 
See accompanying notes to financial statements.
 
62 Nuveen Investments
 
 
 
 

 

                                     
Statement of
                               
Changes in Net Assets
             
   
Connecticut
   
Connecticut
   
Connecticut
 
   
Premium Income (NTC)
   
Dividend Advantage (NFC)
   
Dividend Advantage 2 (NGK)
 
   
Year
   
Year
   
Year
   
Year
   
Year
   
Year
 
   
Ended
   
Ended
   
Ended
   
Ended
   
Ended
   
Ended
 
   
5/31/11
   
5/31/10
   
5/31/11
   
5/31/10
   
5/31/11
   
5/31/10
 
Operations 
                                   
Net investment income (loss) 
  $ 3,621,121     $ 4,267,900     $ 1,730,599     $ 2,204,210     $ 1,556,524     $ 2,000,123  
Net realized gain (loss) from investments 
    109,734       60,723       99,244       10,610       39,359       12,514  
Change in net unrealized appreciation 
                                               
(depreciation) of investments 
    (1,715,466 )      4,700,543       (1,068,421 )      1,900,772       (1,129,788 )      1,510,001  
Distributions to Auction Rate 
                                               
Preferred Shareholders: 
                                               
From net investment income 
    (39,361 )      (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 
    1,976,028       8,904,818       761,422       4,048,987       466,095       3,462,873  
Distributions to Common Shareholders 
                                               
From net investment income 
    (3,798,441 )      (3,693,594 )      (1,985,824 )      (1,898,150 )      (1,837,401 )      (1,752,532 ) 
From accumulated net realized gains 
          (21,997 )                         
Decrease in net assets applicable to 
                                               
Common shares from distributions 
                                               
to Common shareholders 
    (3,798,441 )      (3,715,591 )      (1,985,824 )      (1,898,150 )      (1,837,401 )      (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 (decrease) 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 
    (1,822,413 )      5,204,575       (1,197,871 )      2,203,620       (1,354,839 )      1,741,142  
Net assets applicable to Common 
                                               
shares at the beginning of year 
    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 year 
  $ 76,283,516     $ 78,105,929     $ 37,334,484     $ 38,532,355     $ 33,478,213     $ 34,833,052  
Undistributed (Over-distribution of) 
                                               
net investment income at the 
                                               
end of year 
  $ 909,994     $ 967,954     $ 302,881     $ 451,596     $ 236,533     $ 416,725  
 
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 63
 
 
 
 

 

                                     
Statement of 
                                   
Changes in Net Assets (continued)
                         
   
Connecticut
   
Massachusetts
   
Massachusetts
 
   
Dividend Advantage 3 (NGO)
   
Premium Income (NMT)
   
Dividend Advantage (NMB)
 
   
Year
   
Year
   
Year
   
Year
   
Year
   
Year
 
   
Ended
   
Ended
   
Ended
   
Ended
   
Ended
   
Ended
 
   
5/31/11
   
5/31/10
   
5/31/11
   
5/31/10
   
5/31/11
   
5/31/10
 
Operations 
                                   
Net investment income (loss) 
  $ 2,785,608     $ 3,346,745     $ 3,589,129     $ 4,145,590     $ 1,345,889     $ 1,739,913  
Net realized gain (loss) from investments 
    95       1,887       102,652       209,192       (158,330 )      60,102  
Change in net unrealized appreciation 
                                               
(depreciation) of investments 
    (1,241,126 )      3,514,247       (1,273,832 )      5,077,663       (356,215 )      1,496,853  
Distributions to Auction Rate 
                                               
Preferred Shareholders: 
                                               
From net investment income 
          (92,898 )      (42,554 )      (122,559 )            (45,739 ) 
From accumulated net realized gains 
                                  (13,657 ) 
Net increase (decrease) in net assets 
                                               
applicable to Common shares 
                                               
from operations 
    1,544,577       6,769,981       2,375,395       9,309,886       831,344       3,237,472  
Distributions to Common Shareholders 
                                               
From net investment income 
    (3,144,336 )      (2,973,311 )      (3,723,001 )      (3,645,432 )      (1,627,118 )      (1,507,494 ) 
From accumulated net realized gains 
                (179,532 )                  (55,550 ) 
Decrease in net assets applicable to 
                                               
Common shares from distributions 
                                               
to Common shareholders 
    (3,144,336 )      (2,973,311 )      (3,902,533 )      (3,645,432 )      (1,627,118 )      (1,563,044 ) 
Capital Share Transactions 
                                               
Net proceeds from Common shares 
                                               
issued to shareholders due to 
                                               
reinvestment of distributions 
          17,921       100,786       45,881       25,160       31,080  
Net increase (decrease) in net assets 
                                               
applicable to Common shares 
                                               
from capital share transactions 
          17,921       100,786       45,881       25,160       31,080  
Net increase (decrease) in net assets 
                                               
applicable to Common shares 
    (1,599,759 )      3,814,591       (1,426,352 )      5,710,335       (770,614 )      1,705,508  
Net assets applicable to Common 
                                               
shares at the beginning of year 
    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 year 
  $ 61,459,273     $ 63,059,032     $ 67,604,559     $ 69,030,911     $ 27,464,879     $ 28,235,493  
Undistributed (Over-distribution of) 
                                               
net investment income at the 
                                               
end of year 
  $ 306,440     $ 516,876     $ 888,826     $ 914,982     $ 136,669     $ 342,155  
 
 
 
See accompanying notes to financial statements.
 
64 Nuveen Investments
 
 
 
 

 

                         
   
Insured Massachusetts
   
Missouri
 
   
Tax-Free Advantage (NGX)
   
Premium Income (NOM)
 
   
Year
   
Year
   
Year
   
Year
 
   
Ended
   
Ended
   
Ended
   
Ended
 
   
5/31/11
   
5/31/10
   
5/31/11
   
5/31/10
 
Operations 
                       
Net investment income (loss) 
  $ 1,740,563     $ 2,227,100     $ 1,814,122     $ 1,926,445  
Net realized gain (loss) from investments 
    (4,031 )      (18,813 )      137,346       12,118  
Change in net unrealized appreciation 
                               
(depreciation) of investments 
    (628,384 )      2,157,735       (933,927 )      2,255,157  
Distributions to Auction Rate 
                               
Preferred Shareholders: 
                               
From net investment income 
          (68,205 )      (33,471 )      (67,634 ) 
From accumulated net realized gains 
                       
Net increase (decrease) in net assets 
                               
applicable to Common shares 
                               
from operations 
    1,108,148       4,297,817       984,070       4,126,086  
Distributions to Common Shareholders 
                               
From net investment income 
    (2,061,418 )      (1,982,428 )      (1,806,982 )      (1,571,225 ) 
From accumulated net realized gains 
                       
Decrease in net assets applicable to 
                               
Common shares from distributions 
                               
to Common shareholders 
    (2,061,418 )      (1,982,428 )      (1,806,982 )      (1,571,225 ) 
Capital Share Transactions 
                               
Net proceeds from Common shares 
                               
issued to shareholders due to 
                               
reinvestment of distributions 
    17,059       24,769       70,115       58,988  
Net increase (decrease) in net assets 
                               
applicable to Common shares 
                               
from capital share transactions 
    17,059       24,769       70,115       58,988  
Net increase (decrease) in net assets 
                               
applicable to Common shares 
    (936,211 )      2,340,158       (752,797 )      2,613,849  
Net assets applicable to Common 
                               
shares at the beginning of year 
    40,094,635       37,754,477       31,347,704       28,733,855  
Net assets applicable to Common 
                               
shares at the end of year 
  $ 39,158,424     $ 40,094,635     $ 30,594,907     $ 31,347,704  
Undistributed (Over-distribution of) 
                               
net investment income at the 
                               
end of year 
  $ 131,520     $ 340,463     $ 477,654     $ 440,220  
 
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 65
 
 
 
 

 

                         
 Statement of 
                       
Cash Flows 
                       
         
Year Ended May 31, 2011
       
                   
   
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
   
Premium
   
Dividend
   
Dividend
   
Dividend
 
   
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
   
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Cash Flows from Operating Activities: 
                       
Net Increase (Decrease) in Net Assets Applicable to Common Shares 
                       
from Operations 
  $ 1,976,028     $ 761,422     $ 466,095     $ 1,544,577  
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 
    (11,028,120 )      (7,833,634 )      (5,967,845 )      (7,765,002 ) 
Proceeds from sales and maturities of investments 
    10,458,000       9,513,500       6,490,950       8,992,500  
Amortization (Accretion) of premiums and discounts, net 
    269,786       148,535       107,629       212,896  
(Increase) Decrease in: 
                               
   Receivable for interest 
    (49,553 )      (66,625 )      (38,431 )      (41,609 ) 
   Receivable for investments sold 
    400,000       250,000              
   Other assets 
    (14,788 )      25       13       39  
Increase (Decrease) in: 
                               
   Payable for Auction Rate Preferred share dividends 
    (1,052 )                   
   Payable for interest 
    37,789       (8 )      (6 )      14  
   Payable for investment purchased 
          43,331              
   Accrued management fees 
    (674 )      1,503       1,227       5,127  
   Accrued other expenses 
    (25,392 )      (1,217 )      (1,099 )      (5,745 ) 
Net realized (gain) loss from investments 
    (109,734 )      (99,244 )      (39,359 )      (95 ) 
Change in net unrealized (appreciation) depreciation of investments 
    1,715,466       1,068,421       1,129,788       1,241,126  
Taxes paid on undistributed capital gains 
    (19,731 )      (4,503 )      (716 )       
Net cash provided by (used in) operating activities 
    3,608,025       3,781,506       2,148,246       4,183,828  
Cash Flows from Financing Activities: 
                               
(Increase) Decrease in deferred offering costs 
    (414,104 )      113,223       100,685       148,293  
Increase (Decrease) in: 
                               
   Cash overdraft balance 
    (138,105 )      (10,549 )      (288,379 )      (36,404 ) 
   Payable for offering costs 
    108,675       (46,335 )      (43,912 )      (47,339 ) 
   MTP shares, at liquidation value 
    17,780,000                    
   ARPS, at liquidation value 
    (15,725,000 )                   
Cash distributions paid to Common shareholders 
    (3,796,498 )      (1,960,971 )      (1,820,014 )      (3,148,493 ) 
Net cash provided by (used in) financing activities 
    (2,185,032 )      (1,904,632 )      (2,051,620 )      (3,083,943 ) 
Net Increase (Decrease) in Cash 
    1,422,993       1,876,874       96,626       1,099,885  
Cash at the beginning of year 
                       
Cash at the End of Year 
  $ 1,422,993     $ 1,876,874     $ 96,626     $ 1,099,885  
Supplemental Disclosure of Cash Flow Information 
                               
Non-cash financing activities not included herein consist of reinvestments of Common share distributions as follows:
                 
   
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
   
Premium
   
Dividend
   
Dividend
   
Dividend
 
   
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
   
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
    $     $ 26,531     $ 16,467     $  
Cash paid for interest (excluding amortization of offering costs) was as follows: 
                               
   
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
   
Premium
   
Dividend
   
Dividend
   
Dividend
 
   
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
   
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
    $ 716,856     $ 561,423     $ 467,186     $ 890,951  
 
 
 
See accompanying notes to financial statements.
 
66 Nuveen Investments
 
 
 
 

 

                         
               
Insured
       
   
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
   
Premium
   
Dividend
   
Tax-Free
   
Premium
 
   
Income
   
Advantage
   
Advantage
   
Income
 
   
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
Cash Flows from Operating Activities: 
                       
Net Increase (Decrease) in Net Assets Applicable to Common Shares 
                       
from Operations 
  $ 2,375,395     $ 831,344     $ 1,108,148     $ 984,070  
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 
    (8,651,066 )      (6,639,735 )      (2,534,412 )      (5,579,964 ) 
Proceeds from sales and maturities of investments 
    6,717,581       7,190,824       2,158,010       5,290,803  
Amortization (Accretion) of premiums and discounts, net 
    272,570       79,272       149,642       103,468  
(Increase) Decrease in: 
                               
   Receivable for interest 
    (13,136 )      (2,932 )      23,465       16,514  
   Receivable for investments sold 
    (20,000 )            (10,000 )      (1,100,353 ) 
   Other assets 
    (15,627 )      (122 )      26       (6,419 ) 
Increase (Decrease) in: 
                               
   Payable for Auction Rate Preferred share dividends 
    (1,141 )                  (749 ) 
   Payable for interest 
    37,672       (7 )      11       31,290  
   Payable for investment purchased 
                      (1,695,344 ) 
   Accrued management fees 
    (409 )      1,066       3,265       314  
   Accrued other expenses 
    (21,224 )      (6,672 )      (4,396 )      (2,247 ) 
Net realized (gain) loss from investments 
    (102,652 )      158,330       4,031       (137,346 ) 
Change in net unrealized (appreciation) depreciation of investments 
    1,273,832       356,215       628,384       933,927  
Taxes paid on undistributed capital gains 
    (3,196 )      (19,977 )      (152 )       
Net cash provided by (used in) operating activities 
    1,848,599       1,947,606       1,526,022       (1,162,036 ) 
Cash Flows from Financing Activities: 
                               
(Increase) Decrease in deferred offering costs 
    (400,775 )      92,615       112,927       (532,201 ) 
Increase (Decrease) in: 
                               
   Cash overdraft balance 
                      583,922  
   Payable for offering costs 
    145,192       (105,802 )      (30,568 )      169,198  
   MTP shares, at liquidation value 
    16,435,000                   17,880,000  
   ARPS, at liquidation value 
    (14,400,000 )                  (16,000,000 ) 
Cash distributions paid to Common shareholders 
    (3,797,562 )      (1,601,249 )      (2,042,199 )      (1,723,271 ) 
Net cash provided by (used in) financing activities 
    (2,018,145 )      (1,614,436 )      (1,959,840 )      377,648  
Net Increase (Decrease) in Cash 
    (169,546 )      333,170       (433,818 )      (784,388 ) 
Cash at the beginning of year 
    250,652       249,337       691,270       784,388  
Cash at the End of Year 
  $ 81,106     $ 582,507     $ 257,452     $  
Supplemental Disclosure of Cash Flow Information 
                               
Non-cash financing activities not included herein consist of reinvestments of Common share distributions as follows:
                 
                   
Insured
         
   
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
   
Premium
   
Dividend
   
Tax-Free
   
Premium
 
   
Income
   
Advantage
   
Advantage
   
Income
 
   
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
    $ 100,786     $ 25,160     $ 17,059     $ 70,115  
Cash paid for interest (excluding amortization of offering costs) was as follows: 
                               
                   
Insured
         
   
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
   
Premium
   
Dividend
   
Tax-Free
   
Premium
 
   
Income
   
Advantage
   
Advantage
   
Income
 
   
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
    $ 676,474     $ 389,544     $ 594,532     $ 188,657  
 
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 67
 
 
 
 

 

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

 

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

       
Connecticut Premium Income (NTC) 
     
Year Ended 5/31: 
     
2011 
    1.20 % 
2010 
    .37  
2009 
    .11  
2008 
    .03  
2007 
     
 
Connecticut Dividend Advantage (NFC) 
       
Year Ended 5/31: 
       
2011 
    1.80 % 
2010 
    .36  
2009 
    .11  
2008 
    .02  
2007 
     
 
*      Rounds to less than $.01 per share.
 
