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, 2012

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

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


 
 

 


ITEM 1. REPORTS TO STOCKHOLDERS.


 
 

 
 
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Table of Contents
 
Chairman’s Letter to Shareholders
4
   
Portfolio Managers’ Comments
5
   
Fund Leverage and Other Information
14
   
Common Share Dividend and Price Information
16
   
Performance Overviews
18
   
Shareholder Meeting Report
26
   
Report of Independent Registered Public Accounting Firm
32
   
Portfolios of Investments
33
   
Statement of Assets and Liabilities
68
   
Statement of Operations
70
   
Statement of Changes in Net Assets
72
   
Statement of Cash Flows
75
   
Financial Highlights
78
   
Notes to Financial Statements
89
   
Annual Investment Management Agreement Approval Process
103
   
Board Member & Officers
112
   
Reinvest Automatically, Easily and Conveniently
117
   
Glossary of Terms Used in this Report
119
   
Additional Fund Information
123

 
 

 
 
Chairman’s
Letter to Shareholders
 
 
Dear Shareholders,
 
Investors have many reasons to remain cautious. The challenges in the Euro area are casting a shadow over global economies and financial markets. The political support for addressing fiscal issues is eroding as the economic and social impacts become more visible. At the same time, member nations appear unwilling to provide adequate financial support or to surrender sufficient sovereignty to strengthen the banks or unify the Euro area financial system. The gains made in reducing deficits, and the hard-won progress on winning popular acceptance of the need for economic austerity, are at risk. To their credit, European political leaders press on to find compromise solutions, but there is increasing concern that time will begin to run out.
 
In the U.S., strong corporate earnings have enabled the equity markets to withstand much of the downward pressures coming from weakening job creation, slower economic growth and political uncertainty. The Fed remains committed to low interest rates but has refrained from predicting another program of quantitative easing unless economic growth were to weaken significantly or the threat of recession appears on the horizon. Pre-election maneuvering has added to the already highly partisan atmosphere in the Congress. The end of the Bush-era tax cuts and implementation of the spending restrictions of the Budget Control Act of 2011, both scheduled to take place at year-end, loom closer.
 
During the last year, U.S. based investors have experienced a sharp decline and a strong recovery in the equity markets. The experienced investment teams at Nuveen keep their eye on a longer time horizon and use their practiced investment disciplines to negotiate through market peaks and valleys to achieve long-term goals for investors. Experienced professionals pursue investments that will weather short-term volatility and at the same time, seek opportunities that are created by markets that overreact to negative developments. Monitoring this process is an important consideration for the Fund Board as it oversees your Nuveen Fund on your behalf.
 
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 20, 2012
 
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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 Massachusetts AMT-Free Municipal Income Fund (NGX)
(formerly known as 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 23 years of investment experience, Michael assumed portfolio management responsibility for the Connecticut and Massachusetts Funds in January 2011. Chris, who has 32 years of investment experience, took on portfolio management responsibility for NOM in January 2011.
 
What factors affected the U.S. economic and municipal market environments during the twelve-month reporting period ended May 31, 2012?
 
During this period, the U.S. economy’s progress toward recovery from recession remained moderate. The Federal Reserve (Fed) maintained its efforts to improve the overall economic environment by continuing to hold the benchmark Fed Funds rate at the record low level of zero to 0.25% that it had established in December 2008. At its June 2012 meeting (following the end of this reporting period), the central bank affirmed its opinion that economic conditions would likely warrant keeping the Fed Funds rate at “exceptionally low levels” through at least late 2014. The Fed also announced that it would extend its program to lengthen the average maturity of its holdings of U.S. Treasury securities by purchasing another $267 billion of these securities (in addition to the $400 billion originally announced in September 2011) with remaining maturities of six to thirty years and selling an equal amount of U.S. Treasury securities with maturities of three years or less. The goals of this program, which the Fed has now extended through the end of December 2012, are to lower longer-term interest rates, make broader financial conditions more accommodating, support a stronger economic recovery and help ensure that inflation remains at levels consistent with the Fed’s mandates of maximum employment and price stability.
 
Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.
 
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
 
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In the first quarter of 2012, the U.S. economy, as measured by the U.S. gross domestic product (GDP), grew at an annualized rate of 1.9%, marking eleven consecutive quarters of positive growth. The Consumer Price Index (CPI) rose 1.7% year-over-year as of May 2012, the lowest twelve-month rate of change since February 2011, while the core CPI (which excludes food and energy) increased 2.3% during the period, edging above the Fed’s unofficial objective of 2.0% or lower for this inflation measure. Labor market conditions continued to be slow to improve, with national unemployment registering 8.2% in May 2012, down from 9.0% in May 2011 but a slight uptick from the 8.1% reading in April 2012. The housing market remained the major weak spot in the economy, beleaguered by a high level of distressed properties and difficult credit conditions. For the twelve months ended April 2012 (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 1.9%, as housing prices remained at the lowest levels since early 2003, down approximately 34% from their 2006 peak. In addition, the U.S. economic picture continued to be clouded by concerns about the European debt crisis and global financial markets in general and efforts to reduce the U.S. federal deficit.
 
Municipal bond prices generally rallied during this period, amid strong demand and tight supply. Although the availability of tax-exempt supply improved in recent months, the pattern of new issuance remained light compared with long-term historical trends. This served as a key driver of performance, as tight supply and strong demand combined to create favorable market conditions for municipal bonds. Concurrent with rising prices, yields declined across most maturities, especially at the longer end of the municipal yield curve. The depressed level of municipal bond issuance during the first part of this period was due in part to the lingering effects of the taxable Build America Bonds (BAB) program. Even though the BAB program expired at the end of 2010, issuers had made extensive use of its favorable terms to issue almost $190 billion in taxable BAB bonds during 2009 and 2010, representing approximately 25% of all municipal issuance during that period. Some borrowers accelerated issuance into 2010 in order to take advantage of the program before its termination, fulfilling their capital program borrowing needs well into 2011 and 2012. The low level of municipal issuance during this period also reflected the current political distaste for additional borrowing by state and local governments and the prevalent atmosphere of municipal budget austerity. In recent months, we have seen an increasing number of borrowers come to market seeking to take advantage of the current rate environment by calling existing debt and refinancing at lower rates.
 
Over the twelve months ended May 31, 2012, municipal bond issuance nationwide totaled $357.4 billion, an increase of 2.7% compared with issuance during the twelvemonth period ended May 31, 2011. During this period, demand for municipal bonds remained very strong, especially from individual investors.
 
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How were the economic and market conditions in Connecticut, Massachusetts and Missouri during this period?
 
Connecticut continued to make progress toward recovery from the recent recession. In 2011, the state’s economy expanded at a rate of 2.0%, compared with the national average of 1.5%, ranking Connecticut ninth in the nation in terms of GDP growth by state. During the twelve-month period ended May 2012, the education and health care sectors led the state in job growth, followed by transportation, trade, professional and business services and leisure/hospitality. The state’s financial sector, predominately the insurance companies based in Hartford and the securities firms and hedge funds in Bridgeport, continued to be important to Connecticut’s recovery. As of May 2012, the jobless rate in Connecticut was 7.8%, down from 8.9% in May 2011 and below the national average of 8.2% for May 2012. The potential downsides for Connecticut’s continued growth included lower housing affordability and higher living and energy costs. In May 2011, Connecticut enacted a biennium state budget for fiscal 2012 and 2013 that achieved balance by raising the state’s income and sales tax rates and reducing expenditures, chiefly through concessions from the state’s public service unions. Recent proposed adjustments to the biennium budget focused on improving state pension and education funding, addressing priorities such as early childhood education, expansion of charter and magnet schools and retention of the best teachers and principals. In January 2012, Moody’s downgraded its rating on Connecticut general obligation debt to Aa3 from Aa2, citing the state’s depleted reserves and high debt burden, while S&P continued to rate Connecticut GOs at AA as of May 2012. Issuance of municipal debt in Connecticut during the twelve months ended May 31, 2012, totaled $6.1 billion, up 27% from the twelve months ended May 31, 2011.
 
Massachusetts has made significant strides toward recovery. In 2011, the Massachusetts economy expanded at a rate of 2.2%, compared with the national average of 1.5%, ranking Massachusetts seventh in terms of GDP growth by state. As of May 2012, the jobless rate in Massachusetts was 6.0%, its lowest reading since September 2008, down from 7.4% in May 2011. Professional and business services have been the primary driver of the commonwealth’s recovery, with job growth in this sector far outpacing that in other sectors during the twelve months ended May 2012. Transportation, trade and leisure and hospitality also posted stronger gains. Government employment reached its lowest level in five years, with the majority of losses at the local level, while the current state budget proposed eliminating another 1,100 jobs. The concentration of colleges and universities 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. Improvements in the Massachusetts job market have translated to signs of improvement in its housing market, as single-family housing starts reached their highest level in almost two years. According to the S&P/Case-Shiller Index of 20 major metropolitan areas, housing prices in Boston rose 0.1% during the twelve months ended April 2012 (most recent date available at the time this report was prepared), compared with a decline of 1.9% nationally. On the fiscal front, the proposed $32.5 billion Massachusetts budget for fiscal 2013, which was introduced in January 2012, focused on promoting job growth, closing the achievement gap in schools, lowering health care
 
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costs and ending youth violence by supporting positive youth development. As of May 2012, Moody’s continued to rate Massachusetts general obligation (GO) debt at Aa1. In September 2011, S&P raised its rating on Massachusetts GO to AA+ from AA, citing the commonwealth’s progress in improving financial, debt and budget management practices. For the twelve months ended May 31, 2012, new municipal supply in Massachusetts totaled $8.6 billion, a decrease of 15% from the previous twelve months.
 
For 2011, Missouri’s economic growth remained essentially flat, while the national economy expanded at a rate of 1.5%. This ranked Missouri 43rd in terms of GDP growth by state. Job losses were spread across a number of sectors, including information services, construction, financial services and transportation. Missouri’s unemployment rate as of May 2012 was 7.3%, its lowest level since December 2008, down from 8.6% in May 2011 and below the national average of 8.2% for May 2012. Missouri has focused efforts on transitioning part of the state economy away from traditional manufacturing jobs into the development of biotechnology and alternative energy industries. Trade with China also has provided new opportunities. Although export growth fell in 2011, a recent agreement with emphasis on agricultural exports to China improved the outlook for food manufacturers, which accounted for 10% of the state’s $14 billion in exports. For fiscal 2013, the $24 billion Missouri state budget, which was introduced in January 2012, focused on job creation, K-12 education funding, disaster recovery funding and continued efforts to streamline the state government, while making cuts to Medicaid and higher education. The budget, which contained no new taxes, also called for eliminating more than 800 additional state jobs, bringing total reductions to 4,100 over the past four years and resulting in the smallest state workforce since 1997. As of May 2012, 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, 2012, municipal issuance in Missouri totaled $4.7 million, on par with the issuance of the previous twelve-month period.
 
What key strategies were used to manage these Funds during this period?
 
As previously discussed, municipal bond prices generally rallied during this period in an environment of strong demand. In this environment, we continued to take a bottom-up approach to discovering sectors that appeared undervalued as well as individual credits that had the potential to perform well over the long term and helped us keep the Funds fully invested.
 
During this period, the Connecticut Funds found value in several areas of the market, including charter schools, electric utilities, and health care, where we increased our exposure in all four Funds. During times when Connecticut municipal bonds were in shorter supply, we took advantage of our ability to invest a portion of the Funds’ net assets in non-Connecticut credits to keep the Funds fully invested, adding territorial paper from the Virgin Islands and Puerto Rico. Our purchase of territorial bonds also benefited the Funds through higher yields, added diversification and triple exemption (i.e., exemption from federal, state and local taxes).
 
Among the Massachusetts Funds, NMT and NMB added to their health care holdings during this period. For NGX, the Fund’s insured mandate and the continued severe decline in insured issuance meant that finding appropriate insured municipal bonds,
 
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especially new insured issues, remained a challenge. Over the past few years, most municipal bond insurers had their credit ratings downgraded, and only one insurer currently insures new municipal bonds. As a result, the supply of insured municipal securities decreased dramatically. In 2011, new insured paper accounted for only about 5% of total municipal issuance, compared with historical levels approaching 50%, while during the first five months of 2012, insured issuance totaled less than $6 billion, or about 4%. Although NGX’s investment policy allowed the Fund to invest up to 20% of its net assets in uninsured investment-grade credits rated BBB- or higher, the Fund was already close to this limit coming into the period. This, plus the combination of comparatively light municipal supply, little insured issuance and relatively lower yields, meant few attractive buying opportunities for NGX. During this period, we focused on reinvesting the proceeds from matured and called bonds in order to keep NGX as fully invested as possible, purchasing insured territorial paper such as revenue bonds issued by Guam Power Authority. One of the consequences of the insured supply situation was that, even with these efforts, NGX’s duration continued to drift lower.
 
In view of this ongoing situation, in October 2011, NGX’s Board of Trustees approved changes to the Fund’s investment policy regarding insured municipal securities. On May 15, 2012, following shareholder approval, the Fund eliminated the policy requiring it to invest at least 80% of its managed assets in municipal securities covered by insurance. This change was designed to provide more flexibility regarding the types of securities available for investment. This does not represent a change in investment objectives; NGX will continue to invest substantially all of its assets in a portfolio of investment-grade quality municipal securities. Following the changes to NGX’s investment policy, we focused on bonds that would extend the Fund’s duration and begin to move it back into its target range by adding uninsured bonds with longer maturities, particularly those issued by Puerto Rico and Guam.
 
In NOM, we purchased Kansas City water revenue bonds, as well as debt issued for the Missouri Joint Municipal Electric Utility Commission for the MoPEP (Missouri Public Energy Pool) project. NOM also bought tax-exempt territorial bonds, where we focused on higher-rated issues such as Aa2/AA- sales tax revenue bonds issued by the Puerto Rico Sales Tax Financing Corporation. During the first half of the period, NOM also added higher education, health care and continuing care retirement community credits. More than half of NOM’s purchases during the year were made in the A rated credit quality category, while the remaining additions to our portfolio were purchased across the credit spectrum.
 
Cash for new purchases during this period was generated primarily by the proceeds from a number of bond calls, which we worked to redeploy to keep the Funds as fully invested as possible. The Connecticut Funds also sold pre-refunded bonds with short maturities, as well as some out-of-state paper. The non-Connecticut holdings were sold at a premium at the end of 2011 to provide cash to finance purchases at a time when bond calls were less numerous. In addition, NMT took advantage of opportunities early in the period to sell some high-quality bonds with short call dates at attractive prices. These sales enabled us to extend the Fund’s duration by reinvesting the proceeds from these shorter bonds into bonds with longer maturities. Overall, selling was relatively
 
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minimal because the bonds in our portfolios generally offered higher yields than those available in the current marketplace.
 
As of May 31, 2012, all of these Funds continued to use inverse floating rate securities. We employ inverse floaters for a variety of reasons, including duration management, income enhancement and total return enhancement. During this period, we terminated some inverse floater positions in NMT and NMB. We accomplished this by using cash proceeds from bond calls to buy back the inverse floaters, terminate the trusts that held the securities and place the bonds involved back on the Funds’ Statement of Assets & Liabilities.
 
How did the Funds perform during the twelve-month period ended May 31, 2012?
 
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 5/31/12
 
 
1-Year
5-Year
10-Year
Connecticut Funds
     
NTC
13.45%
6.39%
6.13%
NFC
14.92%
6.77%
6.63%
NGK
13.61%
6.45%
6.50%
NGO
13.56%
6.16%
N/A
       
Standard & Poor’s (S&P) Connecticut Municipal Bond Index*
7.35%
5.07%
4.81%
Standard & Poor’s (S&P) National Municipal Bond Index*
10.77%
5.54%
5.44%
Lipper Other States Municipal Debt Funds Classification Average*
16.15%
6.27%
6.53%
       
Massachusetts Funds
     
NMT
15.29%
6.70%
6.30%
NMB
15.45%
6.18%
6.76%
       
Standard & Poor’s (S&P) Massachusetts Municipal Bond Index*
9.42%
5.99%
5.56%
Standard & Poor’s (S&P) National Municipal Bond Index*
10.77%
5.54%
5.44%
Lipper Other States Municipal Debt Funds Classification Average*
16.15%
6.27%
6.53%
       
Insured Massachusetts Fund**
     
NGX
8.82%
5.60%
N/A
       
Standard & Poor’s (S&P) Massachusetts Municipal Bond Index*
9.42%
5.99%
5.56%
Standard & Poor’s (S&P) National Insured Municipal Bond Index*
11.44%
5.64%
5.52%
Lipper Single State Insured Municipal Debt Funds Classification Average*
18.66%
6.44%
6.07%
Standard & Poor’s (S&P) National Municipal Bond Index*
10.77%
5.54%
5.44%
Lipper Other States Municipal Debt Funds Classification Average*
16.15%
6.27%
6.53%
 
 
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.
   
*
Refer to Glossary of Terms Used in this Report for definitions. Indexes and Lipper averages are not available for direct investment.
   
**
Effective May 15, 2012, NGX eliminated the investment policy that required the Fund to invest at least 80% of its managed assets in insured securities.
 
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Average Annual Total Returns on Common Share Net Asset Value (continued)
For periods ended 5/31/12
 
 
1-Year
5-Year
10-Year
Missouri Fund
     
NOM
17.16%
6.19%
6.02%
       
Standard & Poor’s (S&P) Missouri Municipal Bond Index*
10.52%
5.60%
5.55%
Standard & Poor’s (S&P) National Municipal Bond Index*
10.77%
5.54%
5.44%
Lipper Other States Municipal Debt Funds Classification Average*
16.15%
6.27%
6.53%
 
For the twelve months ended May 31, 2012, the total returns on common share net asset value (NAV) for all of these Funds (except NGX) exceeded the returns for their respective state’s S&P Municipal Bond Index, as well as the S&P National Municipal Bond Index. NOM also outperformed the average return for the Lipper Other States Municipal Debt Funds Classification, while the remaining Funds trailed this Lipper average.
 
Shareholders should note that the performance of the Lipper Other States classification represents the overall average of returns for funds from ten different states with a wide variety of municipal market conditions. For the same period, NGX underperformed the S&P Massachusetts, national and insured indexes and the relevant Lipper averages.
 
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 regulatory leverage also was an important positive factor affecting the Funds’ performance. Leverage is discussed in more detail later in this report.
 
The Funds’ duration, or interest rate positioning, provided meaningful positive impact on performance. As interest rates fell throughout the year, it was advantageous for the Funds’ portfolios to have a relatively long duration, in other words, to be more sensitive to the beneficial effects of declining rates.
 
During this period, municipal bonds with longer maturities generally outperformed those with shorter maturities. Overall, credits at the longest end of the municipal yield curve posted the strongest returns, while bonds at the shortest end produced the weakest results. Zero coupon bonds, which generally outperformed during this period due to their longer durations, were among the top contributors to the Funds’ performance. Overall, duration and yield curve positioning were positive contributors to the performance of all of these Funds. NFC, NMT, NMB and NOM were the most advantageously positioned, with stronger exposure to the longer parts of the yield curve that performed best during this period. All of the Funds (except NGX) also benefited from being underweight in the underperforming short end of the curve. As previously mentioned, the duration of NGX had shortened over the last several years as bonds matured or were called from its portfolio and the lack of insured issuance hampered our ability to replace these bonds with credits having longer maturities. NGX’s greater exposure to the shorter end of the yield curve was the major factor in its underperformance during this period. Overall, variations in duration and yield curve positioning among the Funds accounted for a significant amount of the differences in performance.
 
Credit exposure was also an important factor in the Funds’ performance during these twelve months, as lower quality bonds generally outperformed higher quality bonds. This outperformance was due in part to the greater demand for lower rated bonds as
 
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investors looked for investment vehicles offering higher yields. As investors became more comfortable taking on additional investment risk, credit spreads or the difference in yield spreads between U.S. Treasury securities and comparable investments such as municipal bonds, narrowed through a variety of rating categories. As a result of this spread compression, the performance of these Funds benefited from their holdings in the lower rated credit spectrum. Among these eight Funds, NOM had the largest allocation of bonds rated BBB and the smallest weighting in AAA bonds. Credit exposure was also a major contributor to the performance of NGO, which had the heaviest weighting in BBB bonds among the Connecticut Funds.
 
Holdings that generally made positive contributions to the Funds’ returns during this period included health care (including hospitals), transportation, education and water and sewer credits. All of these Funds (except NGX), in particular NFC, NGK and NOM benefited from strong weightings in the health care sector. While the Connecticut and Massachusetts Funds were underweight in the transportation sector, NOM was overweight in airports, which was a modest contributor to its performance. The Connecticut Funds also were helped by their overweighting in education bonds. Tobacco credits backed by the 1998 master tobacco settlement agreement also performed well, as these bonds benefited from several market developments, including increased demand for higher yielding investments by investors who had become less risk averse. In addition, based on recent data showing that cigarette sales had fallen less steeply than anticipated, the states and territories participating in the agreement, including Connecticut and Puerto Rico, stand to receive increased payments from the tobacco companies. As of May 31, 2012, NTC, NGK and NGO held lower rated tobacco bonds issued by Puerto Rico, with NGO having the largest exposure.
 
In contrast, pre-refunded bonds, which are often backed by U.S. Treasury securities, were the poorest performing market segment during this period. The underperformance of these bonds can be attributed primarily to their shorter effective maturities and higher credit quality. As of May 31, 2012, NGK, NGO, NMT and especially NGX had the heaviest weightings of pre-refunded bonds, which detracted from their performance, while NMB held the fewest pre-refunded bonds. General obligation (GO) bonds and public power and housing credits also lagged the performance of the general municipal market for this period. These Funds generally tended to be underweight in the GO sector, which limited the impact of these holdings. This was particularly true in NMT and NMB, which were underweight in both state and local GOs. Conversely, the Connecticut and Massachusetts Funds were overweight in housing bonds, which underperformed in an environment of declining interest rates and a rallying bond market.
 
APPROVED FUND REORGANIZATIONS
 
On May 14, 2012, Shareholders approved a series of reorganizations for all the Connecticut Funds included in this report. The reorganizations are intended to create a single larger state Fund, which would potentially offer shareholders the following benefits:
 
Lower Fund expense ratios (excluding the effects of leverage), as fixed costs are spread over a larger asset base;
   
Enhanced secondary market trading, as larger Funds potentially make it easier for investors to buy and sell fund shares;
 
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Lower per share trading costs through reduced bid/ask spreads due to a larger common share float; and
   
Increased Fund flexibility in managing the structure and cost of leverage over time.
 
The approved reorganizations are as follows:
 
Acquired Funds
Symbol
Acquiring Fund
Symbol
Nuveen Connecticut Dividend Advantage
NFC
   
Municipal Fund
     
Nuveen Connecticut Dividend Advantage
NGK
Nuveen Connecticut Premium Income
NTC
Municipal Fund 2
 
Municipal Fund
 
Nuveen Connecticut Dividend Advantage
NGO
   
Municipal Fund 3
     
 
The reorganizations were consummated prior to the opening of business on July 9, 2012 (following the end of this reporting period). Upon the closing of the reorganizations, the Acquired Funds transferred their assets to the Acquiring Fund in exchange for common and preferred shares of the Acquiring Fund, and the assumption by the Acquiring Fund of the liabilities of the Acquired Funds. The Acquired Funds were liquidated, dissolved and terminated in accordance with their Declaration of Trust. Shareholders of the Acquired Funds became shareholders of the Acquiring Fund. Holders of common shares received newly issued common shares of the Acquiring Fund, the aggregate net asset value of which was equal to the aggregate net asset value of the common shares of their Acquired Funds held immediately prior to the reorganizations (including for this purpose fractional Acquiring Fund shares to which shareholders would be entitled). Fractional shares were sold on the open market and shareholders received cash in lieu of such fractional shares. Holders of MuniFund Term Preferred (MTP) Shares of each Acquired Fund received on a one-for-one basis newly issued MTP Shares of the Acquiring Fund, in exchange for MTP Shares of their Acquired Fund held immediately prior to the reorganization.
 
FUND POLICY CHANGES
 
On October 28, 2011, NGX’s Board of Trustees approved changes to the Fund’s investment policy regarding its investment in insured municipal securities. These changes were designed to provide the Adviser with more flexibility regarding the types of securities available for investment by the Fund.
 
Effective May 15, 2012, the Fund eliminated the investment policy requiring it, under normal circumstances, to invest at least 80% of its managed assets in municipal securities that are covered by insurance guaranteeing the timely payment of principal and interest. Over the past few years, most municipal bond insurers have had their credit ratings downgraded and only one insurer is currently insuring new municipal bonds. As a result, the supply of insured municipal securities has decreased dramatically and the long-term viability of the municipal bond insurance market is uncertain. The Fund has not changed its investment objective and will continue to invest substantially all of its assets in a portfolio of investment grade quality municipal securities.
 
Concurrent with the investment policy changes, the Fund changed its name from Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) to Nuveen Massachusetts AMT-Free Municipal Income Fund (NGX).
 
Nuveen Investments
 
13

 
 

 
 
Fund Leverage and
Other Information
 
IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE
 
One important factor impacting the returns of all these Funds relative to the comparative indexes was the Funds’ use of leverage. The Funds use leverage because their managers believe that, over time, leveraging provides opportunities for additional income and total return for common shareholders. However, use of leverage also can expose common shareholders to additional volatility. For example, as the prices of securities held by a fund decline, the negative impact of these valuation changes on common share net asset value and common shareholder total return is magnified by the use of leverage. Conversely, leverage may enhance common share returns during periods when the prices of securities held by a fund generally are rising. Leverage made a positive contribution to the performance of these Funds over this reporting period.
 
THE FUNDS’ REGULATORY LEVERAGE
 
As of May 31, 2012, each of the Funds have issued and outstanding MTP Shares, as shown in the accompanying table.
 
   
MTP Shares Issued
Annual
NYSE
Fund
Series
At Liquidation Value
Interest Rate
Ticker
NTC
2015
$18,300,000
2.65%
NTC Pr C
NTC
2016
$17,780,000
2.55%
NTC Pr D
NFC
2015
$20,470,000
2.60%
NFC Pr C
NGK
2015
$16,950,000
2.60%
NGK Pr C
NGO
2015
$32,000,000
2.65%
NGO Pr C
NMT
2015
$20,210,000
2.65%
NMT Pr C
NMT
2016
$16,435,000
2.75%
NMT Pr D
NMB
2015
$14,725,000
2.60%
NMB Pr C
NGX
2015
$22,075,000
2.65%
NGX Pr C
NOM
2015
$17,880,000
2.10%
NOM Pr C
 
(Refer to Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies and Footnote 4 – Fund Shares for further details on MTP Shares.)
 
14
 
Nuveen Investments

 
 

 
 
RISK CONSIDERATIONS
 
Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation. Past performance is no guarantee of future results. Fund common shares are subject to a variety of risks and are listed below in order of priority:
 
Investment and Market Risk. An investment in common shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Your investment in common shares represents an indirect investment in the municipal securities owned by the Fund, which generally trade in the over-the-counter markets. Your common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.
 
Price Risk. Shares of closed-end investment companies like these Funds frequently trade at a discount to their NAV. Your common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.
 
Leverage Risk. Each Fund’s use of leverage creates the possibility of higher volatility for the Fund’s per share NAV, market price, distributions and returns. There is no assurance that a Fund’s leveraging strategy will be successful.
 
Tax Risk. The tax treatment of Fund distributions may be affected by new IRS interpretations of the Internal Revenue Code and future changes in tax laws and regulations.
 
Issuer Credit Risk. This is the risk that a security in a Fund’s portfolio will fail to make dividend or interest payments when due.
 
Interest Rate Risk. Fixed-income securities such as bonds, preferred, convertible and other debt securities will decline in value if market interest rates rise.
 
Reinvestment Risk. If market interest rates decline, income earned from a Fund’s portfolio may be reinvested at rates below that of the original bond that generated the income.
 
Call Risk or Prepayment Risk. Issuers may exercise their option to prepay principal earlier than scheduled, forcing a Fund to reinvest in lower-yielding securities.
 
Inverse Floater Risk. The Funds may invest in inverse floaters. Due to their leveraged nature, these investments can greatly increase a Fund’s exposure to interest rate risk and credit risk. In addition, investments in inverse floaters involve the risk that the Fund could lose more than its original principal investment.
 
 Nuveen Investments
 
15

 
 

 
 
Common Share Dividend
and Price Information
 
DIVIDEND INFORMATION
 
During the twelve-month reporting period ended May 31, 2012, the monthly dividends of NTC and NOM remained stable, while the dividends of NGO and NMT were reduced once during the period. NFC and NGK each received two cuts in their monthly dividends, while the dividends of NMB and NGX were reduced three times during this period.
 
Due to normal portfolio activity, common shareholders of the following Funds received long-term capital gains distributions in December 2011 as follows:
         
Long-Term Capital Gains
Fund
   
(per share)
NTC
 
$
0.0420
NFC
 
$
0.0427
NGK
 
$
0.0328
NMT
 
$
0.0511
 
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, 2012, NTC, NFC, NGK, NGO, NMT, NMB and NOM had positive UNII balances for both tax and financial reporting purposes. NGX had positive UNII balances for tax purposes and negative UNII balances for financial reporting purposes.
 
COMMON SHARE REPURCHASES AND PRICE INFORMATION
 
Since the inception of the Fund’s repurchase programs, the Funds have not repurchased any of their outstanding common shares.
 
16
 
Nuveen Investments

 
 

 
 
As of May 31, 2012, and during the twelve-month reporting period, the Funds’ common share prices were trading at (+) premiums or (-) discounts to their common share NAVs as shown in the accompanying table.
 
 
5/31/12
Twelve-Month Average
Fund
(+) Premium/(-) Discount
(+) Premium/(-) Discount
NTC
(-) 7.50%
(-) 6.68%
NFC
(-) 7.29%
(-) 4.09%
NGK
(-) 6.68%
(-) 2.83%
NGO
(-) 7.02%
(-) 7.98%
NMT
(-) 2.14%
(-) 3.89%
NMB
(-) 4.44%
(-) 5.49%
NGX
(+)3.29%
(-) 4.53%
NOM
(+)15.60%
(+) 11.98%

Nuveen Investments
 
17

 
 

 

NTC
 
Nuveen Connecticut
Performance
 
Premium Income
OVERVIEW
 
Municipal Fund
   
as of May 31, 2012
 
 
Fund Snapshot
       
Common Share Price
 
$
14.19
 
Common Share Net Asset Value (NAV)
 
$
15.34
 
Premium/(Discount) to NAV
   
-7.50
%
Market Yield
   
4.99
%
Taxable-Equivalent Yield1
   
7.37
%
Net Assets Applicable to Common Shares ($000)
 
$
82,318
 
         
Leverage
       
Regulatory Leverage
   
30.47
%
Effective Leverage
   
34.86
%

Average Annual Total Return
             
(Inception 5/20/93)
             
   
On Share Price
 
On NAV
1-Year
   
13.59
%
 
13.45
%
5-Year
   
4.27
%
 
6.39
%
10-Year
   
4.22
%
 
6.13
%

Portfolio Composition4
   
(as a % of total investments)
   
Education and Civic Organizations
 
25.3%
Health Care
 
16.8%
Tax Obligation/General
 
13.9%
Tax Obligation/Limited
 
12.4%
U.S. Guaranteed
 
9.0%
Water and Sewer
 
7.8%
Utilities
 
5.9%
Housing/Single Family
 
5.3%
Other
 
3.6%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32.3%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
The Fund paid shareholders a capital gains distribution in December 2011 of $0.0420 per share.
4 Holdings are subject to change.
 
