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
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Nuveen Massachusetts Dividend Advantage Municipal Fund
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(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(Address of principal executive offices) (Zip code)
Jessica R. Droeger
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
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Date of fiscal year end: May 31
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Date of reporting period: May 31, 2004
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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.
Nuveen
Municipal Closed-End
Exchange-Traded
Funds
ANNUAL REPORT May 31, 2004
NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND
NTC
NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND
NFC
NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2
NGK
NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3
NGO
NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND
NMT
NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND
NMB
NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND
NGX
NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND
NOM
Photo of: Man holding up small boy.
Photo of: 2 women with 2 girls looking at seashells.
DEPENDABLE,
TAX-FREE INCOME
BECAUSE
IT'S NOT WHAT YOU EARN,
IT'S WHAT YOU KEEP.(R)
Logo: NUVEEN Investments
FASTER INFORMATION
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NUVEEN FUND REPORT
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MAIL DELIVERY AGAIN?
If you decide you do not like receiving your reports electronically, it's a
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IF YOUR NUVEEN FUND DIVIDENDS AND STATEMENTS
COME FROM YOUR FINANCIAL ADVISOR OR BROKERAGE ACCOUNT,
FOLLOW THE STEPS OUTLINED BELOW:
1 Go to WWW.INVESTORDELIVERY.COM and follow the simple instructions, using
the address sheet that accompanied this report as a guide.
2 You'll be taken to a page with several options. Select the NEW
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3 Click Submit. Confirm the information you just entered is correct, then
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5 Use this same process if you need to change your registration information
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IF YOUR NUVEEN FUND DIVIDENDS AND STATEMENTS
COME DIRECTLY TO YOU FROM NUVEEN,
FOLLOW THE STEPS OUTLINED BELOW:
1 Go to WWW.NUVEEN.COM
2 Select ACCESS YOUR ACCOUNT. Select the E-REPORT ENROLLMENT section. Click
on Enrollment Today.
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5 Use this same process if you need to change your registration information
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Logo: NUVEEN Investments
Timothy R. Schwertfeger
Chairman of the Board
Photo of: Timothy R. Schwertfeger
Sidebar text: WE THINK THAT MUNICIPAL BOND INVESTMENTS LIKE YOUR NUVEEN FUND CAN
BE IMPORTANT BUILDING BLOCKS IN A WELL-BALANCED PORTFOLIO.
Dear
SHAREHOLDER
I am very pleased to report that for the fiscal year ended May 31, 2004, your
Nuveen Fund continued to provide you with attractive monthly tax-free income.
While tax-free income is always welcome, we know that many shareholders are
beginning to wonder whether interest rates will rise significantly, and whether
that possibility should cause them to adjust that portion of their investment
portfolios allocated to tax-free municipal bonds. We believe this is a question
you should consider carefully with the help of a trusted financial advisor. In
many cases, it may be more appropriate to focus on long-term goals and
objectives rather than shorter-term market movements, and this is where a
professional advisor may be able to help keep you focused on the larger
objectives of your investment program.
As you read through this report, please review the inside front cover and
consider receiving future Fund reports and other Fund information by e-mail and
the Internet. Not only will you be able to receive the information faster, but
this also may help lower your Fund's expenses. Sign up is quick and easy.
Since 1898, Nuveen Investments has offered financial products and solutions that
incorporate careful research, diversification and the application of
conservative risk-management principles. We are grateful that you have chosen us
as a partner as you pursue your financial goals. We look forward to continuing
to earn your trust in the months and years ahead.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
July 15, 2004
1
Nuveen Municipal Closed-End Exchange-Traded Funds
(NTC, NFC, NGK, NGO, NMT, NMB, NGX, NOM)
Portfolio Managers'
COMMENTS
Portfolio managers Paul Brennan, Dan Solender and Scott Romans review the market
environment, key investment strategies and the performance of these Nuveen
Funds. Paul, who has 13 years of investment experience, has managed NTC since
1999, NFC since 2001, NGK and NGO since 2002, and NMT and NMB since 2003. With
12 years of investment experience, Dan assumed portfolio management
responsibility for NGX in May 2004. Scott, who joined Nuveen in 2000, has
managed NOM since November 2003.
WHAT FACTORS AFFECTED THE U.S. ECONOMY AND MUNICIPAL MARKET DURING THE 12-MONTH
REPORTING PERIOD ENDED MAY 31, 2004?
During this reporting period, the U.S. economy demonstrated growing evidence of
improvement in such key areas as employment, capital spending and industrial
production. Indeed, during the third quarter of last year, the U.S. gross
domestic product grew at an annualized rate of 8.2%, more than double the second
quarter's performance and the fastest annualized quarterly growth rate in nearly
20 years. Although this rapid pace was not considered sustainable, the economy
continued to turn in steady performance for the rest of the 12-month reporting
period, expanding by an annualized 4.1% in the fourth quarter of 2003 and an
annualized 3.9% in the first three months of 2004.
Inflation also showed some signs of acceleration, driven mainly by higher energy
and transportation costs, with the Consumer Price Index rising at a 5.1% rate
(annualized) during the first five months of 2004. The combination of economic
momentum and growing inflation concerns served as a catalyst for heightened
volatility in the fixed-income markets. Although short-term interest rates
remained at or near historical lows throughout this 12-month period, the
long-term bond markets, including the municipal market, were increasingly driven
by expectations that the Federal Reserve would move to increase interest rates
and by speculation over the timing and extent of those increases. As one
example, the yield on the Bond Buyer 25 Revenue Bond Index, a widely followed
municipal bond index, rose from 4.83% at the beginning of the period to 5.50% by
the middle of August 2003. The index yield then fell steadily over the next
seven months to reach 4.73% by the middle of March 2004, before rising to 5.36%
by the end of the reporting period.
In general, municipal supply nationwide remained strong over the 12-month
reporting period, with $384.8 billion in new bonds coming to market. This
represented an increase of 2% over the preceding 12-month period. However, the
pace of issuance slowed toward the end, with $147.8 billion in new municipal
supply during the first five months of 2004, down 6% from January-May 2003. In
May 2004 alone, volume decreased 9% from one year earlier.
HOW ABOUT ECONOMIC AND MARKET CONDITIONS IN CONNECTICUT, MASSACHUSETTS AND
MISSOURI?
Connecticut's economy continued its struggle toward recovery during the period,
hampered by weakness in the manufacturing sector and the relatively high cost of
doing business in the state. Although Connecticut's per capita income was the
highest in the nation, its state government also had the highest per capita
debt, which has acted to constrain growth. However, Connecticut remains
economically diverse, and the job picture continued to improve, with a May 2004
unemployment rate of 4.6%, down from 5.4% in May 2003 and below the national
rate of 5.6%. Current estimates call for Connecticut to end fiscal 2004 with a
budget surplus of between $50 million and $100 million. It is expected that
these funds will be deposited into the rainy day fund, which was depleted during
2003's budget crisis. In July 2003, Moody's downgraded the state's debt to Aa3
from Aa2, citing Connecticut's fiscal difficulties, high debt levels and
underfunded pension plans. On the other hand, in September 2003, Standard &
Poor's maintained its AA rating on the state's debt and changed its outlook to
stable from negative because of the
2
corrective actions taken to address fiscal problems. During the 12-month
reporting period ended May 2004, Connecticut issued $6.4 billion in new
municipal bonds, an increase of 12% over the previous 12-month period.
Like Connecticut, Massachusetts continued to grapple with a sluggish economy,
budget problems and a high debt burden. While the commonwealth's manufacturing
sector continued to shed jobs, overall job losses abated during this reporting
period. Massachusetts seemed positioned to benefit from increased federal
defense spending and emerging signs of recovery in its healthcare, education,
financial services and technology sectors. As of May 2004, Massachusetts
unemployment was 5.2%, down from 5.8% a year earlier. In March 2004, Moody's
reconfirmed its rating of Massachusetts' debt at Aa2 with a negative outlook,
citing the ongoing budgetary pressures in the commonwealth. In the same month,
S&P also affirmed its rating of AA- with a stable outlook. Massachusetts new
municipal bond issuance during the 12 months ended May 2004 totaled $11.5
billion, down 15% from the previous 12 months.
Missouri's economy also remained weak, especially in terms of job creation,
after a deep manufacturing-led recession over the past two years. However, the
state's financial operations continued to be well managed, and debt ratios were
below average. Tax revenues in fiscal 2004 increased over the prior year, and
the state's budget reserve fund was expected to be fully funded by the end of
the current fiscal period. Missouri continued to feature a large and
industrially diverse economy, including construction, wholesale trade,
transportation, communications and utilities, which positioned the state to
benefit as the U.S. economy strengthens. The biotech/life sciences industry has
also emerged as a potential growth driver in the state. While any rebound in
manufacturing is not expected to create many jobs, the employment scenario has
become more positive with the end of deep layoffs, as reflected in the May 2004
unemployment rate of 5.1%, compared with 5.8% in May 2003. Municipal new issue
supply in Missouri for the 12-month period ended May 2004 was $5.8 billion, down
9% compared with the prior 12 months. As of May 2004, Missouri's general
obligation debt retained its rating of Aaa/AAA with stable outlooks from Moody's
and Standard & Poor's, respectively.
IN THIS ENVIRONMENT, WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING
THE 12 MONTHS ENDED MAY 31, 2004?
As the market continued to anticipate rising interest rates, our major focus
during this reporting period remained on trying to mitigate some of the interest
rate risk inherent in each Fund's portfolio. Interest rate risk is the risk that
the value of a Fund's portfolio will decline if market interest rates rise
(since bond prices move in the opposite direction of interest rates). Since
longer-term bonds often carry more interest rate risk than intermediate-term or
short-term bonds, we concentrated on finding attractive securities with
defensive structures in the long- intermediate part of the yield curve (i.e.,
bonds that mature in 15 to 20 years). In many cases, bonds in this part of the
curve offered yields similar to those of longer-term bonds with less inherent
interest rate risk and greater total return potential.
The combination of tighter supply and lower yields over most of this period
meant that the new issue market did not offer many uninsured bonds that we
thought would perform better than those we already owned in our portfolios. At
the same time, the supply of insured bonds was more plentiful, allowing us to
adjust NGX's portfolio in ways that we thought would better position the Fund
going forward.
When we did find attractive bonds, especially for the Connecticut and uninsured
Massachusetts Funds, we sought to diversify the Funds' holdings with purchases
of higher-rated general obligation bonds and other tax-backed securities. In
addition, some of the Funds made purchases in the healthcare sector, where
improvements in cost containment and reimbursement practices have helped the
sector's long-term outlook. Some of these additions were financed through the
sale of bonds with longer maturities or with proceeds from bond calls,
3
while in other cases we sold bonds that had become advanced refunded but were
not yet called.
For NGX, our efforts during the first half of this period also focused largely
on enhancing diversification as an additional way of reducing risk following the
Fund's initial investing period. As part of this, we decreased our allocation of
tax-backed securities, healthcare and multifamily housing, and added to our
holdings in the education and water and sewer sectors. We also worked to enhance
and support NGX's income stream by adding longer bonds priced near par to the
Fund's portfolio.
NOM had a significant holding of AAA/U.S. Guaranteed rated bonds at the
beginning of this period, and we sought more diversity by looking for
lower-rated investment-grade securities. Among the higher credit quality bonds
we sold were a number of prerefunded and escrowed bonds. The proceeds from these
bonds were reallocated to limited tax obligation and healthcare bonds.
HOW DID THE FUNDS PERFORM?
Individual results for the Funds, as well as for relevant benchmarks, are
presented in the accompanying table.
TOTAL RETURNS ON NET ASSET VALUE
For periods ended 5/31/04
(Annualized)
1-YEAR 5-YEAR 10-YEAR
--------------------------------------------------------------
NTC -0.51% 6.31% 7.64%
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NFC -0.56% NA NA
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NGK -1.48% NA NA
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NGO -2.08% NA NA
--------------------------------------------------------------
NMT -0.51% 5.53% 7.19%
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NMB -1.03% NA NA
--------------------------------------------------------------
NOM -1.00% 6.15% 7.30%
--------------------------------------------------------------
Lehman Brothers Municipal
Bond Index1 -0.03% 5.49% 6.33%
--------------------------------------------------------------
--------------------------------------------------------------
NGX -2.18% NA NA
--------------------------------------------------------------
Lehman Brothers Insured
Municipal Bond Index1 -0.39% 5.73% 6.54%
--------------------------------------------------------------
Lipper Other States Municipal
Debt Funds Average2 -0.99% 5.95% 7.16%
--------------------------------------------------------------
Past performance is not predictive of future results.
For additional information, see the individual Performance Overview for your
Fund in this report.
For the 12 months ended May 31, 2004, the total returns on net asset value (NAV)
for all seven of the uninsured Funds in this report underperformed the return on
the Lehman Brothers Municipal Bond Index. NGX, an insured Fund, trailed the
Lehman Brothers Insured Municipal Bond Index. NTC, NFC and NMT outperformed the
Lipper Other States peer group, while NMB and NOM performed in line with this
Lipper average. NGK, NGO, and NGX underperformed the Lipper group average.
One of the primary factors affecting the 12-month performance of each of these
Funds compared with that of the unleveraged Lehman index was the Funds' use of
leverage. Leveraging can provide opportunities for additional income and total
return for common shareholders, but it is a strategy that adds volatility to the
Funds' NAVs and share prices, especially when interest rates move significantly.
While each of these Funds was able to generate additional income over this
period through the use of leverage, rising interest rates caused larger declines
in each Fund's NAV than would have been the case had the Fund not used leverage.
This had a direct and negative effect on total returns over this period.
On the positive side, the Funds' performances were helped by their holdings of
lower-rated investment-grade quality bonds, which outperformed higher-rated
bonds as the economy improved and investors' risk tolerance increased. For
example, despite its relatively high concentration of AAA rated bonds, NOM
benefited from having 3% of its portfolio in Baa2 rated bonds issued for
Maryville University of St. Louis. In the other uninsured Funds, allocations of
BBB rated bonds as of May 31, 2004, ranged from 14% in NFC to 13% in NMB, 10% in
NGO, 9% in NTC, 8% in NGK and NMT, and 7% in NOM. Although NGX is an insured
Fund, it is allowed to invest up to 20% of its portfolio in uninsured
investment-grade securities. This Fund had 1% of its portfolio in BBB rated
bonds as of May 31, 2004.
Several Funds also benefited from their callable bond holdings in the housing
sector, especially
1 The Lehman Brothers Municipal Bond Index is an unleveraged, unmanaged
national index comprising a broad range of investment-grade municipal
bonds, while the Lehman Brothers Insured Municipal Bond Index is an
unleveraged, unmanaged national index consisting of a broad range of
insured municipal bonds. Results for the Lehman indexes do not reflect any
expenses.
2 The Lipper Other States Municipal Debt Funds category average is calculated
using the returns of all closed-end exchange-traded funds in this category
for each period as follows: 1 year, (44 funds); 5 years, (19 funds); and 10
years, (17 funds). Fund and Lipper returns assume reinvestment of
dividends.
4
multifamily housing. While call exposure is a factor that we generally work to
reduce in order to protect the Funds' income streams, many callable bonds have
reduced interest rate risk and tended to perform well late in this reporting
period as interest rates rose. Other holdings making positive contributions to
the Connecticut Funds' total returns during this reporting period were bonds
backed by revenues from the 1998 master tobacco settlement agreement.