N/A Fund does not have a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.
 
Nuveen Investments 69
 
 
 
 

 

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

 

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

       
Connecticut Dividend Advantage 2 (NGK) 
     
Year Ended 5/31: 
     
2011 
    1.67 % 
2010 
    .34  
2009 
    .11  
2008 
    .03  
2007 
     
 
Connecticut Dividend Advantage 3 (NGO) 
       
Year Ended 5/31: 
       
2011 
    1.69 % 
2010 
    .57  
2009 
    .11  
2008 
    .02  
2007 
     
 
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 71
 
 
 
 

 

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

 

                                             
                       
Ratios/Supplemental Data
             
                 
Ratios to Average Net Assets
   
Ratios to Average Net Assets
       
                 
Applicable to Common Shares
   
Applicable to Common Shares
       
Total Returns
         
Before Reimbursement(c)
   
After Reimbursement(c)(d)
       
     
Based
   
Ending
                               
     
on
   
Net
                               
Based
   
Common
   
Assets
         
Net
         
Net
       
on
   
Share Net
   
Applicable
         
Investment
         
Investment
   
Portfolio
 
Market
   
Asset
   
to Common
         
Income
         
Income
   
Turnover
 
Value(b)
      Value(b)  
Shares (000)
   
Expenses(e)
   
(Loss)
   
Expenses(e)
   
(Loss)
   
Rate
 
  (3.48 )%      3.58 %    $ 67,605       2.51 %      5.30 %      N/A       N/A       6 % 
  18.77       15.03       69,031       1.60       6.21       N/A       N/A       3  
  3.54       (1.36 )      63,321       1.43       7.01       N/A       N/A       1  
  (.48 )      2.08       67,720       1.26       6.09       N/A       N/A       14  
  4.60       5.47       69,323       1.24       5.97       N/A       N/A       9  
  1.87       3.05       27,465       3.08       4.83       3.03       4.88       16  
  7.90       12.50       28,235       1.67       6.16       1.54       6.29       11  
  (.04 )      (.70 )      26,530       1.54       7.09       1.33       7.30       1  
  (5.73 )      1.55       28,135       1.32       6.11       1.05       6.39       15  
  10.04       5.14       29,072       1.33       5.84       .97       6.19       9  
 
 
(c)     
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders, where applicable; Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to ARPS and/or MTP shares, where applicable.
(d)     
After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. As of January 31, 2011, the Adviser is no longer reimbursing Massachusetts Dividend Advantage (NMB) for any fees or expenses.
(e)     
The expense ratios reflect, among other things, all interest expense and other costs related to MTP shares and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, both as described in Footnote 1 – General Information and Significant Accounting Policies, MuniFund Term Preferred Shares and Inverse Floating Rate Securities, respectively, as follows:
 
Massachusetts Premium Income (NMT)
Year Ended 5/31:
2011 
    1.28 % 
2010 
    .37  
2009 
    .09  
2008 
     
2007 
     
 
Massachusetts Dividend Advantage (NMB)
 
Year Ended 5/31: 
       
2011 
    1.75 % 
2010 
    .35  
2009 
    .10  
2008 
     
2007 
     
 
*
Rounds to less than $.01 per share. 
 
N/A 
Fund does not have a contractual reimbursement with the Adviser. 
 
 
 
See accompanying notes to financial statements.
 
Nuveen Investments 73
 
 
 
 

 

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

 

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

       
Insured Massachusetts Tax-Free Advantage (NGX)
 
Year Ended 5/31: 
     
2011 
    1.81 % 
2010 
    .57  
2009 
    .09  
2008 
     
2007 
     
 
Missouri Premium Income (NOM) 
       
Year Ended 5/31: 
       
2011 
    .93 % 
2010 
    .03  
2009 
    .13  
2008 
    .21  
2007 
    .09  
 
 
 
*                 Rounds to less than $.01 per share.
 
N/A             Fund does not have a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.
 
Nuveen Investments 75
 
 
 
 

 

 
Financial
Highlights (continued)
                                           
                                       
ARPS and
 
                                       
MTP Shares
 
   
ARPS at End of Period
         
MTP Shares at End of Period (a)
         
at End of Period
 
   
Aggregate
               
Aggregate
               
Asset Coverage
 
   
Amount
   
Liquidation
   
Asset
   
Amount
   
Liquidation
   
Asset
   
Per $1
 
   
Outstanding
   
Value
   
Coverage
   
Outstanding
   
Value
   
Coverage
   
Liquidation
 
      (000 )   
Per Share
   
Per Share
      (000 )   
Per Share
   
Per Share
   
Preference
 
Connecticut Premium Income (NTC)
                                       
Year Ended 5/31:
                                       
2011 
  $     $     $     $ 36,080     $ 10.00     $ 31.14     $  
2010 
    15,725       25,000       82,389       18,300       10.00       32.96       3.30  
2009 
    34,975       25,000       77,110                          
2008 
    38,300       25,000       74,896                          
2007 
    38,300       25,000       75,360                          
Connecticut Dividend Advantage (NFC)
                                         
Year Ended 5/31:
                                                 
2011 
                      20,470       10.00       28.24        
2010 
                      20,470       10.00       28.82        
2009 
    18,000       25,000       75,457                          
2008 
    19,500       25,000       73,556                          
2007 
    19,500       25,000       73,749                          
Connecticut Dividend Advantage 2 (NGK)
                                         
Year Ended 5/31:
                                                 
2011 
                      16,950       10.00       29.75        
2010 
                      16,950       10.00       30.55        
2009 
    16,125       25,000       76,305                          
2008 
    17,500       25,000       73,840                          
2007 
    17,500       25,000       74,094                          
 
 
(a) 
 
The Ending and Average Market Value Per Share for each Series of the Fund’s MTP Shares were as follows:
 
                               
                   
Ending
   
Average
           
Ending
   
Average
 
                   
Market Value
   
Market Value
           
Market Value
   
Market Value
 
           
Series
   
Per Share
   
Per Share
   
Series
   
Per Share
   
Per Share
 
Connecticut Premium Income (NTC)
                                                 
Year Ended 5/31:
                                                 
2011 
            2015     $ 10.07     $ 10.04       2016     $ 10.00    
$                 9.88
^^^
2010 
            2015       10.00    
10.02
^                  
2009 
                                           
2008 
                                           
2007 
                                           
Connecticut Dividend Advantage (NFC)
                                         
Year Ended 5/31:
                                                 
2011 
            2015       13.85       14.24                    
2010 
            2015       9.98    
9.95
^^                  
2009 
                                           
2008 
                                           
2007 
                                           
Connecticut Dividend Advantage 2 (NGK)
                                         
Year Ended 5/31:
                                                 
2011 
            2015       13.96       14.62                    
2010 
            2015       9.97    
9.96
^^                  
2009 
                                           
2008 
                                           
2007 
                                           
 
 
 
^
 
For the period January 19, 2010 (first issuance date of shares) through May 31, 2010.
^^
 
For the period March 31, 2010 (first issuance date of shares) through May 31, 2010.
^^^
 
For the period December 15, 2010 (first issuance date of shares) through May 31, 2011.
 
76 Nuveen Investments
 
 
 
 

 

                                           
                                       
ARPS and
 
                                       
MTP Shares
 
   
ARPS at End of Period
         
MTP Shares at End of Period (b)
   
at End of Period
 
   
Aggregate
               
Aggregate
               
Asset Coverage
 
   
Amount
   
Liquidation
   
Asset
   
Amount
   
Liquidation
   
Asset
   
Per $1
 
   
Outstanding
   
Value
   
Coverage
   
Outstanding
   
Value
   
Coverage
   
Liquidation
 
      (000 )   
Per Share
   
Per Share
      (000 )   
Per Share
   
Per Share
   
Preference
 
Connecticut Dividend Advantage 3 (NGO)
                                 
Year Ended 5/31:
                                       
2011 
  $     $     $     $ 32,000     $ 10.00     $ 29.21     $  
2010 
                      32,000       10.00       29.71        
2009 
    30,025       25,000       74,329                          
2008 
    32,000       25,000       73,028                          
2007 
    32,000       25,000       73,691                          
Massachusetts Premium Income (NMT)
                                                 
Year Ended 5/31:
                                                 
2011 
                      36,645       10.00       28.45        
2010 
    14,400       25,000       74,863       20,210       10.00       29.95       2.99  
2009 
    34,000       25,000       71,559                          
2008 
    34,000       25,000       74,794                          
2007 
    34,000       25,000       75,973                          
Massachusetts Dividend Advantage (NMB)
                                         
Year Ended 5/31:
                                                 
2011 
                      14,725       10.00       28.65        
2010 
                      14,725       10.00       29.18        
2009 
    14,250       25,000       71,544                          
2008 
    15,000       25,000       71,892                            
2007 
    15,000       25,000       73,453                          
 
(b)    The Ending and Average Market Value Per Share for each Series of the Fund’s MTP Shares were as follows:
 
                       
         
Ending
   
Average
         
Ending
   
Average
 
         
Market Value
   
Market Value
         
Market Value
   
Market Value
 
   
Series
   
Per Share
   
Per Share
   
Series
   
Per Share
   
Per Share
 
Connecticut Dividend Advantage 3 (NGO)
                               
Year Ended 5/31: 
                                   
2011 
 
2015
    $ 12.89     $ 13.47           $     $  
2010 
 
2015
      10.00       9.99 Ω                   
2009 
                                   
2008 
                                   
2007 
                                   
Massachusetts Premium Income (NMT) 
                                               
Year Ended 5/31: 
                                               
2011 
    2015       10.02       10.02       2016       10.00    
9.97
 ΩΩΩΩ
2010 
    2015       10.00    
10.00
 ΩΩ              
2009 
                                   
2008 
                                   
2007 
                                   
Massachusetts Dividend Advantage (NMB)
                                         
Year Ended 5/31: 
                                               
2011 
    2015       13.53       14.03                    
2010 
    2015       9.98    
9.95
 ΩΩΩ              
2009 
                                   
2008 
                                   
2007 
                                   
 
 
 
Ω
 
For the period February 10, 2010 (first issuance date of shares) through May 31, 2010.
ΩΩ
 
For the period January 21, 2010 (first issuance date of shares) through May 31, 2010.
ΩΩΩ
 
For the period March 23, 2010 (first issuance date of shares) through May 31, 2010.
ΩΩΩΩ
 
For the period January 20, 2011 (first issuance date of shares) through May 31, 2011.
 
See accompanying notes to financial statements.
 
Nuveen Investments 77
 
 
 
 

 

 
Financial
Highlights (continued)
                                           
                                       
ARPS and
 
                                       
MTP Shares
 
   
ARPS at End of Period
         
MTP Shares at End of Period (a)
         
at End of Period
 
   
Aggregate
               
Aggregate
               
Asset Coverage
 
   
Amount
   
Liquidation
   
Asset
   
Amount
   
Liquidation
   
Asset
   
Per $1
 
   
Outstanding
   
Value
   
Coverage
   
Outstanding
   
Value
   
Coverage
   
Liquidation
 
      (000 )   
Per Share
   
Per Share
      (000 )   
Per Share
   
Per Share
   
Preference
 
Insured Massachusetts Tax-Free Advantage (NGX)
                                 
Year Ended 5/31:
                                       
2011 
  $     $     $     $ 22,075     $ 10.00     $ 27.74     $  
2010 
                      22,075       10.00       28.16        
2009 
    20,500       25,000       71,042                          
2008 
    20,500       25,000       72,407                          
2007 
    20,500       25,000       73,120                          
Missouri Premium Income (NOM)
                                                 
Year Ended 5/31:
                                                 
2011 
                      17,880       10.00       27.11        
2010 
    16,000       25,000       73,981                          
2009 
    16,000       25,000       69,897                          
2008 
    16,000       25,000       73,703                          
2007 
    16,000       25,000       76,291                          
 
(a) 
 
The Ending and Average Market Value Per Share for each Series of the Fund’s MTP Shares were as follows:
 
                               
                   
Ending
   
Average
           
Ending
   
Average
 
                   
Market Value
   
Market Value
           
Market Value
   
Market Value
 
           
Series
   
Per Share
   
Per Share
   
Series
   
Per Share
   
Per Share
 
Insured Massachusetts Tax-Free Advantage (NGX)
                                         
Year Ended 5/31:
                                                 
2011 
            2015     $ 13.62     $ 14.48           $     $  
2010 
            2015       10.00    
9.98
^                  
2009 
                                           
2008 
                                           
2007 
                                           
Missouri Premium Income (NOM)
                                                 
Year Ended 5/31:
                                                 
2011 
            2015       13.88    
15.41
^^                  
2010 
                                           
2009 
                                           
2008 
                                           
2007 
                                           
 
^
 
For the period February 9, 2010 (first issuance date of shares) through May 31, 2010.
^^
 
For the period November 9, 2010 (first issuance date of shares) through May 31, 2011.
 
See accompanying notes to financial statements.
 
78 Nuveen Investments
 
 
 
 

 

 
Notes to
Financial Statements
 
1. General Information and Significant Accounting Policies
 
General Information
 
The state funds covered in this report and their corresponding Common share stock exchange symbols are Nuveen Connecticut Premium Income Municipal Fund (NTC), Nuveen Connecticut Dividend Advantage Municipal Fund (NFC), Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK), Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO), Nuveen Massachusetts Premium Income Municipal Fund (NMT), Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB), Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) and Nuveen Missouri Premium Income Municipal Fund (NOM) (each a “Fund” and collectively, the “Funds”). Common shares of Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are traded on the New York Stock Exchange (“NYSE”) while Common shares of Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB), Insured Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM) are traded on the NYSE Amex. The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end, registered investment companies.
 