18
 
Nuveen Investments

 
 

 

NFC
 
Nuveen Connecticut
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund
   
as of May 31, 2012
 
 
Fund Snapshot
       
Common Share Price
 
$
14.62
 
Common Share Net Asset Value (NAV)
 
$
15.77
 
Premium/(Discount) to NAV
   
-7.29
%
Market Yield
   
4.84
%
Taxable-Equivalent Yield1
   
7.15
%
Net Assets Applicable to Common Shares ($000)
 
$
40,785
 
         
Leverage
       
Regulatory Leverage
   
33.42
%
Effective Leverage
   
37.33
%

Average Annual Total Return
             
(Inception 1/26/01)
             
   
On Share Price
 
On NAV
1-Year
   
11.31
%
 
14.92
%
5-Year
   
3.16
%
 
6.77
%
10-Year
   
4.66
%
 
6.63
%

Portfolio Composition4
   
(as a % of total investments)
   
Education and Civic Organizations
 
24.3%
Health Care
 
22.2%
Tax Obligation/Limited
 
17.6%
Tax Obligation/General
 
10.5%
Water and Sewer
 
7.9%
U.S. Guaranteed
 
6.0%
Utilities
 
5.3%
Other
 
6.2%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32.3%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
The Fund paid shareholders a capital gains distribution in December 2011 of $0.0427 per share.
4 Holdings are subject to change.
 
Nuveen Investments
 
19

 
 

 

NGK
 
Nuveen Connecticut
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund 2
   
as of May 31, 2012
 
 
Fund Snapshot
       
Common Share Price
 
$
14.52
 
Common Share Net Asset Value (NAV)
 
$
15.56
 
Premium/(Discount) to NAV
   
-6.68
%
Market Yield
   
5.04
%
Taxable-Equivalent Yield1
   
7.44
%
Net Assets Applicable to Common Shares ($000)
 
$
36,121
 
         
Leverage
       
Regulatory Leverage
   
31.94
%
Effective Leverage
   
36.10
%

Average Annual Total Return
             
(Inception 3/25/02)
             
   
On Share Price
 
On NAV
1-Year
   
9.73
%
 
13.61
%
5-Year
   
3.08
%
 
6.45
%
10-Year
   
5.34
%
 
6.50
%

Portfolio Composition4
   
(as a % of total investments)
   
Education and Civic Organizations
 
22.7%
Health Care
 
20.8%
U.S. Guaranteed
 
12.6%
Tax Obligation/Limited
 
10.8%
Tax Obligation/General
 
7.4%
Utilities
 
6.5%
Water and Sewer
 
6.4%
Other
 
12.8%
 
 
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 rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
The Fund paid shareholders a capital gains distribution in December 2011 of $0.0328 per share.
4 Holdings are subject to change.
 
20
 
Nuveen Investments

 
 

 

NGO
 
Nuveen Connecticut
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund 3
   
as of May 31, 2012
 
 
Fund Snapshot
       
Common Share Price
 
$
14.17
 
Common Share Net Asset Value (NAV)
 
$
15.24
 
Premium/(Discount) to NAV
   
-7.02
%
Market Yield
   
4.87
%
Taxable-Equivalent Yield1
   
7.19
%
Net Assets Applicable to Common Shares ($000)
 
$
66,542
 
         
Leverage
       
Regulatory Leverage
   
32.47
%
Effective Leverage
   
36.21
%

Average Annual Total Return
             
(Inception 9/26/02)
             
   
On Share Price
 
On NAV
1-Year
   
15.68
%
 
13.56
%
5-Year
   
4.30
%
 
6.16
%
Since Inception
   
4.50
%
 
5.63
%

Portfolio Composition3
   
(as a % of total investments)
   
Education and Civic Organizations
 
21.1%
Health Care
 
18.7%
U.S. Guaranteed
 
13.8%
Tax Obligation/Limited
 
11.0%
Water and Sewer
 
9.9%
Tax Obligation/General
 
6.3%
Long-Term Care
 
5.9%
Utilities
 
5.5%
Housing/Single Family
 
7.8%
 
 
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 rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Holdings are subject to change.
 
Nuveen Investments
 
21

 
 

 

NMT
 
Nuveen Massachusetts
Performance
 
Premium Income
OVERVIEW
 
Municipal Fund
   
as of May 31, 2012
 
 
Fund Snapshot
       
Common Share Price
 
$
15.12
 
Common Share Net Asset Value (NAV)
 
$
15.45
 
Premium/(Discount) to NAV
   
-2.14
%
Market Yield
   
4.92
%
Taxable-Equivalent Yield1
   
7.21
%
Net Assets Applicable to Common Shares ($000)
 
$
73,758
 
         
Leverage
       
Regulatory Leverage
   
33.19
%
Effective Leverage
   
35.22
%

Average Annual Total Return
             
(Inception 3/18/93)
             
   
On Share Price
 
On NAV
1-Year
   
17.78
%
 
15.29
%
5-Year
   
6.83
%
 
6.70
%
10-Year
   
5.21
%
 
6.30
%

Portfolio Composition4
   
(as a % of total investments)
   
Education and Civic Organizations
 
22.6%
Health Care
 
17.8%
Tax Obligation/General
 
12.6%
U.S. Guaranteed
 
10.8%
Tax Obligation/Limited
 
8.3%
Transportation
 
7.7%
Water and Sewer
 
5.2%
Other
 
15.0%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
The Fund paid shareholders a capital gains distributions in December 2011 of $0.0511 per share.
4 Holdings are subject to change.
 
22
 
Nuveen Investments

 
 

 

NMB
 
Nuveen Massachusetts
Performance
 
Dividend Advantage
OVERVIEW
 
Municipal Fund
   
as of May 31, 2012
 
 
Fund Snapshot
       
Common Share Price
 
$
14.64
 
Common Share Net Asset Value (NAV)
 
$
15.32
 
Premium/(Discount) to NAV
   
-4.44
%
Market Yield
   
4.67
%
Taxable-Equivalent Yield1
   
6.85
%
Net Assets Applicable to Common Shares ($000)
 
$
30,124
 
         
Leverage
       
Regulatory Leverage
   
32.83
%
Effective Leverage
   
35.12
%

Average Annual Total Return
             
(Inception 1/30/01)
             
   
On Share Price
 
On NAV
1-Year
   
14.21
%
 
15.45
%
5-Year
   
3.42
%
 
6.18
%
10-Year
   
4.91
%
 
6.76
%

Portfolio Composition3
   
(as a % of total investments)
   
Education and Civic Organizations
 
31.3%
Health Care
 
19.9%
Tax Obligation/General
 
10.4%
Tax Obligation/Limited
 
7.2%
Long-Term Care
 
5.7%
U.S. Guaranteed
 
5.6%
Housing/Multifamily
 
4.8%
Water and Sewer
 
4.2%
Other
 
10.9%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Holdings are subject to change.
 
Nuveen Investments
 
23

 
 

 

NGX
 
Nuveen Massachusetts
Performance
 
AMT-Free Municipal
OVERVIEW
 
Income Fund
   
as of May 31, 2012
 
 
Fund Snapshot
       
Common Share Price
 
$
15.39
 
Common Share Net Asset Value (NAV)
 
$
14.90
 
Premium/(Discount) to NAV
   
3.29
%
Market Yield
   
4.25
%
Taxable-Equivalent Yield1
   
6.23
%
Net Assets Applicable to Common Shares ($000)
 
$
40,630
 
         
Leverage
       
Regulatory Leverage
   
35.20
%
Effective Leverage
   
35.55
%

Average Annual Total Return
             
(Inception 11/21/02)
             
   
On Share Price
 
On NAV
1-Year
   
18.74
%
 
8.82
%
5-Year
   
6.46
%
 
5.60
%
Since Inception
   
5.40
%
 
5.59
%

Portfolio Composition3
   
(as a % of total investments)
   
U.S. Guaranteed
 
21.0%
Education and Civic Organizations
 
18.3%
Water and Sewer
 
11.1%
Tax Obligation/General
 
10.3%
Health Care
 
9.3%
Tax Obligation/Limited
 
8.7%
Housing/Multifamily
 
7.3%
Other
 
14.0%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Holdings are subject to change.
 
24
 
Nuveen Investments

 
 

 

NOM
 
Nuveen Missouri
Performance
 
Premium Income
OVERVIEW
 
Municipal Fund
   
as of May 31, 2012
 
 
Fund Snapshot
       
Common Share Price
 
$
16.90
 
Common Share Net Asset Value (NAV)
 
$
14.62
 
Premium/(Discount) to NAV
   
15.60
%
Market Yield
   
4.62
%
Taxable-Equivalent Yield1
   
6.82
%
Net Assets Applicable to Common Shares ($000)
 
$
33,979
 
         
Leverage
       
Regulatory Leverage
   
34.48
%
Effective Leverage
   
37.17
%

Average Annual Total Return
             
(Inception 5/20/93)
             
   
On Share Price
 
On NAV
1-Year
   
28.21
%
 
17.16
%
5-Year
   
5.84
%
 
6.19
%
10-Year
   
6.31
%
 
6.02
%

Portfolio Composition3
   
(as a % of total investments)
   
Health Care
 
21.4%
Tax Obligation/Limited
 
16.3%
Tax Obligation/General
 
11.2%
Transportation
 
10.2%
Water and Sewer
 
9.8%
U.S. Guaranteed
 
9.0%
Long-Term Care
 
6.7%
Education and Civic Organizations
 
5.7%
Other
 
9.7%
 
 
Refer to the Glossary of Terms used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
1
Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32.3%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
2
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.
3
Holdings are subject to change.
 
Nuveen Investments
 
25

 
 

 

NTC
 
Shareholder Meeting Report
NFC
   
NGK
 
The annual meeting of shareholders for NTC, NFC, NGK and NGO was held in the offices of Nuveen Investments on December 16, 2011; at this meeting the shareholders were asked to vote on the election of Board Members, the elimination of Fundamental Investment Policies, the approval of new Fundamental Investment Policies, the approval of the issuance of additional common shares and the approval of an Agreement and Plan of Reorganization. The meeting was subsequently adjourned to January 31, 2012. The meeting for NTC, NGK and NGO was additionally adjourned to March 5, 2012, April 13, 2012 and May 14, 2012, respectively.
     
   
The annual meeting of shareholders for NMT, NMB and NOM was held in the offices of Nuveen Investments on November 15, 2011; at this meeting the shareholders were asked to vote on the election of Board Members, the elimination of Fundamental Investment Policies and the approval of new Fundamental Investment Policies. The meeting was subsequently adjourned to December 16, 2011. The meeting for NMT and NOM was additionally adjourned to January 31, 2012. NMT was additionally adjourned to March 5, 2012 and March 14, 2012, respectively.
     
   
The annual meeting of shareholders for NGX was held in the offices of Nuveen Investments on December 16, 2011; at this meeting the shareholders were asked to vote on the election of Board Members, the elimination of Fundamental Investment Policies and the approval of new Fundamental Investment Policies. The meeting was subsequently adjourned to January 31, 2012, March 5, 2012, April 13, 2012 and May 14, 2012, respectively.
 
     
NTC
   
NFC
   
NGK
 
   
Common and
       
Common and
       
Common and
       
     
Preferred
   
Preferred
   
Preferred
   
Preferred
   
Preferred
   
Preferred
 
     
shares voting
   
shares voting
   
shares voting
   
shares voting
   
shares voting
   
shares voting
 
     
together
   
together
   
together
   
together
   
together
   
together
 
     
as a class
   
as a class
   
as a class
   
as a class
   
as a class
   
as a class
 
To approve the Agreement and Plan of Reorganization.
                                     
For
   
4,994,950
   
1,867,888
   
2,563,785
   
1,058,821
   
2,311,221
   
898,941
 
Against
   
242,743
   
74,700
   
123,756
   
51,300
   
70,611
   
25,680
 
Abstain
   
197,185
   
64,800
   
78,689
   
14,254
   
70,790
   
5,991
 
Broker Non-Vote
   
1,189,491
   
417,559
   
690,878
   
343,877
   
708,057
   
422,330
 
Total
   
6,624,369
   
2,424,947
   
3,457,108
   
1,468,252
   
3,160,679
   
1,352,942
 
To approve the issuance of additional common shares.
                                     
For
   
4,443,784
   
   
   
   
   
 
Against
   
287,143
   
   
   
   
   
 
Abstain
   
187,481
   
   
   
   
   
 
Broker Non-Vote
   
1,260,095
   
   
   
   
   
 
Total
   
6,178,503
   
   
   
   
   
 
To approve the elimination of the fundamental policies relating to the Fund’s ability to make loans.
                                     
For
   
4,868,626
   
1,788,388
   
2,528,451
   
1,053,821
   
2,091,285
   
701,241
 
Against
   
316,864
   
109,200
   
159,449
   
56,300
   
110,847
   
49,680
 
Abstain
   
249,388
   
109,800
   
78,330
   
14,254
   
250,490
   
179,691
 
Broker Non-Votes
   
1,189,491
   
417,559
   
690,878
   
343,877
   
708,057
   
422,330
 
Total
   
6,624,369
   
2,424,947
   
3,457,108
   
1,468,252
   
3,160,679
   
1,352,942
 
To approve the new fundamental policy relating to the Fund’s ability to make loans.
                                     
For
   
4,850,442
   
1,785,388
   
2,527,235
   
1,053,821
   
2,090,685
   
702,241
 
Against
   
332,682
   
107,200
   
159,549
   
56,300
   
110,147
   
48,680
 
Abstain
   
251,754
   
114,800
   
79,446
   
14,254
   
251,790
   
179,691
 
Broker Non-Votes
   
1,189,491
   
417,559
   
690,878
   
343,877
   
708,057
   
422,330
 
Total
   
6,624,369
   
2,424,947
   
3,457,108
   
1,468,252
   
3,160,679
   
1,352,942
 
To approve the elimination of the existing fundamental investment policy related to the Fund’s investment of at least 80% of its assets in insured municipal securities
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Votes
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
 
26
 
Nuveen Investments

 
 

 
 
     
NTC
   
NFC
   
NGK
 
   
Common and
       
Common and
       
Common and
       
     
Preferred
   
Preferred
   
Preferred
   
Preferred
   
Preferred
   
Preferred
 
     
shares voting
   
shares voting
   
shares voting
   
shares voting
   
shares voting
   
shares voting
 
     
together
   
together
   
together
   
together
   
together
   
together
 
     
as a class
   
as a class
   
as a class
   
as a class
   
as a class
   
as a class
 
To approve a new fundamental investment policy related to the Fund’s investment of at least 80%of its assets in municipal securities.
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Votes
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
Approval of the Board Members was reached as follows:
                                     
John P. Amboian
                                     
For
   
5,856,513
   
   
3,325,294
   
   
2,797,068
   
 
Withhold
   
321,990
   
   
131,814
   
   
133,011
   
 
Total
   
6,178,503
   
   
3,457,108
   
   
2,930,079
   
 
William C. Hunter
                                     
For
   
   
1,884,768
   
   
1,453,212
   
   
1,110,561
 
Withhold
   
   
101,774
   
   
15,040
   
   
14,081
 
Total
   
   
1,986,542
   
   
1,468,252
   
   
1,124,642
 
David J. Kundert
                                     
For
   
5,853,468
   
   
3,326,514
   
   
2,797,068
   
 
Withhold
   
325,035
   
   
130,594
   
   
133,011
   
 
Total
   
6,178,503
   
   
3,457,108
   
   
2,930,079
   
 
William J. Schneider
                                     
For
   
   
1,884,768
   
   
1,453,212
   
   
1,110,561
 
Withhold
   
   
101,774
   
   
15,040
   
   
14,081
 
Total
   
   
1,986,542
   
   
1,468,252
   
   
1,124,642
 
Terence J. Toth
                                     
For
   
5,857,051
   
   
3,326,514
   
   
2,797,068
   
 
Withhold
   
321,452
   
   
130,594
   
   
133,011
   
 
Total
   
6,178,503
   
   
3,457,108
   
   
2,930,079
   
 
 
Nuveen Investments
 
27

 
 

 

NGO
 
Shareholder Meeting Report (continued)
NMT
   
NMB
   
 
     
NGO
   
NMT
   
NMB
 
   
Common and
       
Common and
       
Common and
       
     
Preferred
   
Preferred
   
Preferred
   
Preferred
   
Preferred
   
Preferred
 
     
shares voting
   
shares voting
   
shares voting
   
shares voting
   
shares voting
   
shares voting
 
     
together
   
together
   
together
   
together
   
together
   
together
 
     
as a class
   
as a class
   
as a class
   
as a class
   
as a class
   
as a class
 
To approve the Agreement and Plan of Reorganization.
                                     
For
   
4,119,241
   
1,706,072
   
   
   
   
 
Against
   
151,305
   
52,812
   
   
   
   
 
Abstain
   
121,176
   
16,789
                         
Broker Non-Vote
   
1,000,830
   
384,253
   
   
   
   
 
Total
   
5,392,552
   
2,159,926
   
   
   
   
 
To approve the issuance of additional common shares.
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Vote
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
To approve the elimination of the fundamental policies relating to the Fund’s ability to make loans.
                                     
For
   
3,669,375
   
1,349,750
   
3,826,318
   
1,354,400
   
1,458,449
   
600,738
 
Against
   
177,267
   
48,212
   
422,056
   
236,159
   
62,252
   
25,894
 
Abstain
   
143,949
   
28,389
   
159,154
   
54,323
   
58,887
   
2,500
 
Broker Non-Votes
   
1,108,725
   
484,353
   
1,020,325
   
448,547
   
506,315
   
218,867
 
Total
   
5,099,316
   
1,910,704
   
5,427,853
   
2,093,429
   
2,085,903
   
847,999
 
To approve the new fundamental policy relating to the Fund’s ability to make loans.
                                     
For
   
3,680,173
   
1,351,750
   
3,825,822
   
1,356,900
   
1,451,984
   
600,738
 
Against
   
183,809
   
52,812
   
414,888
   
228,659
   
66,717
   
25,894
 
Abstain
   
126,609
   
21,789
   
166,818
   
59,323
   
60,887
   
2,500
 
Broker Non-Votes
   
1,108,725
   
484,353
   
1,020,325
   
448,547
   
506,315
   
218,867
 
Total
   
5,099,316
   
1,910,704
   
5,427,853
   
2,093,429
   
2,085,903
   
847,999
 
To approve the elimination of the existing fundamental investment policy related to the Fund’s investment of at least 80% of its assets in insured municipal securities
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Votes
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
 
28
 
Nuveen Investments

 
 

 
 
     
NGO
   
NMT
   
NMB
 
   
Common and
       
Common and
       
Common and
       
     
Preferred
   
Preferred
   
Preferred
   
Preferred
   
Preferred
   
Preferred
 
     
shares voting
   
shares voting
   
shares voting
   
shares voting
   
shares voting
   
shares voting
 
     
together
   
together
   
together
   
together
   
together
   
together
 
     
as a class
   
as a class
   
as a class
   
as a class
   
as a class
   
as a class
 
To approve a new fundamental investment policy related to the Fund’s investment of at least 80%of its assets in municipal securities.
                                     
For
   
   
   
   
   
   
 
Against
   
   
   
   
   
   
 
Abstain
   
   
   
   
   
   
 
Broker Non-Votes
   
   
   
   
   
   
 
Total
   
   
   
   
   
   
 
Approval of the Board Members was reached as follows:
                                     
John P. Amboian
                                     
For
   
4,871,040
   
   
4,812,556
   
   
2,030,894
   
 
Withhold
   
228,276
   
   
269,322
   
   
55,009
   
 
Total
   
5,099,316
   
   
5,081,878
   
   
2,085,903
   
 
William C. Hunter
                                     
For
   
   
1,857,582
   
   
1,766,069
   
   
826,299
 
Withhold
   
   
53,122
   
   
137,761
   
   
21,700
 
Total
   
   
1,910,704
   
   
1,903,830
   
   
847,999
 
David J. Kundert
                                     
For
   
4,871,040
   
   
4,806,056
   
   
2,030,894
   
 
Withhold
   
228,276
   
   
275,822
   
   
55,009
   
 
Total
   
5,099,316
   
   
5,081,878
   
   
2,085,903
   
 
William J. Schneider
                                     
For
   
   
1,857,582
   
   
1,761,069
   
   
826,299
 
Withhold
   
   
53,122
   
   
142,761
   
   
21,700
 
Total
   
   
1,910,704
   
   
1,903,830
   
   
847,999
 
Terence J. Toth
                                     
For
   
4,871,040
   
   
4,811,556
   
   
2,030,894
   
 
Withhold
   
228,276
   
   
270,322
   
   
55,009
   
 
Total
   
5,099,316
   
   
5,081,878
   
   
2,085,903
   
 
 
Nuveen Investments
 
29

 
 

 

   
Shareholder Meeting Report (continued)
NGX
   
NOM
   
 
     
NGX
   
NOM
 
   
Common and
       
Common and
       
     
Preferred
   
Preferred
   
Preferred
   
Preferred
 
     
shares voting
   
shares voting
   
shares voting
   
shares voting
 
     
together
   
together
   
together
   
together
 
     
as a class
   
as a class
   
as a class
   
as a class
 
To approve the Agreement and Plan of Reorganization.
                         
For
   
   
   
   
 
Against
   
   
   
   
 
Abstain
   
   
   
   
 
Broker Non-Vote
   
   
   
   
 
Total
   
   
   
   
 
To approve the issuance of additional common shares.
                         
For
   
   
   
   
 
Against
   
   
   
   
 
Abstain
   
   
   
   
 
Broker Non-Vote
   
   
   
   
 
Total
   
   
   
   
 
To approve the elimination of the fundamental policies relating to the Fund’s ability to make loans.
                         
For
   
2,308,141
   
792,746
   
1,759,755
   
723,854
 
Against
   
189,910
   
75,889
   
139,800
   
61,767
 
Abstain
   
65,137
   
24,100
   
37,853
   
12,500
 
Broker Non-Votes
   
622,700
   
274,139
   
297,042
   
99,839
 
Total
   
3,185,888
   
1,166,874
   
2,234,450
   
897,960
 
To approve the new fundamental policy relating to the Fund’s ability to make loans.
                         
For
   
2,303,959
   
792,746
   
1,740,623
   
708,554
 
Against
   
186,158
   
75,889
   
150,439
   
67,267
 
Abstain
   
73,071
   
24,100
   
46,346
   
22,300
 
Broker Non-Votes
   
622,700
   
274,139
   
297,042
   
99,839
 
Total
   
3,185,888
   
1,166,874
   
2,234,450
   
897,960
 
To approve the elimination of the existing fundamental investment policy related to the Fund’s investment of at least 80% of its assets in insured municipal securities
                         
For
   
2,296,228
   
784,396
   
   
 
Against
   
197,941
   
78,389
   
   
 
Abstain
   
69,019
   
29,950
   
   
 
Broker Non-Votes
   
622,700
   
274,139
   
   
 
Total
   
3,185,888
   
1,166,874
   
   
 
 
30
 
Nuveen Investments

 
 

 
 
     
NGX
   
NOM
 
   
Common and
       
Common and
       
     
Preferred
   
Preferred
   
Preferred
   
Preferred
 
     
shares voting
   
shares voting
   
shares voting
   
shares voting
 
     
together
   
together
   
together
   
together
 
     
as a class
   
as a class
   
as a class
   
as a class
 
To approve a new fundamental investment policy related to the Fund’s investment of at least 80% of its assets in municipal securities.
                         
For
   
2,328,273
   
787,396
   
   
 
Against
   
170,978
   
77,889
   
   
 
Abstain
   
63,937
   
27,450
   
   
 
Broker Non-Votes
   
622,700
   
274,139
   
   
 
Total
   
3,185,888
   
1,166,874
   
   
 
Approval of the Board Members was reached as follows:
                         
John P. Amboian
                         
For
   
2,753,157
   
   
2,361,234
   
 
Withhold
   
82,963
   
   
98,005
   
 
Total
   
2,836,120
   
   
2,459,239
   
 
William C. Hunter
                         
For
   
   
931,175
   
   
1,091,793
 
Withhold
   
   
36,949
   
   
40,138
 
Total
   
   
968,124
   
   
1,131,931
 
David J. Kundert
                         
For
   
2,746,157
   
   
2,338,654
   
 
Withhold
   
89,963
   
   
120,585
   
 
Total
   
2,836,120
   
   
2,459,239
   
 
William J. Schneider
                         
For
   
   
931,175
   
   
1,095,793
 
Withhold
   
   
36,949
   
   
36,138
 
Total
   
   
968,124
   
   
1,131,931
 
Terence J. Toth
                         
For
   
2,747,157
   
   
2,357,234
   
 
Withhold
   
88,963
   
   
102,005
   
 
Total
   
2,836,120
   
   
2,459,239
   
 
 
Nuveen Investments
 
31

 
 

 
 
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 Massachusetts AMT-Free Municipal Income Fund
(formerly known as 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 Massachusetts AMT-Free Municipal Income Fund, and Nuveen Missouri Premium Income Municipal Fund (the “Funds”) as of May 31, 2012, 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, 2012, 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 Massachusetts AMT-Free Municipal Income Fund, and Nuveen Missouri Premium Income Municipal Fund at May 31, 2012, 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 26, 2012
 
32
 
Nuveen Investments
 
 
 

 
   
Nuveen Connecticut Premium Income Municipal Fund
NTC
 
Portfolio of Investments
   
May 31, 2012
 
 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Consumer Staples – 1.5% (1.0% of Total Investments)
             
$
1,250
 
Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
8/12 at 100.00
 
BBB+
 
$
1,247,625
 
     
Education and Civic Organizations – 37.6% (25.3% of Total Investments)
             
 
575
 
Connecticut Health and Education Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41
7/21 at 100.00
 
A2
   
636,646
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 – RAAI Insured
7/16 at 100.00
 
N/R
   
506,420
 
 
305
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured
7/17 at 100.00
 
N/R
   
315,349
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O, 5.000%, 7/01/40
7/20 at 100.00
 
A–
   
1,094,830
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 – AMBAC Insured
No Opt. Call
 
A2
   
978,600
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2006H, 5.000%, 7/01/36 – AMBAC Insured
7/16 at 100.00
 
A–
   
1,050,170
 
 
1,595
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 – NPFG Insured
7/17 at 100.00
 
A–
   
1,738,821
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A:
             
 
170
 
5.000%, 7/01/30 – AMBAC Insured
7/17 at 100.00
 
N/R
   
179,869
 
 
270
 
5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
 
N/R
   
280,473
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G:
             
 
250
 
5.125%, 7/01/26
7/21 at 100.00
 
BBB
   
268,870
 
 
1,000
 
5.625%, 7/01/41
7/21 at 100.00
 
BBB
   
1,107,050
 
 
900
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2012H, 5.000%, 7/01/26 – AGM Insured
7/22 at 100.00
 
AA–
   
1,010,178
 
 
560
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, The Loomis Chaffee School Issue, Series 2011-I, 5.000%, 7/01/23 – AGM Insured
7/21 at 100.00
 
Aa3
   
652,574
 
 
1,375
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/21 – NPFG Insured
7/14 at 100.00
 
A+
   
1,479,954
 
 
1,050
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured
7/16 at 100.00
 
BBB–
   
1,067,283
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
 
AA
   
901,528
 
 
1,500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 (UB)
7/13 at 100.00
 
AAA
   
1,558,425
 
 
3,550
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB)
7/16 at 100.00
 
AAA
   
3,972,202
 
 
6,150
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) (4)
7/17 at 100.00
 
AAA
   
7,031,480
 
 
1,000
 
University of Connecticut, General Obligation Bonds, Series 2004A, 5.000%, 1/15/18 – NPFG Insured
1/14 at 100.00
 
AA
   
1,070,130
 
 
1,220
 
University of Connecticut, General Obligation Bonds, Series 2005A, 5.000%, 2/15/17 – AGM Insured
2/15 at 100.00
 
AA
   
1,363,143
 
 
685
 
University of Connecticut, General Obligation Bonds, Series 2006A, 5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
 
AA
   
776,763
 
 
535
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
 
AA
   
626,357
 
 
225
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27
11/19 at 100.00
 
Aa2
   
261,482
 
 
1,000
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%,11/15/19 – FGIC Insured
11/12 at 101.00
 
Aa2
   
1,031,320
 
 
28,015
 
Total Education and Civic Organizations
         
30,959,917
 

Nuveen Investments
 
33

 
 

 

   
Nuveen Connecticut Premium Income Municipal Fund (continued)
NTC
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Health Care – 25.0% (16.8% of Total Investments)
             
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B:
             
$
460
 
5.500%, 7/01/21 – RAAI Insured
7/12 at 101.00
 
N/R
 
$
464,839
 
 
700
 
5.500%, 7/01/32 – RAAI Insured
7/12 at 101.00
 
N/R
   
705,019
 
 
645
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 – RAAI Insured
8/12 at 100.00
 
N/R
   
645,742
 
     
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
   
828,128
 
 
500
 
5.000%, 7/01/23 – RAAI Insured
7/15 at 100.00
 
N/R
   
510,710
 
 
2,300
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford Healthcare, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
 
A
   
2,452,904
 
     
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–
   
394,371
 
 
150
 
5.250%, 7/01/37 – RAAI Insured
7/17 at 100.00
 
BBB–
   
152,028
 
 
550
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36
7/21 at 100.00
 
A+
   
593,049
 
 
2,620
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 – AGM Insured
7/16 at 100.00
 
Aa3
   
2,746,389
 
 
605
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N, 5.000%, 7/01/25
7/21 at 100.00
 
A2
   
668,628
 
 
400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 10.00
 
A–
   
433,560
 
 
1,250
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41
7/21 at 100.00
 
A
   
1,391,363
 
 
1,250
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29
7/21 at 100.00
 
A
   
1,355,775
 
 
1,395
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured
7/16 at 100.00
 
Aa3
   
1,488,981
 
 
450
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40
7/20 at 100.00
 
Aa3
   
511,686
 
 
1,240
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
 
AA+
   
1,346,280
 
 
350
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
 
A+
   
382,449
 
 
3,050
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochestor Project, Series 2010, 5.500%, 8/15/40
2/21 at 100.00
 
Aa2
   
3,468,613
 
 
19,100
 
Total Health Care
         
20,540,514
 
     
Housing/Multifamily – 1.2% (0.8% of Total Investments)
             
 
960
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax)
11/15 at 100.00
 
AAA
   
987,821
 
     
Housing/Single Family – 7.8% (5.3% of Total Investments)
             
 
1,675
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34
5/13 at 100.00
 
AAA
   
1,698,433
 
     
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
   
210,685
 
 
220
 
4.800%, 11/15/31 (Alternative Minimum Tax)
11/15 at 100.00
 
AAA
   
224,862
 
 
2,045
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
 
AAA
   
2,138,150
 
 
2,000
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, Series 2010-A2, 4.500%, 11/15/30
11/19 at 100.00
 
AAA
   
2,149,240
 
 
6,145
 
Total Housing/Single Family
         
6,421,370
 

34
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Long-Term Care – 2.7% (1.8% of Total Investments)
             
$
445
 
Connecticut Development Authority, First Mortgage Gross Revenue Refunding Healthcare Bonds, Connecticut Baptist Homes Inc., Series 1999, 5.500%, 9/01/15 – RAAI Insured
9/12 at 100.00
 
BBB–
 
$
446,001
 
 
1,565
 
Connecticut Housing Finance Authority, State Supported Special Obligation Bonds, Refunding Series 2010-16, 5.000%, 6/15/30
6/20 at 100.00
 
AA
   
1,750,327
 
 
25
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer’s Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27
8/17 at 100.00
 
N/R
   
25,807
 
 
2,035
 
Total Long-Term Care
         
2,222,135
 
     
Tax Obligation/General – 20.6% (13.9% of Total Investments)
             
 
750
 
Bridgeport, Connecticut, General Obligation Refunding Bonds, Series 2002A, 5.375%, 8/15/19 – FGIC Insured
8/12 at 100.00
 
A1
   
755,498
 
 
1,110
 
Connecticut State, General Obligation Bonds, Series 2004C, 5.000%, 4/01/23 – FGIC Insured
4/14 at 100.00
 
AA
   
1,194,671
 
 
2,000
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
 
AA
   
2,296,020
 
 
1,300
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured
6/16 at 100.00
 
AA
   
1,493,960
 
 
500
 
Connecticut State, General Obligation Bonds, Series 2006E, 5.000%, 12/15/20
12/16 at 10.00
 
AA
   
585,835
 
     
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
             
 
775
 
5.000%, 8/01/20 – AGM Insured
8/15 at 100.00
 
AA–
   
873,247
 
 
525
 
4.375%, 8/01/24 – AGM Insured
8/15 at 100.00
 
AA–
   
553,466
 
 
700
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 – AGC Insured
8/19 at 100.00
 