For NGX, its relative underperformance was due to its large holdings of bonds
with long maturities and durations (see the inside back cover for a definition
of leverage-adjusted duration). These bonds provided attractive income, but
their prices are more vulnerable to rises in interest rates than bonds with
shorter maturities.
HOW ABOUT THE FUNDS' DIVIDENDS AND SHARE PRICES?
With short-term interest rates remaining at historically low levels during this
reporting period, the leveraged structures of these eight Funds continued to
support their dividend-paying capabilities. The extent of this benefit is tied
in part to the short-term rates the Funds pay their MuniPreferred(R)
shareholders. During periods of low short-term rates, the Funds generally pay
relatively lower dividends to their MuniPreferred shareholders, which can leave
more earnings to support common share dividends. During this reporting period,
this strategy enabled us to implement two dividend increases in NGK and NMB, one
increase in NFC and NOM, and maintain the dividends of NTC, NGO, NMT and NGX
throughout the period.
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, 2004, all of the Funds in this
report except NGX had positive UNII balances.
NMT, NMB and NOM were trading at premiums to their net asset values as of May
31, 2004. The other five Funds were trading at discounts. As of the end of the
fiscal year, all eight Funds were trading at smaller premiums or greater
discounts than their average premium or discount over the course of the 12-month
period.
HOW WERE THE FUNDS POSITIONED IN TERMS OF CREDIT QUALITY AND BOND CALLS AS OF
MAY 31, 2004?
Given the current geopolitical and economic climate, we continued to believe
that maintaining strong credit quality was an important requirement. As of the
end of May 2004, the seven uninsured Funds continued to offer excellent credit
quality, with allocations of bonds rated AAA/U.S. guaranteed and AA ranging from
88% in both NTC and NGK to 85% in NGO, 84% in NMB, 83% in NOM, 81% in NMT and
76% in NFC. NGX, which is allowed to invest up to 20% in uninsured
investment-grade quality securities, held 83% of its portfolio in insured bonds
as of May 31, 2004.
As of May 31, 2004, potential call exposure for these Funds during 2004-2005
ranged from 1% in NMB, 2% in NGX, 3% in NGK and NOM, and 4% in NFC and NGO to
10% in NTC and NMT. The number of actual bond calls in all of the Funds will
depend largely on market interest rates.
5
Nuveen Connecticut Premium Income Municipal Fund
Performance
OVERVIEW As of May 31, 2004
NTC
Pie chart:
CREDIT QUALITY
AAA/U.S. Guaranteed 74%
AA 14%
A 2%
BBB 9%
N/R 1%
FUND SNAPSHOT
--------------------------------------------------
Share Price $14.47
--------------------------------------------------
Common Share Net Asset Value $14.60
--------------------------------------------------
Premium/(Discount) to NAV -0.89%
--------------------------------------------------
Market Yield 6.10%
--------------------------------------------------
Taxable-Equivalent Yield1 8.91%
--------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $77,725
--------------------------------------------------
Average Effective Maturity (Years) 17.91
--------------------------------------------------
Leverage-Adjusted Duration 8.73
--------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93)
--------------------------------------------------
ON SHARE PRICE ON NAV
--------------------------------------------------
1-Year -10.80% -0.51%
--------------------------------------------------
5-Year 2.49% 6.31%
--------------------------------------------------
10-Year 6.60% 7.64%
--------------------------------------------------
TOP FIVE SECTORS (as a % of total investments)
--------------------------------------------------
Education and Civic Organizations 26%
--------------------------------------------------
Tax Obligation/General 18%
--------------------------------------------------
Tax Obligation/Limited 13%
--------------------------------------------------
Water and Sewer 9%
--------------------------------------------------
Healthcare 8%
--------------------------------------------------
Bar chart:
2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE
Jun 0.0735
Jul 0.0735
Aug 0.0735
Sep 0.0735
Oct 0.0735
Nov 0.0735
Dec 0.0735
Jan 0.0735
Feb 0.0735
Mar 0.0735
Apr 0.0735
May 0.0735
Line chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
5/31/03 17.14
17.2
17.25
16.67
17.05
17.2
17.02
16.82
16.77
15.88
15.52
15.35
15.74
15.78
15.71
15.7
15.82
16.2
16.4
16.45
16.32
16.29
16.11
16.34
16.25
16.39
16.15
16.39
16.45
16.65
16.89
16.91
16.55
16.52
16.58
16.7
16.77
16.58
16.6
16.37
15.9
15.3
14.84
14.39
14.2
13.75
13.89
14.44
5/31/04 14.47
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 31.5%. For investments that generate qualified dividend income, the
taxable-equivalent yield is lower.
6
Nuveen Connecticut Dividend Advantage Municipal Fund
Performance
OVERVIEW As of May 31, 2004
NFC
Pie chart:
CREDIT QUALITY
AAA/U.S. Guaranteed 60%
AA 16%
A 9%
BBB 14%
N/R 1%
FUND SNAPSHOT
--------------------------------------------------
Share Price $14.12
--------------------------------------------------
Common Share Net Asset Value $14.56
--------------------------------------------------
Premium/(Discount) to NAV -3.02%
--------------------------------------------------
Market Yield 6.33%
--------------------------------------------------
Taxable-Equivalent Yield1 9.24%
--------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $37,238
--------------------------------------------------
Average Effective Maturity (Years) 18.45
--------------------------------------------------
Leverage-Adjusted Duration 10.32
--------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/01)
--------------------------------------------------
ON SHARE PRICE ON NAV
--------------------------------------------------
1-Year -8.64% -0.56%
--------------------------------------------------
Since Inception 3.55% 6.32%
--------------------------------------------------
TOP FIVE SECTORS (as a % of total investments)
--------------------------------------------------
Education and Civic Organizations 21%
--------------------------------------------------
Tax Obligation/General 20%
--------------------------------------------------
U.S. Guaranteed 13%
--------------------------------------------------
Utilities 11%
--------------------------------------------------
Tax Obligation/Limited 11%
--------------------------------------------------
Bar chart:
2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE
Jun 0.0715
Jul 0.0715
Aug 0.0715
Sep 0.0745
Oct 0.0745
Nov 0.0745
Dec 0.0745
Jan 0.0745
Feb 0.0745
Mar 0.0745
Apr 0.0745
May 0.0745
Line chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
5/31/03 16.35
16.6
16.44
16.5
16.4
16.57
16.28
16.3
14.95
15.24
15.04
15
14.91
15.39
15.21
15.33
15.55
15.64
15.85
15.75
16.05
16.16
16.21
16.1
16.13
15.81
15.8
16.16
16.06
16.37
16.38
16.54
16.55
16.4
16.4
16.6
16.94
16.55
16.5
16.37
16.22
15.93
15.65
14.85
14.45
13.68
13.94
13.87
5/31/04 14.12
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 31.5%. For investments that generate qualified dividend income, the
taxable-equivalent yield is lower.
7
Nuveen Connecticut Dividend Advantage Municipal Fund 2
Performance
OVERVIEW As of May 31, 2004
NGK
Pie chart:
CREDIT QUALITY
AAA/U.S. Guaranteed 68%
AA 20%
A 4%
BBB 8%
FUND SNAPSHOT
--------------------------------------------------
Share Price $14.14
--------------------------------------------------
Common Share Net Asset Value $15.01
--------------------------------------------------
Premium/(Discount) to NAV -5.80%
--------------------------------------------------
Market Yield 6.24%
--------------------------------------------------
Taxable-Equivalent Yield1 9.11%
--------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $34,646
--------------------------------------------------
Average Effective Maturity (Years) 17.30
--------------------------------------------------
Leverage-Adjusted Duration 9.96
--------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN (Inception 3/25/02)
--------------------------------------------------
ON SHARE PRICE ON NAV
--------------------------------------------------
1-Year -4.65% -1.48%
--------------------------------------------------
Since Inception 3.07% 8.21%
--------------------------------------------------
TOP FIVE SECTORS (as a % of total investments)
--------------------------------------------------
Tax Obligation/General 31%
--------------------------------------------------
Education and Civic Organizations 23%
--------------------------------------------------
U.S. Guaranteed 11%
--------------------------------------------------
Utilities 7%
--------------------------------------------------
Water and Sewer 7%
--------------------------------------------------
Bar chart:
2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE2
Jun 0.0705
Jul 0.0705
Aug 0.0705
Sep 0.072
Oct 0.072
Nov 0.072
Dec 0.0735
Jan 0.0735
Feb 0.0735
Mar 0.0735
Apr 0.0735
May 0.0735
Line chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
5/31/03 15.8
16.55
16.69
16.69
16.46
16.7
16.25
15.71
14.98
15.01
14.55
14.33
14.43
14.87
14.93
15.3
15.31
15.38
15.71
15.65
15.75
15.84
15.5
15.7
15.52
15.5
15.59
15.57
16.25
16.42
16.43
16.6
16.19
16.35
16.38
16.3
16.4
16.43
16.71
16.46
16.28
15.9
15.25
14.69
14.39
13.7
13.37
14.15
5/31/04 14.14
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 31.5%. For investments that generate qualified dividend income, the
taxable-equivalent yield is lower.
2 The Fund also paid shareholders a capital gains distribution in December
2003 of $0.1161 per share.
8
Nuveen Connecticut Dividend Advantage Municipal Fund 3
Performance
OVERVIEW As of May 31, 2004
NGO
Pie chart:
CREDIT QUALITY
AAA/U.S. Guaranteed 72%
AA 13%
A 5%
BBB 10%
FUND SNAPSHOT
--------------------------------------------------
Share Price $13.00
--------------------------------------------------
Common Share Net Asset Value $13.97
--------------------------------------------------
Premium/(Discount) to NAV -6.94%
--------------------------------------------------
Market Yield 6.00%
--------------------------------------------------
Taxable-Equivalent Yield1 8.76%
--------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $60,774
--------------------------------------------------
Average Effective Maturity (Years) 18.11
--------------------------------------------------
Leverage-Adjusted Duration 10.93
--------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN (Inception 9/26/02)
--------------------------------------------------
ON SHARE PRICE ON NAV
--------------------------------------------------
1-Year -8.92% -2.08%
--------------------------------------------------
Since Inception -3.34% 3.65%
--------------------------------------------------
TOP FIVE SECTORS (as a % of total investments)
--------------------------------------------------
Tax Obligation/General 25%
--------------------------------------------------
Tax Obligation/Limited 19%
--------------------------------------------------
Education and Civic Organizations 12%
--------------------------------------------------
U.S. Guaranteed 10%
--------------------------------------------------
Long-Term Care 9%
--------------------------------------------------
Bar chart:
2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE
Jun 0.065
Jul 0.065
Aug 0.065
Sep 0.065
Oct 0.065
Nov 0.065
Dec 0.065
Jan 0.065
Feb 0.065
Mar 0.065
Apr 0.065
May 0.065
Line chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
5/31/03 15.09
15.2
15.23
15.25
14.94
15.35
15.15
14.37
13.35
13.62
13.35
13.45
13.42
13.66
13.95
13.83
14
14.29
14.2
14
13.91
13.76
13.69
13.84
13.66
13.56
13.62
13.85
14.18
14.36
14.43
14.39
14.48
14.89
14.81
14.91
14.86
14.99
15.12
14.92
14.92
14.05
13.88
13.33
13.22
12.68
12.6
12.69
5/31/04 13
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 31.5%. For investments that generate qualified dividend income, the
taxable-equivalent yield is lower.
9
Nuveen Massachusetts Premium Income Municipal Fund
Performance
OVERVIEW As of May 31, 2004
NMT
Pie chart:
CREDIT QUALITY
AAA/U.S. Guaranteed 65%
AA 16%
A 9%
BBB 8%
N/R 2%
FUND SNAPSHOT
--------------------------------------------------
Share Price $14.35
--------------------------------------------------
Common Share Net Asset Value $14.34
--------------------------------------------------
Premium/(Discount) to NAV 0.07%
--------------------------------------------------
Market Yield 6.15%
--------------------------------------------------
Taxable-Equivalent Yield1 9.04%
--------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $67,806
--------------------------------------------------
Average Effective Maturity (Years) 17.38
--------------------------------------------------
Leverage-Adjusted Duration 10.63
--------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN (Inception 3/18/93)
--------------------------------------------------
ON SHARE PRICE ON NAV
--------------------------------------------------
1-Year -9.51% -0.51%
--------------------------------------------------
5-Year 3.37% 5.53%
--------------------------------------------------
10-Year 7.27% 7.19%
--------------------------------------------------
TOP FIVE SECTORS (as a % of total investments)
--------------------------------------------------
Education and Civic Organizations 25%
--------------------------------------------------
Tax Obligation/General 20%
--------------------------------------------------
Healthcare 13%
--------------------------------------------------
Housing/Multifamily 11%
--------------------------------------------------
U.S. Guaranteed 8%
--------------------------------------------------
Bar chart:
2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE
Jun 0.0735
Jul 0.0735
Aug 0.0735
Sep 0.0735
Oct 0.0735
Nov 0.0735
Dec 0.0735
Jan 0.0735
Feb 0.0735
Mar 0.0735
Apr 0.0735
May 0.0735
Line chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
5/31/03 16.8
16.95
16.54
16.14
16.22
16.6
16.48
15.39
14.15
14.54
14.3
14.5
14.36
14.8
15.05
15.37
15.3
15.17
14.99
14.93
15.4
15.22
15
15.36
15.65
15.88
15.56
15.5
15.55
15.73
16.08
15.85
16.1
16.15
16.05
15.93
15.92
16.25
16.01
16.04
16.08
15.59
14.75
15.01
14.47
14.82
14.2
14.08
5/31/04 14.35
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%. For investments that generate qualified dividend income, the
taxable-equivalent yield is lower.
10
Nuveen Massachusetts Dividend Advantage Municipal Fund
Performance
OVERVIEW As of May 31, 2004
NMB
Pie chart:
CREDIT QUALITY
AAA/U.S. Guaranteed 63%
AA 21%
A 3%
BBB 13%
FUND SNAPSHOT
--------------------------------------------------
Share Price $14.88
--------------------------------------------------
Common Share Net Asset Value $14.84
--------------------------------------------------
Premium/(Discount) to NAV 0.27%
--------------------------------------------------
Market Yield 6.25%
--------------------------------------------------
Taxable-Equivalent Yield1 9.19%
--------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $28,904
--------------------------------------------------
Average Effective Maturity (Years) 19.80
--------------------------------------------------
Leverage-Adjusted Duration 9.72
--------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN (Inception 1/30/01)
--------------------------------------------------
ON SHARE PRICE ON NAV
--------------------------------------------------
1-Year -3.74% -1.03%
--------------------------------------------------
Since Inception 5.54% 7.30%
--------------------------------------------------
TOP FIVE SECTORS (as a % of total investments)
--------------------------------------------------
Tax Obligation/General 23%
--------------------------------------------------
Education and Civic Organizations 21%
--------------------------------------------------
Tax Obligation/Limited 12%
--------------------------------------------------
Healthcare 11%
--------------------------------------------------
Housing/Multifamily 9%
--------------------------------------------------
Bar chart:
2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE2
Jun 0.0745
Jul 0.0745
Aug 0.0745
Sep 0.0765
Oct 0.0765
Nov 0.0765
Dec 0.0775
Jan 0.0775
Feb 0.0775
Mar 0.0775
Apr 0.0775
May 0.0775
Line chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
5/31/03 16.45
16.5
16.64
16.46
16.5
17
16.78
16.96
15.8
15.52
15.19
14.85
15.07
14.99
14.96
15.28
15.3
15.43
15.5
15.32
15.6
15.76
15.75
16
15.9
16.11
16.27
16.52
16.88
16.77
16.83
16.74
16.65
16.65
16.62
16.69
16.45
16.45
16.73
16.58
16.31
16.06
16.55
15.76
15.55
15.05
15.25
14.63
5/31/04 14.88
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%. For investments that generate qualified dividend income, the
taxable-equivalent yield is lower.