Effective January 1, 2011, the Funds’ adviser, Nuveen Asset Management, a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”), changed its name to Nuveen Fund Advisors, Inc. (the “Adviser”). Concurrently, the Adviser formed a wholly-owned subsidiary, Nuveen Asset Management, LLC (the “Sub-Adviser”), to house its portfolio management capabilities and to serve as the Funds’ sub-adviser, and the Funds’ portfolio managers became employees of the Sub-Adviser. This allocation of responsibilities between the Adviser and the Sub-Adviser affects each of the Funds. The Adviser will compensate the Sub-Adviser for the portfolio management services it provides to the Funds from each Fund’s management fee.
 
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.
 
Significant Accounting Policies
 
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).
 
Investment Valuation
 
Prices of municipal bonds are provided by a pricing service approved by the Funds’ Board of Trustees. These securities are generally classified as Level 2 for fair value measurement purposes. When price quotes are not readily available (which is usually the case for municipal bonds) the pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer, or market activity provided by Adviser. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.
 
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Funds’ Board of Trustees or its designee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s net asset value (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Funds’ Board of Trustees or its designee.
 
Nuveen Investments 79
 
 
 
 

 

 
Notes to
Financial Statements (continued)
 
Refer to Footnote 2 – Fair Value Measurements for further details on the leveling of securities held by the Funds as of the end of the reporting period.
 
Investment Transactions
 
Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At May 31, 2011, Missouri Premium Income (NOM) had outstanding when-issued/delayed delivery purchase commitments of $291,936. There were no such outstanding purchase commitments in any of the other Funds.
 
Investment Income
 
Investment income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also reflects paydown gains and losses, if any.
 
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 net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
 
Distributions to Common shareholders of net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
 
Auction Rate Preferred Shares
 
Each Fund is authorized to issue Auction Rate Preferred Shares (“ARPS”). During the fiscal year ended May 31, 2011, the Funds had outstanding ARPS, $25,000 stated value per share, which approximates market value, as a means of effecting financial leverage. Each Fund’s ARPS were issued in one or more Series. The dividend rate paid by the Funds on each Series was determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and was payable at the end of each rate period.
 
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 May 31, 2011, each Fund redeemed all of their outstanding ARPS, at liquidation value, as follows:
 
         
 
Connecticut 
Connecticut 
Connecticut 
Connecticut 
 
Premium 
Dividend 
Dividend 
Dividend 
 
Income 
Advantage 
Advantage 2 
Advantage 3 
 
(NTC) 
(NFC) 
(NGK) 
(NGO) 
ARPS redeemed, at liquidation value 
$38,300,000 
$19,500,000 
$17,500,000 
$32,000,000 
 
 
 
80 Nuveen Investments
 
 
 

 

         
     
Insured 
 
 
Massachusetts 
Massachusetts 
Massachusetts 
Missouri 
 
Premium 
Dividend 
Tax-Free 
Premium 
 
Income 
Advantage 
Advantage 
Income 
 
(NMT) 
(NMB) 
(NGX) 
(NOM) 
ARPS redeemed, at liquidation value 
$34,000,000 
$15,000,000 
$20,500,000 
$16,000,000 
 
 
 
During the current reporting period, Nuveen Investments, LLC, known as Nuveen Securities, LLC, effective April 30, 2011, (“Nuveen Securities”) entered into a settlement with the Financial Industry Regulatory Authority (“FINRA”) with respect to certain allegations regarding Nuveen-sponsored closed-end fund ARPS marketing brochures. As part of this settlement, Nuveen Securities neither admitted to nor denied FINRA’s allegations. Nuveen Securities is the broker-dealer subsidiary of Nuveen.
 
The settlement with FINRA concludes an investigation that followed the widespread failure of auctions for ARPS and other auction rate securities, which generally began in mid-February 2008. In the settlement, FINRA alleged that certain marketing materials provided by Nuveen Securities were false and misleading. Nuveen Securities agreed to a censure and the payment of a $3 million fine.
 
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 may be issued in more than 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 May 31, 2011, the number of MTP Shares outstanding, annual interest rate and NYSE “ticker” symbol for each Fund’s series of MTP Shares are as follows:
                                 
   
Connecticut Premium Income (NTC)
 
Connecticut Dividend Advantage (NFC)
 
         
Annual
           
Annual
       
   
Shares
   
Interest
 
NYSE 
 
Shares
   
Interest
   
NYSE
 
   
Outstanding
   
Rate
 
Ticker 
 
Outstanding
   
Rate
   
Ticker
 
Series 
                               
   2015 
    1,830,000       2.65 % 
NTC Pr C 
    2,047,000       2.60 %   
NFC Pr C
 
   2016 
    1,778,000       2.55  
NTC Pr D 
                 
           
   
Connecticut Dividend Advantage 2 (NGK)
 
Connecticut Dividend Advantage 3 (NGO)
 
           
Annual
             
Annual
         
   
Shares
   
Interest
 
NYSE 
 
Shares
   
Interest
   
NYSE
 
   
Outstanding
   
Rate
 
Ticker 
 
Outstanding
   
Rate
   
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)
 
           
Annual
             
Annual
         
   
Shares
   
Interest
 
NYSE 
 
Shares
   
Interest
   
NYSE
 
   
Outstanding
   
Rate
 
Ticker 
 
Outstanding
   
Rate
   
Ticker
 
Series 
                                         
   2015 
    2,021,000       2.65 % 
NMT Pr C 
    1,472,500       2.60 %   
NMB Pr C
 
   2016 
    1,643,500       2.75  
NMT Pr D 
                 
           
   
Insured Massachusetts Tax-Free Advantage (NGX)
 
Missouri Premium Income (NOM)
 
           
Annual
             
Annual
         
   
Shares
   
Interest
 
NYSE 
 
Shares
   
Interest
   
NYSE
 
   
Outstanding
   
Rate
 
Ticker 
 
Outstanding
   
Rate
   
Ticker
 
Series 2015 
    2,207,500       2.65 % 
NGX Pr C 
    1,788,000       2.10 %   
NOM Pr C
 
 
 
 
Nuveen Investments 81
 
 
 

 

 
Notes to
Financial Statements (continued)
 
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 series of MTP Shares are as follows:
           
 
Connecticut 
Connecticut 
Connecticut 
Connecticut 
Connecticut 
 
Premium 
Premium 
Dividend 
Dividend 
Dividend 
 
Income 
Income 
Advantage 
Advantage 2 
Advantage 3 
 
(NTC) 
(NTC) 
(NFC) 
(NGK) 
(NGO) 
 
Series 2015 
Series 2016 
Series 2015 
Series 2015 
Series 2015 
Term Redemption Date 
February 1, 2015 
January 1, 2016 
April 1, 2015 
April 1, 2015 
March 1, 2015 
Optional Redemption Date 
February 1, 2011 
January 1, 2012 
April 1, 2011 
April 1, 2011 
March 1, 2011 
Premium Expiration Date 
January 31, 2012 
December 31, 2012 
March 31, 2012 
March 31, 2012 
February 29, 2012 
 
       
Insured 
 
 
Massachusetts 
Massachusetts 
Massachusetts 
Massachusetts 
Missouri 
 
Premium 
Premium 
Dividend 
Tax-Free 
Premium 
 
Income 
Income 
Advantage 
Advantage 
Income 
 
(NMT) 
(NMT) 
(NMB) 
(NGX) 
(NOM) 
 
Series 2015 
Series 2016 
Series 2015 
Series 2015 
Series 2015 
Term Redemption Date 
February 1, 2015 
February 1, 2016 
April 1, 2015 
March 1, 2015 
December 1, 2015 
Optional Redemption Date 
February 1, 2011 
February 1, 2012 
April 1, 2011 
March 1, 2011 
December 1, 2011 
Premium Expiration Date 
January 31, 2012 
January 31, 2013 
March 31, 2012 
February 29, 2012 
November 30, 2012 
 
 
                       
The average liquidation value of all MTP Shares outstanding for each Fund during the fiscal year ended May 31, 2011, was as follows:
       
 
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
 
Premium
   
Dividend
   
Dividend
   
Dividend
 
 
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
 
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Average liquidation value of MTP Shares outstanding 
$ 26,450,773     $ 20,470,000     $ 16,950,000     $ 32,000,000  
 
                 
Insured
         
 
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
 
Premium
   
Dividend
   
Tax-Free
   
Premium
 
 
Income
   
Advantage
   
Advantage
   
Income
 
 
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
*
Average liquidation value of MTP Shares outstanding 
$ 26,096,082     $ 14,725,000     $ 22,075,000     $ 17,816,275  
* For the period November 9, 2010 (first issuance date of shares) through May 31, 2011. 
                             
 
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 fiscal year ended May 31, 2011, the net amounts earned by Nuveen for each Fund were as follows:
                       
 
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
 
Premium
   
Dividend
   
Dividend
   
Dividend
 
 
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
 
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Net amounts earned by Nuveen 
$     $     $     $  
 
                 
Insured
         
 
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
 
Premium
   
Dividend
   
Tax-Free
   
Premium
 
 
Income
   
Advantage
   
Advantage
   
Income
 
 
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
Net amounts earned by Nuveen 
$     $     $     $ 1,131  
 
 
82 Nuveen Investments
 
 
 

 
 
Insurance
 
Since 2007, the financial status of most major municipal bond insurers has deteriorated substantially, and some insurers have gone out of business, rendering worthless the insurance policies they had written. Under normal circumstances, Insured Massachusetts Tax-Free Advantage (NGX) invests at least 80% of its managed assets (as defined in Footnote 7 – Management Fees and Other Transactions with Affiliates) in municipal securities that are covered by insurance guaranteeing the timely payment of principal and interest. In addition, the municipal securities in which Insured Massachusetts Tax-Free Advantage (NGX) invests will be investment grade at the time of purchase (including (i) bonds insured by investment grade insurers or are rated investment grade; (ii) unrated bonds that are judged to be investment grade by the Adviser; and (iii) escrowed bonds). Ratings below BBB by one or more national rating agencies are considered to be below investment grade.
 
Each insured municipal security is covered by Original Issue Insurance, Secondary Market Insurance or Portfolio Insurance. Assuming that the insurer remains creditworthy, the insurance feature of a municipal security guarantees the full payment of principal and interest when due through the life of an insured obligation. Such insurance does not guarantee the market value of the insured obligation or the value of the Fund’s Common shares. Original Issue Insurance and Secondary Market Insurance remain in effect as long as the municipal securities covered thereby remain outstanding and the insurer remains in business, regardless of whether the Fund ultimately disposes of such municipal securities. Consequently, the market value of the municipal securities covered by Original Issue Insurance or Secondary Market Insurance may reflect value attributable to the insurance. Portfolio Insurance, in contrast, is effective only while the municipal securities are held by the Fund and is reflected as an expense over the term of the policy, when applicable. Accordingly, neither the prices used in determining the market value of the underlying municipal securities nor the Common share net asset value of the Fund include value, if any, attributable to the Portfolio Insurance. Each policy of the Portfolio Insurance does, however, give the Fund the right to obtain permanent insurance with respect to the municipal security covered by the Portfolio Insurance policy at the time of its sale.
 
Inverse Floating Rate Securities
 
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. In turn, this trust (a) issues floating rate certificates, in face amounts equal to some fraction of the deposited bond’s par amount or market value, that typically pay short-term tax-exempt interest rates to third parties, and (b) issues to a long-term investor (such as one of the Funds) an inverse floating rate certificate (sometimes referred to as an “inverse floater”) that represents all remaining or residual interest in the trust. The income received by the inverse floater holder varies inversely with the short-term rate paid to the floating rate certificates’ holders, and in most circumstances the inverse floater holder bears substantially all of the underlying bond’s downside investment risk and also benefits disproportionately from any potential appreciation of the underlying bond’s value. The price of an inverse floating rate security will be more volatile than that of the underlying bond because the interest rate is dependent on not only the fixed coupon rate of the underlying bond but also on the short-term interest paid on the floating rate certificates, and because the inverse floating rate security essentially bears the risk of loss of the greater face value of the underlying bond.
 
A Fund may purchase an inverse floating rate security in a secondary market transaction without first owning the underlying bond (referred to as an “externally-deposited inverse floater”), or instead by first selling a fixed-rate bond to a broker-dealer for deposit into the special purpose trust and receiving in turn the residual interest in the trust (referred to as a “self-deposited inverse floater”). The inverse floater held by a Fund gives the Fund the right (a) to cause the holders of the floating rate certificates to tender their notes at par, and (b) to have the broker transfer the fixed-rate bond held by the trust to the Fund, thereby collapsing the trust. An investment in an externally-deposited inverse floater is identified in the Portfolio of Investments as “(IF) – Inverse floating rate investment.” An investment in a self-deposited inverse floater is accounted for as a financing transaction. In such instances, a fixed-rate bond deposited into a special purpose trust is identified in the Portfolio of Investments as “(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction,” with the Fund accounting for the short-term floating rate certificates issued by the trust as “Floating rate obligations” on the Statement of Assets and Liabilities. In addition, the Fund reflects in “Investment Income” the entire earnings of the underlying bond and the related interest paid to the holders of the short-term floating rate certificates as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.
 
During the fiscal year ended May 31, 2011, each Fund invested in externally-deposited inverse floaters and/or self-deposited inverse floaters.
 
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse trust” or “credit recovery swap”) (such agreements referred to herein as “Recourse Trusts”) with a broker-dealer by which a Fund agrees to reimburse the broker-dealer, in certain circumstances, for the difference between the liquidation value of the fixed-rate bond held by the trust and the liquidation value of the floating rate certificates issued by the trust plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on inverse floaters may increase beyond the value of a Fund’s inverse floater investments as a Fund may potentially be liable to fulfill all amounts owed to holders of the floating rate certificates. At period end, any such shortfall is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
 
At May 31, 2011, the Funds were not invested in externally-deposited Recourse Trusts.
 