AA–
   
795,669
 
 
500
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 11/01/17 – AMBAC Insured
11/16 at 100.00
 
A1
   
575,090
 
 
500
 
North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24
No Opt. Call
 
Aa1
   
650,970
 
 
1,065
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36
8/21 at 100.00
 
AA+
   
1,232,248
 
 
1,860
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/20 – NPFG Insured
No Opt. Call
 
Baa1
   
2,098,247
 
 
1,420
 
Regional School District 16, Connecticut, General Obligation Bonds, Series 2003, 5.000%, 3/15/16 – AMBAC Insured
3/13 at 101.00
 
A1
   
1,478,163
 
     
Suffield, Connecticut, General Obligation Bonds, Series 2005:
             
 
465
 
5.000%, 6/15/17
No Opt. Call
 
AA+
   
560,548
 
 
460
 
5.000%, 6/15/19
No Opt. Call
 
AA+
   
576,661
 
 
1,000
 
5.000%, 6/15/21
No Opt. Call
 
AA+
   
1,275,890
 
 
14,930
 
Total Tax Obligation/General
         
16,996,183
 
     
Tax Obligation/Limited – 18.4% (12.4% of Total Investments)
             
     
Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F:
             
 
1,300
 
5.000%, 7/01/31 – AGC Insured
7/16 at 100.00
 
AA–
   
1,385,540
 
 
1,000
 
5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
 
AA–
   
1,056,780
 
 
1,750
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 – AMBAC Insured
8/17 at 100.00
 
AA
   
1,983,905
 
 
1,100
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
4/20 at 100.00
 
N/R
   
1,244,892
 
     
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A:
             
 
960
 
0.000%, 7/01/32 – FGIC Insured
No Opt. Call
 
BBB+
   
312,998
 
 
2,615
 
0.000%, 7/01/33 – FGIC Insured
No Opt. Call
 
BBB+
   
794,019
 
 
2,000
 
Puerto Rico Municipal Finance Agency, Series 2002A, 5.250%, 8/01/21 – AGM Insured
8/12 at 100.00
 
AA–
   
2,009,360
 
 
2,400
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured
8/15 at 100.00
 
AA–
   
2,618,568
 
 
975
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A, 5.375%, 8/01/39
2/20 at 100.00
 
A+
   
1,044,420
 
 
600
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41
4/21 at 100.00
 
N/R
   
632,202
 
 
1,000
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 2003, 5.250%, 10/01/19 – AGM Insured
10/14 at 100.00
 
AA–
   
1,075,130
 

Nuveen Investments
 
35

 
 

 

   
Nuveen Connecticut Premium Income Municipal Fund (continued)
NTC
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Tax Obligation/Limited (continued)
             
$
895
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien Series 2010A, 5.000%, 10/01/29
10/20 at 100.00
 
BBB+
 
$
947,760
 
 
16,595
 
Total Tax Obligation/Limited
         
15,105,574
 
     
U.S. Guaranteed – 13.4% (9.0% of Total Investments) (5)
             
 
925
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 (Pre-refunded 7/01/13) – NPFG Insured
7/13 at 100.00
 
BBB (5)
   
972,351
 
 
2,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 (Pre-refunded 7/01/12) – RAAI Insured
7/12 at 101.00
 
BBB– (5)
   
2,028,360
 
     
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B:
             
 
1,175
 
5.000%, 12/01/20 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
 
AA (5)
   
1,203,306
 
 
1,000
 
5.000%, 12/01/21 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
 
AA (5)
   
1,024,090
 
 
500
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 (Pre-refunded 1/01/14) – FGIC Insured
1/14 at 100.00
 
AA (5)
   
537,050
 
 
1,185
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16 (Pre-refunded 10/01/13)
10/13 at 100.00
 
AAA
   
1,259,300
 
 
1,075
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A, 5.000%, 8/01/33 (Pre-refunded 8/01/13) – NPFG Insured
8/13 at 100.00
 
Aa3 (5)
   
1,134,157
 
 
1,100
 
University of Connecticut, General Obligation Bonds, Series 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) – NPFG Insured
2/13 at 100.00
 
AA (5)
   
1,138,258
 
 
1,500
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/18 (Pre-refunded 10/01/15)
10/15 at 100.00
 
AAA
   
1,719,630
 
 
10,460
 
Total U.S. Guaranteed
         
11,016,502
 
     
Utilities – 8.8% (5.9% of Total Investments)
             
 
650
 
Bristol Resource Recovery Facility Operating Committee, Connecticut, Solid Waste Revenue Bonds, Covanta Bristol Inc., Series 2005, 5.000%, 7/01/12 – AMBAC Insured
No Opt. Call
 
AA
   
652,399
 
 
175
 
Connecticut Development Authority, Pollution Control Revenue Refunding Bonds, Western Massachusetts Electric Company, Series 1993A, 5.850%, 9/01/28
10/12 at 100.00
 
A–
   
176,400
 
 
1,070
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)
11/12 at 100.00
 
Baa1
   
1,074,408
 
 
1,750
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
12/12 at 101.00
 
Ba1
   
1,771,035
 
     
Connecticut Transmission Municipal Electric Energy Cooperative, Transmission System Revenue Bonds, Series 2012A:
             
 
655
 
5.000%, 1/01/31
1/22 at 100.00
 
Aa3
   
754,259
 
 
1,015
 
5.000%, 1/01/42
1/22 at 100.00
 
Aa3
   
1,134,953
 
     
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
             
 
145
 
5.500%, 1/01/14 (Alternative Minimum Tax)
7/12 at 100.00
 
BBB
   
145,506
 
 
1,290
 
5.500%, 1/01/20 (Alternative Minimum Tax)
7/12 at 100.00
 
BBB
   
1,294,734
 
 
240
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Refunding Series 2012A, 5.000%, 7/01/42
7/22 at 100.00
 
BBB+
   
242,930
 
 
6,990
 
Total Utilities
         
7,246,624
 
     
Water and Sewer – 11.6% (7.8% of Total Investments)
             
 
500
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax)
9/17 at 100.00
 
N/R
   
509,290
 
     
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
   
1,671,179
 
 
2,260
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
 
A1
   
2,489,571
 
 
725
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
 
Ba2
   
736,100
 
 
1,000
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38
7/18 at 100.00
 
Baa2
   
1,068,320
 

36
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Water and Sewer (continued)
             
$
1,000
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A, 5.000%, 8/01/20 – NPFG Insured
8/13 at 100.00
 
Aa3
 
$
1,048,520
 
 
770
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41
8/21 at 100.00
 
Aa3
   
860,185
 
 
1,100
 
Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
11/13 at 100.00
 
AA+
   
1,159,520
 
 
8,875
 
Total Water and Sewer
         
9,542,685
 
$
115,355
 
Total Investments (cost $114,669,999) – 148.6%
         
122,286,950
 
     
Floating Rate Obligations – (9.7)%
         
(7,965,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (43.8)% (6)
         
(36,080,000
     
Other Assets Less Liabilities – 4.9%
         
4,075,938
 
     
Net Assets Applicable to Common Shares – 100%
       
$
82,317,888
 
 
(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 Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.
(5)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 29.5%.
N/R
 
Not rated.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Inverse Floating Rate Securities for more information.
 
 See accompanying notes to financial statements.

Nuveen Investments
 
37

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund
NFC
 
Portfolio of Investments
   
May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Education and Civic Organizations – 37.0% (24.3% of Total Investments)
             
$
300
 
Connecticut Health and Education Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41
7/21 at 100.00
 
A2
 
$
332,163
 
 
250
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 – RAAI Insured
7/16 at 100.00
 
N/R
   
253,210
 
 
150
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured
7/17 at 100.00
 
N/R
   
155,090
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O, 5.000%, 7/01/40
7/20 at 100.00
 
A–
   
547,415
 
 
440
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/18 – AMBAC Insured
No Opt. Call
 
A2
   
530,046
 
 
795
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 – NPFG Insured
7/17 at 100.00
 
A–
   
866,685
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A:
             
 
85
 
5.000%, 7/01/30 – AMBAC Insured
7/17 at 100.00
 
N/R
   
89,934
 
 
130
 
5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
 
N/R
   
135,043
 
 
600
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G, 5.625%, 7/01/41
7/21 at 100.00
 
BBB
   
664,230
 
 
550
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2012H, 5.000%, 7/01/28 – AGM Insured
7/22 at 100.00
 
AA–
   
610,434
 
 
225
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, The Loomis Chaffee School Issue, Series 2011-I, 5.000%, 7/01/24 – AGM Insured
7/21 at 100.00
 
Aa3
   
259,382
 
 
350
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 – NPFG Insured
7/14 at 100.00
 
A+
   
380,195
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured
7/16 at 100.00
 
BBB–
   
508,230
 
 
1,600
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
 
AA
   
1,803,056
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 (UB)
7/13 at 100.00
 
AAA
   
519,475
 
 
1,800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB)
7/16 at 100.00
 
AAA
   
2,014,074
 
 
3,050
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) (4)
7/17 at 100.00
 
AAA
   
3,487,157
 
 
485
 
University of Connecticut, General Obligation Bonds, Series 2006A, 5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
 
AA
   
549,971
 
 
1,070
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
 
AA
   
1,252,713
 
 
115
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27
11/19 at 100.00
 
Aa2
   
133,646
 
 
13,495
 
Total Education and Civic Organizations
         
15,092,149
 
     
Health Care – 33.8% (22.2% of Total Investments)
             
 
1,400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 – RAAI Insured
7/12 at 101.00
 
N/R
   
1,410,038
 
 
840
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2005, 5.000%, 7/01/25 – RAAI Insured
7/15 at 100.00
 
N/R
   
847,123
 
     
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
   
517,580
 
 
250
 
5.000%, 7/01/23 – RAAI Insured
7/15 at 100.00
 
N/R
   
255,355
 
 
1,195
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford Healthcare, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
 
A
   
1,274,444
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 – RAAI Insured
7/17 at 100.00
 
BBB–
   
204,868
 

38
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Health Care (continued)
             
$
400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36
7/21 at 100.00
 
A+
 
$
431,308
 
 
60
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 – AGM Insured
7/16 at 100.00
 
Aa3
   
62,894
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N, 5.000%, 7/01/25
7/21 at 100.00
 
A2
   
552,585
 
 
240
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 10.00
 
A–
   
260,136
 
 
620
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41
7/21 at 100.00
 
A
   
690,116
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29
7/21 at 100.00
 
A
   
1,084,620
 
 
775
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, William W. Backus Hospital, Series 2005F, 5.125%, 7/01/35 – AGM Insured
7/18 at 100.00
 
AA–
   
835,737
 
 
1,870
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured
7/16 at 100.00
 
Aa3
   
1,995,982
 
 
225
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40
7/20 at 100.00
 
Aa3
   
255,843
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
 
AA+
   
1,085,710
 
 
175
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
 
A+
   
191,224
 
 
1,600
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochestor Project, Series 2010, 5.500%, 8/15/40
2/21 at 100.00
 
Aa2
   
1,819,600
 
 
12,850
 
Total Health Care
         
13,775,163
 
     
Housing/Multifamily – 1.2% (0.8% of Total Investments)
             
 
480
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax)
11/15 at 100.00
 
AAA
   
493,910
 
     
Housing/Single Family – 5.8% (3.8% of Total Investments)
             
 
800
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34
5/13 at 100.00
 
AAA
   
811,192
 
 
685
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
 
AAA
   
716,202
 
 
800
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, Series 2010-A2, 4.750%, 11/15/35
11/19 at 100.00
 
AAA
   
847,864
 
 
2,285
 
Total Housing/Single Family
         
2,375,258
 
     
Long-Term Care – 2.4% (1.6% of Total Investments)
             
 
300
 
Connecticut Development Authority, First Mortgage Gross Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23
12/13 at 100.00
 
BBB
   
306,381
 
 
295
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/32 – AMBAC Insured
7/12 at 101.00
 
N/R
   
296,021
 
 
250
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer’s Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27
8/17 at 100.00
 
N/R
   
258,073
 
 
105
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 7.625%, 1/01/30
1/20 at 100.00
 
N/R
   
114,200
 
 
950
 
Total Long-Term Care
         
974,675
 
     
Tax Obligation/General – 16.0% (10.5% of Total Investments)
             
 
560
 
Connecticut State, General Obligation Bonds, Series 2004C, 5.000%, 4/01/23 – FGIC Insured
4/14 at 100.00
 
AA
   
602,717
 
 
700
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
 
AA
   
803,607
 
 
100
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured
6/16 at 100.00
 
AA
   
114,920
 
 
1,000
 
Connecticut State, General Obligation Bonds, Series 2011D, 5.000%, 11/01/31
11/21 at 100.00
 
AA
   
1,182,340
 

Nuveen Investments
 
39

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund (continued)
NFC
 
Portfolio of Investments
    May 31, 2012

 
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–
 
$
404,914
 
 
240
 
4.375%, 8/01/24 – AGM Insured
8/15 at 100.00
 
AA–
   
253,013
 
 
600
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 – AGC Insured
8/19 at 100.00
 
AA–
   
682,002
 
 
400
 
North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24
No Opt. Call
 
Aa1
   
520,776
 
 
965
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36
8/21 at 100.00
 
AA+
   
1,116,544
 
     
Suffield, Connecticut, General Obligation Bonds, Series 2005:
             
 
335
 
5.000%, 6/15/17
No Opt. Call
 
AA+
   
403,836
 
 
335
 
5.000%, 6/15/19
No Opt. Call
 
AA+
   
419,959
 
 
5,595
 
Total Tax Obligation/General
         
6,504,628
 
     
Tax Obligation/Limited – 26.7% (17.6% 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–
   
692,770
 
 
500
 
5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
 
AA–
   
528,390
 
     
Connecticut, Certificates of Participation, Juvenile Training School, Series 2001:
             
 
600
 
5.000%, 12/15/20
12/13 at 100.00
 
AA–
   
608,052
 
 
1,000
 
5.000%, 12/15/30
12/13 at 100.00
 
AA–
   
1,009,930
 
 
1,475
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 1998B, 5.500%, 11/01/12 – AGM Insured
No Opt. Call
 
AA
   
1,507,819
 
 
900
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds,
8/17 at 100.00
 
AA
   
1,020,294
 
     
Series 2007A, 5.000%, 8/01/27 – AMBAC Insured
             
 
500
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
4/20 at 100.00
 
N/R
   
565,860
 
 
600
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 7/01/31 – AMBAC Insured
No Opt. Call
 
Baa1
   
651,960
 
 
470
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 0.000%, 7/01/32 – FGIC Insured
No Opt. Call
 
BBB+
   
153,239
 
 
1,200
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured
8/15 at 100.00
 
AA–
   
1,309,284
 
 
1,000
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A, 5.375%, 8/01/39
2/20 at 100.00
 
A+
   
1,071,200
 
 
325
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011A, 7.000%, 4/01/41
4/21 at 100.00
 
N/R
   
342,443
 
 
685
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A, 6.375%, 10/01/19
10/12 at 100.00
 
BBB+
   
687,295
 
 
710
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien Series 2010A, 5.000%, 10/01/29
10/20 at 100.00
 
BBB+
   
751,855
 
 
10,615
 
Total Tax Obligation/Limited
         
10,900,391
 
     
U.S. Guaranteed – 9.1% (6.0% of Total Investments) (5)
             
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 (Pre-refunded 7/01/12) – RAAI Insured
7/12 at 101.00
 
BBB– (5)
   
1,014,180
 
 
1,185
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16 (Pre-refunded 10/01/13)
10/13 at 100.00
 
AAA
   
1,259,300
 
 
470
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A, 5.000%, 8/01/33 (Pre-refunded 8/01/13) – NPFG Insured
8/13 at 100.00
 
Aa3 (5)
   
495,864
 
 
810
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/18 (Pre-refunded 10/01/15)
10/15 at 100.00
 
AAA
   
928,600
 
 
3,465
 
Total U.S. Guaranteed
         
3,697,944
 

40
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Utilities – 8.0% (5.3% of Total Investments)
             
$
560
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)
11/12 at 100.00
 
Baa1
 
$
562,307
 
 
1,000
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
12/12 at 101.00
 
Ba1
   
1,012,020
 
 
525
 
Connecticut Transmission Municipal Electric Energy Cooperative, Transmission System Revenue Bonds, Series 2012A, 5.000%, 1/01/42
1/22 at 100.00
 
Aa3
   
587,045
 
 
370
 
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax)
7/12 at 100.00
 
BBB
   
371,291
 
 
735
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Refunding Series 2012A, 5.050%, 7/01/42
7/22 at 100.00
 
BBB+
   
746,878
 
 
3,190
 
Total Utilities
         
3,279,541
 
     
Water and Sewer – 12.0% (7.9% of Total Investments)
             
 
255
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax)
9/17 at 100.00
 
N/R
   
259,738
 
     
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
   
791,611
 
 
1,110
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
 
A1
   
1,222,754
 
 
140
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
 
Ba2
   
144,028
 
 
375
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
 
Ba2
   
380,741
 
 
500
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38
7/18 at 100.00
 
Baa2
   
534,158
 
 
750
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A, 5.000%, 8/01/20 – NPFG Insured
8/13 at 100.00
 
Aa3
   
786,390
 
 
700
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41
8/21 at 100.00
 
Aa3
   
781,989
 
 
4,550
 
Total Water and Sewer
         
4,901,409
 
$
57,475
 
Total Investments (cost $57,929,327) – 152.0%
         
61,995,068
 
     
Floating Rate Obligations – (9.4)%
         
(3,820,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (50.2)% (6)
         
(20,470,000
     
Other Assets Less Liabilities – 7.6%
         
3,079,797
 
     
Net Assets Applicable to Common Shares – 100%
       
$
40,784,865
 
 
(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 Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.
(5)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
 
MuniFund Term Preferred Shares, at liquidation Value as a percentage of Total Investments is 33.0%.
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
 
41

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund 2
NGK
 
Portfolio of Investments
   
May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Consumer Staples – 1.7% (1.1% of Total Investments)
             
$
630
 
Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
8/12 at 100.00
 
BBB+
 
$
628,803
 
     
Education and Civic Organizations – 34.9% (22.7% of Total Investments)
             
 
275
 
Connecticut Health and Education Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41
7/21 at 100.00
 
A2
   
304,483
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 – RAAI Insured
7/16 at 100.00
 
N/R
   
202,568
 
 
135
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured
7/17 at 100.00
 
N/R
   
139,581
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O, 5.000%, 7/01/40
7/20 at 100.00
 
A–
   
547,415
 
 
310
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 – AMBAC Insured
No Opt. Call
 
A2
   
379,208
 
 
715
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 – NPFG Insured
7/17 at 100.00
 
A–
   
779,472
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A:
             
 
75
 
5.000%, 7/01/30 – AMBAC Insured
7/17 at 100.00
 
N/R
   
79,354
 
 
120
 
5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
 
N/R
   
124,655
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G, 5.625%, 7/01/41
7/21 at 100.00
 
BBB
   
553,525
 
 
450
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2012H, 5.000%, 7/01/28 – AGM Insured
7/22 at 100.00
 
AA–
   
499,446
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured
7/16 at 100.00
 
BBB–
   
508,230
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
 
AA
   
901,528
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 (UB)
7/13 at 100.00
 
AAA
   
519,475
 
 
1,600
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB)
7/16 at 100.00
 
AAA
   
1,790,288
 
 
2,750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) (4)
7/17 at 100.00
 
AAA
   
3,144,158
 
     
University of Connecticut, General Obligation Bonds, Series 2006A:
             
 
450
 
5.000%, 2/15/19 – FGIC Insured
2/16 at 100.00
 
AA
   
517,869
 
 
490
 
5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
 
AA
   
555,640
 
 
460
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
 
AA
   
538,550
 
 
500
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%, 11/15/22 – FGIC Insured
11/12 at 101.00
 
Aa2
   
515,780
 
 
11,330
 
Total Education and Civic Organizations
         
12,601,225
 
     
Health Care – 31.9% (20.8% of Total Investments)
             
 
300
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 – RAAI Insured
7/12 at 101.00
 
N/R
   
302,151
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A:
             
 
20
 
6.125%, 7/01/20 – RAAI Insured
8/12 at 100.00
 
N/R
   
20,038
 
 
315
 
6.000%, 7/01/25 – RAAI Insured
8/12 at 100.00
 
N/R
   
315,362
 

42
 
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:
             
$
400
 
5.000%, 7/01/15 – RAAI Insured
No Opt. Call
 
N/R
 
$
430,848
 
 
300
 
5.000%, 7/01/20 – RAAI Insured
7/15 at 100.00
 
N/R
   
310,548
 
 
300
 
5.000%, 7/01/23 – RAAI Insured
7/15 at 100.00
 
N/R
   
306,426
 
 
1,030
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford Healthcare, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
 
A
   
1,098,474
 
 
170
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 – RAAI Insured
7/17 at 100.00
 
BBB–
   
174,138
 
 
400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36
7/21 at 100.00
 
A+
   
431,308
 
 
1,190
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 – AGM Insured
7/16 at 100.00
 
Aa3
   
1,247,406
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 – RAAI Insured
7/12 at 101.00
 
N/R
   
1,002,990
 
 
315
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 10.00
 
A–
   
341,429
 
 
550
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41
7/21 at 100.00
 
A
   
612,200
 
 
750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29
7/21 at 100.00
 
A
   
813,465
 
 
1,170
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured
7/16 at 100.00
 
Aa3
   
1,248,823
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40
7/20 at 100.00
 
Aa3
   
227,416
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
 
AA+
   
868,568
 
 
175
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
 
A+
   
191,224
 
 
1,400
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochestor Project, Series 2010, 5.500%, 8/15/40
2/21 at 100.00
 
Aa2
   
1,592,150
 
 
10,785
 
Total Health Care
         
11,534,964
 
     
Housing/Multifamily – 1.4% (0.9% of Total Investments)
             
 
480
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax)
11/15 at 100.00
 
AAA
   
493,910
 
     
Housing/Single Family – 7.5% (4.9% of Total Investments)
             
 
700
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34
5/13 at 100.00
 
AAA
   
709,793
 
     
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
   
313,458
 
 
330
 
4.800%, 11/15/31 (Alternative Minimum Tax)
11/15 at 100.00
 
AAA
   
337,293
 
 
585
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
 
AAA
   
611,647
 
 
700
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, Series 2010-A2, 4.750%, 11/15/35
11/19 at 100.00
 
AAA
   
741,881
 
 
2,620
 
Total Housing/Single Family
         
2,714,072
 

Nuveen Investments
 
43

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued)
NGK
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Long-Term Care – 3.2% (2.1% of Total Investments)
             
$
320
 
Connecticut Development Authority, First Mortgage Gross Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23
12/13 at 100.00
 
BBB
 
$
326,806
 
 
450
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/19 – AMBAC Insured
7/12 at 101.00
 
N/R
   
455,067
 
 
250
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer’s Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27
8/17 at 100.00
 
N/R
   
258,073
 
 
105
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 7.625%, 1/01/30
1/20 at 100.00
 
N/R
   
114,200
 
 
1,125
 
Total Long-Term Care
         
1,154,146
 
     
Tax Obligation/General – 11.4% (7.4% of Total Investments)
             
 
600
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
 
AA
   
688,806
 
 
400
 
Connecticut State, General Obligation Bonds, Series 2006C, 5.000%, 6/01/23 – AGM Insured
6/16 at 100.00
 
AA
   
459,680
 
     
Hartford, Connecticut, General Obligation Bonds, Series 2005A:
             
 
360
 
5.000%, 8/01/21 – AGM Insured
8/15 at 100.00
 
AA–
   
404,914
 
 
140
 
4.375%, 8/01/24 – AGM Insured
8/15 at 100.00
 
AA–
   
147,591
 
 
650
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 11/01/17 – AMBAC Insured
11/16 at 100.00
 
A1
   
747,617
 
 
1,000
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36
8/21 at 100.00
 
AA+
   
1,157,040
 
 
400
 
Suffield, Connecticut, General Obligation Bonds, Series 2005, 5.000%, 6/15/21
No Opt. Call
 
AA+
   
510,356
 
 
3,550
 
Total Tax Obligation/General
         
4,116,004
 
     
Tax Obligation/Limited – 16.6% (10.8% of Total Investments)
             
     
Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F:
             
 
575
 
5.000%, 7/01/31 – AGC Insured
7/16 at 100.00
 
AA–
   
612,835
 
 
500
 
5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
 
AA–
   
528,390
 
 
850
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 – AMBAC Insured
8/17 at 100.00
 
AA
   
963,611
 
 
500
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
4/20 at 100.00
 
N/R
   
565,860
 
 
500
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 7/01/31 – AMBAC Insured
No Opt. Call
 
Baa1
   
543,300
 
 
430
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 0.000%, 7/01/32 – FGIC Insured
No Opt. Call
 
BBB+
   
140,197
 
 
750
 
Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/01/16 – AGM Insured
8/15 at 100.00
 
AA–
   
818,303
 
 
1,000
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A, 5.375%, 8/01/39
2/20 at 100.00
 
A+
   
1,071,200
 
 
300
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41
4/21 at 100.00
 
N/R
   
316,101
 
 
420
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien Series 2010A, 5.000%, 10/01/29
10/20 at 100.00
 
BBB+
   
444,759
 
 
5,825
 
Total Tax Obligation/Limited
         
6,004,556
 

44
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Transportation – 5.8% (3.8% of Total Investments)
             
$
1,950
 
New Haven, Connecticut, Revenue Refunding Bonds, Air Rights Parking Facility, Series 2002, 5.375%, 12/01/15 – AMBAC Insured
No Opt. Call
 
N/R
 
$
2,104,128
 
     
U.S. Guaranteed – 19.3% (12.6% of Total Investments) (5)
             
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E:
             
 
590
 
5.500%, 7/01/22 (Pre-refunded 7/01/12) – RAAI Insured
7/12 at 101.00
 
BBB– (5)
   
598,490
 
 
1,000
 
5.250%, 7/01/32 (Pre-refunded 7/01/12) – RAAI Insured
7/12 at 101.00
 
BBB– (5)
   
1,014,180
 
 
1,000
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/20 (Pre-refunded 7/01/12) – AGM Insured
7/12 at 100.00
 
AA (5)
   
1,004,350
 
 
785
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16 (Pre-refunded 10/01/13)
10/13 at 100.00
 
AAA
   
834,220
 
     
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
   
1,023,930
 
 
1,450
 
5.000%, 9/15/21 (Pre-refunded 9/15/12)
9/12 at 101.00
 
Aaa
   
1,484,699
 
 
410
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A, 5.000%, 8/01/33 (Pre-refunded 8/01/13) – NPFG Insured
8/13 at 100.00
 
Aa3 (5)
   
432,562
 
 
500
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/17 (Pre-refunded 10/01/15)
10/15 at 100.00
 
AAA
   
573,210
 
 
6,735
 
Total U.S. Guaranteed
         
6,965,641
 
     
Utilities – 9.9% (6.5% of Total Investments)
             
 
470
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)
11/12 at 100.00
 
Baa1
   
471,936
 
 
1,000
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax)
12/12 at 101.00
 
Ba1
   
1,012,020
 
 
460
 
Connecticut Transmission Municipal Electric Energy Cooperative, Transmission System Revenue Bonds, Series 2012A, 5.000%, 1/01/42
1/22 at 100.00
 
Aa3
   
514,363
 
     
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
             
 
250
 
5.500%, 1/01/15 (Alternative Minimum Tax)
8/12 at 100.00
 
BBB
   
250,788
 
 
510
 
5.500%, 1/01/20 (Alternative Minimum Tax)
7/12 at 100.00
 
BBB
   
511,872
 
     
Puerto Rico Electric Power Authority, Power Revenue Bonds, Refunding Series 2012A:
             
 
555
 
5.050%, 7/01/42
7/22 at 100.00
 
BBB+
   
563,969
 
 
240
 
5.000%, 7/01/42
7/22 at 100.00
 
BBB+
   
242,930
 
 
3,485
 
Total Utilities
         
3,567,878
 
     
Water and Sewer – 9.8% (6.4% of Total Investments)
             
 
220
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax)
9/17 at 100.00
 
N/R
   
224,088
 
     
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
   
758,627
 
 
320
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
 
A1
   
352,506
 
 
130
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
 
Ba2
   
133,740
 
 
350
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
 
Ba2
   
355,359
 

Nuveen Investments
 
45

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (continued)
NGK
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Water and Sewer (continued)
             
$
500
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38
7/18 at 100.00
 
Baa2
 
$
534,159
 
 
750
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A, 5.000%, 8/01/20 – NPFG Insured
8/13 at 100.00
 
Aa3
   
786,386
 
 
350
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41
8/21 at 100.00
 
Aa3
   
390,994
 
 
3,310
 
Total Water and Sewer
         
3,535,859
 
$
51,825
 
Total Investments (cost $52,083,321) – 153.4%
         
55,421,186
 
     
Floating Rate Obligations – (9.6)%
         
(3,460,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (46.9)% (6)
         
(16,950,000
     
Other Assets Less Liabilities – 3.1%
         
1,109,919
 
     
Net Assets Applicable to Common Shares – 100%
       
$
36,121,105
 
 
(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 Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.
(5)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 30.6%.
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.