2 The Fund also paid shareholders a capital gains distribution in December
2003 of $0.0789 per share.
11
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund
Performance
OVERVIEW As of May 31, 2004
NGX
Pie chart:
CREDIT QUALITY
Insured 83%
AAA (uninsured) 3%
AA (uninsured) 9%
A (uninsured) 4%
BBB (uninsured) 1%
FUND SNAPSHOT
--------------------------------------------------
Share Price $13.90
--------------------------------------------------
Common Share Net Asset Value $14.04
--------------------------------------------------
Premium/(Discount) to NAV -1.00%
--------------------------------------------------
Market Yield 6.22%
--------------------------------------------------
Taxable-Equivalent Yield1 9.15%
--------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $38,121
--------------------------------------------------
Average Effective Maturity (Years) 21.98
--------------------------------------------------
Leverage-Adjusted Duration 15.87
--------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN (Inception 11/21/02)
--------------------------------------------------
ON SHARE PRICE ON NAV
--------------------------------------------------
1-Year -6.83% -2.18%
--------------------------------------------------
Since Inception 0.22% 4.34%
--------------------------------------------------
TOP FIVE SECTORS (as a % of total investments)
--------------------------------------------------
Tax Obligation/General 21%
--------------------------------------------------
Tax Obligation/Limited 21%
--------------------------------------------------
Education and Civic Organizations 18%
--------------------------------------------------
U.S. Guaranteed 12%
--------------------------------------------------
Housing/Multifamily 9%
--------------------------------------------------
Bar chart:
2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE2
Jun 0.072
Jul 0.072
Aug 0.072
Sep 0.072
Oct 0.072
Nov 0.072
Dec 0.072
Jan 0.072
Feb 0.072
Mar 0.072
Apr 0.072
May 0.072
Line chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
5/31/03 15.78
15.98
16.43
16.3
16.44
16.7
16.45
15.6
15.26
15.45
15.45
15.27
14.85
14.9
14.92
14.86
15.2
15.33
15.23
15.24
15.4
15.38
15.59
15.86
15.77
15.9
16.05
16.42
16.77
16.4
16.5
16.52
16.19
16.83
16.79
16.8
16.5
16.58
16.83
16.83
16.93
16.2
15.16
15.33
15.1
14
13.15
13.51
5/31/04 13.9
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%. For investments that generate qualified dividend income, the
taxable-equivalent yield is lower.
2 The Fund also paid shareholders a capital gains distribution in December
2003 of $0.0148 per share.
12
Nuveen Missouri Premium Income Municipal Fund
Performance
OVERVIEW As of May 31, 2004
NOM
Pie chart:
CREDIT QUALITY
AAA/U.S. Guaranteed 62%
AA 21%
A 3%
BBB 7%
N/R 7%
FUND SNAPSHOT
--------------------------------------------------
Share Price $15.15
--------------------------------------------------
Common Share Net Asset Value $14.37
--------------------------------------------------
Premium/(Discount) to NAV 5.43%
--------------------------------------------------
Market Yield 5.82%
--------------------------------------------------
Taxable-Equivalent Yield1 8.62%
--------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $32,231
--------------------------------------------------
Average Effective Maturity (Years) 16.93
--------------------------------------------------
Leverage-Adjusted Duration 9.32
--------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93)
--------------------------------------------------
ON SHARE PRICE ON NAV
--------------------------------------------------
1-Year -5.35% -1.00%
--------------------------------------------------
5-Year 6.95% 6.15%
--------------------------------------------------
10-Year 8.08% 7.30%
--------------------------------------------------
TOP FIVE SECTORS (as a % of total investments)
--------------------------------------------------
Tax Obligation/Limited 23%
--------------------------------------------------
Healthcare 22%
--------------------------------------------------
Tax Obligation/General 20%
--------------------------------------------------
U.S. Guaranteed 6%
--------------------------------------------------
Education and Civic Organizations 6%
--------------------------------------------------
Bar chart:
2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE
Jun 0.0725
Jul 0.0725
Aug 0.0725
Sep 0.0735
Oct 0.0735
Nov 0.0735
Dec 0.0735
Jan 0.0735
Feb 0.0735
Mar 0.0735
Apr 0.0735
May 0.0735
Line chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
5/31/03 16.87
16.99
16.95
16.8
16.89
16.95
17.32
17.26
16.66
16.21
16.1
16.24
16.39
16.33
16.08
16.25
16.15
16.3
16.35
16.3
16.33
16.7
16.65
16.75
17
17.25
17.1
17.13
17.04
16.89
17.15
16.81
17.2
17.26
17.88
17.8
17.73
18
18.5
18.23
18.25
17.3
16.65
16.4
16.15
15.8
14.9
14.9
5/31/04 15.15
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 32.5%. For investments that generate qualified dividend income, the
taxable-equivalent yield is lower.
13
Report of
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND
NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND
NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2
NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3
NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND
NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND
NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND
NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Nuveen Connecticut Premium Income Municipal
Fund, Nuveen Connecticut Dividend Advantage Municipal Fund, Nuveen Connecticut
Dividend Advantage Municipal Fund 2, Nuveen Connecticut Dividend Advantage
Municipal Fund 3, Nuveen Massachusetts Premium Income Municipal Fund, Nuveen
Massachusetts Dividend Advantage Municipal Fund, Nuveen Insured Massachusetts
Tax-Free Advantage Municipal Fund and Nuveen Missouri Premium Income Municipal
Fund as of May 31, 2004, and the related statements of operations, changes in
net assets and the financial highlights for the periods indicated therein. 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 audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements and financial highlights. Our procedures
included confirmation of securities owned as of May 31, 2004, by correspondence
with the custodian and brokers or by other appropriate auditing procedures where
replies from brokers were not received. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. 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 position of Nuveen
Connecticut Premium Income Municipal Fund, Nuveen Connecticut Dividend Advantage
Municipal Fund, Nuveen Connecticut Dividend Advantage Municipal Fund 2, Nuveen
Connecticut Dividend Advantage Municipal Fund 3, Nuveen Massachusetts Premium
Income Municipal Fund, Nuveen Massachusetts Dividend Advantage Municipal Fund,
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund and Nuveen
Missouri Premium Income Municipal Fund at May 31, 2004, and the results of their
operations, changes in their net assets and their financial highlights for the
periods indicated therein in conformity with U.S. generally accepted accounting
principles.
Ernst & Young LLP
Chicago, Illinois
July 9, 2004
14
Nuveen Connecticut Premium Income Municipal Fund (NTC)
Portfolio of
INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 1.8%
$ 1,625 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 1,390,610
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 37.7%
Connecticut Higher Education Supplemental Loan Authority,
Revenue Bonds, Family Education Loan Program, Series 1996A:
860 5.800%, 11/15/14 (Alternative Minimum Tax) - AMBAC Insured 11/06 at 102.00 AAA 867,026
545 5.875%, 11/15/17 (Alternative Minimum Tax) - AMBAC Insured 11/06 at 102.00 AAA 549,529
545 Connecticut Higher Education Supplemental Loan Authority, 11/09 at 102.00 AAA 567,301
Revenue Bonds, Family Education Loan Program, Series 1999A,
6.000%, 11/15/18 (Alternative Minimum Tax) - AMBAC Insured
900 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 922,014
Revenue Bonds, Family Education Loan Program, Series 2001A,
5.250%, 11/15/18 (Alternative Minimum Tax) - MBIA Insured
2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/06 at 102.00 AAA 2,144,140
Bonds, Trinity College, Series 1996E, 5.875%, 7/01/26 -
MBIA Insured
1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/06 at 102.00 AAA 1,596,465
Bonds, Loomis Chaffee School, Series 1996C, 5.500%, 7/01/16 -
MBIA Insured
1,900 Connecticut Health and Educational Facilities Authority, Revenue 7/08 at 102.00 AAA 1,919,779
Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 -
MBIA Insured
2,920 Connecticut Health and Educational Facilities Authority, Revenue 7/07 at 102.00 AAA 3,111,231
Bonds, Connecticut College, Series 1997C-1, 5.500%, 7/01/20 -
MBIA Insured
2,525 Connecticut Health and Educational Facilities Authority, Revenue 11/12 at 100.00 AAA 2,683,595
Bonds, Connecticut State University System, Series 2003E,
5.000%, 11/01/15 - FGIC Insured
1,250 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 AAA 1,272,513
Bonds, Fairfield University, Series 1999I, 5.250%, 7/01/25 -
MBIA Insured
750 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 101.00 Aaa 789,623
Bonds, Horace Bushnell Memorial Hall Issue, Series 1999A,
5.625%, 7/01/29 - MBIA Insured
500 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 AAA 501,245
Bonds, Trinity College, Series 2001G, 5.000%, 7/01/31 -
AMBAC Insured
650 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 A2 682,630
Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23
450 Connecticut Health and Educational Facilities Authority, Revenue 3/11 at 101.00 AAA 450,914
Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 -
FSA Insured
2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 AA 1,973,860
Bonds, University of Hartford Issue, Series 2002E,
5.250%, 7/01/32 - RAAI Insured
1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/09 at 100.00 AAA 1,510,080
Bonds, Yale University Issue, Series 2002W, 5.125%, 7/01/27
1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 1,473,345
Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42
925 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 926,628
Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 -
MBIA Insured
1,000 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 1,065,600
Bonds, Series 2002A, 5.250%, 11/15/19 - FGIC Insured
1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,140,843
Series 2003A, 5.125%, 2/15/21 - MBIA Insured
University of Connecticut, General Obligation Bonds,
Series 2004A:
1,000 5.000%, 1/15/18 - MBIA Insured 1/14 at 100.00 AAA 1,049,440
2,000 5.000%, 1/15/19 - MBIA Insured 1/14 at 100.00 AAA 2,086,100
15
Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued)
Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE - 11.2%
$ 2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa $ 2,007,600
Revenue Bonds, Stamford Hospital, Series 1999G,
5.000%, 7/01/24 - MBIA Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/07 at 102.00 AAA 1,050,480
Revenue Bonds, William W. Backus Hospital, Series 1997D,
5.750%, 7/01/27 - AMBAC Insured
3,000 Connecticut Health and Educational Facilities Authority, 7/07 at 101.00 Aaa 3,013,590
Revenue Refunding Bonds, Middlesex Health Services,
Series 1997H, 5.125%, 7/01/27 - MBIA Insured
2,000 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 AA 2,123,580
Revenue Bonds, Eastern Connecticut Health Network Issue,
Series 2000A, 6.000%, 7/01/25 - RAAI Insured
500 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 520,985
Revenue Bonds, Bristol Hospital Issue, Series 2002B,
5.500%, 7/01/21 - RAAI Insured
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 4.8%
1,000 Connecticut Housing Finance Authority, Housing Mortgage 12/09 at 100.00 AAA 1,037,440
Finance Program Bonds, Series 1999D-2, 6.200%, 11/15/41
(Alternative Minimum Tax)
690 Waterbury Nonprofit Housing Corporation, Connecticut, 7/04 at 100.00 AAA 691,663
FHA-Insured Section 8 Mortgage Revenue Bonds, Fairmount
Heights Project, Series 1993A, 6.500%, 7/01/07 -
MBIA Insured
1,885 Williamantic Housing Authority, Connecticut, GNMA 10/05 at 105.00 AAA 2,013,519
Collateralized Mortgage Loan Multifamily Housing Revenue
Bonds, Village Heights Apartments Project, Series 1995A,
8.000%, 10/20/30
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 3.2%
500 Connecticut Housing Finance Authority, Housing Mortgage 5/10 at 100.00 AAA 506,495
Finance Program Bonds, Series 2001A-1, 5.250%, 11/15/28
25 Connecticut Housing Finance Authority, Housing Mortgage 5/10 at 100.00 AAA 25,350
Finance Program Bonds, Series 2001A-2, 5.450%, 5/15/32
(Alternative Minimum Tax)
1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,007,260
Finance Program Bonds, Series 2001C, 5.300%, 11/15/33
(Alternative Minimum Tax)
945 Connecticut Housing Finance Authority, Housing Mortgage 5/12 at 100.00 AAA 953,392
Finance Program Bonds, Series 2001D-2, 5.350%, 11/15/32
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 7.7%
1,300 Connecticut Health and Educational Facilities Authority, 8/08 at 102.00 AAA 1,303,640
FHA-Insured Mortgage Revenue Bonds, Hebrew Home and
Hospital, Series 1999B, 5.200%, 8/01/38
750 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 751,440
Revenue Healthcare Refunding Bonds, Church Homes, Inc.,
Congregational Avery Heights Project, Series 1997,
5.700%, 4/01/12
615 Connecticut Development Authority, First Mortgage Gross 9/09 at 102.00 AA 647,890
Revenue Healthcare Refunding Bonds, Connecticut Baptist
Homes, Inc. Project, Series 1999, 5.500%, 9/01/15 - RAAI Insured
Connecticut Development Authority, Revenue Refunding Bonds,
Duncaster, Inc. Project, Series 1999A:
1,000 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 AA 1,019,980
1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 1,014,770
Connecticut Development Authority, Health Facility Revenue
Refunding Bonds, Alzheimer's Resource Center of Connecticut,
Inc. Project, Series 1994A:
245 6.875%, 8/15/04 No Opt. Call N/R 245,012
1,000 7.000%, 8/15/09 8/04 at 102.00 N/R 1,003,500
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 26.1%
750 Bridgeport, Connecticut, General Obligation Refunding Bonds, 8/12 at 100.00 Aaa 802,193
Series 2002A, 5.375%, 8/15/19 - FGIC Insured
1,000 Bridgeport, Connecticut, General Obligation Bonds, 9/13 at 100.00 AAA 1,032,980
Series 2003A, 5.250%, 9/15/23 - FSA Insured
Cheshire, Connecticut, General Obligation Bonds, Issue of 1999:
660 5.625%, 10/15/16 10/09 at 101.00 Aa3 721,994
660 5.625%, 10/15/17 10/09 at 101.00 Aa3 720,779
2,000 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA 2,149,940
5.500%, 6/15/21
1,500 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,596,945
5.375%, 4/15/19
1,110 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 1,129,358
5.000%, 4/01/23 - FGIC Insured
16
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL (continued)
$ 1,000 Hartford, Connecticut, General Obligation Bonds, Series 2000, 6/10 at 102.00 AAA $ 1,064,430
5.500%, 6/15/20 - FGIC Insured
400 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 A 416,644
Series 2000A, 6.000%, 6/01/20 - ACA Insured
500 Puerto Rico, Public Improvement General Obligation Refunding 7/11 at 100.00 AAA 504,500
Bonds, Series 2001, 5.125%, 7/01/30 - FSA Insured
1,500 Puerto Rico, Public Improvement General Obligation Refunding No Opt. Call AAA 1,671,300
Bonds, Series 2002A, 5.500%, 7/01/20 - MBIA Insured
Regional School District 16, Beacon Falls and Prospect,
Connecticut, General Obligation Bonds, Series 2000:
350 5.500%, 3/15/18 - FSA Insured 3/10 at 101.00 Aaa 377,797
350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 379,922
350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aaa 378,760
1,420 Regional School District 16, Connecticut, General Obligation 3/13 at 101.00 Aaa 1,515,680
Bonds, Series 2003, 5.000%, 3/15/16 - AMBAC Insured
2,105 Stratford, Connecticut, General Obligation Bonds, Series 2002, 2/12 at 100.00 AAA 2,075,130