Nuveen Investments 83
 
 
 

 
 
Notes to
Financial Statements (continued)
 
The average floating rate obligations outstanding and average annual interest rate and fees related to self-deposited inverse floaters during the fiscal year ended May 31, 2011, were as follows:
                       
 
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
 
Premium
   
Dividend
   
Dividend
   
Dividend
 
 
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
 
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Average floating rate obligations outstanding 
$ 7,965,000     $ 3,820,000     $ 3,460,000     $ 5,780,000  
Average annual interest rate and fees 
  0.77 %      0.76 %      0.77 %      0.74 % 
 
             
Insured
       
 
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
 
Premium
   
Dividend
   
Tax-Free
   
Premium
 
 
Income
   
Advantage
   
Advantage
   
Income
 
 
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
Average floating rate obligations outstanding 
$ 2,450,000     $ 1,050,000     $ 1,500,000     $ 2,225,000  
Average annual interest rate and fees 
  0.64 %      0.64 %      0.64 %      0.45 % 
 
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 fiscal year ended May 31, 2011.
 
Market and Counterparty Credit Risk
 
In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities. Futures contracts, when applicable, expose a Fund to minimal counterparty credit risk as they are exchange traded and the exchange’s clearinghouse, which is counterparty to all exchange traded futures, guarantees the futures contracts against default.
 
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the predetermined threshold amount.
 
Zero Coupon Securities
 
Each Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
 
Offering Costs
 
Costs incurred by the Funds in connection with their offerings of MTP Shares were recorded as a deferred charge, which will be amortized over the life of the shares. Each Fund’s amortized deferred charges are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. Each Fund’s offering costs incurred were as follows:
         
 
Connecticut 
Connecticut 
Connecticut 
Connecticut 
 
Premium 
Dividend 
Dividend 
Dividend 
 
Income 
Advantage 
Advantage 2 
Advantage 3 
 
(NTC) 
(NFC) 
(NGK) 
(NGO) 
MTP Shares offering costs 
$1,131,200 
$567,050 
$504,250 
$750,000 
 
84 Nuveen Investments
 
 
 

 
 
 
 

 
         
     
Insured 
 
 
Massachusetts 
Massachusetts 
Massachusetts 
Missouri 
 
Premium 
Dividend 
Tax-Free 
Premium 
 
Income 
Advantage 
Advantage 
Income 
 
(NMT) 
(NMB) 
(NGX) 
(NOM) 
MTP Shares offering costs 
$1,139,675 
$465,875 
$571,125 
$598,200 
 
Custodian Fee Credit
 
Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.
 
Indemnifications
 
Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
 
Use of Estimates
 
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates.
 
2. Fair Value Measurements
 
Fair value is defined as the price that the Funds would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
 
Level 1 – Quoted prices in active markets for identical securities.
 
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of May 31, 2011:
         
Connecticut Premium Income (NTC) 
Level 1 
Level 2 
Level 3 
Total 
Investments: 
       
Municipal Bonds 
$ — 
$116,953,440 
$ — 
$116,953,440 
         
Connecticut Dividend Advantage (NFC) 
Level 1 
Level 2 
Level 3 
Total 
Investments: 
       
Municipal Bonds 
$ — 
$58,921,895 
$ — 
$58,921,895 
         
Connecticut Dividend Advantage 2 (NGK) 
Level 1 
Level 2 
Level 3 
Total 
Investments: 
       
Municipal Bonds 
$ — 
$53,021,708 
$ — 
$53,021,708 
         
Connecticut Dividend Advantage 3 (NGO) 
Level 1 
Level 2 
Level 3 
Total 
Investments: 
       
Municipal Bonds 
$ — 
$96,652,482 
$ — 
$96,652,482 
         
Massachusetts Premium Income (NMT) 
Level 1 
Level 2 
Level 3 
Total 
Investments: 
       
Municipal Bonds 
$ — 
$104,622,681 
$ — 
$104,622,681 
 
 
Nuveen Investments 85
 
 
 

 

         
Notes to 
       
Financial Statements (continued) 
       
 
Massachusetts Dividend Advantage (NMB) 
Level 1 
Level 2 
Level 3 
Total 
Investments: 
       
Municipal Bonds 
$ — 
$41,885,118 
$ — 
$41,885,118 
         
Insured Massachusetts Tax-Free Advantage (NGX) 
Level 1 
Level 2 
Level 3 
Total 
Investments: 
       
Municipal Bonds 
$ — 
$61,453,112 
$ — 
$61,453,112 
         
Missouri Premium Income (NOM) 
Level 1 
Level 2 
Level 3 
Total 
Investments: 
       
Municipal Bonds 
$ — 
$48,566,659 
$ — 
$48,566,659 
 
 
 
The following is a reconciliation of the following Funds’ Level 3 investments held at the beginning and end of the measurement period:
           
 
Massachusetts
   
Massachusetts
 
 
Premium
   
Dividend
 
 
Income
   
Advantage
 
 
(NMT)
   
(NMB)
 
 
Level 3
   
Level
 
 
Municipal
   
Municipal
 
 
Bonds
   
Bonds
 
Balance at the beginning of year 
$ 344,410     $ 688,820  
Gains (losses): 
             
Net realized gains (losses) 
  (74,766 )      (149,533 ) 
Net change in unrealized appreciation (depreciation) 
  155,590       311,180  
Purchases at cost 
           
Sales at proceeds 
  (425,234 )      (850,467 ) 
Net discounts (premiums) 
         
Transfers into 
         —  
Transfers out of 
         
Balance at the end of year 
$     $  
Net change in unrealized appreciation (depreciation) during the year of Level 3 Securities held as of May 31, 2011 
$     $  
 
During the fiscal year ended May 31, 2011, the Funds recognized no significant transfers to/from Level 1, Level 2 or Level 3.
 
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 fiscal year ended May 31, 2011.
 
4. Fund Shares
 
Common Shares
 
Since the inception of the Funds’ repurchase program, the Funds have not repurchased any of their outstanding Common shares.
 
Transactions in Common shares were as follows:
             
 
Connecticut 
Connecticut 
Connecticut 
 
Premium Income (NTC) 
Dividend Advantage (NFC) 
Dividend Advantage 2 (NGK) 
 
Year 
Year 
Year 
Year 
Year 
Year 
 
Ended 
Ended 
Ended 
Ended 
Ended 
Ended 
 
5/31/11 
5/31/10 
5/31/11 
5/31/10 
5/31/11 
5/31/10 
Common shares issued to shareholders 
           
   due to reinvestment of distributions 
1,053 
1,764 
3,615 
1,073 
2,074 
 
 
Connecticut 
Massachusetts 
Massachusetts 
 
Dividend Advantage 3 (NGO) 
Premium Income (NMT) 
Dividend Advantage (NMB) 
 
Year 
Year 
Year 
Year 
Year 
Year 
 
Ended 
Ended 
Ended 
Ended 
Ended 
Ended 
 
5/31/11 
5/31/10 
5/31/11 
5/31/10 
5/31/11 
5/31/10 
Common shares issued to shareholders 
           
   due to reinvestment of distributions 
1,261 
6,872 
3,206 
1,746 
2,198 
 
 
86 Nuveen Investments
 
 
 

 
 

         
 
Insured Massachusetts 
Missouri 
 
Tax-Free Advantage (NGX) 
Premium Income (NOM) 
 
Year 
Year 
Year 
Year 
 
Ended 
Ended 
Ended 
Ended 
 
5/31/11 
5/31/10 
5/31/11 
5/31/10 
Common shares issued to shareholders 
       
   due to reinvestment of distributions 
1,124 
1,696 
4,733 
4,352 
 
Preferred Shares
 
Transactions in ARPS were as follows:
  Connecticut Premium Income (NTC)    
Connecticut Dividend Advantage (NFC)
 
 
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
 
5/31/11
   
5/31/10
   
5/31/11
   
5/31/10
 
 
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
 
ARPS redeemed: 
                                             
Series T 
      $           $           $       609     $ 17,250,000  
Series TH 
  629       15,725,000       709       17,725,000                          
Total 
  629     $ 15,725,000       709     $ 17,725,000           $       609     $ 17,250,000  
           
 
Connecticut Dividend Advantage 2 (NGK)
   
Connecticut Dividend Advantage 3 (NGO)
 
 
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
 
5/31/11
   
5/31/10
   
5/31/11
   
5/31/10
 
 
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
 
ARPS redeemed: 
                                                             
Series W 
      $       618     $ 15,450,000           $           $  
Series F 
                                      1,131       28,275,000  
Total 
      $       618     $ 15,450,000           $       1,131     $ 28,275,000  
           
 
Massachusetts Premium Income (NMT)
   
Massachusetts Dividend Advantage (NMB)
 
 
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
 
5/31/11
   
5/31/10
   
5/31/11
   
5/31/10
 
 
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
 
ARPS redeemed: 
                                                             
Series T 
      $           $           $       570     $ 14,250,000  
Series TH 
  576       14,400,000       784       19,600,000                          
Total 
  576     $ 14,400,000       784     $ 19,600,000           $       570     $ 14,250,000  
           
 
Insured Massachusetts Tax-Free Advantage (NGX)
    Missouri Premium Income (NOM)  
 
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
 
5/31/11
   
5/31/10
   
5/31/11
   
5/31/10
 
 
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
   
Shares
   
Amount
 
ARPS redeemed: 
                                                             
Series W 
      $       820     $ 20,500,000           $           $  
Series TH 
                          640       16,000,000              
Total 
      $       820     $ 20,500,000       640     $ 16,000,000           $  
 
Nuveen Investments 87
 
 
 

 
 
Notes to 
Financial Statements (continued) 
 
Transactions in MTP Shares were as follows: 
 
  Connecticut     Connecticut  
  Premium Income (NTC)     Dividend Advantage (NFC)  
 
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
 
5/31/11
   
5/31/10
   
5/31/11
   
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  
   Series 2016 
  1,778,000       17,780,000                                      
Total 
  1,778,000     $ 17,780,000       1,830,000     $ 18,300,000           $       2,047,000     $ 20,470,000  
           
  Connecticut     Connecticut  
  Dividend Advantage 2 (NGK)     Dividend Advantage 3 (NGO)  
 
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
 
5/31/11
   
5/31/10
   
5/31/11
   
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     Massachusetts  
  Premium Income (NMT)     Dividend Advantage (NMB)  
 
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
 
5/31/11
   
5/31/10
   
5/31/11
   
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  
   Series 2016 
  1,643,500       16,435,000                                      
Total 
  1,643,500     $ 16,435,000       2,021,000     $ 20,210,000           $       1,472,500     $ 14,725,000  
           
  Insured Massachusetts     Missouri  
  Tax-Free Advantage (NGX)     Premium Income (NOM)  
 
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
 
5/31/11
   
5/31/10
   
5/31/11
   
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           $  
 
5. Investment Transactions
 
Purchases and sales (including maturities but excluding short-term investments, where applicable) during the fiscal year ended May 31, 2011, were as follows:
                       
 
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
 
Premium
   
Dividend
   
Dividend
   
Dividend
 
 
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
 
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Purchases 
$ 11,028,120     $ 7,833,634     $ 5,967,845     $ 7,765,002  
Sales and maturities 
  10,458,000       9,513,500       6,490,950       8,992,500  
 
 
                 
Insured
         
 
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
 
Premium
   
Dividend
   
Tax-Free
   
Premium
 
 
Income
   
Advantage
   
Advantage
   
Income
 
 
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
Purchases 
$ 8,651,066     $ 6,639,735     $ 2,534,412     $ 5,579,964  
Sales and maturities 
  6,717,581       7,190,824       2,158,010       5,290,803  
 
 
88 Nuveen Investments
 
 
 

 
 
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 May 31, 2011, the cost and unrealized appreciation (depreciation) of investments, as determined on a federal income tax basis, were as follows:
                       
 
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
 
Premium
   
Dividend
   
Dividend
   
Dividend
 
 
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
 
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Cost of investments 
$ 108,132,510     $ 54,729,859     $ 49,067,129     $ 90,725,749  
Gross unrealized: 
                             
Appreciation 
$ 2,883,174     $ 1,300,770     $ 1,398,614     $ 2,271,557  
Depreciation 
  (2,026,793 )      (929,270 )      (904,403 )      (2,124,378 ) 
Net unrealized appreciation (depreciation) of investments 
$ 856,381     $ 371,500     $ 494,211     $ 147,179  
                 
Insured
         
 
Massachusetts
    Massachusetts    
Massachusetts
   
Missouri
 
 
Premium
   
Dividend
   
Tax-Free
   
Premium
 
 
Income
   
Advantage
   
Advantage
   
Income
 
 
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
Cost of investments 
$ 101,625,890     $ 41,123,247     $ 58,526,969     $ 47,036,891  
Gross unrealized: 
                             
Appreciation 
$ 3,390,693     $ 989,177     $ 2,003,075     $ 922,261  
Depreciation 
  (2,843,951 )      (1,277,327 )      (576,962 )      (1,616,955 ) 
Net unrealized appreciation (depreciation) of investments 
$ 546,742     $ (288,150 )    $ 1,426,113     $ (694,694 ) 
 
Permanent differences, primarily due to federal taxes paid, taxable market discount, nondeductible offering costs and distribution character reclassifications, resulted in reclassifications among the Funds’ components of Common share net assets at May 31, 2011, the Funds’ tax year end, as follows:
                       
 
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
 
Premium
   
Dividend
   
Dividend
   
Dividend
 
 
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
 
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Paid-in surplus 
$ (128,552 )    $ (102,128 )    $ (100,191 )    $ (148,292 ) 
Undistributed (Over-distribution of) net investment income 
  158,721       106,510       100,685       148,292  
Accumulated net realized gain (loss) 
  (30,169 )      (4,382 )      (494 )       
                 
Insured
         
 
Massachusetts
    Massachusetts    
Massachusetts
   
Missouri
 
 
Premium
   
Dividend
   
Tax-Free
   
Premium
 
 
Income
   
Advantage
   
Advantage
   
Income
 
 
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
Paid-in surplus 
$ (148,395 )    $ (45,873 )    $ (112,064 )    $ (64,868 ) 
Undistributed (Over-distribution of) net investment income 
  150,270       75,743       111,912       63,765  
Accumulated net realized gain (loss) 
  (1,875 )      (29,870 )      152       1,103  
 
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at May 31, 2011, the Funds’ tax year end, were as follows:
                       
 
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
 
Premium
   
Dividend
   
Dividend
   
Dividend
 
 
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
 
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Undistributed net tax-exempt income* 
$ 1,264,582     $ 467,751     $ 370,951     $ 579,588  
Undistributed net ordinary income ** 
  2,329       6,690       1,014        
Undistributed net long-term capital gains 
  129,612       104,027       40,075        
 
 
Nuveen Investments 89
 
 
 
 

 
 

         
Notes to 
       
Financial Statements (continued) 
       
 
             
Insured
       
 
Massachusetts
   
Massachusetts
   
Massachusetts
   
Missouri
 
 
Premium
   
Dividend
   
Tax-Free
   
Premium
 
 
Income
   
Advantage
   
Advantage
   
Income
 
 
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
Undistributed net tax-exempt income* 
$ 1,177,287     $ 273,241     $ 351,879     $ 631,129  
Undistributed net ordinary income ** 
  791       234              
Undistributed net long-term capital gains 
  108,999                    
 
*     
Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared May 2, 2011, paid on June 1, 2011.
**     
Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
 
The tax character of distributions paid during the Funds’ tax years ended May 31, 2011 and May 31, 2010, was designated for purposes of the dividends paid deduction as follows:
                       
 
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
 
Premium
   
Dividend
   
Dividend
   
Dividend
 
 
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
2011 
(NTC)
   
(NFC)
   
(NGK)
   
(NGO)
 
Distributions from net tax-exempt income *** 
$ 4,494,227     $ 2,517,939     $ 2,278,037     $ 3,992,324  
Distributions from net ordinary income ** 
                     
Distributions from net long-term capital gains **** 
                     
                 
Insured
         
 
Massachusetts
    Massachusetts    
Massachusetts
   
Missouri
 
 
Premium
   
Dividend
   
Tax-Free
   
Premium
 
 
Income
   
Advantage
   
Advantage
   
Income
 
2011 
(NMT)
   
(NMB)
   
(NGX)
   
(NOM)
 
Distributions from net tax-exempt income *** 
$ 4,427,025     $ 2,009,854     $ 2,646,325     $ 2,005,649  
Distributions from net ordinary income ** 
                     
Distributions from net long-term capital gains **** 
  179,625                    
 
**     
Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
***     
The Funds hereby designate these amounts paid during the fiscal year ended May 31, 2011, as Exempt Interest Dividends
****     
The Funds designate as a long-term capital gain dividend, pursuant to the Internal Revenue Code Section 852(b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gain to zero for the tax year ended May 31, 2011.
 