46
 
Nuveen Investments

 
 

 


   
Nuveen Connecticut Dividend Advantage Municipal Fund 3
NGO
 
Portfolio of Investments
   
May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Consumer Staples – 3.0% (2.0% of Total Investments)
             
$
2,010
 
Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
8/12 at 100.00
 
BBB+
 
$
2,006,181
 
     
Education and Civic Organizations – 32.2% (21.1% of Total Investments)
             
 
350
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 – RAAI Insured
7/16 at 100.00
 
N/R
   
354,494
 
 
250
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured
7/17 at 100.00
 
N/R
   
258,483
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 – NPFG Insured
7/17 at 100.00
 
A2
   
1,029,950
 
 
800
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O, 5.000%, 7/01/35
7/20 at 100.00
 
A–
   
883,536
 
 
400
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 – AMBAC Insured
No Opt. Call
 
A2
   
489,300
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2006H, 5.000%, 7/01/36 – AMBAC Insured
7/16 at 100.00
 
A–
   
1,050,170
 
 
1,300
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 – NPFG Insured
7/17 at 100.00
 
A–
   
1,417,221
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A:
             
 
135
 
5.000%, 7/01/30 – AMBAC Insured
7/17 at 100.00
 
N/R
   
142,837
 
 
215
 
5.000%, 7/01/37 – AMBAC Insured
7/17 at 100.00
 
N/R
   
223,340
 
 
1,160
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G, 5.625%, 7/01/41
7/21 at 100.00
 
BBB
   
1,284,178
 
 
600
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2012H, 5.000%, 7/01/26 – AGM Insured
7/22 at 100.00
 
AA–
   
673,452
 
 
650
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2006G, 5.250%, 7/01/36 – RAAI Insured
7/16 at 100.00
 
BBB–
   
660,699
 
 
825
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35
7/20 at 100.00
 
AA
   
929,701
 
 
3,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB)
7/16 at 100.00
 
AAA
   
3,356,790
 
 
5,050
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) (4)
7/17 at 100.00
 
AAA
   
5,773,817
 
     
University of Connecticut, General Obligation Bonds, Series 2006A:
             
 
850
 
5.000%, 2/15/19 – FGIC Insured
2/16 at 100.00
 
AA
   
978,197
 
 
490
 
5.000%, 2/15/23 – FGIC Insured
2/16 at 100.00
 
AA
   
555,640
 
 
535
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
 
AA
   
626,357
 
 
175
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27
11/19 at 100.00
 
Aa2
   
203,375
 
 
500
 
University of Connecticut, Student Fee Revenue Refunding Bonds, Series 2002A, 5.250%, 11/15/22 – FGIC Insured
11/12 at 101.00
 
Aa2
   
515,780
 
 
19,285
 
Total Education and Civic Organizations
         
21,407,317
 
     
Health Care – 28.6% (18.7% of Total Investments)
             
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B:
             
 
460
 
5.500%, 7/01/21 – RAAI Insured
7/12 at 101.00
 
N/R
   
464,839
 
 
600
 
5.500%, 7/01/32 – RAAI Insured
7/12 at 101.00
 
N/R
   
604,302
 
 
750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 – RAAI Insured
8/12 at 100.00
 
N/R
   
750,863
 
     
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
   
527,789
 
 
800
 
5.000%, 7/01/20 – RAAI Insured
7/15 at 100.00
 
N/R
   
828,128
 

Nuveen Investments
 
47

 
 

 
 
   
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued)
NGO
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Health Care (continued)
             
$
1,900
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford Healthcare, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
 
A
 
$
2,026,312
 
     
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–
   
317,545
 
 
150
 
5.250%, 7/01/37 – RAAI Insured
7/17 at 100.00
 
BBB–
   
152,028
 
 
650
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36
7/21 at 100.00
 
A+
   
700,876
 
 
2,130
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 – AGM Insured
7/16 at 100.00
 
Aa3
   
2,232,751
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N:
             
 
400
 
5.000%, 7/01/26
7/21 at 100.00
 
A2
   
440,928
 
 
500
 
5.000%, 7/01/27
7/21 at 100.00
 
A2
   
548,530
 
 
320
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 10.00
 
A–
   
346,848
 
 
1,020
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41
7/21 at 100.00
 
A
   
1,135,352
 
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29
7/21 at 100.00
 
A
   
1,084,620
 
 
1,325
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured
7/16 at 100.00
 
Aa3
   
1,414,265
 
 
350
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40
7/20 at 100.00
 
Aa3
   
397,978
 
 
1,500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
 
AA+
   
1,628,565
 
 
300
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
 
A+
   
327,813
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Danbury Hospital, Series 2006H, 4.500%, 7/01/33 – AMBAC Insured
1/16 at 100.00
 
A
   
200,026
 
 
2,550
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochestor Project, Series 2010, 5.500%, 8/15/40
2/21 at 100.00
 
Aa2
   
2,899,988
 
 
17,705
 
Total Health Care
         
19,030,346
 
     
Housing/Multifamily – 1.5% (1.0% of Total Investments)
             
 
960
 
Connecticut Housing Finance Authority, Multifamily Housing Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax)
11/15 at 100.00
 
AAA
   
987,821
 
     
Housing/Single Family – 6.7% (4.4% of Total Investments)
             
 
1,300
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34
5/13 at 100.00
 
AAA
   
1,318,187
 
     
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
   
447,063
 
 
465
 
4.800%, 11/15/31 (Alternative Minimum Tax)
11/15 at 100.00
 
AAA
   
475,277
 
 
585
 
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
5/16 at 100.00
 
AAA
   
611,647
 
 
1,500
 
Connecticut Housing Finance Authority, Single Family Housing Mortgage Finance Program Bonds, Series 2010-A2, 4.500%, 11/15/30
11/19 at 100.00
 
AAA
   
1,611,930
 
 
4,285
 
Total Housing/Single Family
         
4,464,104
 

48
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Long-Term Care – 9.0% (5.9% of Total Investments)
             
$
500
 
Connecticut Development Authority, First Mortgage Gross Revenue Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23
12/13 at 100.00
 
BBB
 
$
510,635
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc., Series 2002A:
             
 
430
 
5.000%, 7/01/18 – AMBAC Insured
7/12 at 101.00
 
N/R
   
434,945
 
 
475
 
5.000%, 7/01/20 – AMBAC Insured
7/12 at 101.00
 
N/R
   
480,296
 
 
260
 
5.000%, 7/01/23 – AMBAC Insured
7/12 at 101.00
 
N/R
   
262,418
 
 
1,000
 
5.000%, 7/01/32 – AMBAC Insured
7/12 at 101.00
 
N/R
   
1,003,460
 
     
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
   
1,037,940
 
 
1,500
 
5.000%, 6/15/32 – AMBAC Insured
6/13 at 100.00
 
N/R
   
1,536,195
 
 
500
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer’s Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27
8/17 at 100.00
 
N/R
   
516,145
 
 
210
 
Hamden, Connecticut, Facility Revenue Bonds, Whitney Center Project, Series 2009A, 7.625%, 1/01/30
1/20 at 100.00
 
N/R
   
228,400
 
 
5,875
 
Total Long-Term Care
         
6,010,434
 
     
Tax Obligation/General – 9.7% (6.3% of Total Investments)
             
 
1,200
 
Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24
12/16 at 100.00
 
AA
   
1,377,612
 
 
1,500
 
Connecticut State, General Obligation Bonds, Series 2006E, 5.000%, 12/15/20
12/16 at 10.00
 
AA
   
1,757,505
 
 
600
 
Hartford, Connecticut, General Obligation Bonds, Series 2005A, 5.000%, 8/01/21 – AGM Insured
8/15 at 100.00
 
AA–
   
674,856
 
 
440
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 – AGC Insured
8/19 at 100.00
 
AA–
   
500,135
 
 
1,000
 
New Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 11/01/17 – AMBAC Insured
11/16 at 100.00
 
A1
   
1,150,180
 
 
860
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36
8/21 at 100.00
 
AA+
   
995,054
 
 
5,600
 
Total Tax Obligation/General
         
6,455,342
 
     
Tax Obligation/Limited – 16.7% (11.0% of Total Investments)
             
 
930
 
Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 – AGC Insured
7/16 at 100.00
 
AA–
   
982,805
 
 
20
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 1992B, 6.125%, 9/01/12
No Opt. Call
 
AA
   
20,296
 
 
1,500
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 – AMBAC Insured
8/17 at 100.00
 
AA
   
1,700,490
 
 
900
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
4/20 at 100.00
 
N/R
   
1,018,548
 
 
1,000
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 5.250%, 7/01/31 – AMBAC Insured
No Opt. Call
 
Baa1
   
1,086,600
 
     
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A:
             
 
780
 
0.000%, 7/01/32 – FGIC Insured
No Opt. Call
 
BBB+
   
254,311
 
 
2,120
 
0.000%, 7/01/33 – FGIC Insured
No Opt. Call
 
BBB+
   
643,717
 
     
Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G:
             
 
890
 
5.250%, 7/01/17
7/12 at 100.00
 
Baa1
   
891,700
 
 
1,000
 
5.250%, 7/01/20
7/12 at 100.00
 
Baa1
   
1,001,260
 
 
1,045
 
5.250%, 7/01/21
7/12 at 100.00
 
Baa1
   
1,046,108
 
     
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A:
             
 
1,525
 
0.000%, 8/01/33
No Opt. Call
 
A+
   
486,917
 
 
650
 
5.375%, 8/01/39
2/20 at 100.00
 
A+
   
696,280
 
 
500
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41
4/21 at 100.00
 
N/R
   
526,835
 
 
735
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien Series 2010A, 5.000%, 10/01/29
10/20 at 100.00
 
BBB+
   
778,328
 
 
13,595
 
Total Tax Obligation/Limited
         
11,134,195
 

Nuveen Investments
 
49

 
 

 

   
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (continued)
NGO
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Transportation – 0.7% (0.4% of Total Investments)
             
$
415
 
New Haven, Connecticut, Revenue Refunding Bonds, Air Rights Parking Facility, Series 2002, 5.375%, 12/01/15 – AMBAC Insured
No Opt. Call
 
N/R
 
$
447,802
 
     
U.S. Guaranteed – 21.1% (13.8% 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)
   
535,374
 
 
525
 
5.000%, 11/01/19 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
 
Aa2 (5)
   
535,374
 
 
525
 
5.000%, 11/01/20 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
 
Aa2 (5)
   
535,374
 
 
525
 
5.000%, 11/01/21 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
 
Aa2 (5)
   
535,374
 
 
525
 
5.000%, 11/01/22 (Pre-refunded 11/01/12) – FGIC Insured
11/12 at 100.00
 
Aa2 (5)
   
535,374
 
 
500
 
Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 5.250%, 9/15/23 (Pre-refunded 9/15/13) – AGM Insured
9/13 at 100.00
 
AA– (5)
   
532,270
 
 
750
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E, 5.500%, 7/01/22 (Pre-refunded 7/01/12) – RAAI Insured
7/12 at 101.00
 
BBB– (5)
   
760,793
 
     
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B:
             
 
2,110
 
5.000%, 12/01/20 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
 
AA (5)
   
2,160,830
 
 
1,000
 
5.000%, 12/01/21 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
 
AA (5)
   
1,024,090
 
 
1,000
 
5.000%, 12/01/22 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
 
AA (5)
   
1,024,090
 
 
500
 
Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 (Pre-refunded 1/01/14) – FGIC Insured
1/14 at 100.00
 
AA (5)
   
537,050
 
 
1,185
 
Connecticut, State Revolving Fund General Revenue Bonds, Series 2003A, 5.000%, 10/01/16 (Pre-refunded 10/01/13)
10/13 at 100.00
 
AAA
   
1,259,300
 
 
450
 
Farmington, Connecticut, General Obligation Bonds, Series 2002, 5.000%, 9/15/20 (Pre-refunded 9/15/12)
9/12 at 101.00
 
Aaa
   
460,769
 
 
40
 
New Haven, Connecticut, General Obligation Bonds, Series 2002A, 5.250%, 11/01/17 – AMBAC Insured (ETM)
11/12 at 100.00
 
A1 (5)
   
40,567
 
 
1,010
 
Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 – AMBAC Insured (ETM)
No Opt. Call
 
Aaa
   
1,234,776
 
 
590
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A, 5.000%, 8/01/33 (Pre-refunded 8/01/13) – NPFG Insured
8/13 at 100.00
 
Aa3 (5)
   
622,468
 
 
1,100
 
University of Connecticut, General Obligation Bonds, Series 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) – NPFG Insured
2/13 at 100.00
 
AA (5)
   
1,138,258
 
 
500
 
West Hartford, Connecticut, General Obligation Bonds, Series 2005B, 5.000%, 10/01/18 (Pre-refunded 10/01/15)
10/15 at 100.00
 
AAA
   
573,210
 
 
13,360
 
Total U.S. Guaranteed
         
14,045,341
 
     
Utilities – 8.4% (5.5% of Total Investments)
             
 
860
 
Connecticut Development Authority, Solid Waste Disposal Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)
11/12 at 100.00
 
Baa1
   
863,543
 
 
2,000
 
Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax)
12/12 at 101.00
 
Ba1
   
2,024,040
 
     
Connecticut Transmission Municipal Electric Energy Cooperative, Transmission System Revenue Bonds, Series 2012A:
             
 
500
 
5.000%, 1/01/32
1/22 at 100.00
 
Aa3
   
573,095
 
 
830
 
5.000%, 1/01/42
1/22 at 100.00
 
Aa3
   
928,089
 
     
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
             
 
370
 
5.500%, 1/01/14 (Alternative Minimum Tax)
7/12 at 100.00
 
BBB
   
371,291
 
 
305
 
5.500%, 1/01/20 (Alternative Minimum Tax)
7/12 at 100.00
 
BBB
   
306,119
 
 
530
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010XX, 5.250%, 7/01/40
7/20 at 100.00
 
BBB+
   
545,264
 
 
5,395
 
Total Utilities
         
5,611,441
 

50
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Water and Sewer – 15.2% (9.9% of Total Investments)
             
$
400
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax)
9/17 at 100.00
 
N/R
 
$
407,432
 
     
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
   
1,352,336
 
 
640
 
5.000%, 8/15/35 – NPFG Insured
11/15 at 100.00
 
A1
   
705,011
 
 
230
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005, 6.000%, 7/01/25
7/15 at 100.00
 
Ba2
   
236,617
 
 
600
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
 
Ba2
   
609,186
 
 
1,000
 
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A, 6.000%, 7/01/38
7/18 at 100.00
 
Baa2
   
1,068,320
 
 
2,050
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A, 5.000%, 8/01/20 – NPFG Insured
8/13 at 100.00
 
Aa3
   
2,149,461
 
 
1,840
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth Series, 2007A, 5.000%, 8/01/30 – NPFG Insured
8/16 at 100.00
 
Aa3
   
2,025,251
 
 
1,050
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41
8/21 at 100.00
 
Aa3
   
1,172,987
 
 
350
 
Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
11/13 at 100.00
 
AA+
   
368,939
 
 
9,390
 
Total Water and Sewer
         
10,095,540
 
$
97,875
 
Total Investments (cost $96,254,704) – 152.8%
         
101,695,864
 
     
Floating Rate Obligations – (8.7)%
         
(5,780,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (48.1)% (6)
         
(32,000,000
     
Other Assets Less Liabilities – 4.0%
         
2,625,988
 
     
Net Assets Applicable to Common Shares – 100%
       
$
66,541,852
 
 
(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 Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.
(5)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 31.5%.
N/R
 
Not rated.
(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
 
51

 
 

 

   
Nuveen Massachusetts Premium Income Municipal Fund
NMT
 
Portfolio of Investments
   
May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Consumer Discretionary – 1.5% (1.0% of Total Investments)
             
$
1,425
 
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,
9/12 at 102.00
 
Caa3
 
$
1,092,120
 
     
Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)
             
     
Education and Civic Organizations – 33.4% (22.6% of Total Investments)
             
 
1,000
 
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and B-2, 5.250%, 7/01/33 – AGM Insured
7/21 at 100.00
 
AA–
   
1,125,600
 
 
375
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29
10/19 at 100.00
 
A
   
418,924
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 5.000%, 1/01/40
1/20 at 100.00
 
BBB+
   
1,034,710
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
 
AA
   
1,111,300
 
 
2,000
 
Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 5.250%, 4/01/37
4/21 at 100.00
 
AA–
   
2,222,920
 
 
1,045
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 – NPFG Insured
9/17 at 100.00
 
A+
   
1,108,452
 
 
705
 
Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A, 6.000%, 3/01/20 – ACA Insured
9/12 at 100.00
 
BBB
   
706,495
 
 
1,745
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured
7/15 at 100.00
 
AA–
   
1,849,648
 
 
1,500
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured
No Opt. Call
 
A
   
1,902,150
 
 
4,850
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 – AGC Insured
1/18 at 100.00
 
AA–
   
5,123,928
 
 
1,090
 
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series 1999P, 6.000%, 5/15/29
No Opt. Call
 
A2
   
1,399,157
 
 
1,000
 
Massachusetts Educational Financing Authority, Educational Loan Revenue, Series 2011J, 5.625%, 7/01/33 (Alternative Minimum Tax)
7/21 at 100.00
 
AA
   
1,074,980
 
 
2,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18
6/13 at 100.00
 
AA–
   
2,092,000
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, Series 2010, 5.500%, 10/15/31
10/19 at 100.00
 
Baa1
   
1,045,180
 
 
250
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, Series 2008O, 5.375%, 8/15/38
8/18 at 100.00
 
Aa2
   
298,133
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26
7/13 at 100.00
 
AA+
   
519,195
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College Issues, Series 2010F, 5.000%, 1/01/41
1/20 at 100.00
 
A2
   
542,795
 
 
555
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series 2003H, 5.000%, 7/01/21
7/13 at 100.00
 
AAA
   
580,924
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured
11/12 at 100.00
 
A
   
502,710
 
 
22,615
 
Total Education and Civic Organizations
         
24,659,201
 
     
Health Care – 26.3% (17.8% of Total Investments)
             
     
Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems, Series 2012G:
             
 
895
 
5.000%, 10/01/29
10/21 at 100.00
 
A3
   
982,003
 
 
700
 
5.000%, 10/01/31
10/21 at 100.00
 
A3
   
767,466
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2011K-6, 5.375%, 7/01/41
7/20 at 100.00
 
AA
   
1,116,440
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 – RAAI Insured
11/12 at 100.50
 
BBB+
   
1,010,500
 

52
 
Nuveen Investments

 
 

 

 
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
 
A–
 
$
2,585,108
 
 
770
 
5.375%, 2/01/28 – NPFG Insured
8/18 at 100.00
 
A–
   
857,318
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B2, Capital Asset Program, Converted June 9, 2009, 5.375%, 2/01/27 – NPFG Insured
8/18 at 100.00
 
A–
   
1,677,990
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children’s Hospital, Series 2009M, 5.500%, 12/01/39
12/19 at 100.00
 
AA
   
1,121,470
 
 
935
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 – RAAI Insured
8/15 at 100.00
 
N/R
   
871,738
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured
8/15 at 100.00
 
A+
   
1,059,520
 
 
2,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28
8/17 at 100.00
 
A+
   
2,132,280
 
 
585
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32
7/17 at 100.00
 
BBB–
   
582,397
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30
7/15 at 100.00
 
BB–
   
989,600
 
 
1,445
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33
7/15 at 100.00
 
A–
   
1,474,073
 
 
2,000
 
Massachusetts State, Health and Educational Facilities Authority, Partners HealthCare System Inc., Series 2007G, 5.000%, 7/01/32
7/17 at 100.00
 
AA
   
2,155,440
 
 
18,130
 
Total Health Care
         
19,383,343
 
     
Housing/Multifamily – 6.3% (4.3% of Total Investments)
             
 
1,300
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48
7/17 at 100.00
 
BB
   
1,340,794
 
 
1,695
 
Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31
12/12 at 100.00
 
N/R
   
1,695,322
 
 
500
 
Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax)
6/13 at 100.00
 
AA–
   
505,760
 
 
95
 
Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 1999D, 5.500%, 7/01/13 – AMBAC Insured (Alternative Minimum Tax)
7/12 at 100.00
 
N/R
   
95,219
 
 
1,000
 
Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22
5/13 at 102.00
 
N/R
   
1,031,820
 
 
4,590
 
Total Housing/Multifamily
         
4,668,915
 
     
Housing/Single Family – 3.7% (2.5% of Total Investments)
             
 
1,500
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax)
6/16 at 100.00
 
AA
   
1,526,850
 
 
985
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust 3145, 14.272%, 6/01/16 (IF)
No Opt. Call
 
AA
   
1,247,611
 
 
2,485
 
Total Housing/Single Family
         
2,774,461
 
     
Industrials – 0.9% (0.6% of Total Investments)
             
 
220
 
Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)
No Opt. Call
 
N/R
   
217,536
 
 
400
 
Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management No Opt. Call Inc., Series 2003, 5.450%, 6/01/14
   
BBB
   
432,876
 
 
620
 
Total Industrials
         
650,412
 
     
Long-Term Care – 7.0% (4.7% of Total Investments)
             
 
1,270
 
Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31
10/12 at 101.00
 
AAA
   
1,297,902
 
 
185
 
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30
12/19 at 100.00
 
A–
   
200,142
 

Nuveen Investments
 
53

 
 

 

   
Nuveen Massachusetts Premium Income Municipal Fund (continued)
NMT
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Long-Term Care (continued)
             
$
1,685
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26
10/12 at 102.00
 
N/R
 
$
1,654,923
 
 
1,500
 
Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)
9/12 at 105.00
 
AAA
   
1,581,945
 
 
400
 
Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement Community, Series 1994B, 4.750%, 7/01/17
8/12 at 100.00
 
BBB
   
400,360
 
 
5,040
 
Total Long-Term Care
         
5,135,272
 
     
Tax Obligation/General – 18.7% (12.6% of Total Investments)
             
 
500
 
Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured
5/15 at 100.00
 
Aa2
   
559,555
 
 
300
 
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17
1/15 at 100.00
 
Aaa
   
333,909
 
 
1,000
 
Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – AGM Insured
2/13 at 101.00
 
AA–
   
1,028,210
 
 
1,000
 
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation Bonds, Series 2011, 5.000%, 2/15/41
2/21 at 100.00
 
Aa3
   
1,111,280
 
 
1,250
 
Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 5.000%, 2/15/32
2/20 at 100.00
 
AA
   
1,418,500
 
 
1,205
 
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21
No Opt. Call
 
AA+
   
1,612,676
 
 
1,275
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2001D, 6.000%, 11/01/13 – NPFG Insured
No Opt. Call
 
AA+
   
1,378,823
 
 
1,260
 
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured
No Opt. Call
 
AAA
   
1,594,568
 
 
1,000
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 – FGIC Insured
No Opt. Call
 
Baa1
   
1,107,530
 
 
2,000
 
Quincy, Massachusetts, General Obligation Bonds, Series 2011, 5.250%, 12/01/38
12/20 at 100.00
 
Aa2
   
2,284,640
 
 
1,220
 
Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 – FGIC Insured
7/15 at 100.00
 
AA–
   
1,365,619
 
 
12,010
 
Total Tax Obligation/General
         
13,795,310
 
     
Tax Obligation/Limited – 12.3% (8.3% of Total Investments)
             
 
210
 
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 – AMBAC Insured
5/14 at 100.00
 
A–
   
223,566
 
 
975
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 5.000%, 7/01/26
7/18 at 100.00
 
AAA
   
1,166,919
 
 
385
 
Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21
No Opt. Call
 
AAA
   
496,769
 
 
1,200
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – AGC Insured
5/18 at 100.00
 
Aa2
   
1,308,468
 
 
1,000
 
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 5.375%, 5/01/23 – SYNCORA GTY Insured
No Opt. Call
 
Aa2
   
1,277,450
 
 
570
 
Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 5.000%, 5/01/37
5/22 at 100.00
 
AA
   
650,592
 
 
1,300
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/20 – AGM Insured (UB)
8/15 at 100.00
 
AA+
   
1,472,003
 
 
1,000
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B, 5.000%, 10/15/41
10/21 at 100.00
 
AA+
   
1,137,350
 
 
540
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured
No Opt. Call
 
A1
   
641,952
 
 
240
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 0.000%, 7/01/43 – AMBAC Insured
No Opt. Call
 
BBB+
   
35,573
 
 
1,650
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010C, 0.000%, 8/01/38
No Opt. Call
 
A+
   
371,976
 
 
235
 
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19 – NPFG Insured
No Opt. Call
 
A3
   
270,133
 
 
9,305
 
Total Tax Obligation/Limited
         
9,052,751
 

54
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Transportation – 11.4% (7.7% of Total Investments)
             
$
500
 
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30
7/20 at 100.00
 
AA
 
$
565,735
 
 
2,000
 
Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 – NPFG Insured
7/13 at 100.00
 
AA
   
2,073,480
 
 
1,000
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)
7/17 at 100.00
 
A2
   
1,030,930
 
 
225
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
7/12 at 100.00
 
N/R
   
200,367
 
 
4,000
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 – NPFG Insured (Alternative Minimum Tax)
9/12 at 100.00
 
BBB
   
4,010,160
 
 
470
 
Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Senior Lien Parking Revenue Bonds, Series 2011, 5.000%, 7/01/41
7/21 at 100.00
 
A+
   
508,648
 
 
8,195
 
Total Transportation
         
8,389,320
 
     
U.S. Guaranteed – 16.0% (10.8% of Total Investments) (4)
             
 
2,000
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 (Pre-refunded 11/01/14)
11/14 at 100.00
 
AA+ (4)
   
2,222,980
 
 
650
 
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17 (Pre-refunded 1/01/15)
1/15 at 100.00
 
N/R (4)
   
727,571
 
 
1,115
 
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 (Pre-refunded 3/01/17)
3/17 at 100.00
 
N/R (4)
   
1,294,816
 
 
25
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 5.000%, 7/01/26 (Pre-refunded 7/01/18)
7/18 at 100.00
 
AAA
   
30,996
 
 
550
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 (Pre-refunded 5/01/14) – NPFG Insured
5/14 at 100.00
 
Aa2 (4)
   
598,758
 
 
325
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 (Pre-refunded 5/01/16) – AMBAC Insured
5/16 at 100.00
 
Aa2 (4)
   
380,205
 
 
1,000
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13)
7/13 at 101.00
 
A (4)
   
1,069,270
 
 
750
 
Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19 (Pre-refunded 9/01/13)
9/13 at 100.00
 
AA– (4)
   
793,673
 
 
410
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG Insured
7/21 at 100.00
 
BBB (4)
   
501,397
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 (Pre-refunded 7/01/12)
7/12 at 101.00
 
N/R (4)
   
1,015,010
 
 
155
 
Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM)
8/12 at 100.00
 
AAA
   
166,301
 
 
1,500
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) – FGIC Insured
1/14 at 100.00
 
A1 (4)
   
1,616,325
 
 
1,065
 
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19 – NPFG Insured (ETM)
No Opt. Call
 
A3 (4)
   
1,372,572
 
 
10,545
 
Total U.S. Guaranteed
         
11,789,874
 
     
Utilities – 2.7% (1.9% of Total Investments)
             
 
1,000
 
Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/16 – NPFG Insured
1/13 at 100.00
 
BBB
   
1,012,460
 
 
1,000
 
Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
12/12 at 100.00
 
A–
   
1,003,770
 
 
2,000
 
Total Utilities
         
2,016,230
 
     
Water and Sewer – 7.7% (5.2% of Total Investments)
             
 
500
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Lien Refunding Series 2010A, 5.000%, 11/01/30
11/19 at 100.00
 
AA+
   
582,110
 

Nuveen Investments
 
55

 
 

 

   
Nuveen Massachusetts Premium Income Municipal Fund (continued)
NMT
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Water and Sewer (continued)
             
$
60
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22
8/13 at 100.00
 
AAA
 
$
63,012
 
 
285
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10, 5.000%, 8/01/26
8/14 at 100.00
 
AAA
   
307,866
 
 
750
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11, 4.500%, 8/01/29
8/15 at 100.00
 
AAA
   
814,583
 
 
1,000
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 4.375%, 8/01/31 (UB)
8/16 at 100.00
 
AAA
   
1,062,110
 
 
500
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series , 2002A 5.250%, 8/01/20
8/12 at 100.00
 
AAA
   
504,060
 
 
1,500
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28 – NPFG Insured
8/17 at 100.00
 
AA+
   
1,698,611
 
 
625
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46
8/16 at 100.00
 
AA+
   
627,094
 
 
5,220
 
Total Water and Sewer
         
5,659,446
 
$
102,180
 
Total Investments (cost $102,220,231) – 147.9%
         
109,066,655
 
     
Floating Rate Obligations – (1.9)%
         
(1,435,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (49.7)% (5)
         
(36,645,000
     
Other Assets Less Liabilities – 3.7%
         
2,771,367
 
     
Net Assets Applicable to Common Shares – 100%
       
$
73,758,022
 
 
(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 Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
 (5)   MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 33.6%.
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.

56
 
Nuveen Investments

 
 

 

   
Nuveen Massachusetts Dividend Advantage Municipal Fund
NMB
 
Portfolio of Investments
   
May 31, 2012
 
 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Consumer Discretionary – 1.2% (0.8% of Total Investments)
             
$
480
 
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)
9/12 at 102.00
 
Caa3
 
$
367,872
 
     
Education and Civic Organizations – 45.6% (31.3% of Total Investments)
             
 
500
 
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and B-2, 5.250%, 7/01/33 – AGM Insured
7/21 at 100.00
 
AA–
   
562,800
 
 
375
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1., 5.000%, 10/01/29
10/19 at 100.00
 
A
   
418,924
 
 
110
 
Massachusetts Development Finance Agency, Revenue Bonds, Draper Laboratory, Series 2008., 5.875%, 9/01/30
9/18 at 100.00
 
Aa3
   
127,522
 
 
400
 
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A., 5.000%, 1/01/40
1/20 at 100.00
 
BBB+
   
413,884
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A., 5.250%, 4/01/37
4/21 at 100.00
 
AA–
   
1,111,460
 
 
450
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007., 5.000%, 9/01/37 – NPFG Insured
9/17 at 100.00
 
A+
   
477,324
 
 
495
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D., 5.000%, 7/01/27 – AGC Insured
7/15 at 100.00
 
AA–
   
524,685
 
 
500
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A., 5.750%, 1/01/42 – AMBAC Insured
No Opt. Call
 
A
   
634,050
 
 
2,100
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2008A., 5.000%, 1/01/42 – AGC Insured
1/18 at 100.00
 
AA–
   
2,218,608
 
 
1,000
 
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series 1999P., 6.000%, 5/15/59
5/29 at 105.00
 
A2
   
1,215,720
 
 
990
 
Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2001E., 5.300%, 1/01/16 – AMBAC Insured (Alternative Minimum Tax)
7/12 at 100.00
 
AA
   
992,287
 
 
575
 
Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2008H., 6.350%, 1/01/30 – AGC Insured (Alternative Minimum Tax)
1/18 at 100.00
 
AA
   
637,899
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, Series 2003N., 5.250%, 6/01/18
6/13 at 100.00
 
AA–
   
1,046,000
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, Series 2010., 5.500%, 10/15/31
10/19 at 100.00
 
Baa1
   
522,590
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College Issues, Series 2010F., 5.000%, 1/01/41
1/20 at 100.00
 
A2
   
1,628,385
 
 
590
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series 2007L., 5.000%, 7/01/31
7/16 at 100.00
 
AAA
   
659,679
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Refunding Bonds, Suffolk University Issue, Series 2009A., 5.750%, 7/01/39
7/19 at 100.00
 
BBB
   
549,125
 
 
12,585
 
Total Education and Civic Organizations
         
13,740,942
 
     
Health Care – 28.9% (19.9% of Total Investments)
             
 
1,200
 
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2011K-6., 5.375%, 7/01/41
7/20 at 100.00
 
AA
   
1,339,728
 
 
500
 
Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health, Series 2011H., 5.500%, 7/01/31
7/21 at 100.00
 
A–
   
546,080
 
 
500
 
Massachusetts Health and Educational Facilities Authority Revenue Bonds, Quincy Medical Center Issue, Series 2008A., 6.500%, 1/15/38 (4)
1/18 at 100.00
 
N/R
   
2,490
 
 
160
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical Center, Series 2009I., 5.750%, 7/01/36
7/19 at 100.00
 
A+
   
176,339
 
 
775
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B1 Capital Asset Program Converted June 13, 2008, 5.375%, 2/01/26 – NPFG Insured
8/18 at 100.00
 
A–
   
871,069
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B2, Capital Asset Program, Converted June 9, 2009, 5.375%, 2/01/27 – NPFG Insured
8/18 at 100.00
 
A–
   
559,330
 

Nuveen Investments
 
57

 
 

 

   
Nuveen Massachusetts Dividend Advantage Municipal Fund (continued)
NMB
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Health Care (continued)
             
$
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children’s Hospital, Series 2009M., 5.500%, 12/01/39
12/19 at 100.00
 
AA
 
$
1,121,470
 
 
295
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002., 6.000%, 7/01/31
1/14 at 100.00
 
A
   
300,422
 
     
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
   
551,249
 
 
315
 
5.000%, 8/15/35 – RAAI Insured
8/15 at 100.00
 
N/R
   
293,687
 
 
600
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical Center, Series 2005C., 5.000%, 8/15/21 – FGIC Insured
8/15 at 100.00
 
A+
   
635,712
 
 
1,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical Center, Series 2007D., 5.250%, 8/15/28
8/17 at 100.00
 
A+
   
1,066,140
 
 
290
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E., 5.000%, 7/15/32
7/17 at 100.00
 
BBB–
   
288,710
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital Project, Series 2005D., 5.250%, 7/01/30
7/15 at 100.00
 
BB–
   
494,800
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire Community Services Inc., Series 2004B., 6.375%, 7/01/34 (4), (5)
7/14 at 100.00
 
D
   
180,000
 
 
285
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health Care, Series 2005D., 5.000%, 7/01/33
7/15 at 100.00
 
A–
   
290,734
 
 
8,970
 
Total Health Care
         
8,717,960
 
     
Housing/Multifamily – 7.0% (4.8% of Total Investments)
             
 
565
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007., 4.800%, 7/20/48
7/17 at 100.00
 
BB
   
582,730
 
 
500
 
Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S., 5.050%, 12/01/23 (Alternative Minimum Tax)
6/13 at 100.00
 
AA–
   
505,760
 
 
1,000
 
Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002., 5.200%, 11/20/22
5/13 at 102.00
 
N/R
   
1,031,820
 
 
2,065
 
Total Housing/Multifamily
         
2,120,310
 
     
Housing/Single Family – 4.2% (2.9% of Total Investments)
             
 
650
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126., 4.625%, 6/01/32 (Alternative Minimum Tax)
6/16 at 100.00
 
AA
   
661,635
 
 
480
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust 3145., 15.329%, 6/01/16 (IF)
No Opt. Call
 
AA
   
599,520
 
 
1,130
 
Total Housing/Single Family
         
1,261,155
 
     
Industrials – 1.1% (0.7% of Total Investments)
             
 
105
 
Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006., 5.875%, 7/01/14 (Alternative Minimum Tax)
No Opt. Call
 