4.000%, 2/15/15 - FSA Insured
1,000 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 1,077,830
Series 2002A, 5.375%, 4/01/17 - FSA Insured
965 Waterbury, Connecticut, General Obligation Tax Revenue 2/09 at 101.00 AA 1,046,388
Intercept Bonds, Series 2000, 6.000%, 2/01/19 - RAAI Insured
1,630 Westport, Connecticut, General Obligation Bonds, Series 2003, 2/12 at 100.00 Aaa 1,655,575
4.750%, 2/01/19
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 19.4%
1,900 Capitol Region Education Council, Connecticut, Revenue Bonds, 10/05 at 102.00 BBB 1,988,996
Series 1995, 6.700%, 10/15/10
2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 102.00 AAA 2,106,320
Revenue Bonds, Child Care Facilities Program, Series 1999C,
5.625%, 7/01/29 - AMBAC Insured
1,000 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 1,076,030
Purpose Bonds, Series 2002A, 5.375%, 7/01/19 - FSA Insured
Connecticut, Special Tax Obligation Transportation Infrastructure
Purpose Bonds, Series 2002B:
2,000 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,066,600
1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,029,740
500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 508,555
Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured
1,700 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AA- 1,987,487
Purpose Bonds, Series 1991B, 6.500%, 10/01/10
2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 8/12 at 100.00 AAA 2,121,600
5.250%, 8/01/21 - FSA Insured
1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 1,114,700
Loan Notes, Series 1999A, 6.500%, 10/01/24
1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/14 at 100.00 AAA 1,068,670
Loan Notes, Series 2003, 5.250%, 10/01/19 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 2.3%
750 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AAA 739,155
International Airport, Series 2001A, 5.125%, 10/01/26
(Alternative Minimum Tax) - FGIC Insured
1,000 Hartford, Connecticut, Parking System Revenue Bonds, 7/10 at 100.00 Baa2 1,031,600
Series 2000A, 6.400%, 7/01/20
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 9.4%
1,500 Bridgeport, Connecticut, General Obligation Bonds, 7/10 at 101.00 AAA 1,729,635
Series 2000A, 6.000%, 7/15/19 (Pre-refunded to 7/15/10) -
FGIC Insured
1,060 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 1,140,443
Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20
(Pre-refunded to 7/01/10)
40 Connecticut, General Obligation Bonds, Series 1993E, No Opt. Call AA*** 46,329
6.000%, 3/15/12
1,000 Connecticut, Special Tax Obligation Transportation 12/09 at 101.00 AAA 1,128,240
Infrastructure Purpose Bonds, Series 1999A,
5.625%, 12/01/19 (Pre-refunded to 12/01/09) - FGIC Insured
17
Nuveen Connecticut Premium Income Municipal Fund (NTC) (continued)
Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED (continued)
$ 1,000 Connecticut, Second Injury Fund, Special Assessment Revenue 1/11 at 101.00 AAA $ 1,106,720
Bonds, Series 2000A, 5.250%, 1/01/14 (Pre-refunded
to 1/01/11) - FSA Insured
1,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 1,123,490
5.500%, 10/01/20 (Pre-refunded to 10/01/11)
1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,050,700
Obligation Bonds, Series 2000A, 5.500%, 10/01/40
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 9.8%
1,500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 A3 1,559,565
Refunding Bonds, Connecticut Light and Power Company,
Series 1993A, 5.850%, 9/01/28
2,255 Connecticut Resources Recovery Authority, Resource Recovery 11/04 at 100.00 AAA 2,277,415
Revenue Bonds, American REF-FUEL Company of Southeastern
Connecticut Project, Series 1989A, 7.700%, 11/15/11 -
MBIA Insured
1,750 Connecticut Resources Recovery Authority, Corporate Credit 12/11 at 102.00 Baa2 1,783,723
Resource Recovery Revenue Bonds, American REF-FUEL
Company of Southeastern Connecticut, I Series 2001A,
5.500%, 11/15/15 (Alternative Minimum Tax)
Eastern Connecticut Resource Recovery Authority, Solid Waste
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
395 5.500%, 1/01/14 (Alternative Minimum Tax) 7/04 at 101.00 BBB 396,051
1,590 5.500%, 1/01/20 (Alternative Minimum Tax) 7/04 at 101.00 BBB 1,574,005
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 13.6%
1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,258,980
Series 2003A, 5.000%, 10/01/16
1,500 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 1,637,880
Series 2003B, 5.000%, 10/01/12
1,400 Connecticut Development Authority, Water Facilities Revenue 6/04 at 101.00 AAA 1,416,772
Refunding Bonds, Bridgeport Hydraulic Company Project,
Series 1993B, 5.500%, 6/01/28 - MBIA Insured
2,500 Connecticut Development Authority, Water Facilities Revenue 9/06 at 102.00 AAA 2,684,675
Bonds, Bridgeport Hydraulic Company Project, Series 1996,
6.000%, 9/01/36 (Alternative Minimum Tax) - AMBAC Insured
South Central Connecticut Regional Water Authority, Water
System Revenue Bonds, Eighteenth Series 2003A:
1,000 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 1,035,280
1,525 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,527,665
1,000 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 990,240
Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
------------------------------------------------------------------------------------------------------------------------------------
$ 109,700 Total Long-Term Investments (cost $111,198,648) - 147.0% 114,237,503
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 2.3% 1,787,626
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (49.3)% (38,300,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 77,725,129
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares.
* 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.
** Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating.
*** Securities are backed by an escrow or trust containing
sufficient U.S. Government or U.S. Government agency
securities which ensures the timely payment of
principal and interest. Such securities are normally
considered to be equivalent to AAA rated securities.
N/R Investment is not rated.
See accompanying notes to financial statements.
18
Nuveen Connecticut Dividend Advantage Municipal Fund (NFC)
Portfolio of
INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 4.3%
Guam Economic Development Authority, Tobacco Settlement
Asset-Backed Bonds, Series 2001A:
$ 130 5.000%, 5/15/22 5/11 at 100.00 Baa3 $ 126,853
500 5.400%, 5/15/31 5/11 at 100.00 Baa3 438,755
1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 Baa3 1,028,319
Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 30.7%
705 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 722,244
Revenue Bonds, Family Education Loan Program, Series 2001A,
5.250%, 11/15/18 (Alternative Minimum Tax) - MBIA Insured
50 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AA 48,320
Revenue Bonds, Sacred Heart University, Series 1998E,
5.000%, 7/01/28 - RAAI Insured
500 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 BBB- 510,775
Revenue Bonds, University of New Haven, Series 1996D,
6.700%, 7/01/26
25 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 AAA 26,802
Revenue Bonds, Trinity College, Series 1996E,
5.875%, 7/01/26 - MBIA Insured
750 Connecticut, Health and Educational Facilities Authority, 11/12 at 100.00 AAA 797,108
Revenue Bonds, Connecticut State University System,
Series 2003E, 5.000%, 11/01/15 - FGIC Insured
1,500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 1,503,735
Revenue Bonds, Trinity College, Series 2001G,
5.000%, 7/01/31 - AMBAC Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 1,050,200
Revenue Bonds, Loomis Chaffee School, Series 2001D,
5.500%, 7/01/23
625 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 626,269
Revenue Bonds, Greenwich Academy, Series 2001B,
5.000%, 3/01/32 - FSA Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 986,930
Revenue Bonds, University of Hartford Issue, Series 2002E,
5.250%, 7/01/32 - RAAI Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,006,720
Revenue Bonds, Yale University Issue, Series 2002W,
5.125%, 7/01/27
750 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 736,673
Revenue Bonds, Yale University, Series 2003-X1,
5.000%, 7/01/42
Puerto Rico Industrial, Tourist, Educational, Medical, and
Environmental Control Facilities Financing Authority, Higher
Education Revenue Bonds, Ana G. Mendez University System
Project, Series 1999:
125 5.375%, 2/01/19 2/09 at 101.00 BBB 126,386
270 5.375%, 2/01/29 2/09 at 101.00 BBB 263,847
University of Connecticut, General Obligation Bonds,
Series 2001A:
1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,007,430
1,000 5.250%, 4/01/20 4/11 at 101.00 AA 1,050,040
1,000 4.750%, 4/01/21 4/11 at 101.00 AA 1,002,860
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE - 3.1%
125 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 125,475
Revenue Bonds, Stamford Hospital, Series 1999G,
5.000%, 7/01/24 - MBIA Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 1,023,670
Revenue Bonds, Bristol Hospital Issue, Series 2002B,
5.500%, 7/01/32 - RAAI Insured
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 5.5%
2,000 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call BBB+ 2,053,000
Housing Revenue Bonds, Fairfield Apartments, Series 1998,
4.750%, 12/01/28 (Alternative Minimum Tax) (Mandatory
put 12/01/08)
19
Nuveen Connecticut Dividend Advantage Municipal Fund (NFC) (continued)
Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 6.3%
$ 1,265 Connecticut Housing Finance Authority, Housing Mortgage 5/10 at 100.00 AAA $ 1,281,432
Finance Program Bonds, Series 2001A-1, 5.250%, 11/15/28
45 Connecticut Housing Finance Authority, Housing Mortgage 5/10 at 100.00 AAA 45,630
Finance Program Bonds, Series 2001A-2, 5.450%, 5/15/32
(Alternative Minimum Tax)
1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,007,260
Finance Program Bonds, Series 2001C, 5.300%, 11/15/33
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 2.0%
250 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 252,275
Revenue Healthcare Bonds, Elim Park Baptist Inc. Project,
Series 2003, 5.750%, 12/01/23
500 Connecticut Development Authority, Health Facility Revenue 8/04 at 102.00 N/R 479,755
Refunding Bonds, Alzheimer's Resource Center of
Connecticut, Inc. Project, Series 1994A, 7.250%, 8/15/21
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 29.5%
750 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA 806,228
5.500%, 6/15/21
1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,064,630
5.375%, 4/15/19
560 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 569,766
5.000%, 4/01/23 - FGIC Insured
500 East Lyme, Connecticut, General Obligation Bonds, Series 2001, 7/11 at 102.00 Aaa 523,810
5.125%, 7/15/20 - FGIC Insured
Hamden, Connecticut, General Obligation Bonds, Series 2001:
640 5.250%, 8/15/18 - MBIA Insured 8/11 at 102.00 AAA 685,562
635 5.000%, 8/15/19 - MBIA Insured 8/11 at 102.00 AAA 662,832
300 5.000%, 8/15/20 - MBIA Insured 8/11 at 102.00 AAA 311,307
1,000 Hartford, Connecticut, General Obligation Bonds, Series 1998, 1/08 at 102.00 AAA 1,030,200
4.700%, 1/15/15 - FGIC Insured
375 New Haven, Connecticut, General Obligation Bonds, Series 1999, 2/08 at 101.00 AAA 382,178
4.700%, 2/01/15 - FGIC Insured
1,000 New Haven, Connecticut, General Obligation Bonds, 11/10 at 101.00 AAA 1,020,150
Series 2001A, 5.000%, 11/01/20 - FGIC Insured
250 Northern Mariana Islands, General Obligation Bonds, 6/10 at 100.00 A 260,403
Series 2000A, 6.000%, 6/01/20 - ACA Insured
Town of Norwich, Connecticut, General Obligation Bonds,
Series 2001A:
585 5.000%, 4/01/15 - FGIC Insured 4/09 at 100.00 Aaa 614,455
575 5.000%, 4/01/17 - FGIC Insured 4/09 at 100.00 Aaa 596,465
475 5.000%, 4/01/18 - FGIC Insured 4/09 at 100.00 Aaa 490,267
575 5.000%, 4/01/19 - FGIC Insured 4/09 at 100.00 Aaa 590,646
275 5.000%, 4/01/20 - FGIC Insured 4/09 at 100.00 Aaa 283,742
1,000 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 1,077,830
Series 2002A, 5.375%, 4/01/17 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 16.7%
1,000 Connecticut Health and Educational Facilities Authority, 7/08 at 105.00 A 1,079,150
Revenue Bonds, New Opportunities for Waterbury Inc.,
Series 1998A, 6.750%, 7/01/28
500 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 540,535
Purpose Bonds, Series 2002A, 5.375%, 7/01/18 - FSA Insured
1,475 Connecticut, Special Tax Obligation Transportation Infrastructure No Opt. Call AAA 1,667,119
Purpose Bonds, Series 1998B, 5.500%, 11/01/12 - FSA Insured
Connecticut, Certificates of Participation, Juvenile Training
School, Series 2001:
600 5.000%, 12/15/20 12/11 at 101.00 AA- 611,478
1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 989,100
500 Virgin Islands Public Finance Authority, Revenue Refunding 10/08 at 101.00 AA 516,930
Senior Lien Bonds, Matching Fund Loan Notes, Series 1998A,
5.500%, 10/01/18 - RAAI Insured
750 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 830,910
Loan Notes, Series 1999A, 6.375%, 10/01/19
20
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 6.6%
$ 2,500 Connecticut, General Airport Revenue Bonds, Bradley International 4/11 at 101.00 AAA $ 2,463,850
Airport, Series 2001A, 5.125%, 10/01/26 (Alternative Minimum
Tax) - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 19.4%
515 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 554,083
Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20
(Pre-refunded to 7/01/10)
2,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 2,246,980
5.500%, 10/01/20 (Pre-refunded to 10/01/11)
700 Farmington, Connecticut, General Obligation Bonds, 3/11 at 101.00 Aa1*** 759,066
Series 2001, 4.875%, 3/15/20 (Pre-refunded to 3/15/11)
Puerto Rico Infrastructure Financing Authority, Special
Obligation Bonds, Series 2000A:
1,425 5.500%, 10/01/32 10/10 at 101.00 AAA 1,497,247
1,300 5.500%, 10/01/40 10/10 at 101.00 AAA 1,365,910
Town of Windsor, Connecticut, General Obligation Bonds:
390 5.000%, 7/15/19 (Pre-refunded to 7/15/09) 7/09 at 100.00 Aa2*** 403,755
370 5.000%, 7/15/20 (Pre-refunded to 7/15/09) 7/09 at 100.00 Aa2*** 381,929
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 17.2%
1,500 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 A3 1,559,561
Refunding Bonds, Connecticut Light and Power Company,
Series 1993A, 5.850%, 9/01/28
1,000 Connecticut Resources Recovery Authority, Corporate Credit 12/11 at 102.00 Baa2 1,019,270
Resource Recovery Revenue Bonds, American REF-FUEL
Company of Southeastern Connecticut, I Series 2001A,
5.500%, 11/15/15 (Alternative Minimum Tax)
1,000 Eastern Connecticut Resource Recovery Authority, Solid Waste 7/04 at 101.00 BBB 1,002,660
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A,
5.500%, 1/01/14 (Alternative Minimum Tax)
1,975 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 2,017,680
Series 2000HH, 5.250%, 7/01/29 - FSA Insured
790 Puerto Rico Electric Power Authority, Power Revenue Refunding 7/05 at 100.00 A- 806,360
Bonds, Series 1995Z, 5.250%, 7/01/21
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 8.9%
1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,258,980
Series 2003A, 5.000%, 10/01/16
500 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 545,960
Series 2003B, 5.000%, 10/01/12
South Central Connecticut Regional Water Authority, Water
System Revenue Bonds, Eighteenth Series 2003A:
750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 776,460
720 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 721,260
------------------------------------------------------------------------------------------------------------------------------------
$ 54,325 Total Long-Term Investments (cost $54,834,012) - 150.2% 55,915,467
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 2.2% 822,070
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (52.4)% (19,500,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 37,237,537
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares.