                       
 
Connecticut
   
Connecticut
   
Connecticut
   
Connecticut
 
 
Premium
   
Dividend
   
Dividend
   
Dividend
 
 
Income
   
Advantage
   
Advantage 2
   
Advantage 3
 
2010 
(NTC)
   
(NFC)
   
(NGK)
   
(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                    
                              
                 
Insured
         
 
Massachusetts
    Massachusetts    
Massachusetts
   
Missouri
 
 
Premium
   
Dividend
   
Tax-Free
   
Premium
 
 
Income
   
Advantage
   
Advantage
   
Income
 
2010 
(NMT)
   
(NMB)
   
(NGX)
   
(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. 
   
 
 
90 Nuveen Investments
 
 
 

 
 
At May 31, 2011, the Funds’ tax year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
                       
             
Insured
       
 
Connecticut
   
Massachusetts
   
Massachusetts
   
Missouri
 
 
Dividend
   
Dividend
   
Tax-Free
   
Premium
 
 
Advantage 3
   
Advantage
   
Advantage
   
Income
 
 
(NGO)
   
(NMB)
   
(NGX)
   
(NOM)
 
Expiration: 
                     
May 31, 2013 
$ 35,547     $     $ 18,655     $  
May 31, 2014 
  111,331             427,135        
May 31, 2015 
  211,213                    
May 31, 2017 
  43,691             215,629       122,533  
May 31, 2018 
  13,130             24,486       91,539  
May 31, 2019 
        138,353       18,813        
Total 
$ 414,912     $ 138,353     $ 704,718     $ 214,072  
 
During the Funds’ tax year ended May 31, 2011, the following Funds utilized capital loss carryforwards as follows:
     
 
Connecticut 
Missouri 
 
Dividend 
Premium 
 
Advantage 3 
Income 
 
(NGO) 
(NOM) 
Utilized capital loss carryforwards 
$95 
$138,449 
 
The Funds have elected to defer net realized losses from investments incurred from November 1, 2010 through May 31, 2011, the Funds’ 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 following fiscal year. The following Fund has elected to defer post-October losses as follows:
   
 
Insured 
 
Massachusetts 
 
Tax-Free 
 
Advantage 
 
(NGX) 
Post-October capital losses 
$3,879 
 
7. Management Fees and Other Transactions with Affiliates
 
Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
 
The annual fund-level fee for each Fund, payable monthly, is calculated according to the following schedules:
     
 
Connecticut Premium Income (NTC)
 
 
Massachusetts Premium Income (NMT)
 
 
Missouri Premium Income (NOM)
 
Average Daily Managed Assets* 
Fund-Level Fee Rate
 
For the first $125 million 
  .4500 % 
For the next $125 million 
  .4375  
For the next $250 million 
  .4250  
For the next $500 million 
  .4125  
For the next $1 billion 
  .4000  
For the next $3 billion 
  .3875  
For managed assets over $5 billion 
  .3750  
     
 
Connecticut Dividend Advantage (NFC)
 
 
Connecticut Dividend Advantage 2 (NGK)
 
 
Connecticut Dividend Advantage 3 (NGO)
 
 
Massachusetts Dividend Advantage (NMB)
 
 
Insured Massachusetts Tax-Free Advantage (NGX)
 
Average Daily Managed Assets* 
Fund-Level Fee Rate
 
For the first $125 million 
  .4500 % 
For the next $125 million 
  .4375  
For the next $250 million 
  .4250  
For the next $500 million 
  .4125  
For the next $1 billion 
  .4000  
For managed assets over $2 billion 
  .3750  
 
 
Nuveen Investments 91
 
 
 

 
 
Notes to
Financial Statements (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 that constitute “eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen Funds and assets in excess of $2 billion added to the Nuveen Fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of May 31, 2011, the complex level fee rate for each of these Funds was .1774%.
 
The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser has entered into sub-advisory agreements with the Sub-Adviser under which the Sub-Adviser manages the investment portfolios of the Funds. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
 
The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.
 
For the first ten years of Connecticut Dividend Advantage’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 
 
Year Ending 
 
January 31, 
 
January 31, 
 
2001* 
.30% 
2007 
.25% 
2002 
.30 
2008 
.20 
2003 
.30 
2009 
.15 
2004 
.30 
2010 
.10 
2005 
.30 
2011 
.05 
2006 
.30 
   
* From the commencement of operations. 
     
 
The Adviser has not agreed to reimburse Connecticut Dividend Advantage (NFC) and Massachusetts Dividend Advantage (NMB) for any portion of their fees and expenses beyond January 31, 2011.
 
For the first ten years of Connecticut Dividend Advantage 2’s (NGK) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
       
Year Ending 
 
Year Ending 
 
March 31, 
 
March 31, 
 
2002* 
.30% 
2008 
.25% 
2003 
.30 
2009 
.20 
2004 
.30 
2010 
.15 
2005 
.30 
2011 
.10 
2006 
.30 
2012 
.05 
2007 
.30 
   
* From the commencement of operations. 
     
 
 
92 Nuveen Investments
 
 
 

 
 
The Adviser has not agreed to reimburse Connecticut Dividend Advantage 2 (NGK) for any portion of its fees and expenses beyond March 31, 2012.
 
For the first eight years of Connecticut Dividend Advantage 3’s (NGO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
       
Year Ending 
 
Year Ending 
 
September 30, 
 
September 30, 
 
2002* 
.32% 
2007 
.32% 
2003 
.32 
2008 
.24 
2004 
.32 
2009 
.16 
2005 
.32 
2010 
.08 
2006 
.32 
   
* From the commencement of operations.
 
The Adviser has not agreed to reimburse Connecticut Dividend Advantage 3 (NGO) for any portion of its fees and expenses beyond September 30, 2010.
       
For the first eight years of Insured Massachusetts Tax-Free Advantage’s (NGX) operations, the Adviser has agreed to reimburse the Fund, as a 
 
percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below: 
 
 
Year Ending 
 
Year Ending 
 
November 30, 
 
November 30, 
 
2002* 
.32% 
2007 
.32% 
2003 
.32 
2008 
.24 
2004 
.32 
2009 
.16 
2005 
.32 
2010 
.08 
2006 
.32 
   
* From the commencement of operations. 
 
The Adviser has not agreed to reimburse Insured Massachusetts Tax-Free Advantage (NGX) for any portion of its fees and expenses beyond November 30, 2010.
 
8. New Accounting Pronouncements
 
Fair Value Measurements and Disclosures
 
On May 12, 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standard Update (“ASU”) modifying Topic 820, Fair Value Measurements and Disclosures. At the same time, the International Accounting Standards Board (“IASB”) issued International Financial Reporting Standard (“IFRS”) 13, Fair Value Measurement. The objective by the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, the ASU requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers, ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of the ASU is for interim and annual periods beginning after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have on the financial statement amounts and footnote disclosures, if any.
 
9. Subsequent Events
 
Approved Fund Mergers
 
Subsequent to the reporting period, the Funds’ Board of Trustees approved a series of mergers for all the Connecticut funds included in this report. The mergers are subject to shareholder approval at the Funds’ regular shareholder meeting later this year. The mergers are intended to create a single, larger state fund with enhanced trading appeal and lower operating expenses of traded Common shares of the fund.
 
More information on the proposed mergers will be contained in the proxy materials expected to be filed with the Securities and Exchange Commission in the coming weeks. The proposed fund mergers are as follows:
   
Acquired Fund 
Acquiring Fund 
Connecticut Dividend Advantage (NFC) 
Connecticut Premium Income (NTC) 
Connecticut Dividend Advantage 2 (NGK) 
 
Connecticut Dividend Advantage 3 (NGO) 
 
 
 
Nuveen Investments 93
 
 
 

 
 
Board Members & Officers (Unaudited)
 
   
The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board Members of the Funds. The number of board members of the Fund is currently set at ten. None of the board members who are not “interested” persons of the Funds (referred to herein as “independent board members”) has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the board members and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
 
 
Name,
Birthdate
& Address
 
Position(s) Held
with the Funds
 
Year First
Elected or
Appointed
and Term(1)
 
Principal
Occupation(s)
Including other
Directorships
During Past 5 Years
 
Number
of Portfolios
in Fund Complex
Overseen by
Board Member
                   
Independent Board Members:            
                   
ROBERT P. BREMNER(2)
8/22/40 333
W. Wacker Drive
Chicago, IL 60606
 
 
Chairman of
the Board
and Board Member
 
 
 
1996
  Private Investor and Management Consultant; Treasurer and Director, Humanities Council of Washington, D.C.; Board Member, Independent Directors Council affiliated with the Investment Company Institute.  
 
 
245
 
                   
JACK B. EVANS
10/22/48
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Board Member
 
 
 
1999
  President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; member of the Board of Regents for the State of Iowa University System; Director, Source Media Group; Life Trustee of Coe College and the Iowa College Foundation; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.  
 
 
245
                   
WILLIAM C. HUNTER
3/6/48 333
W. Wacker Drive
Chicago, IL 60606
 
 
 
Board Member
 
 
 
2004
 
Dean, Tippie College of Business, University of Iowa (since 2006); Director (since 2004) of Xerox Corporation; Director (since 2005), Beta Gamma Sigma International Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.
 
 
 
245
                   
DAVID J. KUNDERT(2)
10/28/42
333 W. Wacker
Drive Chicago, IL 60606
 
 
 
Board Member
 
 
 
2005
  Director, Northwestern Mutual Wealth Management Company; retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Member, Board of Regents, Luther College; member of the Wisconsin Bar Association; member of Board of Directors, Friends of Boerner Botanical Gardens; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation.  
 
 
245
                   
WILLIAM J. SCHNEIDER(2)
9/24/44
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Board Member
 
 
 
1997
 
Chairman of Miller-Valentine Partners Ltd., a real estate investment company; formerly, Senior Partner and Chief Operating Officer (retired 2004) of Miller-Valentine Group; member, University of Dayton Business School Advisory Council;member, Mid-America Health System Board; formerly, member and chair, Dayton Philharmonic Orchestra Association; formerly, member, Business Advisory Council, Cleveland Federal Reserve Bank.
 
 
 
245
 
94 Nuveen Investments
 
 
 

 
 
 
Name,
Birthdate
& Address
 
Position(s) Held
with the Funds
 
Year First
Elected or
Appointed
and Term(1)
 
Principal
Occupation(s)
Including other
Directorships
During Past 5 Years
 
Number
of Portfolios
in Fund Complex
Overseen by
Board Member
Independent Board Members:            
                   
JUDITH M. STOCKDALE
12/29/47
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Board Member
 
 
 
 
1997
 
 
Executive Director, Gaylord and Dorothy Donnelley Foundation (since 1994); prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).
 
 
 
245
 
 
               
CAROLE E. STONE(2)
6/28/47
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Board Member
 
 
 
2007
 
Director, Chicago Board Options Exchange (since 2006); Director, C2 Options Exchange, Incorporated (since 2009); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010); formerly, Chair, New York Racing Association Oversight Board (2005-2007).
 
 
 
245
                   
VIRGINIA L. STRINGER
8/16/44
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Board Member
 
 
 
2011
 
Board Member, Mutual Fund Directors Forum; Member, Governing Board, Investment Company Institute’s Independent Directors Council; governance consultant and non-profit board member; former Owner and President, Strategic Management Resources, Inc. a management consulting firm; previously, held several executive positions in general management, marketing and human resources at IBM and The Pillsbury Company; Independent Director, First American Fund Complex (1987-2010) and Chair (1997-2010).
 
 
 
245
 
 
               
TERENCE J. TOTH(2)
9/29/59
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Board Member
 
 
 
2008
 
Director, Legal & General Investment Management America, Inc. (since 2008); Managing Partner, Promus Capital (since 2008); formerly, CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); member: Goodman Theatre Board (since 2004), Chicago Fellowship Board (since 2005) and Catalyst Schools of Chicago Board (since 2008); formerly, member: Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).
 
 
 
245
Interested Board Member:            
 
 
               
JOHN P. AMBOIAN(3)
6/14/61
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Board Member
 
 
 
2008
 
Chief Executive Officer and Chairman (since 2007), and Director (since 1999) of Nuveen Investments, Inc., formerly, President (1999-2007); Chief Executive Officer (since 2007) of Nuveen Investments Advisers Inc.; Director (since 1998) formerly, Chief Executive Officer (2007-2010) of Nuveen Fund Advisors, Inc.
 