N/R
   
103,824
 
 
200
 
Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Series 2003., 5.450%, 6/01/14
No Opt. Call
 
BBB
   
216,438
 
 
305
 
Total Industrials
         
320,262
 
     
Long-Term Care – 8.3% (5.7% of Total Investments)
             
 
100
 
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010., 5.625%, 12/01/30
12/19 at 100.00
 
A–
   
108,185
 
 
725
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007., 5.250%, 10/01/26
10/12 at 102.00
 
N/R
   
712,059
 
 
605
 
Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire Retirement Community – Edgecombe Project, Series 2001A., 6.750%, 7/01/21
7/12 at 101.00
 
BBB
   
618,183
 
 
1,000
 
Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A., 6.250%, 9/20/42 (Alternative Minimum Tax)
9/12 at 105.00
 
AAA
   
1,054,630
 
 
2,430
 
Total Long-Term Care
         
2,493,057
 

58
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Tax Obligation/General – 15.2% (10.4% of Total Investments)
             
$
310
 
Ashland, Massachusetts, General Obligation Bonds, Series 2004., 5.250%, 5/15/23 – AMBAC Insured
5/15 at 100.00
 
Aa2
 
$
346,924
 
 
440
 
Fall River, Massachusetts, General Obligation Bonds, Series 2003., 5.000%, 2/01/21 – AGM Insured
2/13 at 101.00
 
AA–
   
452,412
 
 
1,000
 
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation Bonds, Series 2011., 5.000%, 2/15/41
2/21 at 100.00
 
Aa3
   
1,111,280
 
 
500
 
Norwell, Massachusetts, General Obligation Bonds, Series 2003., 5.000%, 11/15/20 – FGIC Insured
No Opt. Call
 
AAA
   
632,765
 
 
500
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A., 5.500%, 7/01/29 – FGIC Insured
No Opt. Call
 
Baa1
   
553,765
 
 
1,280
 
Quincy, Massachusetts, General Obligation Bonds, Series 2011., 5.125%, 12/01/33
12/20 at 100.00
 
Aa2
   
1,467,238
 
 
4,030
 
Total Tax Obligation/General
         
4,564,384
 
     
Tax Obligation/Limited – 10.4% (7.2% of Total Investments)
             
 
395
 
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004., 5.000%, 5/01/26 – AMBAC Insured
5/14 at 100.00
 
A–
   
420,517
 
 
385
 
Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds, Series 2004C., 5.250%, 7/01/21
No Opt. Call
 
AAA
   
496,769
 
 
550
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A., 5.000%, 5/01/33 – AGC Insured
5/18 at 100.00
 
Aa2
   
599,715
 
 
285
 
Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B., 5.000%, 5/01/37
5/22 at 100.00
 
AA
   
325,296
 
 
500
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A., 5.000%, 8/15/20 – AGM Insured (UB)
8/15 at 100.00
 
AA+
   
566,155
 
 
230
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005., 5.000%,1/01/20 – FGIC Insured
No Opt. Call
 
A1
   
273,424
 
 
455
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A., 6.375%, 10/01/19
10/12 at 100.00
 
BBB+
   
456,524
 
 
2,800
 
Total Tax Obligation/Limited
         
3,138,400
 
     
Transportation – 4.2% (2.9% of Total Investments)
             
 
500
 
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A., 5.000%, 7/01/30
7/20 at 100.00
 
AA
   
565,735
 
 
400
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2007., 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)
7/17 at 100.00
 
A2
   
412,372
 
 
260
 
Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Senior Lien Parking Revenue Bonds, Series 2011., 5.000%, 7/01/41
7/21 at 100.00
 
A+
   
281,380
 
 
1,160
 
Total Transportation
         
1,259,487
 
     
U.S. Guaranteed – 8.2% (5.6% of Total Investments) (6)
             
 
530
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series 2004A., 5.000%, 11/01/25 (Pre-refunded 11/01/14)
11/14 at 100.00
 
AA+ (6)
   
589,090
 
 
230
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A., 5.000%,5/01/19 (Pre-refunded 5/01/14) – NPFG Insured
5/14 at 100.00
 
Aa2 (6)
   
250,390
 
 
250
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A., 5.000%, 5/01/31 (Pre-refunded 5/01/16) – AMBAC Insured
5/16 at 100.00
 
Aa2 (6)
   
292,465
 
 
500
 
Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A., 5.000%, 9/01/19 (Pre-refunded 9/01/13)
9/13 at 100.00
 
AA– (6)
   
529,115
 
 
750
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004., 5.250%,1/01/25 (Pre-refunded 1/01/14) – FGIC Insured
1/14 at 100.00
 
A1 (6)
   
808,163
 
 
2,260
 
Total U.S. Guaranteed
         
2,469,223
 
     
Utilities – 5.3% (3.6% of Total Investments)
             
 
1,070
 
Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System, Series 2001A., 5.625%, 1/01/14 – NPFG Insured
1/13 at 100.00
 
BBB
   
1,083,375
 
 
500
 
Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A., 5.600%, 12/01/19 (Alternative Minimum Tax)
12/12 at 100.00
 
A–
   
501,885
 
 
1,570
 
Total Utilities
         
1,585,260
 

Nuveen Investments
 
59

 
 

 

   
Nuveen Massachusetts Dividend Advantage Municipal Fund (continued)
NMB
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Water and Sewer – 6.1% (4.2% of Total Investments)
             
$
125
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005., 6.000%, 7/01/25
7/15 at 100.00
 
Ba2
 
$
128,596
 
 
500
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11., 4.500%, 8/01/29
8/15 at 100.00
 
AAA
   
543,055
 
 
400
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12., 4.375%, 8/01/31 (UB)
8/16 at 100.00
 
AAA
   
424,844
 
 
500
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A., 5.250%, 8/01/20
8/12 at 100.00
 
AAA
   
504,060
 
 
250
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A., 4.000%, 8/01/46
8/16 at 100.00
 
AA+
   
250,837
 
 
1,775
 
Total Water and Sewer
         
1,851,392
 
$
41,560
 
Total Investments (cost $41,454,497) – 145.7%
         
43,889,704
 
     
Floating Rate Obligations – (1.9)%
         
(560,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (48.9)% (7)
         
(14,725,000
     
Other Assets Less Liabilities – 5.1%
         
1,518,991
 
     
Net Assets Applicable to Common Shares – 100%
       
$
30,123,695
 
 
(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 Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(5)
 
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3. See notes to Financial Statements, Footnote 1– General Information and Significant Accounting Policies, Investment Valuation for more information.
(6)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
 (7)   MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 33.6%.
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.

60
 
Nuveen Investments

 
 

 

   
Nuveen Massachusetts AMT-Free Municipal Income Fund
   
(formerly known as Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund)
NGX
 
Portfolio of Investments
   
May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Education and Civic Organizations – 28.5% (18.3% of Total Investments)
             
$
650
 
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and B-2, 5.250%, 7/01/33 – AGM Insured
7/21 at 100.00
 
AA–
 
$
731,640
 
 
1,135
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2005T-1., 5.000%, 10/01/39 – AMBAC Insured
10/15 at 100.00
 
A
   
1,173,794
 
 
600
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007., 5.000%, 9/01/37 – NPFG Insured
9/17 at 100.00
 
A+
   
636,432
 
 
1,250
 
Massachusetts Development Finance Authority, Revenue Bonds, Middlesex School, Series 2003., 5.000%, 9/01/33
9/13 at 100.00
 
A1
   
1,271,213
 
 
1,000
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A., 5.750%, 1/01/42 – AMBAC Insured
No Opt. Call
 
A
   
1,268,100
 
 
3,000
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2008A., 5.000%, 1/01/42 – AGC Insured
1/18 at 100.00
 
AA–
   
3,169,440
 
 
1,750
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, Series 2003N., 5.125%, 6/01/37
6/13 at 100.00
 
AA–
   
1,807,593
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State College, Series 2002., 5.000%, 11/01/32 – AMBAC Insured
11/12 at 100.00
 
A
   
1,508,130
 
 
10,885
 
Total Education and Civic Organizations
         
11,566,342
 
     
Health Care – 14.5% (9.3% of Total Investments)
             
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2012L., 5.000%, 7/01/36
7/21 at 100.00
 
AA
   
1,107,210
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2004D., 5.125%, 11/15/35 – AGC Insured
11/19 at 100.00
 
AA–
   
539,455
 
 
335
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A., 5.000%, 7/01/25 – NPFG Insured
7/12 at 100.00
 
A–
   
335,268
 
     
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B1 Capital Asset Program Converted June 13,2008.:
             
 
480
 
5.375%, 2/01/26 – NPFG Insured
8/18 at 100.00
 
A–
   
539,501
 
 
600
 
5.375%, 2/01/27 – NPFG Insured
8/18 at 100.00
 
A–
   
671,196
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B2, Capital Asset Program, Converted June 9, 2009., 5.375%, 2/01/28 – NPFG Insured
8/18 at 100.00
 
A–
   
1,670,100
 
 
585
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E., 5.000%, 7/15/32
7/17 at 100.00
 
BBB–
   
582,397
 
 
200
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital Project, Series 2005D., 5.250%, 7/01/30
7/15 at 100.00
 
BB–
   
197,920
 
 
250
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health Care, Series 2005D., 5.000%, 7/01/33
7/15 at 100.00
 
A–
   
255,030
 
 
5,450
 
Total Health Care
         
5,898,077
 
     
Housing/Multifamily – 11.3% (7.3% of Total Investments)
             
 
500
 
Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008., 5.000%, 4/01/20 – AGM Insured
4/18 at 100.00
 
AA–
   
566,800
 
 
745
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007., 4.800%, 7/20/48
7/17 at 100.00
 
BB
   
768,378
 
 
2,000
 
Massachusetts Housing Finance Agency, Housing Bonds, Series 2003H., 5.125%, 6/01/43
12/12 at 100.00
 
AA–
   
2,009,660
 
 
1,265
 
Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2002H., 5.200%, 7/01/42 – AGM Insured
7/12 at 100.00
 
AA–
   
1,266,050
 
 
4,510
 
Total Housing/Multifamily
         
4,610,888
 

Nuveen Investments
 
61

 
 

 

   
Nuveen Massachusetts AMT-Free Municipal Income Fund (continued)
NGX
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
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
8/12 at 100.00
 
BBB
 
$
1,475,974
 
 
1,500
 
5.125%, 2/01/34 – NPFG Insured
8/12 at 100.00
 
BBB
   
1,501,065
 
 
2,975
 
Total Industrials
         
2,977,039
 
     
Long-Term Care – 4.6% (2.9% of Total Investments)
             
 
1,750
 
Massachusetts Development Finance Authority, GNMA Collateralized Revenue Bonds, Neville Communities, Series 2002A., 6.000%, 6/20/44
12/12 at 105.00
 
AA+
   
1,862,420
 
     
Tax Obligation/General – 16.0% (10.3% 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
   
1,321,626
 
 
1,500
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2004B., 5.250%, 8/01/21 – AGM Insured
No Opt. Call
 
AA+
   
1,932,105
 
 
1,705
 
North Attleborough, Massachusetts, General Obligation Bonds, Series 2004., 5.000%, 7/15/15 – FGIC Insured
7/14 at 101.00
 
Aa2
   
1,882,473
 
 
1,200
 
North Reading, Massachusetts, General Obligation Bonds, Series 2012., 5.000%, 5/15/35 (WI/DD, Settling 6/18/12) – AMBAC Insured
5/22 at 100.00
 
Aa2
   
1,384,548
 
 
5,685
 
Total Tax Obligation/General
         
6,520,752
 
     
Tax Obligation/Limited – 13.5% (8.7% of Total Investments)
             
 
400
 
Government of Guam, Business Privilege Tax Bonds, Series 2012B-1., 5.000%, 1/01/37 (WI/DD, Settling 6/06/12)
1/22 at 100.00
 
A
   
432,064
 
 
3,000
 
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2002., 5.000%, 5/01/32 – AMBAC Insured
5/13 at 100.00
 
A–
   
3,093,660
 
 
750
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A., 5.000%, 5/01/33 – AGC Insured
5/18 at 100.00
 
Aa2
   
817,793
 
 
300
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005., 5.000 %, 1/01/20 – FGIC Insured
No Opt. Call
 
A1
   
356,640
 
 
5,000
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A., 0.000%, 8/01/45 – NPFG Insured
No Opt. Call
 
Aa2
   
774,700
 
 
9,450
 
Total Tax Obligation/Limited
         
5,474,857
 
     
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
   
1,036,740
 
     
U.S. Guaranteed – 32.6% (21.0% of Total Investments) (4)
             
 
2,000
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2002A., 5.000%, 7/01/27 (Pre-refunded 7/01/12) – FGIC Insured
7/12 at 100.00
 
AAA
   
2,008,060
 
 
2,790
 
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003A., 5.250%, 5/01/22 (Pre-refunded 5/01/13) – SYNCORA GTY Insured
5/13 at 100.00
 
Aa2 (4)
   
2,916,443
 
 
500
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C., 6.375%, 7/01/23 (Pre-refunded 7/01/13)
7/13 at 101.00
 
A (4)
   
538,010
 
 
155
 
Massachusetts Port Authority, Revenue Bonds, Series 1982., 13.000%, 7/01/13 (ETM)
7/12 at 100.00
 
AAA
   
166,301
 
 
1,000
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004., 5.250%, 1/01/21 (Pre-refunded 1/01/14) – FGIC Insured
1/14 at 100.00
 
A1 (4)
   
1,077,550
 
 
1,000
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2004D., 5.000%, 8/01/24 (Pre-refunded 8/01/13) – NPFG Insured
8/13 at 100.00
 
AA+ (4)
   
1,054,430
 
 
3,000
 
Springfield, Massachusetts, General Obligation Bonds, Series 2003., 5.250%, 1/15/22 (Pre-refunded 1/15/13) – NPFG Insured
1/13 at 100.00
 
AA (4)
   
3,094,410
 
 
2,140
 
University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 2004-1., 5.375%, 11/01/21 (Pre-refunded 11/01/14) – AMBAC Insured
11/14 at 100.00
 
AA (4)
   
2,393,483
 
 
12,585
 
Total U.S. Guaranteed
         
13,248,687
 

62
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Utilities – 7.5% (4.8% of Total Investments)
             
$
1,710
 
Guam Power Authority, Revenue Bonds, Series 2010A., 5.000%, 10/01/37 – AGM Insured
10/20 at 100.00
 
AA–
 
$
1,870,005
 
 
1,150
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Refunding Series 2012A., 5.050%, 7/01/42
7/22 at 100.00
 
BBB+
   
1,168,584
 
 
2,860
 
Total Utilities
         
3,038,589
 
     
Water and Sewer – 17.3% (11.1% of Total Investments)
             
 
1,900
 
Lynn Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2003A., 5.000%,12/01/32 – NPFG Insured
12/13 at 100.00
 
A1
   
1,938,646
 
 
600
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12., 4.375%, 8/01/31 (UB)
8/16 at 100.00
 
AAA
   
637,266
 
 
1,000
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J., 5.250%, 8/01/19 – AGM Insured
No Opt. Call
 
AA+
   
1,260,780
 
     
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A.:
             
 
1,500
 
5.000%, 8/01/31 – AMBAC Insured
8/16 at 100.00
 
AA+
   
1,680,600
 
 
125
 
4.000%, 8/01/46
8/16 at 100.00
 
AA+
   
125,419
 
 
720
 
Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Refunding Series 2010B., 5.000%, 11/15/30 – AGC Insured
11/20 at 100.00
 
AA–
   
834,110
 
 
495
 
Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Series 2003A., 5.000%, 7/01/16 – NPFG Insured
7/14 at 100.00
 
A+
   
534,328
 
 
6,340
 
Total Water and Sewer
         
7,011,149
 
$
63,490
 
Total Investments (cost $60,137,606) – 155.7%
         
63,245,540
 
     
Floating Rate Obligations – (0.8)%
         
(340,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (54.3)% (5)
         
(22,075,000
     
Other Assets Less Liabilities – (0.6)%
         
(200,844
     
Net Assets Applicable to Common Shares – 100%
       
$
40,629,696
 
 
(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 Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(5)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 34.9%.
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.

Nuveen Investments
 
63
 
 
 

 

   
Nuveen Missouri Premium Income Municipal Fund
NOM
 
Portfolio of Investments
   
May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Consumer Staples – 3.6% (2.3% of Total Investments)
             
$
1,000
 
Missouri Development Finance Board, Solid Waste Disposal Revenue Bonds, Procter and Gamble Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax)
No Opt. Call
 
AA–
 
$
1,216,540
 
     
Education and Civic Organizations – 8.9% (5.7% of Total Investments)
             
 
250
 
Lincoln University, Missouri, Auxillary System Revenue Bonds, Series 2007, 5.125%, 6/01/37 – AGC Insured
6/17 at 100.00
 
AA–
   
263,395
 
 
630
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, A.T. Still University of Health Sciences, Series 2011, 5.250%, 10/01/41
10/21 at 100.00
 
A–
   
691,727
 
 
700
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Rockhurst University, Series 2011A, 6.500%, 10/01/35
10/18 at 103.00
 
BBB
   
779,821
 
 
550
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Washington University, Series 2011B, 5.000%, 11/15/37
11/21 at 100.00
 
AAA
   
644,171
 
 
600
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Webster University, Series 2011, 5.000%, 4/01/36
4/21 at 100.00
 
A2
   
658,050
 
 
2,730
 
Total Education and Civic Organizations
         
3,037,164
 
     
Health Care – 33.5% (21.4% of Total Investments)
             
 
485
 
Cape Girardeau County Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, Saint Francis Medical Center, Series 2009A, 5.750%, 6/01/39
6/19 at 100.00
 
AA–
   
535,910
 
 
760
 
Cape Girardeau County Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, Southeast Missouri Hospital Association, Series 2007, 5.000%, 6/01/27
6/17 at 100.00
 
BBB+
   
773,817
 
 
930
 
Cass County, Missouri, Hospital Revenue Bonds, Series 2007, 5.625%, 5/01/38
11/16 at 100.00
 
BBB–
   
939,895
 
 
480
 
Clinton County Industrial Development Authority, Missouri, Revenue Bonds, Cameron Regional Medical Center, Series 2007, 5.000%, 12/01/37
12/17 at 100.00
 
N/R
   
438,720
 
 
750
 
Joplin Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, Freeman Health System, Series 2004, 5.500%, 2/15/29
2/15 at 102.00
 
BBB+
   
780,630
 
 
200
 
Joplin Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, Freeman Health System, Series 2011, 5.500%, 2/15/31
2/21 at 100.00
 
BBB+
   
215,380
 
 
540
 
Missouri Health and Educational Facilities Authority, Health Facilities Revenue Bonds, Capital Region Medical Center, Series 2011, 5.000%, 11/01/27
11/20 at 100.00
 
A3
   
584,955
 
 
500
 
Missouri Health and Educational Facilities Authority, Health Facilities Revenue Bonds, St. Luke’s Episcopal and Presbyterian Hospitals, Series 2011, 5.000%, 12/01/25
12/21 at 100.00
 
A+
   
559,700
 
 
2,000
 
Missouri Health and Educational Facilities Authority, Health Facility Revenue Bonds, St. Lukes’s Health System, Series 2010A, 5.000%, 11/15/30
11/20 at 100.00
 
A+
   
2,185,000
 
     
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
   
1,553,790
 
 
1,155
 
5.250%, 5/15/32
5/13 at 100.00
 
AA
   
1,196,326
 
 
500
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Lake Regional Health System, Series 2003, Reg S, 5.700%, 2/15/34
2/14 at 100.00
 
BBB+
   
514,020
 
 
720
 
Saline County Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, John Fitzgibbon Memorial Hospital Inc., Series 2010, 5.600%, 12/01/28
12/20 at 100.00
 
BBB–
   
752,206
 
 
350
 
St. Louis County Industrial Development Authority, Missouri, Healthcare Facilities Revenue Bonds, Ranken-Jordan Project, Refunding Series 2007, 5.000%, 11/15/27
11/16 at 100.00
 
N/R
   
350,130
 
 
10,870
 
Total Health Care
         
11,380,479
 
     
Housing/Multifamily – 0.4% (0.3% of Total Investments)
             
 
150
 
Missouri Housing Development Commission, Multifamily Housing Revenue Bonds, Series 2001II, 5.250%, 12/01/16
12/12 at 100.00
 
AA
   
150,416
 

64
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Housing/Single Family – 2.9% (1.8% of Total Investments)
             
$
350
 
Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership Loan Program, Series 2007A-1, 4.700%, 9/01/27 (Alternative Minimum Tax)
9/16 at 100.00
 
AA+
 
$
362,306
 
 
610
 
Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership Loan Program, Series 2007C-1, 4.800%, 9/01/38 (Alternative Minimum Tax)
3/17 at 100.00
 
AA+
   
621,499
 
 
960
 
Total Housing/Single Family
         
983,805
 
     
Long-Term Care – 10.5% (6.7% of Total Investments)
             
 
1,750
 
Cole County Industrial Development Authority, Missouri, Revenue Bonds, Lutheran Senior Services – Heisinger Project, Series 2004, 5.500%, 2/01/35
2/14 at 100.00
 
BBB+
   
1,776,128
 
 
500
 
Joplin Industrial Development Authority, Missouri, Revenue Bonds, Christian Homes Inc., Series 2007F, 5.750%, 5/15/31
5/17 at 100.00
 
BBB–
   
522,060
 
 
475
 
Lees Summit Industrial Development Authority, Missouri, Revenue Bonds, John Knox Village Obligated Group, Series 2007A, 5.125%, 8/15/32
8/17 at 100.00
 
BBB–
   
467,623
 
 
250
 
Missouri Health and Educational Facilities Authority, Revenue Bonds, Lutheran Senior Services Projects, Series 2011, 6.000%, 2/01/41
2/21 at 100.00
 
BBB+
   
275,613
 
 
500
 
St. Louis County Industrial Development Authority, Missouri, Revenue Bonds, Friendship Village of West County, Series 2007A, 5.500%, 9/01/28
9/17 at 100.00
 
BBB
   
511,725
 
 
3,475
 
Total Long-Term Care
         
3,553,149
 
     
Materials – 2.2% (1.4% of Total Investments)
             
 
750
 
Sugar Creek, Missouri, Industrial Development Revenue Bonds, Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax)
6/13 at 101.00
 
BB+
   
734,573
 
     
Tax Obligation/General – 17.5% (11.2% of Total Investments)
             
 
600
 
Branson Reorganized School District R-4, Taney County, Missouri, General Obligation Bonds, School Building Series 2012, 4.375%, 3/01/32
3/22 at 100.00
 
A+
   
640,722
 
 
1,500
 
Camdenton Reorganized School District R3, Camden County, Missouri, General Obligation Bonds, Series 2005, 5.250%, 3/01/24 – AGM Insured
3/15 at 100.00
 
AA–
   
1,651,590
 
 
1,685
 
Independence School District, Jackson County, Missouri, General Obligation Bonds, Series 2010, 5.000%, 3/01/27
3/20 at 100.00
 
AA+
   
1,972,680
 
 
500
 
Missouri School Boards Association, Lease Participation Certificates, Clay County School
3/17 at 100.00
 
AA–
   
553,005
 
     
District 53 Liberty, Series 2007, 5.250%, 3/01/27 – AGM Insured
             
 
1,000
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/20 – NPFG Insured
No Opt. Call
 
Baa1
   
1,128,090
 
 
5,285
 
Total Tax Obligation/General
         
5,946,087
 
     
Tax Obligation/Limited – 25.5% (16.3% of Total Investments)
             
 
600
 
Chesterfield, Missouri, Certificates of Participation, Series 2005, 5.000%, 12/01/24 – FGIC Insured
12/15 at 100.00
 
Aa1
   
667,026
 
 
80
 
Cottleville, Missouri, Certificates of Participation, Series 2006, 5.250%, 8/01/31
8/14 at 100.00
 
N/R
   
81,361
 
 
175
 
Fenton, Missouri, Tax Increment Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2006, 4.500%, 4/01/21
4/14 at 100.00
 
BBB+
   
179,652
 
 
315
 
Fulton, Missouri, Tax Increment Revenue Bonds, Fulton Commons Redevelopment Project, Series 2006, 5.000%, 6/01/28
6/16 at 100.00
 
N/R
   
260,757
 
 
455
 
Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/42 (WI/DD, Settling 6/06/12)
1/22 at 100.00
 
A
   
489,221
 
 
475
 
Jackson County, Missouri, Special Obligation Bonds, Truman Medical Center Project, Series 2011B, 4.350%, 12/01/23
12/21 at 100.00
 
Aa3
   
526,504
 
 
300
 
Kansas City Industrial Development Authority, Missouri, Downtown Redevelopment District Revenue Bonds, Series 2011A, 5.000%, 9/01/32
9/21 at 100.00
 
AA–
   
330,915
 
 
475
 
Kansas City Tax Increment Financing Commission, Missouri, Tax Increment Revenue Bonds, Briarcliff West Project, Series 2006A, 5.400%, 6/01/24
6/14 at 102.00
 
N/R
   
455,962
 
 
100
 
Kansas City Tax Increment Financing Commission, Missouri, Tax Increment Revenue Bonds, Shoal Creek Parkway Project, Series 2011, 5.000%, 6/01/21
6/16 at 100.00
 
N/R
   
104,113
 
 
360
 
Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, Branson Landing Project, Series 2005A, 5.000%, 6/01/35
6/15 at 100.00
 
A
   
370,030
 

Nuveen Investments
 
65

 
 

 

   
Nuveen Missouri Premium Income Municipal Fund (continued)
NOM
 
Portfolio of Investments
    May 31, 2012

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Tax Obligation/Limited (continued)
             
$
415
 
Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, City of Independence, Crackerneck Creek Project, Series 2006C, 5.000%, 3/01/28
3/16 at 100.00
 
A–
 
$
423,420
 
 
450
 
Monarch-Chesterfield Levee District, St. Louis County, Missouri, Levee District Improvement Bonds, Series 1999, 5.750%, 3/01/19 – NPFG Insured
9/12 at 100.00
 
A
   
451,638
 
 
500
 
Osage Beach, Missouri, Tax Increment Revenue Bonds, Prewitts Point Transportation Development District, Series 2006, 5.000%, 5/01/23
5/13 at 101.00
 
N/R
   
429,670
 
 
1,750
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2009A, 6.000%, 8/01/42
8/19 at 100.00
 
A+
   
1,973,650
 
 
225
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Senior Series 2011C, 0.000%, 8/01/41
No Opt. Call
 
Aa2
   
46,033
 
 
1,500
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A, 0.000%, 8/01/41 – NPFG Insured
No Opt. Call
 
Aa2
   
299,055
 
 
600
 
Riverside, Missouri, L-385 Levee Redevelopment Plan Tax Increment Revenue Bonds, Series 2004, 5.250%, 5/01/20
5/15 at 100.00
 
A
   
633,804
 
     
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
   
340,020
 
 
400
 
5.500%, 11/01/27
11/14 at 100.00
 
N/R
   
397,108
 
 
200
 
St. Joseph Industrial Development Authority, Missouri, Tax Increment Bonds, Shoppes at North Village Project, Series 2005B, 5.500%, 11/01/27
11/14 at 100.00
 
N/R
   
198,554
 
 
9,715
 
Total Tax Obligation/Limited
         
8,658,493
 
     
Transportation – 15.9% (10.2% of Total Investments)
             
 
500
 
Kansas City, Missouri, Passenger Facility Charge Revenue Bonds, Kansas City International Airport, Series 2001, 5.000%, 4/01/23 – AMBAC Insured (Alternative Minimum Tax)
10/12 at 100.50
 
A
   
503,175
 
 
1,000
 
St. Louis Land Clearance Redevelopment Authority, Missouri, Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19
9/12 at 100.00
 
N/R
   
1,000,570
 
 
1,000
 
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series 2005, 5.500%, 7/01/18 – NPFG Insured
No Opt. Call
 
A–
   
1,155,480
 
 
2,500
 
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series 2007A, 5.000%, 7/01/21 – AGM Insured
7/17 at 100.00
 
AA–
   
2,737,747
 
 
5,000
 
Total Transportation
         
5,396,972
 
     
U.S. Guaranteed – 14.1% (9.0% of Total Investments) (4)
             
 
685
 
Fenton, Missouri, Tax Increment Refunding and Improvement Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2002, 6.125%, 10/01/21 (Pre-refunded 10/01/12)
10/12 at 100.00
 
AAA
   
698,618
 
 
1,630
 
North Kansas City School District, Missouri, General Obligation Bonds, Series 2003A, 5.000%, 3/01/23 (Pre-refunded 3/01/13)
3/13 at 100.00
 
AA+ (4)
   
1,688,582
 
 
1,395
 
Springfield Public Building Corporation, Missouri, Lease Revenue Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 (Pre-refunded 12/01/12) – AMBAC Insured
12/12 at 100.00
 
N/R (4)
   
1,395,000
 
     
St. Louis County Pattonville School District R3, Missouri, General Obligation Bonds, Series 2004:
             
 
80
 
5.250%, 3/01/20 (Pre-refunded 3/01/14) – AGM Insured
3/14 at 100.00
 
AA (4)
   
86,835
 
 
250
 
5.250%, 3/01/20 (Pre-refunded 3/01/14) – AGM Insured
3/14 at 100.00
 
AAA
   
271,360
 
 
20
 
5.250%, 3/01/20 (Pre-refunded 3/01/14) – AGM Insured
3/14 at 100.00
 
AAA
   
21,720
 
 
500
 
St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) (ETM)
No Opt. Call
 
AA+ (4)
   
635,155
 
 
4,560
 
Total U.S. Guaranteed
         
4,797,270
 

66
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Utilities – 6.1% (3.9% of Total Investments)
             
$
110
 
Missouri Joint Municipal Electric Utility Commission, Iatan 2 Power Project Revenue Bonds, Series 2006A, 4.125%, 1/01/21 – AMBAC Insured
1/16 at 100.00
 
A2
 
$
116,690
 
 
500
 
Missouri Joint Municipal Electric Utility Commission, Plum Point Project, Revenue Bonds, Series 2006, 5.000%, 1/01/34 – NPFG Insured
1/16 at 100.00
 
A–
   
518,295
 
     
Missouri Joint Municipal Electric Utility Commission, Power Supply System Revenue Bonds, MoPEP Facilities, Series 2012:
             
 
400
 
5.000%, 1/01/32
1/21 at 100.00
 
A2
   
434,712
 
 
425
 
5.000%, 1/01/37
1/21 at 100.00
 
A2
   
453,220
 
 
530
 
Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010XX, 5.250%, 7/01/40
7/20 at 100.00
 
BBB+
   
545,264
 
 
1,965
 
Total Utilities
         
2,068,181
 
     
Water and Sewer – 15.3% (9.8% of Total Investments)
             
 
600
 
Carroll County Public Water Supply District 1, Missouri, Water System Revenue Bonds, Refunding Series 2009, 6.000%, 3/01/39
3/18 at 100.00
 
A
   
671,346
 
 
1,150
 
Kansas City, Missouri, Water Revenue Bonds, Series 2012A, 4.500%, 12/01/36
12/21 at 100.00
 
AA+
   
1,262,252
 
 
200
 
Metropolitan St. Louis Sewerage District, Missouri, Wastewater System Revenue Bonds, Series 2006C, 5.000%, 5/01/36 – NPFG Insured
5/17 at 100.00
 
AAA
   
222,622
 
 
2,965
 
Missouri Environmental Improvement and Energy Resources Authority, Water Facility Revenue Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 – AMBAC Insured (Alternative Minimum Tax) (UB)
12/16 at 100.00
 
AA+
   
3,047,427
 
 
4,915
 
Total Water and Sewer
         
5,203,647
 
$
51,375
 
Total Investments (cost $50,361,098) – 156.4%
         
53,126,776
 
     
Floating Rate Obligations – (6.5)%
         
(2,225,000
     
MuniFund Term Preferred Shares, at Liquidation Value – (52.6)% (5)
         
(17,880,000
     
Other Assets Less Liabilities – 2.7%
         
957,191
 
     
Net Assets Applicable to Common Shares – 100%
       
$
33,978,967
 
 
(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 Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(5)
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 33.7% 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.