* 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.
** Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating.
*** Securities are backed by an escrow or trust containing
sufficient U.S. Government or U.S. Government agency
securities which ensures the timely payment of
principal and interest. Such securities are normally
considered to be equivalent to AAA rated securities.
N/R Investment is not rated.
See accompanying notes to financial statements.
21
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK)
Portfolio of
INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 2.0%
$ 815 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 697,444
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 34.6%
500 Connecticut Health and Educational Facilities Authority, 7/06 at 102.00 BBB- 510,775
Revenue Bonds, University of New Haven, Series 1996D,
6.700%, 7/01/26
500 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AAA 510,500
Revenue Bonds, Hopkins School, Series 1998A,
5.000%, 7/01/20 - AMBAC Insured
250 Connecticut Health and Educational Facilities Authority, 7/08 at 102.00 AAA 252,603
Revenue Bonds, Fairfield University, Series 1998H,
5.000%, 7/01/23 - MBIA Insured
500 Connecticut Health and Educational Facilities Authority, 11/07 at 101.00 AAA 529,510
Revenue Bonds, State University System, Series 1997B,
5.250%, 11/01/17 - AMBAC Insured
1,500 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 1,516,185
Revenue Bonds, Loomis Chaffee School, Series 2001D,
5.250%, 7/01/31
1,000 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 1,002,030
Revenue Bonds, Greenwich Academy, Series 2001B,
5.000%, 3/01/32 - FSA Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 986,930
Revenue Bonds, University of Hartford Issue, Series 2002E,
5.250%, 7/01/32 - RAAI Insured
2,250 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA 2,288,295
Revenue Bonds, Connecticut State University System,
Series 2002D-2, 5.000%, 11/01/21 - FSA Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,006,720
Revenue Bonds, Yale University Issue, Series 2002W,
5.125%, 7/01/27
University of Connecticut, Student Fee Revenue Refunding
Bonds, Series 2002A:
500 5.250%, 11/15/22 - FGIC Insured 11/12 at 101.00 AAA 525,680
1,000 5.000%, 11/15/29 - FGIC Insured 11/12 at 101.00 AAA 1,001,850
1,230 University of Connecticut, General Obligation Bonds, 4/12 at 100.00 AA 1,314,194
Series 2002A, 5.375%, 4/01/19
500 University of Connecticut, General Obligation Bonds, No Opt. Call AAA 543,850
Series 2004A, 5.000%, 1/15/13 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE - 3.5%
25 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 25,659
Revenue Bonds, Stamford Hospital, Series 1999G,
5.000%, 7/01/18 - MBIA Insured
200 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 AA 212,358
Revenue Bonds, Eastern Connecticut Health Network Issue,
Series 2000A, 6.000%, 7/01/25 - RAAI Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 987,650
Revenue Bonds, St. Francis Hospital and Medical Center,
Series 2002D, 5.000%, 7/01/22 - RAAI Insured
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 9.1%
500 Connecticut Housing Finance Authority, Housing Mortgage 6/04 at 100.00 AAA 501,665
Finance Program Bonds, Series 1997B-2, 5.700%, 5/15/17
(Alternative Minimum Tax) (Pre-refunded to 6/25/04)
1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/11 at 100.00 AAA 1,023,290
Finance Program Bonds, Series 2002A-1, 5.450%, 11/15/28 -
AMBAC Insured
675 Connecticut Housing Finance Authority, Housing Mortgage 11/11 at 100.00 AAA 693,272
Finance Program Bonds, Series 2002A-2, 5.600%, 11/15/28
(Alternative Minimum Tax) - AMBAC Insured
940 Connecticut Housing Finance Authority, Housing Mortgage 5/12 at 100.00 AAA 948,347
Finance Program Bonds, Series 2001D-2, 5.350%, 11/15/32
(Alternative Minimum Tax)
22
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 3.2%
$ 450 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AAA $ 463,401
Revenue Bonds, Village for Families and Children, Inc. Issue,
Series 2002A, 5.000%, 7/01/19 - AMBAC Insured
325 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- 325,624
Revenue Healthcare Refunding Bonds, Church Homes, Inc.,
Congregational Avery Heights Project, Series 1997,
5.700%, 4/01/12
320 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 322,912
Revenue Healthcare Bonds, Elim Park Baptist, Inc. Project,
Series 2003, 5.750%, 12/01/23
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 45.9%
1,000 Bridgeport, Connecticut, General Obligation Bonds, 8/11 at 100.00 AAA 1,073,050
Series 2001C, 5.375%, 8/15/18 - FGIC Insured
1,500 Connecticut, General Obligation Bonds, Series 2001C, No Opt. Call AA 1,688,085
5.500%, 12/15/12
1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,064,630
5.375%, 4/15/19
2,105 Fairfield, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 2,290,893
5.000%, 4/01/16 (Pre-refunded to 4/01/12)
Farmington, Connecticut, General Obligation Bonds, Series 2002:
1,000 5.000%, 9/15/20 9/12 at 101.00 Aa1 1,041,200
1,450 5.000%, 9/15/21 9/12 at 101.00 Aa1 1,500,054
1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ 1,341,188
Obligation Bonds, Series 2002, 5.000%, 4/01/22
Regional School District 8, Andover, Hebron, and Marlborough,
Connecticut, General Obligation Bonds, Series 2002:
1,390 5.000%, 5/01/20 - FSA Insured 5/11 at 101.00 Aaa 1,436,315
1,535 5.000%, 5/01/22 - FSA Insured 5/11 at 101.00 Aaa 1,570,735
2,105 Stamford, Connecticut, General Obligation Bonds, Series 2002, 8/12 at 100.00 AAA 2,303,586
5.000%, 8/15/16 (Pre-refunded to 8/15/12)
500 Waterbury, Connecticut, General Obligation Bonds, 4/12 at 100.00 AAA 538,915
Series 2002A, 5.375%, 4/01/17 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 6.6%
1,625 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 1,742,455
Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured
500 Connecticut, Special Tax Obligation Transportation Infrastructure 10/11 at 100.00 AAA 548,370
Purpose Bonds, Series 2001B, 5.375%, 10/01/13 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 6.2%
1,950 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights 12/12 at 101.00 AAA 2,152,703
Parking Facility, Series 2002, 5.375%, 12/01/15 -
AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 16.2%
East Hartford, Connecticut, General Obligation Bonds,
Series 2002:
750 4.875%, 5/01/20 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 811,613
750 5.000%, 5/01/21 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 816,615
750 5.000%, 5/01/22 (Pre-refunded to 5/01/10) - FGIC Insured 5/10 at 100.00 Aaa 816,615
Puerto Rico Infrastructure Financing Authority, Special Obligation
Bonds, Series 2000A:
1,000 5.500%, 10/01/32 10/10 at 101.00 AAA 1,050,700
2,000 5.500%, 10/01/40 10/10 at 101.00 AAA 2,101,400
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 11.0%
750 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 A3 779,783
Refunding Bonds, Connecticut Light and Power Company,
Series 1993A, 5.850%, 9/01/28
1,000 Connecticut Resources Recovery Authority, Corporate Credit 12/11 at 102.00 Baa2 1,011,800
Resource Recovery Revenue Bonds, America REF-FUEL
Company of Southeastern Connecticut Project, Series 1998A-II,
5.500%, 11/15/15 (Alternative Minimum Tax)
23
Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK) (continued)
Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES (continued)
Eastern Connecticut Resource Recovery Authority, Solid Waste
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
$ 500 5.500%, 1/01/15 (Alternative Minimum Tax) 1/05 at 100.00 BBB $ 500,100
510 5.500%, 1/01/20 (Alternative Minimum Tax) 7/04 at 101.00 BBB 504,869
1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,021,610
Series 2000HH, 5.250%, 7/01/29 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 9.7%
785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 834,008
Series 2003A, 5.000%, 10/01/16
1,000 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 1,091,920
Series 2003B, 5.000%, 10/01/12
South Central Connecticut Regional Water Authority, Water
System Revenue Bonds, Eighteenth Series 2003A:
750 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 776,460
660 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 661,152
------------------------------------------------------------------------------------------------------------------------------------
$ 49,150 Total Long-Term Investments (cost $49,744,768) - 148.0% 51,261,568
=============-----------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 0.7%
$ 250 Puerto Rico Commonwealth Government Development Bank, A-1 250,000
Adjustable Refunding Bonds, Variable Rate Demand
Obligations, Series 1985, 1.070%, 12/01/15 - MBIA Insured+
------------------------------------------------------------------------------------------------------------------------------------
$ 250 Total Short-Term Investments (cost $250,000) 250,000
=============-----------------------------------------------------------------------------------------------------------------------
Total Investments (cost $49,994,768) - 148.7% 51,511,568
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.8% 634,911
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (50.5)% (17,500,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 34,646,479
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares.
* 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.
** Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating.
+ Security has a maturity of more than one year, but has
variable rate and demand features which qualify it as a
short-term security. The rate disclosed is that
currently in effect. This rate changes periodically
based on market conditions or a specified market index.
See accompanying notes to financial statements.
24
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO)
Portfolio of
INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 3.7%
$ 2,600 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 2,224,976
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 18.4%
1,000 Connecticut Health and Educational Facilities Authority, 11/07 at 101.00 AAA 1,059,020
Revenue Bonds, State University System, Series 1997B,
5.250%, 11/01/17 - AMBAC Insured
1,000 Connecticut, Health and Educational Facilities Authority, 11/12 at 100.00 AAA 1,062,810
Revenue Bonds, Connecticut State University System,
Series 2003E, 5.000%, 11/01/15 - FGIC Insured
3,100 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 3,189,993
Revenue Bonds, Trinity College, Series 2001G,
5.000%, 7/01/21 - AMBAC Insured
1,595 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA 1,622,147
Revenue Bonds, Connecticut State University System,
Series 2002D-2, 5.000%, 11/01/21 - FSA Insured
1,500 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 1,510,080
Revenue Bonds, Yale University Issue, Series 2002W,
5.125%, 7/01/27
500 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 525,680
Bonds, Series 2002A, 5.250%, 11/15/22 - FGIC Insured
1,100 University of Connecticut, General Obligation Bonds, 2/13 at 100.00 AAA 1,140,843
Series 2003A, 5.125%, 2/15/21 - MBIA Insured
1,000 University of Connecticut, General Obligation Bonds, No Opt. Call AAA 1,087,700
Series 2004A, 5.000%, 1/15/13 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE - 1.2%
200 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 205,272
Revenue Bonds, Stamford Hospital, Series 1999G,
5.000%, 7/01/18 - MBIA Insured
500 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 520,985
Revenue Bonds, Bristol Hospital Issue, Series 2002B,
5.500%, 7/01/21 - RAAI Insured
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 7.5%
15 Connecticut Housing Finance Authority, Housing Mortgage 5/08 at 101.50 AAA 15,294
Finance Program Bonds, Series 1998E-2, 5.450%, 11/15/24
(Alternative Minimum Tax)
1,500 Connecticut Housing Finance Authority, Housing Mortgage 6/04 at 100.00 AAA 1,504,995
Finance Program Bonds, Series 1997B-2, 5.700%, 5/15/17
(Alternative Minimum Tax) (Pre-refunded to 6/25/04)
1,000 Connecticut Housing Finance Authority, Housing Mortgage 11/12 at 100.00 AAA 1,002,010
Finance Program Bonds, Series 2002F-3, 5.250%, 5/15/33
(Alternative Minimum Tax)
2,000 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 2,021,200
Finance Program Bonds, Series 2001D-2, 5.150%, 11/15/22
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 13.1%
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 AAA 1,012,190
1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 AAA 1,473,315
Connecticut Health and Educational Facilities Authority,
Revenue Bonds, Village for Families and Children Inc. Issue,
Series 2002A:
430 5.000%, 7/01/18 - AMBAC Insured 7/12 at 101.00 AAA 445,394
475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 AAA 486,305
260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 AAA 262,353
1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 AAA 986,580
25
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) (continued)
Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE (continued)
$ 600 Connecticut Development Authority, First Mortgage Gross 4/07 at 102.00 BBB- $ 601,152
Revenue Healthcare Refunding Bonds, Church Homes, Inc. -
Congregational Avery Heights Project, Series 1997,
5.700%, 4/01/12
500 Connecticut Development Authority, First Mortgage Gross 12/11 at 102.00 BBB+ 504,550
Revenue Healthcare Bonds, Elim Park Baptist Inc. Project,
Series 2003, 5.750%, 12/01/23
Connecticut Development Authority, Revenue Bonds, Duncaster
Inc. Project, Series 2002:
650 5.125%, 8/01/22 - RAAI Insured 8/12 at 101.00 AA 650,975
1,665 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 AA 1,517,414
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 36.8%
Bethel, Connecticut, General Obligation Bonds, Series 2002:
525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aaa 544,525
525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aaa 541,548
525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aaa 538,592
525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aaa 536,020
525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aaa 533,458
3,510 Bridgeport, Connecticut, General Obligation Bonds, Series 2001C, 8/11 at 100.00 AAA 3,766,406
5.375%, 8/15/18 - FGIC Insured
500 Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 9/13 at 100.00 AAA 516,490
5.250%, 9/15/23 - FSA Insured
2,500 Connecticut, General Obligation Bonds, Series 2002D, 11/12 at 100.00 AA 2,660,125
5.375%, 11/15/21
1,000 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA 1,021,890
5.000%, 4/15/21
450 Farmington, Connecticut, General Obligation Bonds, 9/12 at 101.00 Aa1 468,540
Series 2002, 5.000%, 9/15/20
New Canaan, Connecticut, General Obligation Bonds,
Series 2002A:
950 4.250%, 5/01/18 5/11 at 100.00 Aaa 927,998
950 4.500%, 5/01/19 5/11 at 100.00 Aaa 944,357
900 4.600%, 5/01/20 5/11 at 100.00 Aaa 897,453
500 4.700%, 5/01/21 5/11 at 100.00 Aaa 500,830
1,445 New Haven, Connecticut, General Obligation Bonds, 11/11 at 101.00 AAA 1,535,341
Series 2002A, 5.250%, 11/01/17 - AMBAC Insured
Southbury, Connecticut, General Obligation Bonds, Series 2002:
500 4.250%, 12/15/14 12/11 at 101.00 Aa3 507,695
500 4.375%, 12/15/15 12/11 at 101.00 Aa3 506,400
500 4.375%, 12/15/16 12/11 at 101.00 Aa3 502,115
500 4.500%, 12/15/17 12/11 at 101.00 Aa3 502,635
500 4.625%, 12/15/18 12/11 at 101.00 Aa3 503,855
500 4.625%, 12/15/19 12/11 at 101.00 Aa3 501,040
500 4.875%, 12/15/20 12/11 at 101.00 Aa3 508,730
500 4.875%, 12/15/21 12/11 at 101.00 Aa3 506,265
500 5.000%, 12/15/22 12/11 at 101.00 Aa3 510,625
Stratford, Connecticut, General Obligation Bonds, Series 2002:
1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,283,370
630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 590,367
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 28.3%
500 Connecticut, Special Tax Obligation Transportation Infrastructure 7/12 at 100.00 AAA 540,535
Purpose Bonds, Series 2002A, 5.375%, 7/01/18 - FSA Insured
Connecticut, Special Tax Obligation Transportation Infrastructure
Purpose Bonds, Series 2002B:
2,810 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AAA 2,903,573
1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AAA 1,029,740
1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AAA 1,014,180
500 Connecticut, Special Tax Obligation Transportation Infrastructure 1/14 at 100.00 AAA 508,555
Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured
3,500 Puerto Rico Infrastructure Financing Authority, Special Tax 1/08 at 101.00 AAA 3,507,455
Revenue Bonds, Series 1997A, 5.000%, 7/01/28 -
AMBAC Insured
26
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED (continued)
Puerto Rico Public Buildings Authority, Guaranteed Government
Facilities Revenue Bonds, Series 2002G:
$ 890 5.250%, 7/01/17 7/12 at 100.00 A- $ 925,938
1,000 5.250%, 7/01/20 7/12 at 100.00 A- 1,023,440
1,045 5.250%, 7/01/21 7/12 at 100.00 A- 1,065,294
3,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 3,172,721
Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 -
AMBAC Insured