 
 
245
 
Nuveen Investments 95
 
 
 

 
 
 
Board Members & Officers (Unaudited) (continued)
 
 
Name,
Birthdate
and Address
 
Position(s) Held
with the Funds
 
Year First
Elected or
Appointed(4)
 
Principal
Occupation(s)
During Past 5 Years
 
Number
of Portfolios
in Fund Complex
Overseen
by Officer
Officers of the Funds:            
 
 
         
 
   
GIFFORD R. ZIMMERMAN
9/9/56
333 W. Wacker Drive
Chicago, IL 60606
 
 
Chief
Administrative
Officer
 
 
 
1988
 
Managing Director (since 2002), Assistant Secretary and Associate General Counsel of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, Inc.; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Managing Director, Associate General Counsel and Assistant Secretary of Symphony Asset Management LLC (since 2003); Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Nuveen Investments Advisers Inc. (since 2002), Tradewinds Global Investors LLC, and Santa Barbara Asset Management, LLC (since 2006), Nuveen HydePark Group LLC and Nuveen Investment Solutions, Inc. (since 2007) and of Winslow Capital Management Inc. (since 2010); Chief Administrative Officer and Chief Compliance Officer (since 2010) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst.
 
 
 
245
 
 
               
WILLIAM ADAMS IV
6/9/55
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Vice President
 
 
 
2007
 
Senior Executive Vice President, Global Structured Products (since 2010), formerly, Executive Vice President (1999-2010) of Nuveen Securities, LLC; Co-President of Nuveen Fund Advisors, Inc. (since 2011); Managing Director (since 2010) of Nuveen Commodities Asset Management, LLC.
 
 
 
133
 
 
         
 
   
CEDRIC H. ANTOSIEWICZ
1/11/62
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Vice President
 
 
 
2007
 
Managing Director of Nuveen Securities, LLC.
 
 
 
 
133
 
 
               
MARGO L. COOK
4/11/64
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Vice President
 
 
 
2009
 
Executive Vice President (since 2008) of Nuveen Investments, Inc. and of Nuveen Fund Advisors, Inc. (since 2011); previously, Head of Institutional Asset Management (2007-2008) of Bear Stearns Asset Management; Head of Institutional Asset Management (1986-2007) of Bank of NY Mellon; Chartered Financial Analyst.
 
 
 
245
                   
LORNA C. FERGUSON
10/24/45
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Vice President
 
 
 
1998
 
Managing Director (since 2005) of Nuveen Fund Advisors, Inc.
 
 
 
 
245
 
 
               
STEPHEN D. FOY
5/31/54
333 W. Wacker Drive
Chicago, IL 60606
 
 
Vice President
and Controller
 
 
 
1998
 
Senior Vice President (since 2010), formerly, Vice President (2005-2010) of Nuveen Fund Advisors, Inc.; Certified Public Accountant.
 
 
 
245
 
 
96 Nuveen Investments
 
 
 

 
 
 
 
Name,
Birthdate
and Address
 
Position(s) Held
with the Funds
  Year First
Elected or
Appointed(4)
 
Principal
Occupation(s)
During Past 5 Years
 
Number
of Portfolios
in Fund Complex
Overseen
by Officer
Officers of the Funds:            
                   
SCOTT S. GRACE
8/20/70
333 W. Wacker Drive
Chicago, IL 60606
 
 
Vice President
and Treasurer
 
 
 
2009
 
Managing Director, Corporate Finance & Development, Treasurer (since 2009) of Nuveen Securities, LLC; Managing Director and Treasurer (since 2009) of Nuveen Fund Advisors Inc., Nuveen Investment Solutions, Inc., Nuveen Investments Advisers Inc., Nuveen Investments Holdings Inc. and (since (2011) Nuveen Asset Management, LLC; Vice President and Treasurer of NWQ Investment Management Company, LLC, Tradewinds Global Investors, LLC, Symphony Asset Management LLC and Winslow Capital Management, Inc.; Vice President of Santa Barbara Asset Management, LLC; formerly, Treasurer (2006-2009), Senior Vice President (2008-2009), previously, Vice President (2006-2008) of Janus Capital Group, Inc.; formerly, Senior Associate in Morgan Stanley’s Global Financial Services Group (2000-2003); Chartered Accountant Designation.
 
 
 
245
 
 
               
WALTER M. KELLY
2/24/70
333 W. Wacker Drive
Chicago, IL 60606
 
 
Chief Compliance
Officer and
Vice President
 
 
 
2003
 
Senior Vice President (since 2008) and Assistant Secretary (since 2003) of Nuveen Fund Advisors, Inc.
 
 
 
245
 
 
               
TINA M. LAZAR
8/27/61
333 W. Wacker Drive
Chicago, IL 60606
 
 
 
Vice President
 
 
 
2002
 
Senior Vice President (since 2010), formerly, Vice President (2005-2010) of Nuveen Fund Advisors, Inc.
 
 
 
245
 
 
               
LARRY W. MARTIN
7/27/51
333 W. Wacker Drive
Chicago, IL 60606
 
 
Vice President and
Assistant Secretary
 
 
 
1997
 
Senior Vice President (since 2010), formerly, Vice President (1993-2010), Assistant Secretary and Assistant General Counsel of Nuveen Securities, LLC; Senior Vice President (since 2011) of Nuveen Asset Management, LLC: Senior Vice President (since 2010), formerly, Vice President (2005-2010), and Assistant Secretary of Nuveen Investments, Inc.; Senior Vice President (since 2010), formerly Vice President (2005-2010), and Assistant Secretary (since 1997) of Nuveen Fund Advisors, Inc.; Vice President and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002), NWQ Investment Management Company, LLC, Symphony Asset Management LLC (since 2003), Tradewinds Global Investors, LLC, Santa Barbara Asset Management, LLC (since 2006), Nuveen HydePark Group, LLC and Nuveen Investment Solutions, Inc. (since 2007), and of Winslow Capital Management, Inc. (since 2010); Vice President and Assistant Secretary of Nuveen Commodities Asset Management, LLC (since 2010).
 
 
 
245
 
 
               
KEVIN J. MCCARTHY
3/26/66
333 W. Wacker Drive
Chicago, IL 60606
 
 
Vice President
and Secretary
 
 
 
2007
 
Managing Director (since 2008), formerly, Vice President (2007-2008), Nuveen Securities, LLC; Managing Director (since 2008), Assistant Secretary (since 2007) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, Inc.; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director (since 2008), and Assistant Secretary, Nuveen Investment Holdings, Inc.; Vice President (since 2007) and Assistant Secretary of Nuveen Investments Advisers Inc., NWQ Investment Management Company, LLC, Tradewinds Global Investors LLC, NWQ Holdings, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC, Nuveen HydePark Group, LLC, Nuveen Investment Solutions, Inc. (since 2007) and of Winslow Capital Management, Inc. (since 2010); Vice President and Secretary (since 2010) of Nuveen Commodities Asset Management, LLC; prior thereto, Partner, Bell, Boyd & Lloyd LLP (1997-2007).
 
 
 
245
 
Nuveen Investments 97
 
 
 

 
 
Board Members & Officers (Unaudited) (continued)
 
 
Name,
Birthdate
and Address
 
 
Position(s) Held
with the Funds
 
Year First
Elected or
Appointed(4)
 
Principal
Occupation(s)
During Past 5 Years
 
Number
of Portfolios
in Fund Complex
Overseen
by Officer
Officers of the Funds:              
                   
KATHLEEN L. PRUDHOMME
3/30/53
800 Nicollet Mall
Minneapolis, MN 55402
 
Vice President and
Assistant Secretary
 
 
 
2011
 
Managing Director, Assistant Secretary and Co-General Counsel (since 2011) of Nuveen Fund Advisors, Inc.; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary (since 2011) of Nuveen Securities, LLC; formerly, Deputy General Counsel, FAF Advisors, Inc. (2004-2010).
 
 
 
245
 
(1)
Board Members serve three year terms, except for two board members who are elected by the holders of Preferred Shares. The Board of Trustees is divided into three classes, Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed, except two board members are elected by the holders of Preferred Shares to serve until the next annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The first year elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex.
(2)
Also serves as a trustee of the Nuveen Diversified Commodity Fund, an exchange-traded commodity pool managed by Nuveen Commodities Asset Management, LLC, an affiliate of the Adviser.
(3)
Mr. Amboian is an interested trustee because of his position with Nuveen Investments, Inc. and certain of its subsidiaries, which are affiliates of the Nuveen Funds.
(4)
Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex.
 
98 Nuveen Investments
 
 
 

 
 
Annual Investment Management
Agreement Approval Process(Unaudited)
 
The Board of Trustees (each, a “Board” and each Trustee, a “Board Member”) of the Funds, including the Board Members who are not parties to the Funds’ advisory or sub-advisory agreements or “interested persons” of any such parties (the “Independent Board Members”), are responsible for approving the advisory agreements (each, an “Investment Management Agreement”) between each Fund and Nuveen Fund Advisors, Inc. (the “Advisor”) and the sub-advisory agreements (each a “Sub-Advisory Agreement”) between the Advisor and Nuveen Asset Management, LLC (the “Sub-Advisor”) (the Investment Management Agreements and the Sub-Advisory Agreements are referred to collectively as the “Advisory Agreements”) and their periodic continuation. Pursuant to the Investment Company Act of 1940, as amended (the “1940 Act”), the Board is generally required to consider the continuation of advisory agreements and sub-advisory agreements on an annual basis. Accordingly, at an in-person meeting held on May 23-25, 2011 (the “May Meeting”), the Board, including a majority of the Independent Board Members, considered and approved the continuation of the Advisory Agreements for the Funds for an additional one-year period.
 
In preparation for their considerations at the May Meeting, the Board requested and received extensive materials prepared in connection with the review of the Advisory Agreements. The materials provided a broad range of information regarding the Funds, the Advisor and the Sub-Advisor (the Advisor and the Sub-Advisor are collectively, the “Fund Advisers” and each, a “Fund Adviser”). As described in more detail below, the information provided included, among other things, a review of Fund performance, including Fund investment performance assessments against peer groups and appropriate benchmarks, a comparison of Fund fees and expenses relative to peers, a description and assessment of shareholder service levels for the Funds, a summary of the performance of certain service providers, a review of product initiatives and shareholder communications and an analysis of the Fund Adviser’s profitability with comparisons to comparable peers in the managed fund business. As part of their annual review, the Board also held a separate meeting on April 19-20, 2011, to review the Funds’ investment performance and consider an analysis provided by the Advisor of the Sub-Advisor which generally evaluated the Sub-Advisor’s investment team, investment mandate, organizational structure and history, investment philosophy and process, performance of the applicable Fund, and significant changes to the foregoing. As a result of their review of the materials and discussions, the Board presented the Advisor with questions and the Advisor responded.
 
The materials and information prepared in connection with the review of the Advisory Agreements at the May Meeting supplemented the information provided to the Board
 
Nuveen Investments 99
 
 
 

 
 
Annual Investment Management Agreement
Approval Process (Unaudited) (continued)
 
 
during the year. In this regard, throughout the year, the Board, acting directly or through its committees, regularly reviews the performance and various services provided by the Advisor and, since the internal restructuring described in Section A below, the Sub-Advisor. The Board meets at least quarterly as well as at other times as the need arises. At its quarterly meetings, the Board reviews reports by the Advisor which include, among other things, Fund performance, a review of the investment teams and compliance reports. The Board also meets with key investment personnel managing the Fund portfolios during the year. In addition, the Board continues its program of seeking to visit each sub-advisor to the Nuveen funds at least once over a multiple year rotation, meeting with key investment and business personnel. The Board also met with State Street Bank & Trust Company, the Funds’ accountant and custodian, in 2010. The Board considers factors and information that are relevant to its consideration of the renewal of the Advisory Agreements at these meetings held throughout the year. Accordingly, the Board considered the information provided and knowledge gained at these meetings when performing its review at the May Meeting of the Advisory Agreements. The Independent Board Members are assisted throughout the process by independent legal counsel who provided materials describing applicable law and the duties of directors or trustees in reviewing advisory contracts and met with the Independent Board Members in executive sessions without management present.
 
The Board considered all factors it believed relevant with respect to each Fund, including among other factors: (a) the nature, extent and quality of the services provided by the Fund Advisers, (b) the investment performance of the Fund and Fund Advisers, (c) the advisory fees and costs of the services to be provided to the Funds and the profitability of the Fund Advisers, (d) the extent of any economies of scale, (e) any benefits derived by the Fund Advisers from the relationship with the Fund and (f) other factors. Each Board Member may have accorded different weight to the various factors in reaching his or her conclusions with respect to a Fund’s Advisory Agreements. The Independent Board Members did not identify any single factor as all important or controlling. The Independent Board Members’ considerations were instead based on a comprehensive consideration of all the information presented. The principal factors considered by the Board and its conclusions are described below.
 
A. Nature, Extent and Quality of Services
 
In considering renewal of the Advisory Agreements, the Independent Board Members considered the nature, extent and quality of the Fund Adviser’s services, including advisory services and the resulting Fund performance and administrative services. The Independent Board Members reviewed materials outlining, among other things, the Fund Adviser’s organization and business; the types of services that the Fund Adviser or its affiliates provide to the Funds; the performance record of the applicable Fund (as described in further detail below); and any initiatives Nuveen had taken for the applicable fund product line.
 
 
100 Nuveen Investments
 
 
 

 
 
In considering advisory services, the Board recognized that the Advisor provides various oversight, administrative, compliance and other services for the Funds and the Sub-Advisor provides the portfolio investment management services to the Funds. The Board recognized that Nuveen engaged in an internal restructuring in 2010 pursuant to which portfolio management services the Advisor had provided directly to the Funds were transferred to the Sub-Advisor, a newly-organized, wholly-owned subsidiary of the Advisor. Accordingly, in reviewing the portfolio management services provided to each Fund, the Board reviewed the materials provided by the Nuveen Investment Services Oversight Team analyzing, among other things, the Sub-Advisor’s investment team and changes thereto, organization and history, assets under management, Fund objectives and mandate, the investment teams’ philosophy and strategies in managing the Fund, developments affecting the Sub-Advisor or Fund and Fund performance. The Independent Board Members also reviewed portfolio manager compensation arrangements to evaluate each Fund Adviser’s ability to attract and retain high quality investment personnel, preserve stability, and reward performance but not provide an incentive to take undue risks. In addition, the Board considered the Advisor’s execution of its oversight responsibilities over the Sub-Advisor. Given the importance of compliance, the Independent Board Members also considered Nuveen’s compliance program, including the report of the chief compliance officer regarding the Funds’ compliance policies and procedures.
 