Nuveen Investments
 
67

 
 

 

   
Statement of
 
   
Assets & Liabilities
 
   
May 31, 2012
 

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Assets
                         
Investments, at value (cost $114,669,999, $57,929,327, $52,083,321 and $96,254,704, respectively)
 
$
122,286,950
 
$
61,995,068
 
$
55,421,186
 
$
101,695,864
 
Cash
   
389,484
   
59,983
   
38,219
   
480,363
 
Receivables:
                         
Interest
   
1,801,238
   
913,496
   
828,305
   
1,516,543
 
Investments sold
   
2,083,025
   
2,139,837
   
251,363
   
794,088
 
Deferred offering costs
   
703,984
   
321,061
   
285,501
   
407,912
 
Other assets
   
25,384
   
10,468
   
10,359
   
11,526
 
Total assets
   
127,290,065
   
65,439,913
   
56,834,933
   
104,906,296
 
Liabilities
                         
Cash overdraft
   
   
   
   
 
Floating rate obligations
   
7,965,000
   
3,820,000
   
3,460,000
   
5,780,000
 
Payables:
                         
Common share dividends
   
290,905
   
138,696
   
135,875
   
229,934
 
Interest
   
86,020
   
48,781
   
40,393
   
77,744
 
Investments purchased
   
   
   
   
 
Offering costs
   
174,267
   
34,913
   
26,174
   
17,971
 
MuniFund Term Preferred (MTP) Shares, at liquidation value
   
36,080,000
   
20,470,000
   
16,950,000
   
32,000,000
 
Accrued expenses:
                         
Management fees
   
64,952
   
33,461
   
29,050
   
53,886
 
Other
   
311,033
   
109,197
   
72,336
   
204,909
 
Total liabilities
   
44,972,177
   
24,655,048
   
20,713,828
   
38,364,444
 
Net assets applicable to Common shares
 
$
82,317,888
 
$
40,784,865
 
$
36,121,105
 
$
66,541,852
 
Common shares outstanding
   
5,365,029
   
2,586,685
   
2,320,671
   
4,367,134
 
Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding)
 
$
15.34
 
$
15.77
 
$
15.56
 
$
15.24
 
Net assets applicable to Common shares consist of:
                         
Common shares, $.01 par value per share
 
$
53,650
 
$
25,867
 
$
23,207
 
$
43,671
 
Paid-in surplus
   
73,899,893
   
36,417,155
   
32,616,174
   
61,124,081
 
Undistributed (Over-distribution of) net investment income
   
722,214
   
193,640
   
122,926
   
219,245
 
Accumulated net realized gain (loss)
   
25,180
   
82,462
   
20,933
   
(286,305
)
Net unrealized appreciation (depreciation)
   
7,616,951
   
4,065,741
   
3,337,865
   
5,441,160
 
Net assets applicable to Common shares
 
$
82,317,888
 
$
40,784,865
 
$
36,121,105
 
$
66,541,852
 
Authorized shares:
                         
Common
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
Preferred
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
 
See accompanying notes to financial statements.
 
68
 
Nuveen Investments

 
 

 
 
   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Massachusetts
AMT-Free
Income
(NGX
)
Missouri
Premium
Income
(NOM
)
Assets
                         
Investments, at value (cost $102,220,231, $41,454,497, $60,137,606 and $50,361,098, respectively)
 
$
109,066,655
 
$
43,889,704
 
$
63,245,540
 
$
53,126,776
 
Cash
   
   
197,168
   
1,264,632
   
583,561
 
Receivables:
                         
Interest
   
1,732,500
   
738,306
   
920,032
   
729,850
 
Investments sold
   
1,749,340
   
561,076
   
140,000
   
15,000
 
Deferred offering costs
   
715,483
   
262,629
   
310,619
   
413,789
 
Other assets
   
25,068
   
1,420
   
10,620
   
10,190
 
Total assets
   
113,289,046
   
45,650,303
   
65,891,443
   
54,879,166
 
Liabilities
                         
Cash overdraft
   
766,814
   
   
   
 
Floating rate obligations
   
1,435,000
   
560,000
   
340,000
   
2,225,000
 
Payables:
                         
Common share dividends
   
275,083
   
108,865
   
146,236
   
141,135
 
Interest
   
90,524
   
35,090
   
53,632
   
34,419
 
Investments purchased
   
   
   
2,566,544
   
483,792
 
Offering costs
   
205,828
   
36,992
   
5,800
   
68,557
 
MuniFund Term Preferred (MTP) Shares, at liquidation value
   
36,645,000
   
14,725,000
   
22,075,000
   
17,880,000
 
Accrued expenses:
                         
Management fees
   
58,163
   
23,615
   
33,086
   
27,321
 
Other
   
54,612
   
37,046
   
41,449
   
39,975
 
Total liabilities
   
39,531,024
   
15,526,608
   
25,261,747
   
20,900,199
 
Net assets applicable to Common shares
 
$
73,758,022
 
$
30,123,695
 
$
40,629,696
 
$
33,978,967
 
Common shares outstanding
   
4,774,788
   
1,965,699
   
2,727,110
   
2,323,996
 
Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding)
 
$
15.45
 
$
15.32
 
$
14.90
 
$
14.62
 
Net assets applicable to Common shares consist of:
                         
Common shares, $.01 par value per share
 
$
47,748
 
$
19,657
 
$
27,271
 
$
23,240
 
Paid-in surplus
   
65,900,251
   
27,673,185
   
38,170,561
   
30,987,806
 
Undistributed (Over-distribution of) net investment income
   
610,081
   
16,168
   
(53,913
)
 
386,458
 
Accumulated net realized gain (loss)
   
353,518
   
(20,522
)
 
(622,157
)
 
(184,215
)
Net unrealized appreciation (depreciation)
   
6,846,424
   
2,435,207
   
3,107,934
   
2,765,678
 
Net assets applicable to Common shares
 
$
73,758,022
 
$
30,123,695
 
$
40,629,696
 
$
33,978,967
 
Authorized shares:
                         
Common
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
Preferred
   
Unlimited
   
Unlimited
   
Unlimited
   
Unlimited
 
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
69

 
 

 

   
Statement of
 
   
Operations
 
   
Year Ended May 31, 2012
 

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Investment Income
 
$
5,577,813
 
$
2,882,424
 
$
2,563,618
 
$
4,641,433
 
Expenses
                         
Management fees
   
754,089
   
387,099
   
337,332
   
625,075
 
Shareholders’ servicing agent fees and expenses
   
28,370
   
17,746
   
17,670
   
17,708
 
Interest expense and amortization of offering costs
   
1,222,844
   
674,785
   
567,646
   
1,039,737
 
Custodian’s fees and expenses
   
26,129
   
16,958
   
15,995
   
23,608
 
Trustees’ fees and expenses
   
3,425
   
1,845
   
1,629
   
2,879
 
Professional fees
   
25,149
   
23,225
   
22,976
   
24,493
 
Shareholders’ reports — printing and mailing expenses
   
33,871
   
19,812
   
18,490
   
29,497
 
Stock exchange listing fees
   
38,657
   
15,066
   
15,033
   
15,711
 
Investor relations expense
   
9,504
   
5,231
   
4,293
   
8,486
 
Reorganization expense
   
264,773
   
71,141
   
35,303
   
163,678
 
Other expenses
   
45,126
   
39,554
   
39,251
   
41,514
 
Total expenses before custodian fee credit and expense reimbursement
   
2,451,937
   
1,272,462
   
1,075,618
   
1,992,386
 
Custodian fee credit
   
(521
)
 
(867
)
 
(230
)
 
(600
)
Expense reimbursement
   
   
   
(22,372
)
 
 
Net expenses
   
2,451,416
   
1,271,595
   
1,053,016
   
1,991,786
 
Net investment income (loss)
   
3,126,397
   
1,610,829
   
1,510,602
   
2,649,647
 
Realized and Unrealized Gain (Loss)
                         
Net realized gain (loss) from investments
   
229,119
   
146,478
   
110,372
   
211,447
 
Change in net unrealized appreciation (depreciation) of investments
   
6,702,628
   
3,687,045
   
2,844,950
   
5,267,561
 
Net realized and unrealized gain (loss)
   
6,931,747
   
3,833,523
   
2,955,322
   
5,479,008
 
Net increase (decrease) in net assets applicable to Common shares from operations
 
$
10,058,144
 
$
5,444,352
 
$
4,465,924
 
$
8,128,655
 
 
See accompanying notes to financial statements.
 
70
 
Nuveen Investments

 
 

 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Massachusetts
AMT-Free
Income
(NGX
)
Missouri
Premium
Income
(NOM
)
Investment Income
 
$
5,323,259
 
$
2,162,778
 
$
2,882,984
 
$
2,559,533
 
Expenses
                         
Management fees
   
673,284
   
272,572
   
389,260
   
315,203
 
Shareholders’ servicing agent fees and expenses
   
25,329
   
17,143
   
17,160
   
19,739
 
Interest expense and amortization of offering costs
   
1,233,974
   
483,567
   
707,956
   
504,355
 
Custodian’s fees and expenses
   
23,718
   
13,533
   
13,934
   
14,785
 
Trustees’ fees and expenses
   
3,199
   
1,396
   
1,925
   
1,584
 
Professional fees
   
25,252
   
32,189
   
23,308
   
22,880
 
Shareholders’ reports — printing and mailing expenses
   
56,743
   
26,579
   
48,137
   
30,524
 
Stock exchange listing fees
   
51,139
   
330
   
15,501
   
15,322
 
Investor relations expense
   
9,439
   
3,958
   
5,474
   
4,415
 
Reorganization expense
   
   
   
   
 
Other expenses
   
45,440
   
38,943
   
44,859
   
29,282
 
Total expenses before custodian fee credit and expense reimbursement
   
2,147,517
   
890,210
   
1,267,514
   
958,089
 
Custodian fee credit
   
(214
)
 
(366
)
 
(227
)
 
(355
)
Expense reimbursement
   
   
   
   
 
Net expenses
   
2,147,303
   
889,844
   
1,267,287
   
957,734
 
Net investment income (loss)
   
3,175,956
   
1,272,934
   
1,615,697
   
1,601,799
 
Realized and Unrealized Gain (Loss)
                         
Net realized gain (loss) from investments
   
499,195
   
117,873
   
86,441
   
29,398
 
Change in net unrealized appreciation (depreciation) of investments
   
6,403,666
   
2,754,077
   
1,682,019
   
3,488,918
 
Net realized and unrealized gain (loss)
   
6,902,861
   
2,871,950
   
1,768,460
   
3,518,316
 
Net increase (decrease) in net assets applicable to Common shares from operations
 
$
10,078,817
 
$
4,144,884
 
$
3,384,157
 
$
5,120,115
 
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
71

 
 

 

   
Statement of
   
Changes in Net Assets

   
Connecticut
Premium Income (NTC)
 
Connecticut
Dividend Advantage (NFC)
 
Connecticut
Dividend Advantage 2 (NGK)
 
   
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Operations
                                     
Net investment income (loss)
 
$
3,126,397
 
$
3,621,121
 
$
1,610,829
 
$
1,730,599
 
$
1,510,602
 
$
1,556,524
 
Net realized gain (loss) from investments
   
229,119
   
109,734
   
146,478
   
99,244
   
110,372
   
39,359
 
Change in net unrealized appreciation (depreciation) of investments
   
6,702,628
   
(1,715,466
)
 
3,687,045
   
(1,068,421
)
 
2,844,950
   
(1,129,788
)
Distributions to Auction Rate Preferred Shareholders from net investment income
   
   
(39,361
)
 
   
   
   
 
Net increase (decrease) in net assets applicable to Common shares from operations
   
10,058,144
   
1,976,028
   
5,444,352
   
761,422
   
4,465,924
   
466,095
 
Distributions to Common Shareholders
                                     
From net investment income
   
(3,798,441
)
 
(3,798,441
)
 
(1,893,210
)
 
(1,985,824
)
 
(1,754,280
)
 
(1,837,401
)
From accumulated net realized gains
   
(225,331
)
 
   
(110,451
)
 
   
(76,108
)
 
 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
   
(4,023,772
)
 
(3,798,441
)
 
(2,003,661
)
 
(1,985,824
)
 
(1,830,388
)
 
(1,837,401
)
Capital Share Transactions
                                     
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions
   
   
   
9,690
   
26,531
   
7,356
   
16,467
 
Net increase (decrease) in net assets applicable to Common shares from capital share transactions
   
   
   
9,690
   
26,531
   
7,356
   
16,467
 
Net increase (decrease) in net assets applicable to Common shares
   
6,034,372
   
(1,822,413
)
 
3,450,381
   
(1,197,871
)
 
2,642,892
   
(1,354,839
)
Net assets applicable to Common shares at the beginning of period
   
76,283,516
   
78,105,929
   
37,334,484
   
38,532,355
   
33,478,213
   
34,833,052
 
Net assets applicable to Common shares at the end of period
 
$
82,317,888
 
$
76,283,516
 
$
40,784,865
 
$
37,334,484
 
$
36,121,105
 
$
33,478,213
 
Undistributed (Over-distribution of)net investment income at the end of period
 
$
722,214
 
$
909,994
 
$
193,640
 
$
302,881
 
$
122,926
 
$
236,533
 
 
See accompanying notes to financial statements.
 
72
 
Nuveen Investments

 
 

 

   
Connecticut
Dividend Advantage 3 (NGO)
 
Massachusetts
Premium Income (NMT)
 
Massachusetts
Dividend Advantage (NMB)
 
   
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Year
Ended
5/31/12
 
Yea
Ended
5/31/11
 
Operations
                                     
Net investment income (loss)
 
$
2,649,647
 
$
2,785,608
 
$
3,175,956
 
$
3,589,129
 
$
1,272,934
 
$
1,345,889
 
Net realized gain (loss) from investments
   
211,447
   
95
   
499,195
   
102,652
   
117,873
   
(158,330
)
Change in net unrealized appreciation (depreciation) of investments
   
5,267,561
   
(1,241,126
)
 
6,403,666
   
(1,273,832
)
 
2,754,077
   
(356,215
)
Distributions to Auction Rate Preferred Shareholders from net investment income
   
   
   
   
(42,554
)
 
   
 
Net increase (decrease) in net assets applicable to Common shares from operations
   
8,128,655
   
1,544,577
   
10,078,817
   
2,375,395
   
4,144,884
   
831,344
 
Distributions to Common Shareholders
                                     
From net investment income
   
(3,046,076
)
 
(3,144,336
)
 
(3,681,362
)
 
(3,723,001
)
 
(1,486,068
)
 
(1,627,118
)
From accumulated net realized gains
   
   
   
(243,992
)
 
(179,532
)
 
   
 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
   
(3,046,076
)
 
(3,144,336
)
 
(3,925,354
)
 
(3,902,533
)
 
(1,486,068
)
 
(1,627,118
)
Capital Share Transactions
                                     
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions
   
   
   
   
100,786
   
   
25,160
 
Net increase (decrease) in net assets applicable to Common shares from capital share transactions
   
   
   
   
100,786
   
   
25,160
 
Net increase (decrease) in net assets applicable to Common shares
   
5,082,579
   
(1,599,759
)
 
6,153,463
   
(1,426,352
)
 
2,658,816
   
(770,614
)
Net assets applicable to Common shares at the beginning of period
   
61,459,273
   
63,059,032
   
67,604,559
   
69,030,911
   
27,464,879
   
28,235,493
 
Net assets applicable to Common shares at the end of period
 
$
66,541,852
 
$
61,459,273
 
$
73,758,022
 
$
67,604,559
 
$
30,123,695
 
$
27,464,879
 
Undistributed (Over-distribution of)net investment income at the end of period
 
$
219,245
 
$
306,440
 
$
610,081
 
$
888,826
 
$
16,168
 
$
136,669
 
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
73

 
 

 

   
Statement of
   
Changes in Net Assets (continued)

   
Massachusetts
AMT-Free Income (NGX)
 
Missouri
Premium Income (NOM)
 
   
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Operations
                         
Net investment income (loss)
 
$
1,615,697
 
$
1,740,563
 
$
1,601,799
 
$
1,814,122
 
Net realized gain (loss) from investments
   
86,441
   
(4,031
)
 
29,398
   
137,346
 
Change in net unrealized appreciation (depreciation) of investments
   
1,682,019
   
(628,384
)
 
3,488,918
   
(933,927
)
Distributions to Auction Rate Preferred Shareholders from net investment income
   
   
   
   
(33,471
)
Net increase (decrease) in net assets applicable to Common shares from operations
   
3,384,157
   
1,108,148
   
5,120,115
   
984,070
 
Distributions to Common Shareholders
                         
From net investment income
   
(1,914,367
)
 
(2,061,418
)
 
(1,810,947
)
 
(1,806,982
)
From accumulated net realized gains
   
   
   
   
 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
   
(1,914,367
)
 
(2,061,418
)
 
(1,810,947
)
 
(1,806,982
)
Capital Share Transactions
                         
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions
   
1,482
   
17,059
   
74,892
   
70,115
 
Net increase (decrease) in net assets applicable to Common shares from capital share transactions
   
1,482
   
17,059
   
74,892
   
70,115
 
Net increase (decrease) in net assets applicable to Common shares
   
1,471,272
   
(936,211
)
 
3,384,060
   
(752,797
)
Net assets applicable to Common shares at the beginning of period
   
39,158,424
   
40,094,635
   
30,594,907
   
31,347,704
 
Net assets applicable to Common shares at the end of period
 
$
40,629,696
 
$
39,158,424
 
$
33,978,967
 
$
30,594,907
 
Undistributed (Over-distribution of)net investment income at the end of period
 
$
(53,913
)
$
131,520
 
$
386,458
 
$
477,654
 
 
See accompanying notes to financial statements.
 
74
 
Nuveen Investments

 
 

 

   
Statement of
   
Cash Flows
   
Year Ended May 31, 2012

   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Cash Flows from Operating Activities:
                         
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
 
$
10,058,144
 
$
5,444,352
 
$
4,465,924
 
$
8,128,655
 
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
   
(13,103,616
)
 
(9,756,944
)
 
(6,033,384
)
 
(11,039,039
)
Proceeds from sales and maturities of investments
   
14,414,477
   
10,379,027
   
6,483,821
   
11,261,672
 
Amortization (Accretion) of premiums and discounts, net
   
297,841
   
149,612
   
109,914
   
212,993
 
(Increase) Decrease in:
                         
Receivable for interest
   
11,301
   
(39,339
)
 
(58,784
)
 
(4,963
)
Receivable for investments sold
   
(2,083,025
)
 
(2,139,837
)
 
(251,363
)
 
(794,088
)
Other assets
   
9,909
   
(4,019
)
 
20,494
   
(980
)
Increase (Decrease) in:
                         
Payable for interest
   
7,819
   
4,437
   
3,674
   
7,063
 
Payable for investments purchased
   
   
(43,331
)
 
   
 
Accrued management fees
   
2,715
   
1,568
   
3,390
   
2,276
 
Accrued other expenses
   
280,375
   
80,768
   
45,392
   
171,810
 
Net realized (gain) loss from investments
   
(229,119
)
 
(146,478
)
 
(110,372
)
 
(211,447
)
Change in net unrealized (appreciation) depreciation of investments
   
(6,702,628
)
 
(3,687,045
)
 
(2,844,950
)
 
(5,267,561
)
Taxes paid on undistributed capital gains
   
(10,465
)
 
(11,345
)
 
(4,507
)
 
 
Net cash provided by (used in) operating activities
   
2,953,728
   
231,426
   
1,829,249
   
2,466,391
 
Cash Flows from Financing Activities:
                         
(Increase) Decrease in deferred offering costs
   
224,819
   
113,534
   
100,961
   
148,698
 
Increase (Decrease) in:
                         
Cash overdraft balance
   
   
   
   
 
Floating rate obligations
   
   
   
   
 
Payable for offering costs
   
(192,273
)
 
(153,152
)
 
(154,314
)
 
(183,597
)
Cash distributions paid to Common shareholders
   
(4,019,783
)
 
(2,008,699
)
 
(1,834,303
)
 
(3,051,014
)
Net cash provided by (used in) financing activities
   
(3,987,237
)
 
(2,048,317
)
 
(1,887,656
)
 
(3,085,913
)
Net Increase (Decrease) in Cash
   
(1,033,509
)
 
(1,816,891
)
 
(58,407
)
 
(619,522
)
Cash at the beginning of period
   
1,422,993
   
1,876,874
   
96,626
   
1,099,885
 
Cash at the End of Period
 
$
389,484
 
$
59,983
 
$
38,219
 
$
480,363
 
 
Supplemental Disclosure of Cash Flow Information
Non-cash financing activities not included herein consist of reinvestments of Common share distributions as follows:
                           
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
   
$
 
$
9,690
 
$
7,356
 
$
 
 
Cash paid for interest (excluding amortization of offering costs) was as follows:
                           
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
   
$
990,206
 
$
556,814
 
$
463,011
 
$
883,975
 
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
75

 
 

 

   
Statement of
   
Cash Flows (continued)

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Massachusetts
AMT-Free
Income
(NGX
)
Missouri
Premium
Income
(NOM
)
Cash Flows from Operating Activities:
                         
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
 
$
10,078,817
 
$
4,144,884
 
$
3,384,157
 
$
5,120,115
 
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
   
(13,142,386
)
 
(3,527,022
)
 
(9,039,575
)
 
(7,866,886
)
Proceeds from sales and maturities of investments
   
15,349,838
   
3,933,237
   
8,864,018
   
6,742,705
 
Amortization (Accretion) of premiums and discounts, net
   
262,539
   
461,149
   
151,589
   
82,380
 
(Increase) Decrease in:
                         
Receivable for interest
   
6,996
   
(8,445
)
 
(15,885
)
 
71,956
 
Receivable for investments sold
   
(1,604,340
)
 
(561,076
)
 
(20,000
)
 
2,035,353
 
Other assets
   
8,017
   
3,696
   
21,266
   
4,098
 
Increase (Decrease) in:
                         
Payable for interest
   
8,222
   
3,193
   
4,872
   
3,129
 
Payable for investments purchased
   
   
   
2,566,544
   
191,856
 
Accrued management fees
   
2,799
   
1,242
   
555
   
1,548
 
Accrued other expenses
   
26,089
   
18,066
   
15,612
   
15,900
 
Net realized (gain) loss from investments
   
(499,195
)
 
(117,873
)
 
(86,441
)
 
(29,398
)
Change in net unrealized (appreciation) depreciation of investments
   
(6,403,666
)
 
(2,754,077
)
 
(1,682,019
)
 
(3,488,918
)
Taxes paid on undistributed capital gains
   
(11,104
)
 
   
   
 
Net cash provided by (used in) operating activities
   
4,082,626
   
1,596,974
   
4,164,693
   
2,883,838
 
Cash Flows from Financing Activities:
                         
(Increase) Decrease in deferred offering costs
   
226,879
   
92,869
   
113,237
   
118,412
 
Increase (Decrease) in:
                         
Cash overdraft balance
   
766,814
   
   
   
(583,922
)
Floating rate obligations
   
(1,015,000
)
 
(490,000
)
 
(1,160,000
)
 
 
Payable for offering costs
   
(203,639
)
 
(76,522
)
 
(175,207
)
 
(100,641
)
Cash distributions paid to Common shareholders
   
(3,938,786
)
 
(1,508,660
)
 
(1,935,543
)
 
(1,734,126
)
Net cash provided by (used in) financing activities
   
(4,163,732
)
 
(1,982,313
)
 
(3,157,513
)
 
(2,300,277
)
Net Increase (Decrease) in Cash
   
(81,106
)
 
(385,339
)
 
1,007,180
   
583,561
 
Cash at the beginning of period
   
81,106
   
582,507
   
257,452
   
 
Cash at the End of Period
 
$
 
$
197,168
 
$
1,264,632
 
$
583,561
 
 
Supplemental Disclosure of Cash Flow Information
Non-cash financing activities not included herein consist of reinvestments of Common share distributions as follows:
                           
   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Massachusetts
AMT-Free
Income
(NGX
)
Missouri
Premium
Income
(NOM
)
   
$
 
$
 
$
1,482
 
$
74,892
 
 
Cash paid for interest (excluding amortization of offering costs) was as follows:
                           
   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Massachusetts
AMT-Free
Income
(NGX
)
Missouri
Premium
Income
(NOM
)
   
$
998,872
 
$
387,505
 
$
589,847
 
$
382,814
 
 
See accompanying notes to financial statements.
 
76
 
Nuveen Investments

 
 

 
 
THIS PAGE INTENTIONALLY LEFT BLANK
 
Nuveen Investments
 
77

 
 

 

   
Financial
   
Highlights
     
  Selected data for a Common share outstanding throughout each period:
 
         
Investment Operations
 
Less Distributions
             
   
Beginning
Common
Share
Net Asset
Value
 
Net
Investment
Income
(Loss
)
Net
Realized/
Unrealized
Gain (Loss
)
Distributions
from Net
Investment
Income to
Auction Rate
Preferred
Share-
holders
(a)
Distributions
from
Capital
Gains to
Auction Rate
Preferred
Share-
holders
(a)
Total
 
Net
Investment
Income to
Common
Share-
holders
 
Capital
Gains to
Common
Share-
holders
 
Total
 
Ending
Common
Share
Net Asset
Value
 
Ending
Market
Value
 
Connecticut Premium Income (NTC)
                                                 
Year Ended 5/31:
                                                             
2012
 
$
14.22
 
$
.58
 
$
1.29
 
$
 
$
 
$
1.87
 
$
(.71
)
$
(.04
)
$
(.75
)
$
15.34
 
$
14.19
 
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
 
                                                                     
Connecticut Dividend Advantage (NFC)
                                           
Year Ended 5/31:
                                                             
2012
   
14.44
   
.62
   
1.48
   
   
   
2.10
   
(.73
)
 
(.04
)
 
(.77
)
 
15.77
   
14.62
 
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
 
 
(a)
The amounts shown are based on Common share equivalents.
(b)
Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
   
 
Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.
 
78
 
Nuveen Investments

 
 

 

       
Ratios/Supplemental Data
 
 
Total Returns
       
Ratios to Average Net Assets
Applicable to Common Shares
Before Reimbursement(c)
 
Ratios to Average Net Assets
Applicable to Common Shares
After Reimbursement(c)(d)
       
 
Based
on
Market
Value
(b)
Based
on
Common
Share Net
Asset
Value
(b)
Ending
Net
Assets
Applicable
to Common
Shares (000)
 
Expenses
(e)
Net
Investment
Income
(Loss)
 
Expenses
(e)
Net
Investment
Income
(Loss)
 
Portfolio
Turnover
Rate
 
                                                 
                                                 
   
13.59
%
 
13.45
%
$
82,318
   
3.08
%
 
3.93
%
 
N/A
   
N/A
   
11
%
   
(.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
 
                                                 
                                                 
   
11.31
   
14.92
   
40,785
   
3.25
   
4.11
   
N/A
   
N/A
   
16
 
   
(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
 
 
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders, where applicable; Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to Auction Rate Preferred Shares (“ARPS”) and/or MTP Shares, where applicable.
(d)
After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. As of January 31, 2011, the Adviser is no longer reimbursing Connecticut Dividend Advantage (NFC) for any fees or expenses.
(e)
The expense ratios reflect, among other things, all interest expense and other costs related to MTP Shares and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, where applicable, both as described in Footnote 1 – General Information and Significant Accounting Policies, MuniFund Term Preferred Shares and Inverse Floating Rate Securities, respectively, as follows:
 
Connecticut Premium Income (NTC)
       
Year Ended 5/31:
       
2012
   
1.54
%
2011
   
1.20
 
2010
   
.37
 
2009
   
.11
 
2008
   
.03
 

Connecticut Dividend Advantage (NFC)
       
Year Ended 5/31:
       
2012
   
1.72
%
2011
   
1.80
 
2010
   
.36
 
2009
   
.11
 
2008
   
.02
 
 
*
Rounds to less than $.01 per share.
N/A
Fund does not have, or no longer has, a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
79

 
 

 

   
Financial
   
Highlights (continued)
     
  Selected data for a Common share outstanding throughout each period:
 
         
Investment Operations
 
Less Distributions
             
   
Beginning
Common
Share
Net Asset
Value
 
Net
Investment
Income
(Loss)
 
Net
Realized/
Unrealized
Gain (Loss)
 
Distributions
from Net
Investment
Income to
Auction Rate
Preferred
Share-
holders
(a)
Distributions
from
Capital
Gains to
Auction Rate
Preferred
Share-
holders
(a)
Total
 
Net
Investment
Income to
Common
Share-
holders
 
Capital
Gains to
Common
Share-
holders
 
Total
 
Ending
Common
Share
Net Asset
Value
 
Ending
Market
Value
 
Connecticut Dividend Advantage 2 (NGK)
                                                       
Year Ended 5/31:
                                                                   
2012
 
$
14.43
 
$
.65
 
$
1.27
 
$
 
$
 
$
1.92
 
$
(.76
)
$
(.03
)
$
(.79
)
$
15.56
 
$
14.52
 
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
 
                                                                     
Connecticut Dividend Advantage 3 (NGO)
                                                       
Year Ended 5/31:
                                                                   
2012
   
14.07
   
.61
   
1.26
   
   
   
1.87
   
(.70
)
 
   
(.70
)
 
15.24
   
14.17
 
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
 
 
(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.
 
80
 
Nuveen Investments

 
 

 

             
Ratios/Supplemental Data
 
 
Total Returns
       
Ratios to Average Net Assets
Applicable to Common Shares
Before Reimbursement(c)
 
Ratios to Average Net Assets
Applicable to Common Shares
After Reimbursement(c)(d)
       
 
Based
on
Market
Value
(b)
Based
on
Common
Share Net
Asset
Value
(b)
Ending
Net
Assets
Applicable
to Common
Shares (000)
 
Expenses
(e)
Net
Investment
Income
(Loss)
 
Expenses
(e)
Net
Investment
Income
(Loss)
 
Portfolio
Turnover
Rate
 
                                                 
                                                 
   
9.73
%
 
13.61
%
$
36,121
   
3.08
%
 
4.26
%
 
3.02
%
 
4.33
%
 
11
%
   
(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
 
                                                 
                                                 
   
15.68
   
13.56
   
66,542
   
3.11
   
4.13
   
N/A
   
N/A
   
11
 
   
(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
 
 
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders, where applicable; Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to ARPS and/or MTP Shares, where applicable.
(d)
After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. As of September 30, 2010 and March 31, 2012, the Adviser is no longer reimbursing Connecticut Dividend Advantage 3 (NGO) and Connecticut Dividend Advantage 2 (NGK), respectively for any fees or expenses.
(e)
The expense ratios reflect, among other things, all interest expense and other costs related to MTP Shares and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, where applicable, both as described in Footnote 1 – General Information and Significant Accounting Policies, MuniFund Term Preferred Shares and Inverse Floating Rate Securities, respectively, as follows:
 
Connecticut Dividend Advantage 2 (NGK)
       
Year Ended 5/31:
       
2012
   
1.63
%
2011
   
1.67
 
2010
   
.34
 
2009
   
.11
 
2008
   
.03
 

Connecticut Dividend Advantage 3 (NGO)
       
Year Ended 5/31:
       
2012
   
1.62
%
2011
   
1.69
 
2010
   
.57
 
2009
   
.11
 
2008
   
.02
 
 
N/A
Fund does not have, or no longer has, a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
81

 
 

 

   
Financial
   
Highlights (continued)
     
  Selected data for a Common share outstanding throughout each period:
 
         
Investment Operations
 
Less Distributions
             
   
Beginning
Common
Share
Net Asset
Value
 
Net
Investment
Income
(Loss)
 
Net
Realized/
Unrealized
Gain (Loss)
 
Distributions
from Net
Investment
Income to
Auction Rate
Preferred
Share-
holders
(a)
Distributions
from
Capital
Gains to
Auction Rate
Preferred
Share-
holders
(a)
Total
 
Net
Investment
Income to
Common
Share-
holders
 
Capital
Gains to
Common
Share-
holders
 
Total
 
Ending
Common
Share
Net Asset
Value
 
Ending
Market
Value
 
Massachusetts Premium Income (NMT)
                                                 
Year Ended 5/31:
                                                                   
2012
 
$
14.16
 
$
.67
 
$
1.44
 
$
 
$
 
$
2.11
 
$
(.77
)
$
(.05
)
$
(.82
)
$
15.45
 
$
15.12
 
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
 
                                                                     
Massachusetts Dividend Advantage (NMB)
                                                 
Year Ended 5/31:
                                                                   
2012
   
13.97
   
.65
   
1.46
   
   
   
2.11
   
(.76
)
 
   
(.76
)
 
15.32
   
14.64
 
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
 
 
(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.
 