765 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 BBB+ 779,550
Appropriation Bonds, Series 2002E, 5.500%, 8/01/29
750 Virgin Islands Public Finance Authority, Revenue Refunding 10/08 at 101.00 BBB- 756,127
Senior Lien Bonds, Matching Fund Loan Notes, Series 1998A,
5.500%, 10/01/22
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 15.1%
400 Connecticut, Special Tax Obligation Transportation 10/11 at 100.00 AAA 429,640
Infrastructure Purpose Bonds, Series 2001A, 4.800%, 10/01/18
(Pre-refunded to 10/01/11) - FSA Insured
2,910 Puerto Rico, Public Improvement General Obligation Refunding 7/08 at 101.00 AAA 3,179,990
Bonds, Series 1998B, 5.000%, 7/01/24 (Pre-refunded
to 7/01/08) - MBIA Insured
4,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 4,202,800
Obligation Bonds, Series 2000A, 5.500%, 10/01/40
1,220 University of Connecticut, General Obligation Bonds, 4/12 at 100.00 AA*** 1,362,154
Series 2002A, 5.375%, 4/01/17 (Pre-refunded to 4/01/12)
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 13.0%
720 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 A3 748,591
Refunding Bonds, Connecticut Light and Power Company,
Series 1993A, 5.850%, 9/01/28
2,000 Connecticut Resources Recovery Authority, Corporate Credit 12/11 at 102.00 Baa2 2,038,540
Resource Recovery Revenue Bonds, American REF-FUEL
Company of Southeastern Connecticut, Series 2001A-I,
5.500%, 11/15/15 (Alternative Minimum Tax)
Eastern Connecticut Resource Recovery Authority, Solid Waste
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
1,000 5.500%, 1/01/14 (Alternative Minimum Tax) 7/04 at 101.00 BBB 1,002,660
1,005 5.500%, 1/01/20 (Alternative Minimum Tax) 7/04 at 101.00 BBB 994,890
3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,115,911
Series 2000HH, 5.250%, 7/01/29 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 12.7%
1,185 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,258,980
Series 2003A, 5.000%, 10/01/16
2,000 Connecticut, State Revolving Fund General Revenue Bonds, No Opt. Call AAA 2,183,840
Series 2003B, 5.000%, 10/01/12
765 Connecticut Development Authority, Water Facilities Revenue 9/06 at 102.00 A 789,449
Bonds, Bridgeport Hydraulic Company Project, Series 1996,
6.000%, 9/01/36 (Alternative Minimum Tax)
South Central Connecticut Regional Water Authority, Water
System Revenue Bonds, Eighteenth Series 2003A:
2,050 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 2,122,324
1,140 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 1,141,995
250 Stamford, Connecticut, Water Pollution Control System 11/13 at 100.00 AA+ 247,560
and Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
------------------------------------------------------------------------------------------------------------------------------------
$ 88,990 Total Long-Term Investments (cost $91,627,687) - 149.8% 91,036,335
=============-----------------------------------------------------------------------------------------------------------------------
27
Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO) (continued)
Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL MARKET
AMOUNT (000) DESCRIPTION(1) RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 0.3%
$ 200 Puerto Rico Government Commonwealth Development Bank, A-1 $ 200,000
Adjustable Refunding Bonds, Variable Rate Demand
Obligations, Series 1985, 1.070%, 12/01/15 - MBIA Insured+
------------------------------------------------------------------------------------------------------------------------------------
$ 200 Total Short-Term Investments (cost $200,000) 200,000
=============-----------------------------------------------------------------------------------------------------------------------
Total Investments (cost $91,827,687) - 150.1% 91,236,335
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 2.6% 1,537,493
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (52.7)% (32,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 60,773,828
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares.
* 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.
** Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating.
*** Securities are backed by an escrow or trust containing
sufficient U.S. Government or U.S. Government agency
securities which ensures the timely payment of
principal and interest. Such securities are normally
considered to be equivalent to AAA rated securities.
+ Security has a maturity of more than one year, but has
variable rate and demand features which qualify it as a
short-term security. The rate disclosed is that
currently in effect. This rate changes periodically
based on market conditions or a specified market index.
See accompanying notes to financial statements.
28
Nuveen Massachusetts Premium Income Municipal Fund (NMT)
Portfolio of
INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 2.1%
$ 1,500 Boston Industrial Development Financing Authority, 9/12 at 102.00 Baa3 $ 1,451,220
Massachusetts, Senior Revenue Bonds, Crosstown Center
Project, Series 2002, 6.500%, 9/01/35 (Alternative
Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 36.6%
335 Massachusetts Education Loan Authority, Student Loan 7/04 at 102.00 AAA 342,139
Revenue Bonds, Issue E, Series 1995, 6.150%, 7/01/10
(Alternative Minimum Tax) - AMBAC Insured
1,730 Massachusetts Educational Financing Authority, Educational 1/12 at 100.00 AAA 1,757,213
Loan Revenue Bonds, Series 2002E, 5.000%, 1/01/13
(Alternative Minimum Tax) - AMBAC Insured
1,090 Massachusetts Development Finance Authority, Revenue No Opt. Call A3 1,139,944
Refunding Bonds, Boston University, Series 1999P,
6.000%, 5/15/29
1,000 Massachusetts Development Finance Authority, Revenue 7/13 at 101.00 BBB 976,890
Bonds, Massachusetts College of Pharmacy and Allied
Health Sciences, Series 2003C, 5.750%, 7/01/33
890 Massachusetts Development Finance Authority, Revenue 3/09 at 101.00 A 914,751
Bonds, Curry College, Series 2000A, 6.000%, 3/01/20 -
ACA Insured
750 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 AA- 768,098
Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19
500 Massachusetts Development Finance Authority, Revenue Bonds, 9/11 at 101.00 A 514,655
Belmont Hills School, Series 2001, 5.375%, 9/01/23
2,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,101,760
Revenue Bonds, Boston College, Series 2003N,
5.250%, 6/01/18
1,500 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 AAA 1,517,655
Revenue Bonds, University of Massachusetts - Worcester
Campus Project, Series 2001B, 5.250%, 10/01/31 -
FGIC Insured
555 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 566,561
Revenue Bonds, Williams College, Series 2003H,
5.000%, 7/01/21
Massachusetts Health and Educational Facilities Authority,
Revenue Bonds, Wellesley College, Series 2003H:
500 5.000%, 7/01/26 7/13 at 100.00 AA+ 498,320
1,000 5.000%, 7/01/33 7/13 at 100.00 AA+ 987,120
1,000 Massachusetts Heath and Educational Facilities Authority, No Opt. Call AAA 1,102,100
Revenue Bonds, Massachusetts Institute of Technology,
Series 2004M, 5.250%, 7/01/15
2,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 7/04 at 101.00 Aa1 2,647,698
Whitehead Institute for Biomedical Research, Series 1993,
5.125%, 7/01/26
2,300 Massachusetts Industrial Finance Agency, Revenue Bonds, 9/08 at 101.00 A 2,282,658
Belmont Hill School, Series 1998, 5.250%, 9/01/28
4,000 New England Education Loan Marketing Corporation, No Opt. Call A3 4,338,680
Massachusetts, Student Loan Revenue Bonds, Subordinate
Series 1992H, 6.900%, 11/01/09 (Alternative Minimum Tax)
1,200 University of Massachusetts Building Authority, Senior Lien 11/13 at 100.00 AAA 1,272,732
Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 -
AMBAC Insured
1,000 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 1,028,680
Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 -
AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE - 18.7%
3,000 Massachusetts Health and Educational Facilities Authority, 7/04 at 102.00 AAA 3,047,220
Revenue Bonds, New England Medical Center Hospitals,
Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured
1,000 Massachusetts Health and Educational Facilities Authority, 7/04 at 101.00 AAA 1,022,200
Revenue Bonds, Lahey Clinic Medical Center, Series 1993B,
5.625%, 7/01/15 - MBIA Insured
29
Nuveen Massachusetts Premium Income Municipal Fund (NMT) (continued)
Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE (continued)
$ 600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA $ 631,314
Revenue Bonds, New England Medical Center Hospitals,
Series 2002H, 5.375%, 5/15/19 - FGIC Insured
2,500 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA- 2,590,575
Revenue Bonds, Partners HealthCare System, Inc.,
Series 2001C, 5.750%, 7/01/32
1,395 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 1,376,154
Revenue Bonds, CareGroup, Inc., Series 1998A,
5.000%, 7/01/25 - MBIA Insured
1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 AA 987,800
Revenue Bonds, Cape Cod Health Care, Inc., Series 2001C,
5.250%, 11/15/31 - RAAI Insured
2,000 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 2,033,020
Revenue Bonds, Berkshire Health System, Series 2001E,
6.250%, 10/01/31
1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 1,018,310
Revenue Bonds, Caritas Christi Obligated Group,
Series 2002B, 6.250%, 7/01/22
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 16.6%
2,500 Massachusetts Development Finance Authority, GNMA 10/11 at 105.00 AAA 2,811,575
Collateralized Revenue Bonds, VOA Concord Assisted Living,
Inc., Series 2000A, 6.900%, 10/20/41
1,950 Massachusetts Development Financing Authority, Assisted 12/09 at 102.00 N/R 1,847,937
Living Revenue Bonds, Prospect House Apartments,
Series 1999, 7.000%, 12/01/31
1,500 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,598,235
Collateralized Assisted Living Facility Revenue Bonds,
Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42
(Alternative Minimum Tax)
65 Massachusetts Housing Finance Agency, Housing Project 10/04 at 101.00 A+ 65,643
Revenue Refunding Bonds, Series 1993A, 6.300%, 10/01/13
1,435 Massachusetts Housing Finance Agency, Rental Housing 7/10 at 101.00 AAA 1,503,622
Mortgage Revenue Bonds, Series 1999D, 5.500%, 7/01/13
(Alternative Minimum Tax) - AMBAC Insured
1,845 Massachusetts Housing Finance Agency, FHA-Insured Rental 1/05 at 102.00 AAA 1,896,826
Housing Mortgage Revenue Bonds, Series 1995A,
7.350%, 1/01/35 (Alternative Minimum Tax) -
AMBAC Insured
500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 487,640
Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative
Minimum Tax)
1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,022,070
Collateralized Mortgage Revenue Bonds, Clarendon Hill
Towers, Series 2002, 5.200%, 11/20/22
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 0.6%
400 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 403,252
Disposal Revenue Bonds, Waste Management, Inc.,
Series 2003, 5.450%, 6/01/14 (WI, settling 6/01/04)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 6.0%
1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue 10/08 at 105.00 AAA 1,355,471
Bonds, Deutsches Altenheim, Inc. Project, Series 1998A,
6.125%, 10/01/31
2,000 Massachusetts Industrial Finance Agency, Healthcare 5/07 at 102.00 A-1+ 1,993,480
Facilities Revenue Bonds, Jewish Geriatric Services, Inc.
Obligated Group, Series 1997B, 5.500%, 5/15/27
700 Massachusetts Industrial Finance Agency, FHA-Insured 2/06 at 102.00 AAA 724,689
Project Revenue Bonds, Heights Crossing LP, Series 1995,
6.000%, 2/01/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 27.8%
1,180 Boston, Massachusetts, General Obligation Bonds, 8/11 at 100.00 AA 1,238,634
Series 2001B, 5.000%, 8/01/15
645 East Longmeadow, Massachusetts, General Obligation Bonds, 8/11 at 101.00 Aaa 688,873
Series 2001, 5.000%, 8/01/14 - AMBAC Insured
1,000 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 1,029,710
Series 2003, 5.000%, 2/01/21 - FSA Insured
2,500 Massachusetts Bay Transportation Authority, General No Opt. Call AAA 3,080,450
Obligation Transportation System Bonds, Series 1991A,
7.000%, 3/01/21
3,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,790,027
Series 2001D, 6.000%, 11/01/13 - MBIA Insured
30
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL (continued)
$ 1,865 Massachusetts, General Obligation Bonds, Consolidated 1/13 at 100.00 Aa2 $ 1,993,107
Loan, Series 2003A, 5.000%, 1/01/22 (Pre-refunded
to 1/01/13)
1,250 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 Aa2 1,250,400
Series 2004B, 5.000%, 8/01/24
980 Monson, Massachusetts, General Obligation Bonds, 5/12 at 101.00 Aaa 1,017,955
Series 2002, 5.250%, 5/15/22 - AMBAC Insured
1,000 Narragansett Regional School District, Massachusetts, 6/10 at 101.00 Aaa 1,151,800
General Obligation Bonds, Series 2000, 6.500%, 6/01/16 -
AMBAC Insured
1,260 Norwell, Massachusetts, General Obligation Bonds, No Opt. Call AAA 1,324,436
Series 2003, 5.000%, 11/15/20 - FGIC Insured
Springfield, Massachusetts, General Obligation Bonds,
Series 2003:
530 5.250%, 1/15/15 - MBIA Insured 1/13 at 100.00 AAA 574,907
1,615 5.250%, 1/15/23 - MBIA Insured 1/13 at 100.00 AAA 1,682,572
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 10.2%
385 Massachusetts Bay Transportation Authority, Senior Lien No Opt. Call AAA 413,667
Sales Tax Revenue Bonds, Series 2004C, 5.250%, 7/01/21
1,000 Massachusetts College Building Authority, Project Revenue No Opt. Call AAA 1,069,000
Refunding Bonds, Series 2003B, 5.375%, 5/01/23 -
XLCA Insured
550 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 568,458
Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured
3,000 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aaa 3,216,120
Highway Grant Anticipation Note Program, Series 2003A,
5.000%, 12/15/13 - FSA Insured
1,500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call AAA 1,676,100
Revenue Bonds, Series 2003AA, 5.500%, 7/01/19 -
MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 9.0%
2,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 1,968,260
5.000%, 7/01/33 - MBIA Insured
4,000 Massachusetts Port Authority, Special Facilities Revenue 9/06 at 102.00 AAA 4,165,520
Bonds, US Airways Group, Inc., Series 1996A, 5.750%, 9/01/16
(Alternative Minimum Tax) - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 11.7%
1,250 Massachusetts, General Obligation Bonds, Consolidated 2/10 at 101.00 AAA 1,424,275
Loan, Series 2000A, 6.000%, 2/01/14 (Pre-refunded
to 2/01/10)
2,500 Massachusetts Health and Educational Facilities Authority, 8/10 at 100.00 AAA 2,647,100
FHA-Insured Revenue Bonds, Malden Hospital, Series 1982A,
5.000%, 8/01/16 (Pre-refunded to 8/01/10)
2,000 Massachusetts Health and Educational Facilities Authority, 7/06 at 100.00 Aaa 2,107,460
Revenue Bonds, Daughters of Charity National Health
System - Carney Hospital, Series 1994D, 6.100%, 7/01/14
(Pre-refunded to 7/01/06)
410 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 419,713
Revenue Bonds, CareGroup, Inc., Series 1998A,
5.000%, 7/01/25 - MBIA Insured
905 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/04 at 100.00 AAA 1,305,354
13.000%, 7/01/13
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 5.1%
1,000 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA 1,085,140
Recovery Revenue Bonds, SEMass System, Series 2001A,
5.625%, 1/01/16 - MBIA Insured
2,500 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 2,355,450
Revenue Refunding Bonds, Ogden Haverhill Project,
Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 2.2%
1,500 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 AAA 1,524,733
Program Bonds, Series 9, 5.000%, 8/01/22
------------------------------------------------------------------------------------------------------------------------------------
$ 94,755 Total Long-Term Investments (cost $96,923,689) - 146.6% 99,395,128
=============-----------------------------------------------------------------------------------------------------------------------
31
Nuveen Massachusetts Premium Income Municipal Fund (NMT) (continued)
Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL MARKET
AMOUNT (000) DESCRIPTION(1) RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 1.7%
$ 1,150 Puerto Rico Commonwealth Government Development Bank, A-1 $ 1,150,000
Adjustable Refunding Bonds, Variable Rate Demand
Obligations, Series 1985, 1.070%, 12/01/15 - MBIA Insured+
------------------------------------------------------------------------------------------------------------------------------------
$ 1,150 Total Short-Term Investments (cost $1,150,000) 1,150,000
=============-----------------------------------------------------------------------------------------------------------------------
Total Investments (cost $98,073,689) - 148.3% 100,545,128
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.8% 1,260,561
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (50.1)% (34,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 67,805,689
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares.