In addition to advisory services, the Board considered the quality and extent of administrative and other non-investment advisory services the Advisor and its affiliates provide to the Funds, including product management, investment services (such as oversight of investment policies and procedures, risk management, and pricing), fund administration, oversight of service providers, shareholder services, administration of Board relations, regulatory and portfolio compliance, legal support, managing leverage and promoting an orderly secondary market for common shares.
 
In reviewing the services provided, the Board also reviewed materials describing various notable initiatives and projects the Advisor performed in connection with the closed-end fund product line. These initiatives included continued activities to refinance auction rate preferred securities; ongoing services to manage leverage that has become increasingly complex; continued secondary market offerings and share repurchases for certain funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted Nuveen’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market promotion program designed to raise investor and analyst awareness and understanding of closed-end funds. Nuveen’s support services included, among other things: continuing communications in support of refinancing efforts related to auction rate preferred securities; participating in conferences; communicating continually with closed-end fund analysts covering the Nuveen funds; providing marketing for the closed-end funds; and maintaining and enhancing a closed-end fund website.
 
Nuveen Investments 101
 
 
 

 
 
Annual Investment Management Agreement
Approval Process (Unaudited) (continued)
 
 
Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement were satisfactory.
 
B. The Investment Performance of the Funds and the Adviser
 
The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund over various time periods. The Board reviewed, among other things, each Fund’s historic investment performance as well as information comparing the Fund’s performance information with that of other funds (the “Performance Peer Group”) based on data provided by an independent provider of mutual fund data and with recognized and/or customized benchmarks.
 
The Board reviewed reports, including a comprehensive analysis of the Funds’ performance and the applicable investment team. In this regard, the Board reviewed each Fund’s total return information compared to its Performance Peer Group for the quarter, one-, three- and five-year periods ending December 31, 2010 and for the same periods ending March 31, 2011. In addition, the Board reviewed each Fund’s total return information compared to recognized and/or customized benchmarks for the quarter, one-and three-year periods ending December 31, 2010 and for the same periods ending March 31, 2011. The Independent Board Members also reviewed historic premium and discount levels, including a summary of actions taken to address or discuss other developments affecting the secondary market discounts of various funds. This information supplemented the Fund performance information provided to the Board at each of its quarterly meetings.
 
In reviewing performance comparison information, the Independent Board Members recognized that the usefulness of the comparisons of the performance of certain funds with the performance of their respective Performance Peer Group may be limited because the Performance Peer Group may not adequately represent the objectives and strategies of the applicable funds or may be limited in size or number. In this regard, the Independent Board Members noted that the Performance Peer Groups of each of the Funds were classified as having significant differences from such Funds based on various considerations such as special fund objectives, potential investable universe and the composition of the peer set (e.g., the number and size of competing funds and number of competing managers). The Independent Board Members also noted that the investment experience of a particular shareholder in the Funds will vary depending on when such shareholder invests in the applicable Fund, the class held (if multiple classes are offered) and the performance of the Fund (or respective class) during that shareholder’s investment period.
 
With respect to each of the Funds, which, as noted above, had significant differences with its Performance Peer Group, the Independent Board Members considered the Fund’s performance compared to its respective benchmark. In this regard, the Independent Board Members noted that the Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund, Nuveen Missouri Premium Income Municipal Fund (the
 
102 Nuveen Investments
 
 
 

 
 
Missouri Premium Income Fund”), Nuveen Massachusetts Premium Income Municipal Fund (the “Massachusetts Premium Income Fund”), and Nuveen Massachusetts Dividend Advantage Municipal Fund underperformed their respective benchmarks in the one-and three-year periods. In addition, they noted that the Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut Premium Income Municipal Fund (the “Connecticut Premium Income Fund), Nuveen Connecticut Dividend Advantage Municipal Fund 2 and Nuveen Connecticut Dividend Advantage Municipal Fund 3 underperformed their respective benchmarks in the one-year period, but outperformed their benchmarks in the three-year period. With respect to any Funds that underper-formed their peers and/or benchmarks from time to time, the Board monitors such Funds closely and considers any steps necessary or appropriate to address such issues.
 
Based on their review, the Independent Board Members determined that each Fund’s investment performance had been satisfactory.
 
C. Fees, Expenses and Profitability
1. Fees and Expenses
 
The Board evaluated the management fees and expenses of each Fund reviewing, among other things, such Fund’s gross management fees, net management fees and net expense ratios in absolute terms as well as compared to the fee and expenses of a comparable universe of funds based on data provided by an independent fund data provider (the “Peer Universe”) and in certain cases, to a more focused subset of funds in the Peer Universe (the “Peer Group”) and any expense limitations.
 
The Independent Board Members further reviewed the methodology regarding the construction of the applicable Peer Universe and Peer Group (if any). In reviewing the comparisons of fee and expense information, the Independent Board Members took into account that in certain instances various factors such as: the asset level of a fund relative to peers; the limited size and particular composition of the Peer Universe or Peer Group; the investment objectives of the peers; expense anomalies; changes in the funds comprising the Peer Universe or Peer Group from year to year; levels of reimbursement; the timing of information used; the differences in the type and use of leverage; and differences in the states reflected in the Peer Universe or Peer Group may impact the comparative data thereby limiting the ability to make a meaningful comparison with peers.
 
In reviewing the fee schedule for a Fund, the Independent Board Members also considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and reimbursements provided by Nuveen (applicable, in particular, for certain closed-end funds launched since 1999). In reviewing fees and expenses, the Board considered the expenses and fees to be higher if they were over 10 basis points higher, slightly higher if they were 6 to 10 basis points higher, in line if they were within 5 basis points higher than the peer average and below if they were below the peer average of the Peer Group (if available) or Peer Universe if there was no separate Peer Group. The Independent Board Members
 
 
Nuveen Investments 103
 
 
 

 
 
Annual Investment Management Agreement
Approval Process (Unaudited) (continued)
 
 
noted that the Massachusetts Premium Income Fund and the Connecticut Premium Income Fund each had net management fees slightly higher or higher than the peer average but a net expense ratio below or in line with the peer average and that the Missouri Premium Income Fund had higher net management fees than its peer average and a slightly higher or higher net expense ratio compared to its peer average. The Independent Board Members observed that each of the other Funds had net management fees and net expense ratios below or in line with their peer averages.
 
Based on their review of the fee and expense information provided, the Independent Board Members determined that each Fund’s management fees were reasonable in light of the nature, extent and quality of services provided to the Fund.
 
2. Comparisons with the Fees of Other Clients
 
The Independent Board Members further reviewed information regarding the nature of services and fee rates offered by the Advisor to other clients, including municipal separately managed accounts and passively managed exchange traded funds (ETFs) sub-advised by the Advisor. In evaluating the comparisons of fees, the Independent Board Members noted that the fee rates charged to the Funds and other clients vary, among other things, because of the different services involved and the additional regulatory and compliance requirements associated with registered investment companies, such as the Funds. Accordingly, the Independent Board Members considered the differences in the product types, including, but not limited to, the services provided, the structure and operations, product distribution and costs thereof, portfolio investment policies, investor profiles, account sizes and regulatory requirements. The Independent Board Members noted, in particular, that the range of services provided to the Funds (as discussed above) is much more extensive than that provided to separately managed accounts. Given the inherent differences in the products, particularly the extensive services provided to the Funds, the Independent Board Members believe such facts justify the different levels of fees.
 
In considering the fees of the Sub-Advisor, the Independent Board Members also considered the pricing schedule or fees that the Sub-Advisor charges for similar investment management services for other Nuveen funds.
 
3. Profitability of Nuveen
 
In conjunction with its review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities (which incorporated Nuveen’s wholly-owned affiliated sub-advisers) and its financial condition. The Independent Board Members reviewed the revenues and expenses of Nuveen’s advisory activities for the last two years, the allocation methodology used in preparing the profitability data and an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2010. The Independent Board Members noted this information supplemented the profitability information requested and received during the year to help keep them apprised of developments affecting profitability (such as changes in fee waivers and expense
 
104 Nuveen Investments
 
 
 

 
 
reimbursement commitments). In this regard, the Independent Board Members noted that they have an Independent Board Member serve as a point person to review and keep them apprised of changes to the profitability analysis and/or methodologies during the year. The Independent Board Members also considered Nuveen’s revenues for advisory activities, expenses, and profit margin compared to that of various unaffiliated management firms with similar amounts of assets under management and relatively comparable asset composition prepared by Nuveen.
 
In reviewing profitability, the Independent Board Members recognized the subjective nature of determining profitability which may be affected by numerous factors including the allocation of expenses. Further, the Independent Board Members recognized the difficulties in making comparisons as the profitability of other advisers generally is not publicly available and the profitability information that is available for certain advisers or management firms may not be representative of the industry and may be affected by, among other things, the adviser’s particular business mix, capital costs, types of funds managed and expense allocations. Notwithstanding the foregoing, the Independent Board Members reviewed Nuveen’s methodology and assumptions for allocating expenses across product lines to determine profitability. In reviewing profitability, the Independent Board Members recognized Nuveen’s investment in its fund business. Based on their review, the Independent Board Members concluded that the Advisor’s level of profitability for its advisory activities was reasonable in light of the services provided.
 
In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as any indirect benefits (such as soft dollar arrangements, if any) the Fund Adviser and its affiliates receive, or are expected to receive, that are directly attributable to the management of the Funds, if any. See Section E below for additional information on indirect benefits the Fund Adviser may receive as a result of its relationship with the Funds. Based on their review of the overall fee arrangements of each Fund, the Independent Board Members determined that the advisory fees and expenses of the respective Fund were reasonable.
 
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
 
With respect to economies of scale, the Independent Board Members have recognized the potential benefits resulting from the costs of a fund being spread over a larger asset base, although economies of scale are difficult to measure and predict with precision, particularly on a fund-by-fund basis. One method to help ensure the shareholders share in these benefits is to include breakpoints in the advisory fee schedule. Generally, management fees for funds in the Nuveen complex are comprised of a fund-level component and a complex-level component, subject to certain exceptions. Accordingly, the Independent Board Members reviewed and considered the applicable fund-level breakpoints in the advisory fee schedules that reduce advisory fees as asset levels increase. Further, the Independent Board Members noted that although closed-end
 
Nuveen Investments 105
 
 
 

 
 
Annual Investment Management Agreement
Approval Process (Unaudited) (continued)
 
 
funds may from time-to-time make additional share offerings, the growth of their assets will occur primarily through the appreciation of such funds’ investment portfolio.
 
In addition to fund-level advisory fee breakpoints, the Board also considered the Funds’ complex-wide fee arrangement. Pursuant to the complex-wide fee arrangement, the fees of the funds in the Nuveen complex are generally reduced as the assets in the fund complex reach certain levels. The complex-wide fee arrangement seeks to provide the benefits of economies of scale to fund shareholders when total fund complex assets increase, even if assets of a particular fund are unchanged or have decreased. The approach reflects the notion that some of Nuveen’s costs are attributable to services provided to all its funds in the complex and therefore all funds benefit if these costs are spread over a larger asset base.
 
Based on their review, the Independent Board Members concluded that the breakpoint schedules and complex-wide fee arrangement were acceptable and reflect economies of scale to be shared with shareholders when assets under management increase.
 
E. Indirect Benefits
 
In evaluating fees, the Independent Board Members received and considered information regarding potential “fall out” or ancillary benefits the respective Fund Adviser or its affiliates may receive as a result of its relationship with each Fund. In this regard, the Independent Board Members considered any revenues received by affiliates of the Advisor for serving as agent at Nuveen’s trading desk and as co-manager in initial public offerings of new closed-end funds.
 
In addition to the above, the Independent Board Members considered whether each Fund Adviser received any benefits from soft dollar arrangements whereby a portion of the commissions paid by a Fund for brokerage may be used to acquire research that may be useful to the Fund Adviser in managing the assets of the Funds and other clients. The Independent Board Members recognized that each Fund Adviser has the authority to pay a higher commission in return for brokerage and research services if it determines in good faith that the commission paid is reasonable in relation to the value of the brokerage and research services provided. Nevertheless, the Independent Board Members noted that commissions are generally not paid in connection with municipal securities transactions typically executed on a principal basis.
 
Based on their review, the Independent Board Members concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters.
 
F. Other Considerations
 
The Independent Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, unanimously concluded that the terms of each Advisory Agreement are fair and reasonable, that the respective Fund Adviser’s fees are reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed.
 
106 Nuveen Investments
 
 
 

 
 
Reinvest Automatically,
Easily and Conveniently
 
 
 
Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.
 
 
Nuveen Closed-End Funds Automatic Reinvestment Plan
 
Your Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.
 
By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.
 
It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.
 
Easy and convenient
 
To make recordkeeping easy and convenient, each month you’ll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.
 
How shares are purchased
 
The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may
 
Nuveen Investments 107
 
 
 

 
 
Reinvest Automatically,
Easily and Conveniently (continued)
 
 
exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.
 
Flexible
 
You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.
 
You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.
 
The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.
 
Call today to start reinvesting distributions
 
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.
 
108 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 invest- ment’s actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
 
·  
Average Effective Maturity: The market-value-weighted average of the effective maturity dates of the individual securities including cash. In the case of a bond that has been advance-refunded to a call date, the effective maturity is the date on which the bond is scheduled to be redeemed using the proceeds of an escrow account. In most other cases the effective maturity is the stated maturity date of the security.
 
·  
Effective Leverage: Effective leverage is a Fund’s effective economic leverage, and includes both structural leverage and the leverage effects of certain derivative invest- ments in the Fund’s portfolio. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any structural leverage.
 
·  
Inverse Floaters: Inverse floating rate securities, also known as inverse floaters, are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond’s par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an “inverse floater”) to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates’ holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond’s downside investment risk. The holder of the inverse floater typi- cally also benefits disproportionately from any potential appreciation of the underlying bond’s value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis.
 
·  
Leverage: Using borrowed money to invest in securities or other assets.
 
Nuveen Investments 109
 
 
 

 
 
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.
 