82
 
Nuveen Investments

 
 

 

             
Ratios/Supplemental Data
 
 
Total Returns
       
Ratios to Average Net Assets
Applicable to Common Shares
Before Reimbursement(c)
 
Ratios to Average Net Assets
Applicable to Common Shares
After Reimbursement(c)(d)
       
 
Based
on
Market
Value
(b)
Based
on
Common
Share Net
Asset
Value
(b)
Ending
Net
Assets
Applicable
to Common
Shares (000)
 
Expenses
(e)
Net
Investment
Income
(Loss)
 
Expenses
(e)
Net
Investment
Income
(Loss)
 
Portfolio
Turnover
Rate
 
                                                 
                                                 
   
17.78
%
 
15.29
%
$
73,758
   
3.03
%
 
4.48
%
 
N/A
   
N/A
   
12
%
   
(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
 
                                                 
                                                 
   
14.21
   
15.45
   
30,124
   
3.09
   
4.41
   
N/A
   
N/A
   
8
 
   
1.87
   
3.05
   
27,465
   
3.08
   
4.83
   
3.03
%
 
4.88
%
 
16
 
   
7.90
   
12.50
   
28,235
   
1.67
   
6.16
   
1.54
   
6.29
   
11
 
   
(.04
)
 
(.70
)
 
26,530
   
1.54
   
7.09
   
1.33
   
7.30
   
1
 
   
(5.73
)
 
1.55
   
28,135
   
1.32
   
6.11
   
1.05
   
6.39
   
15
 
 
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders, where applicable; Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to ARPS and/or MTP Shares, where applicable.
(d)
After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. As of January 31, 2011, the Adviser is no longer reimbursing Massachusetts Dividend Advantage (NMB) for any fees or expenses.
(e)
The expense ratios reflect, among other things, all interest expense and other costs related to MTP Shares and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, where applicable, both as described in Footnote 1 – General Information and Significant Accounting Policies, MuniFund Term Preferred Shares and Inverse Floating Rate Securities, respectively, as follows:
 
Massachusetts Premium Income (NMT)
       
Year Ended 5/31:
       
2012
   
1.74
%
2011
   
1.28
 
2010
   
.37
 
2009
   
.09
 
2008
   
 

Massachusetts Dividend Advantage (NMB)
       
Year Ended 5/31:
       
2012
   
1.68
%
2011
   
1.75
 
2010
   
.35
 
2009
   
.10
 
2008
   
 
 
N/A
Fund does not have, or no longer has, a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
83

 
 

 

   
Financial
   
Highlights (continued)
     
  Selected data for a Common share outstanding throughout each period:
 
         
Investment Operations
 
Less Distributions
             
   
Beginning
Common
Share
Net Asset
Value
 
Net
Investment
Income
(Loss)
 
Net
Realized/
Unrealized
Gain (Loss)
 
Distributions
from Net
Investment
Income to
Auction Rate
Preferred
Share-
holders
(a)
Distributions
from
Capital
Gains to
Auction Rate
Preferred
Share-
holders
(a)
Total
 
Net
Investment
Income to
Common
Share-
holders
 
Capital
Gains to
Common
Share-
holders
 
Total
 
Ending
Common
Share
Net Asset
Value
 
Ending
Market
Value
 
Massachusetts AMT-Free Income (NGX)
                                                 
Year Ended 5/31:
                                                                   
2012
 
$
14.36
 
$
.59
 
$
.65
 
$
 
$
 
$
1.24
 
$
(.70
)
$
 
$
(.70
)
$
14.90
 
$
15.39
 
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
 
                                                                     
Missouri Premium Income (NOM)
                                                 
Year Ended 5/31:
                                                                   
2012
   
13.19
   
.69
   
1.52
   
   
   
2.21
   
(.78
)
 
   
(.78
)
 
14.62
   
16.90
 
2011
   
13.55
   
.78
   
(.35
)
 
(.01
)
 
   
.42
   
(.78
)
 
   
(.78
)
 
13.19
   
13.88
 
2010
   
12.44
   
.83
   
.99
   
(.03
)
 
   
1.79
   
(.68
)
 
   
(.68
)
 
13.55
   
16.50
 
2009
   
13.52
   
.85
   
(1.12
)
 
(.16
)
 
   
(.43
)
 
(.65
)
 
   
(.65
)
 
12.44
   
12.90
 
2008
   
14.27
   
.89
   
(.62
)
 
(.20
)
 
(.04
)
 
.03
   
(.65
)
 
(.13
)
 
(.78
)
 
13.52
   
14.76
 
 
(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.
 
84
 
Nuveen Investments

 
 

 

             
Ratios/Supplemental Data
 
 
Total Returns
       
Ratios to Average Net Assets
Applicable to Common Shares
Before Reimbursement(c)
 
Ratios to Average Net Assets
Applicable to Common Shares
After Reimbursement(c)(d)
       
 
Based
on
Market
Value
(b)
Based
on
Common
Share Net
Asset
Value
(b)
Ending
Net
Assets
Applicable
to Common
Shares (000)
 
Expenses
(e)
Net
Investment
Income
(Loss)
 
Expenses
(e)
Net
Investment
Income
(Loss)
 
Portfolio
Turnover
Rate
 
                                                 
                                                 
   
18.74
%
 
8.82
%
$
40,630
   
3.16
%
 
4.03
%
 
N/A
   
N/A
   
14
%
   
(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
 
                                                 
                                                 
   
28.21
   
17.16
   
33,979
   
2.95
   
4.93
   
N/A
   
N/A
   
13
 
   
(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
 
 
(c)
Ratios do not reflect the effect of dividend payments to Auction Rate Preferred shareholders, where applicable; Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to ARPS and/or MTP Shares, where applicable.
(d)
After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable. As of November 30, 2010, the Adviser is no longer reimbursing Massachusetts AMT-Free Income (NGX) for any fees or expenses.
(e)
The expense ratios reflect, among other things, all interest expense and other costs related to MTP Shares and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, where applicable, both as described in Footnote 1 – General Information and Significant Accounting Policies, MuniFund Term Preferred Shares and Inverse Floating Rate Securities, respectively, as follows:
 
Massachusetts AMT-Free Income (NGX)
       
Year Ended 5/31:
       
2012
   
1.76
%
2011
   
1.81
 
2010
   
.57
 
2009
   
.09
 
2008
   
 

Missouri Premium Income (NOM)
       
Year Ended 5/31:
       
2012
   
1.55
%
2011
   
.93
 
2010
   
.03
 
2009
   
.13
 
2008
   
.21
 
 
N/A
Fund does not have, or no longer has, a contractual reimbursement with the Adviser.
 
See accompanying notes to financial statements.
 
Nuveen Investments
 
85

 
 

 

   
Financial
   
Highlights (continued)

   
ARPS at the End of Period
 
MTP Shares at the End of Period (a)
 
ARPS and
MTP Shares
at the End of Period
 
   
Aggregate
Amount
Outstanding
(000)
 
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Aggregate
Amount
Outstanding
(000)
 
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Asset Coverage
Per $1
Liquidation
Preference
 
Connecticut Premium Income (NTC)
                               
Year Ended 5/31:
                                           
2012
 
$
 
$
 
$
 
$
36,080
 
$
10.00
 
$
32.82
 
$
 
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
   
   
   
   
 
                                             
Connecticut Dividend Advantage (NFC)
                               
Year Ended 5/31:
                                           
2012
   
   
   
   
20,470
   
10.00
   
29.92
   
 
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
   
   
   
   
 
                                             
Connecticut Dividend Advantage 2 (NGK)
                               
Year Ended 5/31:
                                           
2012
   
   
   
   
16,950
   
10.00
   
31.31
   
 
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
   
   
   
   
 
 
(a)
The Ending and Average Market Value Per Share for each Series of the Fund’s MTP Shares were as follows:

   
Series
 
Ending
Market Value
Per Share
 
Average
Market Value
Per Share
 
Series
 
Ending
Market Value
Per Share
 
Average
Market Value
Per Share
 
Connecticut Premium Income (NTC)
                               
Year Ended 5/31:
                                     
2012
   
2015
 
$
10.05
 
$
10.08
   
2016
 
$
10.10
 
$
10.06
 
2011
   
2015
   
10.07
   
10.04
   
2016
   
10.00
   
9.88
^^^ 
2010
   
2015
   
10.00
   
10.02
 
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
                                       
Connecticut Dividend Advantage (NFC)
                               
Year Ended 5/31:
                                     
2012
   
2015
   
10.07
   
10.07
   
   
   
 
2011
   
2015
   
13.85
   
14.24
   
   
   
 
2010
   
2015
   
9.98
   
9.95
^^   
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
                                       
Connecticut Dividend Advantage 2 (NGK)
                               
Year Ended 5/31:
                                     
2012
   
2015
   
10.06
   
10.07
   
   
   
 
2011
   
2015
   
13.96
   
14.62
   
   
   
 
2010
   
2015
   
9.97
   
9.96
^^   
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
 
^
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.
 
86
 
Nuveen Investments

 
 

 

   
ARPS at the End of Period
 
MTP Shares at the End of Period (a)
 
ARPS and
MTP Shares
at the End of Period
 
   
Aggregate
Amount
Outstanding
(000)
 
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Aggregate
Amount
Outstanding
(000)
 
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Asset Coverage
Per $1
Liquidation
Preference
 
Connecticut Dividend Advantage 3 (NGO)
                               
Year Ended 5/31:
                                           
2012
 
$
 
$
 
$
 
$
32,000
 
$
10.00
 
$
30.79
 
$
 
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
   
   
   
   
 
                                             
Massachusetts Premium Income (NMT)
                               
Year Ended 5/31:
                                           
2012
   
   
   
   
36,645
   
10.00
   
30.13
   
 
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
   
   
   
   
 
                                             
Massachusetts Dividend Advantage (NMB)
                               
Year Ended 5/31:
                                           
2012
   
   
   
   
14,725
   
10.00
   
30.46
   
 
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
   
   
   
       
 
(a)
The Ending and Average Market Value Per Share for each Series of the Fund’s MTP Shares were as follows:

   
Series
 
Ending
Market Value
Per Share
 
Average
Market Value
Per Share
 
Series
 
Ending
Market Value
Per Share
 
Average
Market Value
Per Share
 
Connecticut Dividend Advantage 3 (NGO)
                         
Year Ended 5/31:
                                     
2012
   
2015
 
$
10.05
 
$
10.07
   
 
$
 
$
 
2011
   
2015
   
12.89
   
13.47
   
   
   
 
2010
   
2015
   
10.00
   
9.99
Ω  
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
                                       
Massachusetts Premium Income (NMT)
                         
Year Ended 5/31:
                                     
2012
   
2015
   
10.10
   
10.08
   
2016
   
10.10
   
10.08
 
2011
   
2015
   
10.02
   
10.02
   
2016
   
10.00
   
9.97
ΩΩΩΩ
2010
   
2015
   
10.00
   
10.00
ΩΩ  
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
                                       
Massachusetts Dividend Advantage (NMB)
                         
Year Ended 5/31:
                                     
2012
   
2015
   
10.10
   
10.07
   
   
   
 
2011
   
2015
   
13.53
   
14.03
   
   
   
 
2010
   
2015
   
9.98
   
9.95
ΩΩΩ  
   
   
 
2009
   
   
   
   
   
   
 
2008
   
   
   
   
   
   
 
 
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
 
87

 
 

 

   
Financial
   
Highlights (continued)

   
ARPS at the End of Period
 
MTP Shares at the End of Period (a)
 
   
Aggregate
Amount
Outstanding
(000)
 
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Aggregate
Amount
Outstanding
(000)
 
Liquidation
Value
Per Share
 
Asset
Coverage
Per Share
 
Massachusetts AMT-Free Income (NGX)
                               
Year Ended 5/31:
                                     
2012
 
$
 
$
 
$
 
$
22,075
 
$
10.00
 
$
28.41
 
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
   
   
   
 
                                       
Missouri Premium Income (NOM)
                               
Year Ended 5/31:
                                     
2012
   
   
   
   
17,880
   
10.00
   
29.00
 
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
   
   
   
 
 
(a)
The Ending and Average Market Value Per Share for each Series of the Fund’s MTP Shares were as follows:

   
Series
 
Ending
Market Value
Per Share
 
Average
Market Value
Per Share
 
Massachusetts AMT-Free Income (NGX)
                   
Year Ended 5/31:
                   
2012
   
2015
 
$
10.10
 
$
10.08
 
2011
   
2015
   
13.62
   
14.48
 
2010
   
2015
   
10.00
   
9.98
2009
   
   
   
 
2008
   
   
   
 
                     
Missouri Premium Income (NOM)
                   
Year Ended 5/31:
                   
2012
   
2015
   
10.40
   
9.98
 
2011
   
2015
   
13.88
   
15.41
^^ 
2010
   
   
   
 
2009
   
   
   
 
2008
   
   
   
 
 
^
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.
 
88
 
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 Massachusetts AMT-Free Municipal Income Fund (NGX) (formerly known as 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), Massachusetts AMT-Free Income (NGX) and Missouri Premium Income (NOM) are traded on the NYSE MKT (formerly known as NYSE Amex). The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end, registered investment companies.
 
Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes, and in the case of Massachusetts AMT-Free Income (NGX) the alternative minimum tax applicable to individuals, by investing primarily in a portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories.
 
Approved Fund Reorganizations
 
On August 1, 2011, the Funds’ Board of Trustees approved a series of reorganizations for all the Connecticut Funds included in this report. The reorganizations are intended to create a single larger state Fund, which would potentially offer shareholders the following benefits:
 
 
Lower Fund expense ratios (excluding the effects of leverage), as fixed costs are spread over a larger asset base;
 
Enhanced secondary market trading, as larger Funds potentially make it easier for investors to buy and sell Fund shares;
 
Lower per share trading costs through reduced bid/ask spreads due to a larger common share float; and
 
Increased Fund flexibility in managing the structure and cost of leverage over time.
 
The approved reorganizations are as follows:
 
 
Acquired Funds
Acquiring Fund
 
Connecticut Dividend Advantage (NFC)
Connecticut Premium Income (NTC)
 
Connecticut Dividend Advantage 2 (NGK)
 
 
Connecticut Dividend Advantage 3 (NGO)
 
 
The reorganizations of Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK) and Connecticut Dividend Advantage 3 (NGO) into Connecticut Premium Income (NTC) was approved by shareholders of the Acquired Funds at a special meeting on May 14, 2012, which was consumated before the opening of business on July 9, 2012 (subsequent to the end of this reporting period).
 
Upon the closing of the reorganizations, the Acquired Funds will transfer their assets to the Acquiring Fund in exchange for common and preferred shares of the Acquiring Fund, and the assumption by the Acquiring Fund of the liabilities of the Acquired Funds. The Acquired Funds will then be liquidated, dissolved and terminated in accordance with their Declaration of Trust.
 
In addition, shareholders of the Acquired Funds became shareholders of the Acquiring Fund. Holders of common shares received newly issued common shares of the Acquiring Fund, the aggregate net asset value of which are equal to the aggregate net asset value of the common shares of the Acquired Funds held immediately prior to the reorganizations (including for this purpose fractional Acquiring Fund shares to which shareholders would be entitled). Fractional shares will be sold on the open market and shareholders will receive cash in lieu of such fractional shares. Holders of MuniFund Term Preferred (“MTP”) Shares of each Acquired Fund will receive on a one-for-one basis newly issued MTP Shares of the Acquiring Fund, in exchange for MTP Shares of the Acquired Funds held immediately prior to the reorganization.
 
Nuveen Investments
 
89

 
 

 

   
Notes to
   
Financial Statements (continued)
 
In connection with the reorganizations, each of the Acquired Funds and the Acquiring Fund have accrued for certain associated costs and expenses. Such amounts are included as components of “Accrued other expense” on the Statement of Assets and Liabilities and “Reorganization expense” on the Statement of Operations.
 
Policy Changes
On October 28, 2011, the Massachusetts AMT-Free Income’s (NGX) Board of Trustees approved changes to the Fund’s investment policy regarding its investment in insured municipal securities. These changes were designed to provide Nuveen Fund Advisors, Inc. (the “Adviser”), a wholly-owned subsidiary of Nuveen Investments Inc. (“Nuveen”), with more flexibility regarding the types of securities available for investment by the Fund.
 
On May 15, 2012, the Fund eliminated the investment policy requiring it, under normal circumstances, to invest 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. Since 2007, most municipal bond insurers have had their credit ratings downgraded and only one insurer is currently insuring new municipal bonds. As a result, the supply of insured municipal securities has decreased dramatically and the long-term viability of the municipal bond insurance market is uncertain. The Fund did not change their investment objective and continue to invest substantially all of their assets in a portfolio of investment grade quality municipal securities. Concurrent with the investment policy changes, the Fund changed its name from Nuveen Insured Massachusetts Tax-Free Advantage Municipal Bond Fund (NGX) to Nuveen Massachusetts AMT-Free Municipal Income Fund (NGX).
 
In addition, the Fund changed its non-fundamental investment policy requiring the Fund to invest in municipal securities rated at least investment grade at the time of investment. The Fund adopted a new policy to, under normal circumstances, invest at least 80% of its managed assets in investment grade securities that, at the time of investment, are rated within the four highest grades (Baa or BBB or better) by at least one nationally recognized statistical ratings organization (“NRSRO”) or are unrated but judged to be of comparable quality by the Adviser. Under the new policy, the Fund may invest up to 20% of its managed assets in municipal securities that at the time of investment are rated below investment grade or are unrated but judged to be of comparable quality by the Adviser. No more than 10% of the Fund’s managed assets may be invested in municipal securities rated below B3/B- or that are unrated but judged to be of comparable quality by the Adviser.
 
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. 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 the 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 these securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Funds’ Board of Trustees or its designee.
 
Refer to Footnote 2 – Fair Value Measurements for further details on the leveling of securities held by the Funds as of the end of the reporting period.
 
90
 
Nuveen Investments

 
 

 
 
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method, 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 earmark securities in the Funds’ portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At May 31, 2012, Massachusetts AMT-Free Income (NGX) and Missouri Premium Income (NOM) had outstanding when-issued, delayed delivery purchase commitments of $1,798,444 and $483,792, respectively. 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.
 
Professional Fees
Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment, or to pursue other claims or legal actions on behalf of Fund shareholders.
 
Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies (“RICs”). 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 Massachusetts AMT-Free Income (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”). As of May 31, 2011, the Funds redeemed all of their outstanding ARPS at liquidation value.
 
MuniFund Term Preferred Shares
The Funds have issued and outstanding MTP Shares, with a $10 stated (“par”) value per share. Proceeds from the issuance of MTP Shares, net of offering expenses, were used to redeem all, or a portion of, the remainder of each Fund’s outstanding ARPS. Each Fund’s MTP Shares may be issued in one or more Series. Dividends on MTP Shares, which are recognized as interest expense for financial reporting purposes, are paid monthly at a fixed annual rate, subject to adjustments in certain circumstances. The MTP Shares trade on the NYSE. As of May 31, 2012, the number of MTP Shares outstanding, annual interest rate and NYSE “ticker” symbol for each Fund’s series of MTP Shares are as follows:

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

Nuveen Investments
 
91

 
 

 

   
Notes to
   
Financial Statements (continued)

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

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

   
Massachusetts AMT-Free Income (NGX)
 
Missouri Premium Income (NOM)
 
   
Shares
Outstanding
 
Annual
Interest
Rate
 
NYSE
Ticker
 
Shares
Outstanding
 
Annual
Interest
Rate
 
NYSE
Ticker
 
Series 2015
   
2,207,500
   
2.65
%
 
NGX Pr C
   
1,788,000
   
2.10
%
 
NOM Pr C
 
 
Each Fund is obligated to redeem its MTP Shares by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed or repurchased by the Fund. MTP Shares are subject to optional and mandatory redemption in certain circumstances. MTP Shares will be subject to redemption at the option of each Fund (“Optional Redemption Date”), subject to a payment of premium for one year following the Optional Redemption Date (“Premium Expiration Date”), and at par thereafter. MTP Shares also will be subject to redemption, at the option of each Fund, at par in the event of certain changes in the credit rating of the MTP Shares. Each Fund may be obligated to redeem certain of the MTP Shares if the Fund fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured by the applicable cure date.
 
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
Premium
Income
(NTC)
Series 2015
 
Connecticut
Premium
Income
(NTC)
Series 2016
 
Connecticut
Dividend
Advantage
(NFC)
Series 2015
 
Connecticut
Dividend
Advantage 2
(NGK)
Series 2015
 
Connecticut
Dividend
Advantage 3
(NGO)
Series 2015
 
Term Redemption Date
   
February 1, 2015
   
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
 

   
Massachusetts
Premium
Income
(NMT)
Series 2015
 
Massachusetts
Premium
Income
(NMT)
Series 2016
 
Massachusetts
Dividend
Advantage
(NMB)
Series 2015
 
Massachusetts
AMT-Free
Income
(NGX)
Series 2015
 
Missouri
Premium
Income
(NOM)
Series 2015
 
Term Redemption Date
   
February 1, 2015
   
February 1, 2016
   
April 1, 2015
   
March 1, 2015
   
December 1, 2015
 
Optional Redemption Date
   
February 1, 2011
   
February 1, 2012
   
April 1, 2011
   
March 1, 2011
   
December 1, 2011
 
Premium Expiration Date
   
January 31, 2012
   
January 31, 2013
   
March 31, 2012
   
February 29, 2012
   
November 30, 2012
 
 
The average liquidation value for all series of MTP Shares outstanding for each Fund during the fiscal year ended May 31, 2012, was as follows:

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

92
 
Nuveen Investments

 
 

 
 
   
Massachusetts
Premium
Income
(NMT)
 
Massachusetts
Dividend
Advantage
(NMB)
 
Massachusetts
AMT-Free
Income
(NGX)
 
Missouri
Premium
Income
(NOM)
 
Average liquidation value of MTP Shares outstanding
 
$
36,645,000
 
$
14,725,000
 
$
22,075,000
 
$
17,880,000
 
 
For financial reporting purposes only, the liquidation value of MTP Shares is recorded as a liability on the Statement of Assets and Liabilities. Unpaid dividends on MTP Shares are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities. Dividends paid on MTP Shares are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.
 
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, and during the period June 1, 2011 through May 15, 2012, Massachusetts AMT-Free Income (NGX) invested at least 80% of its managed assets (as defined in Footnote 7 – Management Fees and Other Transactions with Affiliates) in municipal securities that were covered by insurance guaranteeing the timely payment of principal and interest. In addition, during the period June 1, 2011 through May 15, 2012, Massachusetts AMT-Free Income (NGX) invested in municipal securities that, at the time of investment was rated investment grade (including (i) bonds insured by investment grade rated 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.
 
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, 2012, 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, 2012, the Funds were not invested in externally-deposited Recourse Trusts.

Nuveen Investments
 
93

 
 

 

   
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, 2012, were as follows:
                           
   
Connecticut
Premium
Income
(NTC)
 
Connecticut
Dividend
Advantage
(NFC)
 
Connecticut
Dividend
Advantage 2
(NGK)
 
Connecticut
Dividend
Advantage 3
(NGO)
 
Average floating rate obligations outstanding
 
$
7,965,000
 
$
3,820,000
 
$
3,460,000
 
$
5,780,000
 
Average annual interest rate and fees
   
0.65
%
 
0.64
%
 
0.64
%
 
0.62
%

   
Massachusetts
Premium
Income
(NMT)
 
Massachusetts
Dividend
Advantage
(NMB)
 
Massachusetts
AMT-Free
Income
(NGX)
 
Missouri
Premium
Income
(NOM)
 
Average floating rate obligations outstanding
 
$
1,910,369
 
$
789,126
 
$
879,727
 
$
2,225,000
 
Average annual interest rate and fees
   
0.59
%
 
0.59
%
 
0.55
%
 
0.33
%
 
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, 2012.
 
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 Advisor 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
Premium
Income
(NTC)
 
Connecticut
Dividend
Advantage
(NFC)
 
Connecticut
Dividend
Advantage 2
(NGK)
 
Connecticut
Dividend
Advantage 3
(NGO)
 
MTP Shares offering costs
 
$
1,131,200
 
$
567,050
 
$
504,250
 
$
750,000
 

94
 
Nuveen Investments

 
 

 

   
Massachusetts
Premium
Income
(NMT)
 
Massachusetts
Dividend
Advantage
(NMB)
 
Massachusetts
AMT-Free
Income
(NGX)
 
Missouri
Premium
Income
(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 for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes.
 
Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:

  Level 1 –  
Quoted prices in active markets for identical securities.
  Level 2 –  
Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
  Level 3 –  
Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of May 31, 2012:
                           
Connecticut Premium Income (NTC)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments:
                         
Municipal Bonds
 
$
 
$
122,286,950
 
$
 
$
122,286,950
 
                           
Connecticut Dividend Advantage (NFC)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments:
                         
Municipal Bonds
 
$
 
$
61,995,068
 
$
 
$
61,995,068
 
                           
Connecticut Dividend Advantage 2 (NGK)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments:
                         
Municipal Bonds
 
$
 
$
55,421,186
 
$
 
$
55,421,186
 
                           
Connecticut Dividend Advantage 3 (NGO)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments:
                         
Municipal Bonds
 
$
 
$
101,695,864
 
$
 
$
101,695,864
 
                           
Massachusetts Premium Income (NMT)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments:
                         
Municipal Bonds
 
$
 
$
109,066,655
 
$
 
$
109,066,655
 

Nuveen Investments
 
95

 
 

 

   
Notes to
   
Financial Statements (continued)

Massachusetts Dividend Advantage (NMB)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments:
                         
Municipal Bonds
 
$
 
$
43,709,704
 
$
180,000
 
$
43,889,704
 
                           
Massachusetts AMT-Free Income (NGX)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments:
                         
Municipal Bonds
 
$
 
$
63,245,540
 
$
 
$
63,245,540
 
                           
Missouri Premium Income (NOM)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments:
                         
Municipal Bonds
 
$
 
$
53,126,776
 
$
 
$
53,126,776
 
 
The following is a reconciliation of the following Fund’s Level 3 investments held at the beginning and end of the measurement period:
         
   
Massachusetts
Dividend
Advantage
(NMB)
Level 3
Municipal
Bonds
 
Balance at the beginning of period
 
$
 
Gains (losses):
       
Net realized gains (losses)
   
 
Net change in unrealized appreciation (depreciation)
   
 
Purchases at cost
   
 
Sales at proceeds
   
 
Net discounts (premiums)
   
 
Transfers in to
   
180,000
 
Transfers out of
   
 
Balance at the end of period
 
$
180,000
 
Change in net unrealized appreciation (depreciation) during the period of Level 3 securities held as of May 31, 2012
 
$
(64,750
)
 
During the fiscal year ended May 31, 2012, the Funds recognized no significant transfers to or from Level 1 or Level 2. Transfers in and/or out of Level 3 are shown using end of period values.
 
3. Derivative Instruments and Hedging Activities
The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes. The Funds did not invest in derivative instruments during the fiscal year ended May 31, 2012.
 
4. Fund Shares
 
Common Shares
Since the inception of the Funds’ repurchase program, the Funds have not repurchased any of their outstanding Common shares.
 
Transactions in Common shares were as follows:
                                       
   
Connecticut
Premium Income (NTC)
 
Connecticut
Dividend Advantage (NFC)
 
Connecticut
Dividend Advantage 2 (NGK)
 
   
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Common shares issued to shareholders due to reinvestment of distributions
   
   
   
652
   
1,764
   
494
   
1,073
 

96
 
Nuveen Investments

 
 

 

   
Connecticut
Dividend Advantage 3 (NGO)
 
Massachusetts
Premium Income (NMT)
 
Massachusetts
Dividend Advantage (NMB)
 
   
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Common shares issued to shareholders due to reinvestment of distributions
   
   
   
   
6,872
   
   
1,746
 

   
Massachusetts
AMT-Free Income (NGX)
 
Missouri
Premium Income (NOM)
 
   
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Year
Ended
5/31/12
 
Year
Ended
5/31/11
 
Common shares issued to shareholders due to reinvestment of distributions
   
99
   
1,124
   
5,049
   
4,733
 
 
Preferred Shares
Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB) and Massachusetts AMT-Free Income (NGX) redeemed all of their outstanding ARPS during the fiscal year ended May 31, 2010.
 
Transactions in ARPS were as follows:
                                                   
   
Connecticut Premium Income (NTC)
 
Massachusetts Premium Income (NMT)
 
   
Year Ended
5/31/12
 
Year Ended
5/31/11
 
Year Ended
5/31/12
 
Year Ended
5/31/11
 
   
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
ARPS redeemed:Series TH
   
N/A
   
N/A
   
629
 
$
15,725,000
   
N/A
   
N/A
   
576
 
$
14,400,000
 
 
N/A – As of May 31, 2011, the Fund redeemed all of its outstanding ARPS at liquidation value.
                           
   
Missouri Premium Income (NOM)
 
   
Year Ended
5/31/12
 
Year Ended
5/31/11
 
   
Shares
 
Amount
 
Shares
 
Amount
 
ARPS redeemed:Series TH
   
N/A
   
N/A
   
640
 
$
16,000,000
 
 
N/A – As of May 31, 2011, the Fund redeemed all of its outstanding ARPS at liquidation value.
 