* 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.
** Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating.
N/R Investment is not rated.
(WI) Security purchased on a when-issued basis.
+ Security has a maturity of more than one year, but has
variable rate and demand features which qualify it as a
short-term security. The rate disclosed is that
currently in effect. This rate changes periodically
based on market conditions or a specified market index.
See accompanying notes to financial statements.
32
Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB)
Portfolio of
INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY - 1.7%
$ 500 Boston Industrial Development Financing Authority, 9/12 at 102.00 Baa3 $ 483,740
Massachusetts, Senior Revenue Bonds, Crosstown Center
Project, Series 2002, 6.500%, 9/01/35 (Alternative
Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 30.7%
1,370 Massachusetts Educational Financing Authority, Educational 7/10 at 100.00 AAA 1,420,539
Loan Revenue Bonds, Series 2001E, 5.300%, 1/01/16
(Alternative Minimum Tax) - AMBAC Insured
1,000 Massachusetts Development Finance Authority, Revenue 5/29 at 105.00 A3 1,075,310
Refunding Bonds, Boston University, Series 1999P,
6.000%, 5/15/59
500 Massachusetts Development Finance Authority, Revenue 9/13 at 100.00 AA- 512,065
Bonds, Milton Academy, Series 2003A, 5.000%, 9/01/19
1,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,050,880
Revenue Bonds, Boston College, Series 2003N,
5.250%, 6/01/18
2,000 Massachusetts Health and Educational Facilities Authority, 2/11 at 100.00 AA- 2,061,220
Revenue Bonds, Tufts University, Series 2001I,
5.500%, 2/15/36
500 Massachusetts Heath and Educational Facilities Authority, No Opt. Call AAA 551,050
Revenue Bonds, Massachusetts Institute of Technology,
Series 2004M, 5.250%, 7/01/15
1,250 University of Massachusetts Building Authority, Senior Lien 11/10 at 100.00 AAA 1,309,000
Project Revenue Bonds, Series 2000-2, 5.250%, 11/01/20 -
AMBAC Insured
600 University of Massachusetts Building Authority, Senior Lien 11/13 at 100.00 AAA 636,366
Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18 -
AMBAC Insured
250 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 257,170
Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24 -
AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE - 16.4%
1,000 Massachusetts Health and Educational Facilities Authority, 7/09 at 101.00 AA- 1,013,000
Revenue Bonds, Partners HealthCare System, Inc.,
Series 1999B, 5.125%, 7/01/19
1,000 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA- 1,036,230
Revenue Bonds, Partners HealthCare System, Inc.,
Series 2001C, 5.750%, 7/01/32
1,250 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 1,282,537
Revenue Bonds, UMass Memorial Health Care,
Series 2001C, 6.625%, 7/01/32
375 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A- 386,692
Revenue Bonds, Covenant Health Systems Obligated Group,
Series 2002, 6.000%, 7/01/31
1,000 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 1,016,510
Revenue Bonds, Berkshire Health System, Series 2001E,
6.250%, 10/01/31
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 13.4%
1,000 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,065,490
Collateralized Assisted Living Facility Revenue Bonds,
Arbors at Chicopee Project, Series 2001A, 6.250%, 9/20/42
(Alternative Minimum Tax)
1,250 Massachusetts Housing Finance Agency, Rental Housing 1/11 at 100.00 AAA 1,285,800
Mortgage Revenue Bonds, Series 2001A, 5.850%, 7/01/35
(Alternative Minimum Tax) - AMBAC Insured
500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 487,640
Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative
Minimum Tax)
1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,022,070
Collateralized Mortgage Revenue Bonds, Clarendon Hill
Towers Project, Series 2002, 5.200%, 11/20/22
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 5.1%
600 Massachusetts Housing Finance Agency, Single Family Housing 12/04 at 102.00 AA 614,868
Revenue Bonds, Series 36, 6.600%, 12/01/26
(Alternative Minimum Tax)
33
Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB) (continued)
Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY (continued)
$ 840 Massachusetts Housing Finance Agency, Single Family Housing 6/10 at 100.00 AAA $ 856,388
Revenue Bonds, Series 82, 5.375%, 12/01/20 (Alternative
Minimum Tax) - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS - 0.7%
200 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 201,626
Disposal Revenue Bonds, Waste Management, Inc.,
Series 2003, 5.450%, 6/01/14 (WI, settling 6/01/04)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 2.3%
655 Massachusetts Development Finance Authority, First 7/11 at 102.00 BBB- 676,897
Mortgage Revenue Bonds, Berkshire Retirement
Community - Edgecombe Project, Series 2001A,
6.750%, 7/01/21
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 34.6%
1,000 Boston, Massachusetts, General Obligation Bonds, 2/11 at 100.00 AA 1,021,840
Series 2001A, 5.000%, 2/01/20
2,000 Brookline, Massachusetts, General Obligation Bonds, 4/10 at 101.00 Aaa 2,143,060
Series 2000, 5.375%, 4/01/17
500 East Longmeadow, Massachusetts, General Obligation Bonds, 8/11 at 101.00 Aaa 534,010
Series 2001, 5.000%, 8/01/14 - AMBAC Insured
440 Fall River, Massachusetts, General Obligation Bonds, 2/13 at 101.00 AAA 453,072
Series 2003, 5.000%, 2/01/21 - FSA Insured
1,675 Lawrence, Massachusetts, General Obligation Bonds, 2/11 at 100.00 Aaa 1,716,892
Series 2001, 5.000%, 2/01/21 - AMBAC Insured
1,095 Lynn, Massachusetts, General Obligation Bonds, Series 2001, 8/11 at 101.00 Aaa 1,215,888
5.375%, 8/15/12 - FGIC Insured
750 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call Aa2 820,943
Series 2002D, 5.500%, 8/01/19
500 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 Aa2 500,160
Series 2004B, 5.000%, 8/01/24
500 Norwell, Massachusetts, General Obligation Bonds, No Opt. Call AAA 525,570
Series 2003, 5.000%, 11/15/20 - FGIC Insured
Springfield, Massachusetts, General Obligation Bonds,
Series 2003:
500 5.250%, 1/15/15 - MBIA Insured 1/13 at 100.00 AAA 542,365
500 5.250%, 1/15/23 - MBIA Insured 1/13 at 100.00 AAA 520,920
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 18.1%
1,000 Massachusetts Bay Transportation Authority, Assessment 7/10 at 100.00 AAA 1,010,070
Bonds, Series 2000A, 5.250%, 7/01/30
385 Massachusetts Bay Transportation Authority, Senior Lien Sales No Opt. Call AAA 413,667
Tax Revenue Bonds, Series 2004C, 5.250%, 7/01/21
230 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 237,719
Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured
1,250 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aaa 1,340,050
Highway Grant Anticipation Note Program, Series 2003A,
5.000%, 12/15/13 - FSA Insured
1,000 Puerto Rico Municipal Finance Agency, Series 1999A, 8/09 at 101.00 AAA 1,121,660
6.000%, 8/01/16 - FSA Insured
1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB 1,107,880
Loan Notes, Series 1999A, 6.375%, 10/01/19
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 3.6%
1,000 Massachusetts Port Authority, Special Facilities Revenue 7/07 at 102.00 AAA 1,046,910
Bonds, BOSFUEL Corporation, Series 1997, 5.500%, 7/01/18
(Alternative Minimum Tax) - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 7.6%
1,000 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 1,144,010
Asset-Backed Bonds, Series 2000, 6.000%, 7/01/26
(Pre-refunded to 7/01/10)
1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,050,700
Obligation Bonds, Series 2000A, 5.500%, 10/01/40
34
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 7.3%
$ 1,070 Massachusetts Development Finance Agency, Resource 1/12 at 101.00 AAA $ 1,177,835
Recovery Revenue Bonds, SEMass System, Series 2001A,
5.625%, 1/01/14 - MBIA Insured
1,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 942,180
Revenue Refunding Bonds, Ogden Haverhill Project,
Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 7.6%
1,750 Massachusetts Water Pollution Abatement Trust, Revenue 8/09 at 101.00 AAA 1,875,563
Bonds, MWRA Loan Program, Subordinate Series 1999A,
5.750%, 8/01/29
300 Massachusetts Water Resources Authority, General Revenue 8/10 at 101.00 AAA 320,622
Bonds, Series 2000A, 5.750%, 8/01/30 - FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
$ 41,085 Total Long-Term Investments (cost $42,174,070) - 149.1% $ 43,086,674
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 2.8% 816,914
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (51.9)% (15,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 28,903,588
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares.
* 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.
** Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating.
(WI) Security purchased on a when-issued basis.
See accompanying notes to financial statements.
35
Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX)
Portfolio of
INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 27.4%
$ 500 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 BBB $ 528,940
Massachusetts College of Pharmacy and Allied Health
Sciences, Series 2003C, 6.375%, 7/01/23
2,250 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 A1 2,174,355
Middlesex School, Series 2003, 5.000%, 9/01/33
500 Massachusetts Health and Educational Facilities Authority, 10/13 at 100.00 AAA 492,775
Revenue Bonds, Simmons College, Series 2003F,
5.000%, 10/01/33 - FGIC Insured
3,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,981,550
Revenue Bonds, Boston College, Series 2003N,
5.125%, 6/01/37
2,000 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 AAA 1,987,000
Revenue Bonds, Worcester State College, Series 2002,
5.000%, 11/01/32 - AMBAC Insured
2,140 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 2,269,663
Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21 -
AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE - 9.1%
2,500 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 2,466,400
Revenue Bonds, New England Medical Center Hospitals,
Series 2002H, 5.000%, 5/15/25 - FGIC Insured
1,000 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 986,490
Revenue Bonds, CareGroup, Inc., Series 1998A,
5.000%, 7/01/25 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 13.4%
1,750 Massachusetts Development Finance Authority, GNMA 12/12 at 105.00 AAA 1,839,460
Collateralized Revenue Bonds, Neville Communities,
Series 2002A, 6.000%, 6/20/44
55 Massachusetts Housing Finance Agency, Housing Project 10/04 at 101.00 AAA 55,599
Revenue Refunding Bonds, Series 1993A, 6.150%, 10/01/15 -
AMBAC Insured
1,265 Massachusetts Housing Finance Agency, Rental Housing 7/12 at 100.00 AAA 1,266,012
Mortgage Revenue Bonds, Series 2002H, 5.200%, 7/01/42 -
FSA Insured
2,000 Massachusetts Housing Finance Agency, Housing Bonds, 12/12 at 100.00 AA- 1,961,940
Series 2003H, 5.125%, 6/01/43
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 31.9%
1,280 Littleton, Massachusetts, General Obligation Bonds, Series 2003, 1/13 at 101.00 AAA 1,320,973
5.000%, 1/15/21 - FGIC Insured
3,000 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,201,930
Series 2004B, 5.250%, 8/01/21 - FSA Insured
1,025 Maynard, Massachusetts, General Obligation Bonds, 2/13 at 101.00 Aaa 1,117,578
Series 2003, 5.500%, 2/01/19 - MBIA Insured
1,705 North Attleborough, Massachusetts, General Obligation Bonds, 7/14 at 101.00 Aaa 1,838,587
Series 2004, 5.000%, 7/15/15 - FGIC Insured
1,500 Pittsfield, Massachusetts, General Obligation Bonds, 4/12 at 101.00 AAA 1,572,510
Series 2002, 5.000%, 4/15/18 - MBIA Insured
3,000 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 3,140,700
Series 2003, 5.250%, 1/15/22 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 30.9%
3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/13 at 100.00 AAA 2,962,080
Series 2002, 5.000%, 5/01/32 - AMBAC Insured
3,000 Massachusetts Bay Transportation Authority, Senior Sales 7/12 at 100.00 AAA 2,981,580
Tax Revenue Refunding Bonds, Series 2002A,
5.000%, 7/01/27 - FGIC Insured
2,790 Massachusetts College Building Authority, Project Revenue 5/13 at 100.00 AAA 2,870,994
Refunding Bonds, Series 2003A, 5.250%, 5/01/22 -
XLCA Insured
36
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED (continued)
Massachusetts Development Finance Authority, Revenue Bonds, 100
Cambridge Street Redevelopment, M/SRBC Project, Series 2002A:
$ 1,475 5.125%, 8/01/28 - MBIA Insured 2/12 at 100.00 AAA $ 1,475,811
1,500 5.125%, 2/01/34 - MBIA Insured 2/12 at 100.00 AAA 1,493,310
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 2.6%
1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 984,130
5.000%, 7/01/33 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 18.0%
3,000 Massachusetts, General Obligation Bonds, Consolidated 11/11 at 100.00 AAA 3,235,950
Loan, Series 2001D, 5.000%, 11/01/20 (Pre-refunded
to 11/01/11) - MBIA Insured
2,145 Massachusetts, General Obligation Bonds, Consolidated 1/13 at 100.00 AAA 2,330,929
Loan, Series 2003A, 5.250%, 1/01/18 (Pre-refunded
to 1/01/13) - AMBAC Insured
905 Massachusetts Port Authority, Revenue Bonds, Series 1982, 7/04 at 100.00 AAA 1,305,354
13.000%, 7/01/13
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 5.4%
1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,532,415
Series 2000HH, 5.250%, 7/01/29 - FSA Insured
500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/12 at 101.00 AAA 507,345
Series 2002II, 5.125%, 7/01/26 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 11.8%
1,900 Lynn Water and Sewer Commission, Massachusetts, General 12/13 at 100.00 AAA 1,875,813
Revenue Bonds, Series 2003A, 5.000%, 12/01/32 -
MBIA Insured
1,000 Massachusetts Water Resources Authority, General Revenue 8/13 at 100.00 AAA 1,005,410
Bonds, Series 2004D, 5.000%, 8/01/24 - MBIA Insured
1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA 1,082,340
Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured
495 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 AAA 522,486
General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 -
MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
$ 55,680 Total Long-Term Investments (cost $57,422,618) - 150.5% $ 57,368,409
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 3.3% 1,252,673
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (53.8)% (20,500,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 38,121,082
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares.