·  
Structural Leverage: Structural Leverage consists of preferred shares or debt issued by the fund. Both of these are part of a fund’s capital structure. Structural leverage is sometimes referred to as “‘40 Act Leverage” and is subject to asset coverage limits set in the Investment Company Act of 1940.
 
·  
Taxable-Equivalent Yield: The yield necessary from a fully taxable investment to equal, on an after-tax basis, the yield of a municipal bond investment.
 
·  
Zero Coupon Bond: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Tax-exempt income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically.
 
110 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
Virginia L. Stringer
Terence J. Toth
 
Fund Manager
Nuveen Fund Advisors, Inc.
333 West Wacker Drive
Chicago, IL 60606
 
Custodian
State Street Bank
& Trust
Company
Boston, MA
 
Transfer Agent and
Shareholder Services
State Street Bank & Trust
Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
 
Legal Counsel
Chapman and Cutler LLP
Chicago, IL
 
Independent Registered
Public Accounting Firm
Ernst & Young LLP
Chicago, IL
 
Quarterly Portfolio of Investments and Proxy Voting Information
 
You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, and (iii) a description of the policies and procedures that each Fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com.
 
You may also obtain this and other Fund information directly from the Securities and Exchange Commission (SEC). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public References Section at 100 F Street NE, Washington, D.C. 20549.
 
CEO Certification Disclosure
 
Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual.
 
Each Fund has filed with the SEC the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
 
Common 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.
   
Common Shares 
Preferred Shares 
 
Fund 
Repurchased 
Redeemed 
 
NTC 
629 
 
NFC 
 
NGK 
 
NGO 
 
NMT 
576 
 
NMB 
 
NGX 
 
NOM 
640 
Any future repurchases and/or redemptions will be reported to shareholders in the next annual or semi-annual report.
 
Nuveen Investments 111
 
 
 

 
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 $206 billion of assets as of March 31, 2011.
 
Find out how we can help you.
 
To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.
 
Learn more about Nuveen Funds at: www.nuveen.com/cef
 
 

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 Securities, LLC 
333 West Wacker Drive 
Chicago, IL 60606 
www.nuveen.com 
 
EAN-B-0511D
 
 

 
 
ITEM 2. CODE OF ETHICS.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the Code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/CEF/Info/Shareholder. (To view the code, click on Fund Governance and then click on Code of Conduct.)

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The registrant's Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant's audit committee financial expert is Carole E. Stone, who is “independent” for purposes of Item 3 of Form N-CSR.

Ms. Stone served for five years as Director of the New York State Division of the Budget. As part of her role as Director, Ms. Stone was actively involved in overseeing the development of the State's operating, local assistance and capital budgets, its financial plan and related documents; overseeing the development of the State's bond-related disclosure documents and certifying that they fairly presented the State's financial position; reviewing audits of various State and local agencies and programs; and coordinating the State's system of internal audit and control. Prior to serving as Director, Ms. Stone worked as a budget analyst/examiner with increasing levels of responsibility over a 30 year period, including approximately five years as Deputy Budget Director.  Ms. Stone has also served as Chair of the New York State Racing Association Oversight Board, as Chair of the Public Authorities Control Board, as a Commissioner on the New York State Commission on Public Authority Reform and as a member of the Boards of Directors of several New York State public authorities. These positions have involved overseeing operations and finances of certain entities and assessing the adequacy of project/entity financing and financial reporting. Currently, Ms. Stone is on the Board of Directors of CBOE Holdings, Inc., of the Chicago Board Options Exchange, and of C2 Options Exchange. Ms. Stone's position on the boards of these entities and as a member of both CBOE Holdings' Audit Committee and its Finance Committee has involved, among other things, the oversight of audits, audit plans and preparation of financial statements.
 
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Nuveen Massachusetts Dividend Advantage Municipal Fund

The following tables show the amount of fees that Ernst & Young LLP, the Fund's auditor, billed to the Fund during the Fund's last two full fiscal years. For engagements with Ernst & Young LLP the Audit Committee approved in advance all audit services and non-audit services that Ernst & Young LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee's attention, and the Committee (or its delegate) approves the services before the audit is completed.

The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).

SERVICES THAT THE FUND'S AUDITOR BILLED TO THE FUND
 
 
Audit Fees Billed
   
Audit-Related Fees
   
Tax Fees
   
All Other Fees
 
Fiscal Year Ended
to Fund 1
   
Billed to Fund 2
   
Billed to Fund 3
   
Billed to Fund 4
 
May 31, 2011
$ 18,200     $ 0     $ 0     $ 0  
                               
Percentage approved
  0 %     0 %     0 %     0 %
pursuant to
                             
pre-approval
                             
exception
                             
                               
May 31, 2010
$ 8,691     $ 12,500     $ 0     $ 850  
                               
Percentage approved
  0 %     0 %     0 %     0 %
pursuant to
                             
pre-approval
                             
exception
                             
                               
1 "Audit Fees" are the aggregate fees billed for professional services for the audit of the Fund's annual financial statements and services
 
provided in connection with statutory and regulatory filings or engagements.
                 
                               
2 "Audit Related Fees" are the aggregate fees billed for assurance and related services reasonably related to the performance of the
 
audit or review of financial statements and are not reported under "Audit Fees".
                 
                               
3 "Tax Fees" are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning.
         
                               
4 "All Other Fees" are the aggregate fees billed for products and services for agreed upon procedures engagements performed for leveraged funds.
 
 
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE ADVISER AND AFFILIATED FUND SERVICE PROVIDERS

The following tables show the amount of fees billed by Ernst & Young LLP to Nuveen Fund Advisors, Inc. (formerly Nuveen Asset Management) (the “Adviser” or “NFA”), and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund's operations and financial reporting, during the Fund's last two full fiscal years.
 
The tables also show the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee's attention, and the Committee (or its delegate) approves the services before the Fund's audit is completed.

Fiscal Year Ended
Audit-Related Fees
   
Tax Fees Billed to
   
All Other Fees
 
 
Billed to Adviser and
   
Adviser and
   
Billed to Adviser
 
 
Affiliated Fund
   
Affiliated Fund
   
and Affiliated Fund
 
 
Service Providers
   
Service Providers
   
Service Providers
 
May 31, 2011
$ 0     $ 0     $ 0  
                       
Percentage approved
  0 %     0 %     0 %
pursuant to
                     
pre-approval
                     
exception
                     
                       
May 31, 2010
$ 0     $ 0     $ 0  
                       
Percentage approved
  0 %     0 %     0 %
pursuant to
                     
pre-approval
                     
exception
                     
 
NON-AUDIT SERVICES

The following table shows the amount of fees that Ernst & Young LLP billed during the Fund's last two full fiscal years for non-audit services. The Audit Committee is required to pre-approve non-audit services that Ernst & Young LLP provides to the Adviser and any Affiliated Fund Services Provider, if the engagement related directly to the Fund's operations and financial reporting (except for those subject to the pre-approval exception described above). The Audit Committee requested and received information from Ernst & Young LLP about any non-audit services that Ernst & Young LLP rendered during the Fund's last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating Ernst & Young LLP's independence.

Fiscal Year Ended
     
Total Non-Audit Fees
             
       
billed to Adviser and
             
       
Affiliated Fund Service
   
Total Non-Audit Fees
       
       
Providers (engagements
   
billed to Adviser and
       
       
related directly to the
   
Affiliated Fund Service
       
 
Total Non-Audit Fees
   
operations and financial
   
Providers (all other
       
 
Billed to Fund
   
reporting of the Fund)
   
engagements)
   
Total
 
May 31, 2011
$ 0     $ 0     $ 0     $ 0  
May 31, 2010
$ 850     $ 0     $ 0     $ 850  
                               
"Non-Audit Fees billed to Fund" for both fiscal year ends represent "Tax Fees" and "All Other Fees" billed to Fund in their respective
 
amounts from the previous table.
                             

Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Fund by the Fund's independent accountants and (ii) all audit and non-audit services to be performed by the Fund's independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

The registrant's Board has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The members of the audit committee are Robert P. Bremner, Terence J. Toth, William J. Schneider, Carole E. Stone and David J. Kundert.

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.

Nuveen Fund Advisors, Inc. (“Adviser”) is the registrant’s investment adviser. NFA is responsible for the on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services. The Adviser has engaged Nuveen Asset Management, LLC (“Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. As part of these services, the Adviser has delegated to the Sub-Adviser the full responsibility for proxy voting on securities held in the registrant’s portfolio and related duties in accordance with the Sub-Adviser's policy and procedures. The Adviser periodically monitors the Sub-Adviser's voting to ensure that it is carrying out its duties. The Sub-Adviser’s proxy voting policies and procedures are attached to this filing as an exhibit and incorporated herein by reference.
 
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
 
Nuveen Fund Advisors, Inc. is the registrant's investment adviser (also referred to as the "Adviser".)  The Adviser is responsible for the selection and on-going monitoring of the Fund's investment portfolio, managing the Fund's business affairs and providing certain clerical, bookkeeping and administrative services.  The Adviser has engaged Nuveen Asset Management, LLC (“NAM” or “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. The following section provides information on the portfolio manager at the Sub-Adviser:

The Portfolio Manager
 
The following individual has primary responsibility for the day-to-day implementation of the registrant’s investment strategies:
 
Name
Fund
Michael Hamilton
Nuveen Massachusetts Dividend Advantage Municipal Fund

Other Accounts Managed. In addition to managing the registrant, the portfolio manager is also primarily responsible for the day-to-day portfolio management of the following accounts:
 
Portfolio Manager
Type of Account
Managed
Number of
Accounts
Assets*
 Michael Hamilton
 Registered Investment Company
16
$1.545 billion
 
 Other Pooled Investment Vehicles
0
$0
 
 Other Accounts
4
$204.2 million
*
Assets are as of May 31, 2011.  None of the assets in these accounts are subject to an advisory fee based on performance.

Compensation. Portfolio manager compensation consists primarily of base pay, an annual cash bonus and long-term incentive payments.

Base pay. Base pay is determined based upon an analysis of the portfolio manager‘s general performance, experience, and market levels of base pay for such position.

Annual cash bonus. The Fund’s portfolio manager is eligible for an annual cash bonus determined based upon the  portfolio manager‘s performance, experience and market levels of base pay for such position. The maximum potential annual cash bonus is equal to a multiple of base pay.

A portion of the portfolio manager‘s annual cash bonus is based on his or her Fund‘s investment performance, generally measured over the past one- and three-year periods unless the portfolio manager‘s tenure is shorter. Investment performance for the Fund is determined by evaluating the Fund‘s performance relative to its benchmark(s) and/or Lipper industry peer group.

Bonus amounts can also be influenced by factors other than investment performance. These other factors are more subjective and are based on evaluations by each portfolio manager‘s supervisor and reviews submitted by his or her peers. These reviews and evaluations often take into account a number of factors, including the portfolio manager‘s effectiveness in communicating investment performance to shareholders and their advisors, his or her contribution to NAM‘s investment process and to the execution of investment strategies consistent with risk guidelines, his or her participation in asset growth, and his or her compliance with NAM‘s policies and procedures.

Investment performance is measured on a pre-tax basis, gross of fees for a Fund‘s results and for its Lipper industry peer group.

Long-term incentive compensation. Certain key employees of Nuveen Investments and its affiliates, including certain portfolio managers, have received profits interests in the parent company of Nuveen Investments which entitle their holders to participate in the appreciation in the value of Nuveen Investments. In addition, in July 2009, Nuveen Investments created and funded a trust which purchased shares of certain Nuveen Mutual Funds and awarded such shares, subject to vesting, to certain key employees, including certain portfolio managers. Finally, certain key employees of  NAM, including certain portfolio managers, have received profits interests in NAM which entitle their holders to participate in the firm‘s growth over time.

Material Conflicts of Interest. Each portfolio manager’s simultaneous management of the registrant and the other accounts noted above may present actual or apparent conflicts of interest with respect to the allocation and aggregation of securities orders placed on behalf of the Registrant and the other account. NAM, however, believes that such potential conflicts are mitigated by the fact that the NAM has adopted several policies that address potential conflicts of interest, including best execution and trade allocation policies that are designed to ensure (1) that portfolio management is seeking the best price for portfolio securities under the circumstances, (2) fair and equitable allocation of investment opportunities among accounts over time and (3) compliance with applicable regulatory requirements. All accounts are to be treated in a non-preferential manner, such that allocations are not based upon account performance, fee structure or preference of the portfolio manager, although the allocation procedures may provide allocation preferences to funds with special characteristics (such as favoring state funds versus national funds for allocations of in-state bonds). In addition, NAM has adopted a Code of Conduct that sets forth policies regarding conflicts of interest.

Beneficial Ownership of Securities. As of the May 31, 2011, the portfolio manager beneficially owned the following dollar range of equity securities issued by the Registrant and other Nuveen Funds managed by NAM’s municipal investment team.

Name of Portfolio Manager
Fund
 
 
Dollar range of equity securities beneficially
owned in Fund
Dollar range of equity securities beneficially owned in the remainder of Nuveen funds managed by NAM’s municipal investment team
Michael Hamilton
Nuveen Massachusetts Dividend Advantage Municipal Fund
$0
$0

PORTFOLIO MANAGER BIO:

Michael Hamilton, Senior Vice President of NAM, manages several municipal funds.  He joined NAM on January 1, 2011 in connection with Nuveen Fund Advisors acquiring a portion of the asset management business of FAF Advisors.  He began working in the financial industry when he joined FAF Advisors in 1989, as a fixed-income fund manager and trader.  He became a portfolio manager in 1992. He received a B.A. from Albertson’s College of Idaho and an M.B.A. from Western Washington University. He is a member of the Portland Society of Financial Analysts. Currently, he manages investments for 17 Nuveen-sponsored investment companies.
 
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's Board implemented after the registrant last provided disclosure in response to this item.

ITEM 11. CONTROLS AND PROCEDURES.

(a)
The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b)
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

ITEM 12. EXHIBITS.

File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(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 because the code is posted on registrant's website at www.nuveen.com/CEF/Info/ Shareholder and there were no amendments during the period covered by this report. (To view the code, click on Fund Governance and then Code of Conduct.)

(a)(2)
A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto.

(a)(3)
Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.

(b)
If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.


 
 

 

SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Nuveen Massachusetts Dividend Advantage Municipal Fund

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

Date: August 5, 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: August 5, 2011
 
By (Signature and Title) /s/ Stephen D. Foy
Stephen D. Foy
Vice President and Controller
(principal financial officer)

Date: August 5, 2011