Transactions in MTP Shares were as follows:
                                                   
   
Connecticut
Premium Income (NTC)
 
Massachusetts
Premium Income (NMT)
 
   
Year Ended
5/31/12
 
Year Ended
5/31/11
 
Year Ended
5/31/12
 
Year Ended
5/31/11
 
   
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
MTP Shares issued:Series 2016
   
 
$
   
1,778,000
 
$
17,780,000
   
 
$
   
1,643,500
 
$
16,435,00
 

   
Missouri
Premium Income (NOM)
 
   
Year Ended
5/31/12
 
Year Ended
5/31/11
 
   
Shares
 
Amount
 
Shares
 
Amount
 
MTP Shares issued:Series 2015
   
 
$
   
1,788,000
 
$
17,880,000
 

Nuveen Investments
 
97

 
 

 

   
Notes to
   
Financial Statements (continued)
 
5. Investment Transactions
Purchases and sales (including maturities but excluding short-term investments, where applicable) during the fiscal year ended May 31, 2012, were as follows:
                           
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Purchases
 
$
13,103,616
 
$
9,756,944
 
$
6,033,384
 
$
11,039,039
 
Sales and maturities
   
14,414,477
   
10,379,027
   
6,483,821
   
11,261,672
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Massachusetts
AMT-Free
Income
(NGX
)
Missouri
Premium
Income
(NOM
)
Purchases
 
$
13,142,386
 
$
3,527,022
 
$
9,039,575
 
$
7,866,886
 
Sales and maturities
   
15,349,838
   
3,933,237
   
8,864,018
   
6,742,705
 
 
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, 2012, the cost and unrealized appreciation (depreciation) of investments, as determined on a federal income tax basis, were as follows:
                           
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Cost of investments
 
$
106,764,045
 
$
54,119,150
 
$
48,617,486
 
$
90,552,139
 
Gross unrealized:
                         
Appreciation
 
$
7,987,367
 
$
4,175,032
 
$
3,463,466
 
$
5,801,794
 
Depreciation
   
(427,587
)
 
(121,292
)
 
(121,256
)
 
(436,289
)
Net unrealized appreciation (depreciation) of investments
 
$
7,559,780
 
$
4,053,740
 
$
3,342,210
 
$
5,365,505
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Massachusetts
AMT-Free
Income
(NGX
)
Missouri
Premium
Income
(NOM
)
Cost of investments
 
$
100,677,889
 
$
40,831,541
 
$
59,787,309
 
$
48,097,302
 
Gross unrealized:
                         
Appreciation
 
$
7,359,282
 
$
3,014,708
 
$
3,128,572
 
$
3,059,447
 
Depreciation
   
(405,216
)
 
(516,921
)
 
(10,271
)
 
(255,142
)
Net unrealized appreciation (depreciation) of investments
 
$
6,954,066
 
$
2,497,787
 
$
3,118,301
 
$
2,804,305
 
 
Permanent differences, primarily due to federal taxes paid, taxable market discount, nondeductible offering costs and nondeductible reorganization expenses, resulted in reclassifications among the Funds’ components of Common share net assets at May 31, 2012, the Funds’ tax year end, as follows:
 
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Paid-in surplus
 
$
(471,806
)
$
(161,034
)
$
(129,786
)
$
(312,375
)
Undistributed (Over-distribution of) net investment income
   
484,264
   
173,140
   
130,071
   
309,234
 
Accumulated net realized gain (loss)
   
(12,458
)
 
(12,106
)
 
(285
)
 
3,141
 

98
 
Nuveen Investments

 
 

 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Massachusetts
AMT-Free
Income
(NGX
)
Missouri
Premium
Income
(NOM
)
Paid-in surplus
 
$
(215,404
)
$
(92,589
)
$
(113,237
)
$
(118,412
)
Undistributed (Over-distribution of) net investment income
   
226,661
   
92,633
   
113,237
   
117,952
 
Accumulated net realized gain (loss)
   
(11,257
)
 
(44
)
 
   
460
 
 
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at May 31, 2012, the Funds’ tax year end, were as follows:
                   
   
Connecticut
Premium
Income
(NTC
)
Connecticut
Dividend
Advantage
(NFC
)
Connecticut
Dividend
Advantage 2
(NGK
)
Connecticut
Dividend
Advantage 3
(NGO
)
Undistributed net tax-exempt income*
 
$
1,083,370
 
$
354,360
 
$
247,413
 
$
493,585
 
Undistributed net ordinary income **
   
24,296
   
102,633
   
17,911
   
44,189
 
Undistributed net long-term capital gains
   
99,454
   
32,506
   
56,143
   
 

   
Massachusetts
Premium
Income
(NMT
)
Massachusetts
Dividend
Advantage
(NMB
)
Massachusetts
AMT-Free
Income
(NGX
)
Missouri
Premium
Income
(NOM
)
Undistributed net tax-exempt income*
 
$
897,013
 
$
124,323
 
$
148,098
 
$
533,311
 
Undistributed net ordinary income **
   
52,996
   
   
   
 
Undistributed net long-term capital gains
   
292,510
   
   
   
 
 
*
Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared May 1, 2012, paid on June 1, 2012.
**
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, 2012 and May 31, 2011, was designated for purposes of the dividends paid deduction as follows:
 
2012
 
Connecticut
Premium
Income
(NTC)
 
Connecticut
Dividend
Advantage
(NFC)
 
Connecticut
Dividend
Advantage 2
(NGK)
 
Connecticut
Dividend
Advantage 3
(NGO)
 
Distributions from net tax-exempt income ***
 
$
4,736,774
 
$
2,438,330
 
$
2,206,558
 
$
3,904,981
 
Distributions from net ordinary income **
   
   
   
   
 
Distributions from net long-term capital gains ****
   
225,331
   
110,451
   
76,108
   
 

2012
 
Massachusetts
Premium
Income
(NMT)
 
Massachusetts
Dividend
Advantage
(NMB)
 
Massachusetts
AMT-Free
Income
(NGX)
 
Missouri
Premium
Income
(NOM)
 
Distributions from net tax-exempt income ***
 
$
4,683,212
 
$
1,892,509
 
$
2,522,521
 
$
2,186,098
 
Distributions from net ordinary income **
   
   
2
   
   
 
Distributions from net long-term capital gains ****
   
243,992
   
   
   
 

2011
 
Connecticut
Premium
Income
(NTC)
 
Connecticut
Dividend
Advantage
(NFC)
 
Connecticut
Dividend
Advantage 2
(NGK)
 
Connecticut
Dividend
Advantage 3
(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
   
   
   
   
 
 
**
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, 2012, as Exempt Interest Dividends.
****
The Funds designate as 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, 2012.
 
Nuveen Investments
 
99

 
 

 

   
Notes to
   
Financial Statements (continued)

2011
 
Massachusetts
Premium
Income
(NMT)
 
Massachusetts
Dividend
Advantage
(NMB)
 
Massachusetts
AMT-Free
Income
(NGX)
 
Missouri
Premium
Income
(NOM)
 
Distributions from net tax-exempt income
 
$
4,427,025
 
$
2,009,854
 
$
2,646,325
 
$
2,005,649
 
Distributions from net ordinary income **
   
   
   
   
 
Distributions from net long-term capital gains
   
179,625
   
   
   
 
 
**           Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
 
At May 31, 2012, 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:
                   
   
Connecticut
Dividend
Advantage 3
(NGO)
 
Massachusetts
Dividend
Advantage
(NMB)
 
Massachusetts
AMT-Free
Income
(NGX)
 
Missouri
Premium
Income
(NOM)
 
Expiration:
                         
May 31, 2014
 
$
 
$
 
$
373,352
 
$
 
May 31, 2015
   
143,503
   
   
   
 
May 31, 2017
   
43,691
   
   
215,629
   
92,675
 
May 31, 2018
   
13,130
   
   
24,486
   
91,539
 
May 31, 2019
   
   
44,128
   
18,813
   
 
Total
 
$
200,324
 
$
44,128
 
$
632,280
 
$
184,214
 
 
During the Funds’ tax year ended May 31, 2012, the following Funds utilized capital loss carryforwards as follows:
                           
   
Connecticut
Dividend
Advantage 3
(NGO)
 
Massachusetts
Dividend
Advantage
(NMB)
 
Massachusetts
AMT-Free
Income
(NGX)
 
Missouri
Premium
Income
(NOM)
 
Utilized capital loss carryforwards
 
$
214,588
 
$
94,225
 
$
72,438
 
$
29,858
 
 
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which changed various technical rules governing the tax treatment of RICs. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the Act, each Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
 
The Act also contains several provisions aimed at preserving the character of distributions made by a fiscal year RIC during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions.
 
During the Funds’ tax year ended May 31, 2012, there were no post-enactment capital losses generated by any of the Funds.
 
7. Management Fees and Other Transactions with Affiliates
Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

100
 
Nuveen Investments

 
 

 
 
The annual fund-level fee for each Fund, payable monthly, is calculated according to the following schedules:
Average Daily Managed Assets*
 
Connecticut Premium Income (NTC)
Massachusetts Premium Income (NMT)
Missouri Premium Income (NOM)
Fund-Level Fee Rate
For the first $125 million
   
.4500
%
For the next $125 million
   
.4375
 
For the next $250 million
   
.4250
 
For the next $500 million
   
.4125
 
For the next $1 billion
   
.4000
 
For the next $3 billion
   
.3875
 
For managed assets over $5 billion
   
.3750
 

 
Connecticut Dividend Advantage (NFC)
 
Connecticut Dividend Advantage 2 (NGK)
 
Connecticut Dividend Advantage 3 (NGO)
 
Massachusetts Dividend Advantage (NMB)
 
Massachusetts AMT-Free Income (NGX)
Average Daily Managed Assets*
Fund-Level Fee Rate
For the first $125 million
.4500
%
For the next $125 million
.4375
 
For the next $250 million
.4250
 
For the next $500 million
.4125
 
For the next $1 billion
.4000
 
For managed assets over $2 billion
.3750
 
 
The annual complex-level fee for each Fund, payable monthly, is calculated according to the following schedule:

Complex-Level Managed Asset Breakpoint Level*
Effective Rate at Breakpoint Level
$55 billion
.2000
%
$56 billion
.1996
 
$57 billion
.1989
 
$60 billion
.1961
 
$63 billion
.1931
 
$66 billion
.1900
 
$71 billion
.1851
 
$76 billion
.1806
 
$80 billion
.1773
 
$91 billion
.1691
 
$125 billion
.1599
 
$200 billion
.1505
 
$250 billion
.1469
 
$300 billion
.1445
 
 
*
For the fund-level and complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen Funds that constitute “eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen Funds and assets in excess of $2 billion added to the Nuveen Fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of May 31, 2012, the complex level fee rate for these Funds was .1735%.
 
The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser is responsible for each Fund’s overall strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the “Sub-Adviser”), a wholly-owned subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
 
The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.

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101

 
 

 

   
Notes to
   
Financial Statements (continued)
 
For the first ten years of Connecticut Dividend Advantage 2’s (NGK) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:

Year Ending
   
Year Ending
   
March 31,
   
March 31,
   
2002*
.30%
 
2008
.25
%
2003
.30
 
2009
.20
 
2004
.30
 
2010
.15
 
2005
.30
 
2011
.10
 
2006
.30
 
2012
.05
 
2007
.30
       
 
*
From the commencement of operations.
 
The Adviser has not agreed to reimburse Connecticut Dividend Advantage 2 (NGK) for any portion of its fees and expenses beyond March 31, 2012.
 
8. New Accounting Pronouncements
 
Fair Value Measurements and Disclosures
On May 12, 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standard Update (“ASU”) No. 2011-04 (“ASU No. 2011-04”) modifying Topic 820, Fair Value Measurements and Disclosures. At the same time, the International Accounting Standards Board (“IASB”) issued International Financial Reporting Standard (“IFRS”) 13, Fair Value Measurement. The objective by the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, ASU No. 2011-04 requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2 and the reasons for the transfers and ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of ASU No. 2011-04 is for interim and annual periods beginning after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statement amounts and footnote disclosures, if any.

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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”), is 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 required to consider the continuation of the Advisory Agreements on an annual basis. Accordingly, at an in-person meeting held on May 21-23, 2012 (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 Advisor’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 18-19, 2012, 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 annual review of the Advisory Agreements supplement the information and analysis provided to the Board

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103

 
 

 
 
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 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 reports on compliance, regulatory matters and risk management. The Board also meets with key investment personnel managing the Fund portfolios during the year. In October 2011, the Board also created two new standing committees (the Open-end Fund Committee and the Closed-end Fund Committee) to assist the full Board in monitoring and gaining a deeper insight into the distinctive issues and business practices of open-end and closed-end funds.
 
In addition, the Board continues its program of seeking to have the Board Members or a subset thereof visit each sub-advisor to the Nuveen funds at least once over a multiple year rotation, meeting with key investment and business personnel. In this regard, the Board visited with the Sub-Advisor’s municipal team in Minneapolis in September 2011, and with the Sub-Advisor’s municipal team in Chicago in November 2011. Further, an ad hoc committee of the Board visited the then-current transfer agents of the Nuveen funds in 2011 and the audit committee of the Board visited the various pricing agents for the Nuveen funds in January 2012. The Board considers factors and information that are relevant to its annual consideration of the renewal of the Advisory Agreements at the meetings held throughout the year. Accordingly, the Board considers the information provided and knowledge gained at these meetings when performing its annual review 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. In addition, it is important to recognize that the management arrangements for the Nuveen funds are the result of many years of review and discussion between the Independent Board Members and fund management and that the Board Members’ conclusions may be based, in part, on their consideration of fee arrangements and other factors developed in previous years.
 
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.

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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 further considered the overall reputation and capabilities of the Advisor and its affiliates, the commitment of the Advisor to provide high quality service to the Funds, their overall confidence in the Advisor’s integrity and the Advisor’s responsiveness to questions and concerns raised by them. 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.
 
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 generally provides the portfolio investment management services to the Funds. 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 team’s 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 inappropriate 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; the resources dedicated to compliance; and the record of compliance with the 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 and communications, administration of Board relations, regulatory and portfolio compliance, legal support, managing leverage and promoting an orderly secondary market for common shares. The Board further recognized Nuveen’s additional investments in personnel, including in compliance and risk management.
 
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 completion of the refinancing of auction

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Annual Investment Management Agreement
Approval Process (Unaudited) (continued)
 
rate preferred securities; efforts to eliminate product overlap with fund mergers; elimination of the insurance mandate on several funds; ongoing services to manage leverage that has become increasingly complex; continued secondary market offerings, share repurchases and other support initiatives 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 communication program designed to raise investor and analyst awareness and understanding of closed-end funds. Nuveen’s support services included, among other things: continuing communications concerning the refinancing efforts related to auction rate preferred securities; supporting and promoting munifund term preferred shares (MTP) including by launching a microsite dedicated to MTP shares; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the Nuveen funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing a closed-end fund website.
 
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 Fund Advisers
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 compiled by Nuveen that was provided by an independent provider of mutual fund data and with recognized and/or customized benchmarks (i.e., benchmarks derived from multiple recognized 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, 2011, as well as performance information reflecting the first quarter of 2012. 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, 2011, as well as performance information reflecting the first quarter of 2012.
 
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

106
 
Nuveen Investments

 
 

 
 
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 Nuveen funds will vary depending on when such shareholder invests in the applicable fund, the class held (if multiple classes are offered in a fund) and the performance of the fund (or respective class) during that shareholder’s investment period. In addition, although the performance below reflects the performance results for the time periods ending as of the most recent calendar year end (unless otherwise indicated), the Board also recognized that selecting a different ending time period may derive different results. Furthermore, while the Board is cognizant of the relevant performance of a fund’s peer set and/or benchmark(s), the Board evaluated fund performance in light of the respective fund’s investment objectives, investment parameters and guidelines and recognized that the objectives, investment parameters and guidelines of peers and/or benchmarks may differ to some extent, thereby resulting in differences in performance results. Nevertheless, with respect to any Nuveen funds that the Board considers to have underperformed 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.
 
As noted above, each of the Funds had significant differences with its Performance Peer Group. Therefore, the Independent Board Members considered the Funds’ performance compared to their benchmarks. In this regard, the Independent Board Members noted that each Fund outperformed its respective benchmark in the one- and three-year periods.
 
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 provided by an independent fund data provider (the “Peer Universe”) and any expense limitations.
 
The Independent Board Members further reviewed the methodology regarding the construction of the applicable Peer Universe. 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 limited size and particular composition of the Peer Universe (including the inclusion of other Nuveen funds in the peer set);

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Annual Investment Management Agreement
Approval Process (Unaudited) (continued)

 
expense anomalies; changes in the funds comprising the Peer Universe from year to year; levels of reimbursement or fee waivers; the timing of information used; the differences in the type and use of leverage; and differences in the states reflected in the Peer Universe may impact the comparative data, thereby limiting somewhat 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 (excluding leverage costs and leveraged assets), the Board considered the expenses and fees to be higher if they were over 10 basis points higher, slightly higher if they were approximately 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Universe. In reviewing the reports, the Board noted that the overwhelming majority of the Nuveen funds were at, close to or below their peer set average based on the net total expense ratio.
   
  The Independent Board Members noted that the Nuveen Missouri Premium Income Municipal Fund and the Nuveen Massachusetts AMT-Free Municipal Income Fund had slightly higher or higher net management fees than their peer average and a slightly higher or higher net expense ratio compared to their peer average (although the Board recognized the limitations of the peer sets with these Funds). Finally, the Independent Board Members noted that the other Funds each had net management fees and net expense ratios (including fee waivers and expense reimbursements) 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 range of fees 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

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differences in the various 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, funds of other sponsors (if any), and other clients (such as retail and/or institutional managed accounts).
   
 
3. Profitability of Fund Advisers
 
In conjunction with its review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities and its financial condition. The Independent Board Members reviewed the revenues and expenses of Nuveen’s advisory activities for the last two calendar 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 2011. 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 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 comparable assets under management (based on asset size and asset composition).
   
 
In reviewing profitability, the Independent Board Members recognized the Advisor’s continued investment in its business to enhance its services, including capital improvements to investment technology, updated compliance systems, and additional personnel in compliance, risk management, and product development as well as its ability to allocate resources to various areas of the Advisor as the need arises. In addition, in evaluating profitability, the Independent Board Members also 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

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Annual Investment Management Agreement
Approval Process (Unaudited) (continued)

 
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.
 
With respect to sub-advisers affiliated with Nuveen, including the Sub-Advisor, the Independent Board Members reviewed the sub-adviser’s revenues, expenses and profitability margins (pre- and post-tax) for its advisory activities and the methodology used for allocating expenses among the internal sub-advisers. Based on their review, the Independent Board Members were satisfied that the Sub-Advisor’s level of profitability 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 a 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 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. In addition, with the acquisition of the funds previously advised by FAF Advisors, Inc., the Board noted that a portion of such funds’ assets at the time of acquisition were deemed eligible to be included in the complex-wide fee

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calculation in order to deliver fee savings to shareholders in the combined complex and such funds were subject to differing complex-level fee rates.
 
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 co-manager in initial public offerings of new closed-end funds as well as revenues received in connection with secondary offerings.
 
In addition to the above, the Independent Board Members considered whether the Fund Advisers 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 and may benefit from such soft dollar arrangements. Similarly, the Board recognized that the research received pursuant to soft dollar arrangements by a Fund Adviser may also benefit a Fund and shareholders to the extent the research enhances the ability of the Fund Adviser to manage the Fund. The Independent Board Members noted that the Fund Advisers’ profitability may be somewhat lower if they did not receive the research services pursuant to the soft dollar arrangements and had to acquire such services directly.
 
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.

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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 Funds 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
               
 
8/22/40
333 W. Wacker Drive
Chicago, IL 60606
 
Chairman of
the Board
and Board Member
 
 
1996
Class III
 
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.
 
 
222
                   
JACK B. EVANS
               
 
10/22/48
333 W. Wacker Drive
Chicago, IL 60606
 
 
Board Member
 
 
1999
Class III
 
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.
 
 
222
                   
WILLIAM C. HUNTER
               
 
3/6/48
333 W. Wacker Drive
Chicago, IL 60606
 
 
Board Member
 
 
2004
Class I
 
Dean Emeritus (since June 30, 2012), formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; Director (since 2005), and President (since July 2012) 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.
 
 
222
                   
DAVID J. KUNDERT
               
 
10/28/42
333 W. Wacker Drive
Chicago, IL 60606
 
 
Board Member
 
 
2005
Class II
 
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.
 
 
222
                   
WILLIAM J. SCHNEIDER
               
 
9/24/44
333 W. Wacker Drive
Chicago, IL 60606
 
 
Board Member
 
 
1996
Class III
 
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.
 
 
222
 
112
 
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
Class I
 
Executive Director, Gaylord and Dorothy Donnelley Foundation (since 1994); prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).
 
 
222
                   
CAROLE E. STONE
               
 
6/28/47
333 W. Wacker Drive
Chicago, IL 60606
 
 
Board Member
 
 
2007
Class I
 
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).
 
 
222
                   
VIRGINIA L. STRINGER
               
 
8/16/44
333 W. Wacker Drive
Chicago, IL 60606
 
 
Board Member
 
 
2011
 
Board Member, Mutual Fund Directors Forum; former governance consultant and non-profit board member; former Owner and President, Strategic Management Resources, Inc. a management consulting firm; former Member, Governing Board, Investment Company Institute’s Independent Directors Council; 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).
 
 
222
                   
TERENCE J. TOTH
               
 
9/29/59
333 W. Wacker Drive
Chicago, IL 60606
 
 
Board Member
 
 
2008
Class II
 
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), Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and a member of its investment committee; 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).
 
 
222
                   
Interested Board Member:
       
JOHN P. AMBOIAN(2)
               
 
6/14/61
333 W. Wacker Drive
Chicago, IL 60606
 
 
Board Member
 
 
2008
Class II
 
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.
 
 
222

Nuveen Investments
 
113

 
 

 
 
Board Members & Officers (Unaudited) (continued)

 
Name,
Birthdate
and Address
 
Position(s) Held
with the Funds
 
Year First
Elected or
Appointed(3)
 
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), and Assistant Secretary 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), Santa Barbara Asset Management, LLC (since 2006), and of Winslow Capital Management Inc. (since 2010); Chief Administrative Officer and Chief Compliance Officer (since 2006) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst.
 
 
222
                   
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); President (since 2011), formerly, Managing Director (2010-2011) of Nuveen Commodities Asset Management, LLC.
 
 
122
                   
CEDRIC H. ANTOSIEWICZ
               
 
1/11/62
333 W. Wacker Drive
Chicago, IL 60606
 
 
Vice President
 
 
2007
 
Managing Director of Nuveen Securities, LLC.
 
 
122
                   
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); Managing Director-Investment Services of Nuveen Commodities Asset Management, LLC (since August 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.
 
 
222
                   
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. and Nuveen Securities, LLC (since 2004).
 
 
222
                   
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) and Funds Controller of Nuveen Securities, LLC; Vice President of Nuveen Fund Advisors, Inc.; Chief Financial Officer of Nuveen Commodities Asset Management, LLC (since 2010); Certified Public Accountant.
 
 
222

114
 
Nuveen Investments

 
 

 

 
Name,
Birthdate
and Address
 
Position(s) Held
with the Funds
 
Year First
Elected or
Appointed(3)
 
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 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.
 
 
222
                   
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.; Senior Vice President (since 2008) of Nuveen Investment Holdings, Inc.; formerly, Senior Vice President (2008-2011) of Nuveen Securities, LLC.
 
 
222
                   
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.
 
 
222
                   
KEVIN J. MCCARTHY
               
 
3/26/66
333 W. Wacker Drive
Chicago, IL 60606
 
Vice President
and Secretary
 
 
2007
 
Managing Director and Assistant Secretary (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, NWQ Holdings, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC, 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).
 
 
222

Nuveen Investments
 
115

 
 

 
 
Board Members & Officers (Unaudited) (continued)

 
Name,
Birthdate
and Address
 
Position(s) Held
with the Funds
 
Year First
Elected or
Appointed(3)
 
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
901 Marquette Avenue
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).
 
 
222
 
(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)
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.
(3)
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.

116
 
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
 
117

 
 

 
 
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.

118
 
Nuveen Investments

 
 

 
 
Glossary of Terms
Used in this Report
   
Auction Rate Bond: An auction rate bond is a security whose interest payments are adjusted periodically through an auction process, which process typically also serves as a means for buying and selling the bond. Auctions that fail to attract enough buyers for all the shares offered for sale are deemed to have “failed,” with current holders receiving a formula-based interest rate until the next scheduled auction.
   
Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
   
Average Effective Maturity: The market-value-weighted average of the effective maturity dates of the individual securities including cash. In the case of a bond that has been advance-refunded to a call date, the effective maturity is the date on which the bond is scheduled to be redeemed using the proceeds of an escrow account. In most other cases the effective maturity is the stated maturity date of the security.
   
Effective Leverage: Effective leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative investments in the Fund’s portfolio. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any regulatory leverage.
   
Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports.
   
Inverse Floating Rate Securities: Inverse floating rate securities, also known as inverse floaters or tender option bonds (TOBs), are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker dealer. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond’s par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an “inverse floater”) to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates’ holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond’s downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond’s value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis.

Nuveen Investments
 
119

 
 

 
 
Glossary of Terms
Used in this Report (continued)

Leverage: Using borrowed money to invest in securities or other assets, seeking to increase the return of an investment or portfolio.
   
Leverage-Adjusted Duration: Duration is a measure of the expected period over which a bond’s principal and interest will be paid, and consequently is a measure of the sensitivity of a bond’s or bond Fund’s value to changes when market interest rates change. Generally, the longer a bond’s or Fund’s duration, the more the price of the bond or Fund will change as interest rates change. Leverage-adjusted duration takes into account the leveraging process for a Fund and therefore is longer than the duration of the Fund’s portfolio of bonds.
   
Lipper Other States Municipal Debt Funds Classification Average: Calculated using the returns of all closed-end funds in this category. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
   
Lipper Single State Insured Municipal Debt Funds Classification Average: Calculated using the returns of all closed-end funds in this category. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
   
Market Yield (also known as Dividend Yield or Current Yield): An investment’s current annualized dividend divided by its current market price.
   
Net Asset Value (NAV): The net market value of all securities held in a portfolio.
   
Net Asset Value (NAV) Per Share: The market value of one share of a mutual fund or closed-end fund. For a Fund, the NAV is calculated daily by taking the Fund’s total assets (securities, cash, and accrued earnings), subtracting the Fund’s liabilities, and dividing by the number of shares outstanding.
   
Pre-Refunding: Pre-Refunding, also known as advanced refundings or refinancings, is a procedure used by state and local governments to refinance municipal bonds to lower interest expenses. The issuer sells new bonds with a lower yield and uses the proceeds to buy U.S. Treasury securities, the interest from which is used to make payments on the higher-yielding bonds. Because of this collateral, pre-refunding generally raises a bond’s credit rating and thus its value.
   
Regulatory Leverage: Regulatory Leverage consists of preferred shares issued by or borrowings of a Fund. Both of these are part of a Fund’s capital structure. Regulatory leverage is sometimes referred to as “‘40 Act Leverage” and is subject to asset coverage limits set in the Investment Company Act of 1940.
   
Standard & Poor’s (S&P) Connecticut Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade Connecticut municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.

120
 
Nuveen Investments

 
 

 

Standard & Poor’s (S&P) Massachusetts Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade Massachusetts municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
   
Standard & Poor’s (S&P) Missouri Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade Missouri municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
   
Standard & Poor’s (S&P) National Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
   
Standard & Poor’s (S&P) National Insured Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the insured, tax-exempt U.S. municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
   
Taxable-Equivalent Yield: The yield necessary from a fully taxable investment to equal, on an after-tax basis, the yield of a municipal bond investment.
   
Zero Coupon Bond: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Tax-exempt income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically.

Nuveen Investments
 
121
 
 
 

 
 
Notes

122
 
Nuveen Investments

 
 

 
 
Additional Fund Information

Board of Trustees
John P. Amboian
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Judith M. Stockdale
Carole E. Stone
Virginia L. Stringer
Terence J. Toth
 
Fund Manager
Nuveen Fund Advisors, Inc.
333 West Wacker Drive
Chicago, IL 60606
 
Custodian
State Street Bank
& Trust Company
Boston, MA
 
Transfer Agent and
Shareholder Services
State Street Bank & Trust
Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
 
Legal Counsel
Chapman and Cutler LLP
Chicago, IL
 
Independent Registered
Public Accounting Firm
Ernst & Young LLP
Chicago, IL
 
Quarterly Portfolio of Investments and Proxy Voting Information
 
You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, and (iii) a description of the policies and procedures that each Fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com.
 
You may also obtain this and other Fund information directly from the Securities and Exchange Commission (SEC). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public References Section at 100 F Street NE, Washington, D.C. 20549.
 
CEO Certification Disclosure
 
Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual.
 
Each Fund has filed with the SEC the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
 
Common Share Information
 
Each Fund intends to repurchase shares of its own common stock in the future at such times and in such amounts as is deemed advisable. During the period covered by this report, the Funds repurchased shares of their common stock as shown in the accompanying table.
 
Common Shares
Fund
Repurchased
NTC
NFC
NGK
NGO
NMT
NMB
NGX
NOM
 
Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

Nuveen Investments
 
123

 
 

 
 
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 provides high-quality investment services designed to help secure the long-term goals of institutional and individual investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets a wide range of specialized investment solutions which provide investors access to capabilities of its high-quality boutique investment affiliates - Nuveen Asset Management, Symphony Asset Management, NWQ Investment Management Company, Santa Barbara Asset Management, Tradewinds Global Investors, Winslow Capital Management and Gresham Investment Management. In total, Nuveen Investments managed approximately $227 billion as of March 31, 2012.
 
Find out how we can help you.
 
To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.
 
Learn more about Nuveen Funds at: www.nuveen.com/cef
 
Distributed by
Nuveen Securities, LLC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com

EAN-B-0512D

 
 

 

 
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/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, 2012
$ 21,200     $ 0     $ 0     $ 0  
                               
Percentage approved
  0 %     0 %     0 %     0 %
pursuant to
                             
pre-approval
                             
exception
                             
                               
May 31, 2011
$ 18,200     $ 0     $ 0     $ 0  
                               
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, 2012
 $                                0
 $                                      0
 $                                    0
       
Percentage approved
0%
0%
0%
pursuant to
     
pre-approval
     
exception
     
May 31, 2011
 $                                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, 2012
 $                                0
 $                                      0
 $                                    0
 $                    0
May 31, 2011
 $                                0
 $                                      0
 $                                    0
 $                    0
         
         
"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. The Adviser 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 (“Nuveen Asset Management” 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
15
$1.44 billion
 
Other Pooled Investment Vehicles
0
$0
 
Other Accounts
2
$159.7 million
*
Assets are as of May 31, 2012.  None of the assets in these accounts are subject to an advisory fee based on performance.

POTENTIAL MATERIAL CONFLICTS OF INTEREST

Actual or apparent conflicts of interest may arise when a portfolio manager has day-to-day management responsibilities with respect to more than one account. More specifically, portfolio managers who manage multiple accounts are presented a number of potential conflicts, including, among others, those discussed below.

The management of multiple accounts may result in a portfolio manager devoting unequal time and attention to the management of each account. Nuveen Asset Management seeks to manage such competing interests for the time and attention of portfolio managers by having portfolio managers focus on a particular investment discipline. Most accounts managed by a portfolio manager in a particular investment strategy are managed using the same investment models.

If a portfolio manager identifies a limited investment opportunity which may be suitable for more than one account, an account may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible accounts. To deal with these situations, Nuveen Asset Management has adopted procedures for allocating limited opportunities across multiple accounts.

With respect to many of its clients’ accounts, Nuveen Asset Management determines which broker to use to execute transaction orders, consistent with its duty to seek best execution of the transaction. However, with respect to certain other accounts, Nuveen Asset Management may be limited by the client with respect to the selection of brokers or may be instructed to direct trades through a particular broker. In these cases, Nuveen Asset Management may place separate, non-simultaneous, transactions for a Fund and other accounts which may temporarily affect the market price of the security or the execution of the transaction, or both, to the detriment of the Fund or the other accounts.

Some clients are subject to different regulations. As a consequence of this difference in regulatory requirements, some clients may not be permitted to engage in all the investment techniques or transactions or to engage in these transactions to the same extent as the other accounts managed by the portfolio manager. Finally, the appearance of a conflict of interest may arise where Nuveen Asset Management has an incentive, such as a performance-based management fee, which relates to the management of some accounts, with respect to which a portfolio manager has day-to-day management responsibilities.

Nuveen Asset Management has adopted certain compliance procedures which are designed to address these types of conflicts common among investment managers. However, there is no guarantee that such procedures will detect each and every situation in which a conflict arises.

Item 8(a)(3).
FUND MANAGER 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 managers are eligible for an annual cash bonus based on investment performance, qualitative evaluation and financial performance of Nuveen Asset Management.

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

A portion of the cash bonus is based on a qualitative evaluation made by each portfolio manager’s supervisor taking into consideration a number of factors, including the portfolio manager’s team collaboration, expense management, support of personnel responsible for asset growth, and his or her compliance with Nuveen Asset Management’s policies and procedures.
 
The final factor influencing a portfolio manager’s cash bonus is the financial performance of Nuveen Asset Management based on its operating earnings.

Long-term incentive compensation. Certain key employees of Nuveen Investments and its affiliates, including certain portfolio managers, have received equity interests in the parent company of Nuveen Investments. In addition, certain key employees of Nuveen Asset Management, including certain portfolio managers, have received profits interests in Nuveen Asset Management which entitle their holders to participate in the firm’s growth over time.

There are generally no differences between the methods used to determine compensation with respect to the Fund and the Other Accounts shown in the table above.

Beneficial Ownership of Securities.  As of May 31, 2012, the portfolio manager beneficially owned the following dollar range of equity securities issued by the Fund and other Nuveen Funds managed by Nuveen Asset Management’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 Nuveen
Asset Management’s municipal
investment team
Michael Hamilton
Nuveen Massachusetts Dividend Advantage Municipal Fund
$0
$0

PORTFOLIO MANAGER BIO:

Michael Hamilton, Senior Vice President of Nuveen Asset Management, manages several municipal funds.  He joined Nuveen Asset Management 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 13 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/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 8, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title) /s/ Gifford R. Zimmerman
Gifford R. Zimmerman
Chief Administrative Officer
(principal executive officer)

Date: August 8, 2012
 
By (Signature and Title) /s/ Stephen D. Foy
Stephen D. Foy
Vice President and Controller
(principal financial officer)

Date: August 8, 2012