* 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.
** Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating.
See accompanying notes to financial statements.
37
Nuveen Missouri Premium Income Municipal Fund (NOM)
Portfolio of
INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES - 3.1%
$ 1,000 Missouri Development Finance Board, Solid Waste Disposal No Opt. Call AA- $ 1,000,610
Revenue Bonds, Procter and Gamble, Inc., Series 1999,
5.200%, 3/15/29 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
EDUCATION AND CIVIC ORGANIZATIONS - 8.9%
1,400 Missouri Health and Educational Facilities Authority, Revenue 6/10 at 100.00 Baa2 1,456,490
Bonds, Maryville University of St. Louis, Series 2000,
6.750%, 6/15/30
500 Missouri Health and Educational Facilities Authority, Revenue 2/08 at 101.00 A3 511,665
Bonds, St. Louis Priory School, Series 2000, 5.650%, 2/01/25
365 Missouri Health and Educational Facilities Authority, Revenue 4/11 at 100.00 Aaa 393,167
Bonds, Webster University, Series 2001, 5.500%, 4/01/18 -
MBIA Insured
500 St. Louis County Industrial Development Authority, Missouri, 6/04 at 101.00 N/R 515,500
Revenue Bonds, Kiel Center Multipurpose Arena, Series 1992,
7.875%, 12/01/24 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE - 32.7%
1,800 Johnson County, Missouri, Hospital Revenue Bonds, Western 6/10 at 100.00 AA 1,942,830
Missouri Medical Center Project, Series 2000,
6.000%, 6/01/20 - RAAI Insured
2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 2,515,250
Bonds, SSM Healthcare System, Series 2001A,
5.250%, 6/01/28 - AMBAC Insured
500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AAA 503,735
Bonds, St. Luke's Health System, Series 2001,
5.250%, 12/01/26 - FSA Insured
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 1,499,970
1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,158,904
500 Missouri Health and Educational Facilities Authority, Revenue 2/14 at 100.00 BBB+ 501,985
Bonds, Lake Regional Health System, Series 2003,
5.700%, 2/15/34
425 Missouri Health and Educational Facilities Authority, Revenue 2/06 at 102.00 BBB+ 437,980
Bonds, Lake Regional Health System, Series 1996,
6.500%, 2/15/21
1,000 Missouri Health and Educational Facilities Authority, Revenue 12/10 at 101.00 A 1,042,190
Bonds, St. Anthony's Medical Center, Series 2000,
6.250%, 12/01/30
950 Texas County, Missouri, Hospital Revenue Bonds, Texas County 6/10 at 100.00 N/R 933,869
Memorial Hospital, Series 2000, 7.250%, 6/15/25
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/MULTIFAMILY - 7.9%
830 Missouri Housing Development Commission, Multifamily 12/11 at 100.00 AA 858,859
Housing Revenue Bonds, Series 2001-II, 5.250%, 12/01/16
500 St. Charles County Industrial Development Authority, 4/08 at 102.00 AAA 502,975
Missouri, FHA-Insured Multifamily Housing Revenue Bonds,
Ashwood Apartments Project, Series 1998A, 5.600%, 4/01/30
(Alternative Minimum Tax) - FSA Insured
545 St. Louis County Industrial Development Authority, Missouri, 4/07 at 102.00 AAA 568,331
GNMA Collateralized Multifamily Housing Revenue Refunding
Bonds, South Summit Apartments Project, Series 1997A,
5.950%, 4/20/17
600 St. Louis County Industrial Development Authority, Missouri, 4/07 at 102.00 AAA 618,906
GNMA Collateralized Multifamily Housing Revenue Refunding
Bonds, South Summit Apartments Project, Series 1997B,
6.000%, 10/20/15 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY - 2.7%
235 Missouri Housing Development Commission, Single Family 3/06 at 105.00 AAA 235,768
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 1995C, 7.250%, 9/01/26 (Alternative Minimum Tax)
335 Missouri Housing Development Commission, Single Family 9/06 at 105.00 AAA 336,926
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 1996B, 7.550%, 9/01/27 (Alternative Minimum Tax)
38
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
HOUSING/SINGLE FAMILY (continued)
$ 285 Missouri Housing Development Commission, Single Family 3/10 at 100.00 AAA $ 295,682
Mortgage Revenue Bonds, Homeownership Loan Program,
Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM CARE - 0.2%
50 Lees Summit Industrial Development Authority, Missouri, 8/09 at 101.00 N/R 52,523
Health Facilities Revenue Bonds, John Knox Village,
Series 1999, 6.000%, 8/15/17
------------------------------------------------------------------------------------------------------------------------------------
MATERIALS - 3.0%
1,000 Sugar Creek, Missouri, Industrial Development Revenue 6/13 at 101.00 BBB 973,470
Bonds, Lafarge North America Inc., Series 2003A,
5.650%, 6/01/37 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/GENERAL - 29.4%
500 Jackson County R-7 School District, Lees Summit, Missouri, 3/12 at 100.00 AAA 528,790
General Obligation Refunding and Improvement Bonds,
Series 2002, 5.250%, 3/01/18 - FSA Insured
1,000 Missouri, General Obligation Refunding Bonds, Fourth State 10/12 at 100.00 AAA 1,041,950
Building, Series 2002A, 5.000%, 10/01/18
1,630 North Kansas City School District, Missouri, General Obligation 3/13 at 100.00 AA+ 1,647,734
Bonds, Series 2003A, 5.000%, 3/01/23
2,020 Ritenour Consolidated School District, St. Louis County, No Opt. Call AAA 2,446,361
Missouri, General Obligation Bonds, Series 1995,
7.375%, 2/01/12 - FGIC Insured
1,500 St. Charles County Francis Howell School District, Missouri, No Opt. Call AAA 1,683,960
General Obligation Refunding Bonds, Series 1994A,
7.800%, 3/01/08 - FGIC Insured
1,000 St. Louis County Pattonville R3 School District, Missouri, 3/10 at 101.00 AAA 1,099,270
General Obligation Bonds, Series 2000, 5.750%, 3/01/17 -
FGIC Insured
895 St. Louis Board of Education, Missouri, General Obligation No Opt. Call AAA 1,038,692
Refunding Bonds, Series 1993A, 8.500%, 4/01/07 -
FGIC Insured
------------------------------------------------------------------------------------------------------------------------------------
TAX OBLIGATION/LIMITED - 34.0%
750 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R 760,178
Bonds, Gravois Bluffs Project, Series 2002, 6.125%, 10/01/21
1,740 Jackson County Public Building Corporation, Missouri, 12/13 at 100.00 Aa3 1,722,043
Leasehold Revenue Bonds, Capital Improvement Projects,
Series 2003, 5.000%, 12/01/28
1,000 Kansas City Land Clearance Redevelopment Authority, 12/05 at 102.00 AAA 1,070,180
Missouri, Lease Revenue Bonds, Municipal Auditorium and
Muehlebach Hotel Redevelopment Projects, Series 1995A,
5.900%, 12/01/18 - FSA Insured
2,000 Missouri Development Finance Board, Kansas City, 4/10 at 100.00 AAA 2,169,760
Infrastructure Facilities Revenue Bonds, Midtown
Redevelopment Project, Series 2000A, 5.750%, 4/01/22 -
MBIA Insured
450 Monarch-Chesterfield Levee District, St. Louis County, 3/10 at 101.00 AAA 494,284
Missouri, Levee District Improvement Bonds, Series 1999,
5.750%, 3/01/19 - MBIA Insured
1,000 St. Louis Municipal Finance Corporation, Missouri, Leasehold 2/12 at 100.00 Aaa 1,110,900
Revenue Bonds, Carnahan Courthouse, Series 2002A,
5.750%, 2/15/16 - FGIC Insured
2,000 Springfield Public Building Corporation, Missouri, Lease 6/10 at 100.00 AAA 2,225,000
Revenue Bonds, Jordan Valley Park Projects, Series 2000A,
6.125%, 6/01/21 - AMBAC Insured
1,380 Springfield Center City Development Corporation, Missouri, 11/11 at 100.00 Aaa 1,397,443
Lease Revenue Bonds, Jordan Valley Park Parking Garage,
Series 2002D, 5.000%, 11/01/22 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 4.8%
500 Kansas City, Missouri, Passenger Facility Charge Revenue 4/11 at 101.00 AAA 493,660
Bonds, Kansas City International Airport, Series 2001,
5.000%, 4/01/23 (Alternative Minimum Tax) - AMBAC Insured
1,000 St. Louis Land Clearance Redevelopment Authority, Missouri, 9/09 at 102.00 N/R 1,061,940
Revenue Refunding and Improvement Bonds, LCRA Parking
Facilities, Series 1999C, 7.000%, 9/01/19
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED - 9.0%
675 Missouri Health and Educational Facilities Authority, Revenue 2/06 at 102.00 BBB+*** 737,012
Bonds, Lake Regional Health System, Series 1996,
6.500%, 2/15/21 (Pre-refunded to 2/15/06)
39
Nuveen Missouri Premium Income Municipal Fund (NOM) (continued)
Portfolio of INVESTMENTS May 31, 2004
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION(1) PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GUARANTEED (continued)
$ 1,000 St. Charles School District, Missouri, General Obligation Bonds, 3/06 at 100.00 AA+*** $ 1,061,920
Series 1996A, 5.625%, 3/01/14 (Pre-refunded to 3/01/06)
1,000 St. Louis County, Missouri, GNMA Collateralized Mortgage No Opt. Call AAA 1,096,260
Revenue Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative
Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 5.8%
1,800 Springfield Public Utilities Board, Missouri, Certificates 12/09 at 100.00 AAA 1,857,114
of Participation, Series 2001, 5.000%, 12/01/17 -
AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
WATER AND SEWER - 4.0%
640 Metropolitan St. Louis Sewerage District, Missouri, Revenue 5/14 at 100.00 AAA 658,906
Bonds, Wastewater System, Series 2004A, 5.000%, 5/01/20 -
MBIA Insured
350 Missouri Environmental Improvement and Energy Resources No Opt. Call Aaa 419,437
Authority, Water Pollution Control Revenue Bonds, State
Revolving Fund Program - Kansas City Project, Series 1997C,
6.750%, 1/01/12
210 Missouri Environmental Improvement and Energy Resources 1/06 at 101.00 Aaa 222,599
Authority, Water Pollution Control Revenue Bonds, State
Revolving Fund Program - Multi-Participants, Series 1996D,
5.875%, 1/01/15
------------------------------------------------------------------------------------------------------------------------------------
$ 44,515 Total Long-Term Investments (cost $44,901,312) - 145.5% $ 46,902,978
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 4.1% 1,327,738
--------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value - (49.6)% (16,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 32,230,716
====================================================================================================================
(1) All percentages shown in the Portfolio of
Investments are based on net assets applicable to
Common shares.
* 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.
** Ratings (not covered by the report of independent
registered public accounting firm): Using the higher
of Standard & Poor's or Moody's rating.
*** Securities are backed by an escrow or trust
containing sufficient U.S. Government or U.S.
Government agency securities which ensures the
timely payment of principal and interest. Such
securities are normally considered to be equivalent
to AAA rated securities.
N/R Investment is not rated.
See accompanying notes to financial statements.
40
Statement of
ASSETS AND LIABILITIES May 31, 2004
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at market value (cost $111,198,648, $54,834,012,
$49,994,768 and $91,827,687, respectively) $114,237,503 $55,915,467 $51,511,568 $91,236,335
Cash -- 51,642 67,937 89,652
Receivables:
Interest 1,763,181 738,096 600,872 1,289,288
Investments sold 120,000 55,000 -- 206,241
Other assets 8,693 8,955 220 4,504
------------------------------------------------------------------------------------------------------------------------------------
Total assets 116,129,377 56,769,160 52,180,597 92,826,020
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Cash overdraft 15,228 -- -- --
Payable for investments purchased -- -- -- --
Accrued expenses:
Management fees 63,632 16,777 15,379 25,842
Other 23,286 11,483 16,224 19,130
Preferred share dividends payable 2,102 3,363 2,515 7,220
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 104,248 31,623 34,118 52,192
------------------------------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 38,300,000 19,500,000 17,500,000 32,000,000
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 77,725,129 $37,237,537 $34,646,479 $60,773,828
====================================================================================================================================
Common shares outstanding 5,322,691 2,558,214 2,308,008 4,348,855
====================================================================================================================================
Net asset value per Common share outstanding
(net assets applicable to Common shares,
divided by Common shares outstanding) $ 14.60 $ 14.56 $ 15.01 $ 13.97
====================================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 53,227 $ 25,582 $ 23,080 $ 43,489
Paid-in surplus 73,886,903 36,255,734 32,668,314 61,362,256
Undistributed (Over-distribution of) net investment income 791,740 330,560 318,421 237,612
Accumulated net realized gain (loss) from investments (45,596) (455,794) 119,864 (278,177)
Net unrealized appreciation (depreciation) of investments 3,038,855 1,081,455 1,516,800 (591,352)
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 77,725,129 $37,237,537 $34,646,479 $60,773,828
====================================================================================================================================
Authorized shares:
Common Unlimited Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited Unlimited
====================================================================================================================================
See accompanying notes to financial statements.
41
Statement of
ASSETS AND LIABILITIES May 31, 2004 (continued)
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at market value (cost $98,073,689, $42,174,070,
$57,422,618 and $44,901,312, respectively) $100,545,128 $43,086,674 $57,368,409 $46,902,978
Cash 90,852 272,368 370,461 476,526
Receivables:
Interest 1,584,821 711,604 868,900 859,459
Investments sold 60,000 45,101 50,000 30,519
Other assets 6,823 8,978 331 2,466
------------------------------------------------------------------------------------------------------------------------------------
Total assets 102,287,624 44,124,725 58,658,101 48,271,948
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Cash overdraft -- -- -- --
Payable for investments purchased 400,000 200,000 -- --
Accrued expenses:
Management fees 55,802 12,957 16,302 26,478
Other 24,081 6,858 19,171 13,814
Preferred share dividends payable 2,052 1,322 1,546 940
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 481,935 221,137 37,019 41,232
------------------------------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 34,000,000 15,000,000 20,500,000 16,000,000
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 67,805,689 $28,903,588 $38,121,082 $32,230,716
====================================================================================================================================
Common shares outstanding 4,727,341 1,947,896 2,714,367 2,242,599
====================================================================================================================================
Net asset value per Common share outstanding
(net assets applicable to Common shares,
divided by Common shares outstanding) $ 14.34 $ 14.84 $ 14.04 $ 14.37
====================================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 47,273 $ 19,479 $ 27,144 $ 22,426
Paid-in surplus 65,579,160 27,567,281 38,237,364 29,870,430
Undistributed (Over-distribution of) net investment income 833,077 272,167 (73,094) 400,226
Accumulated net realized gain (loss) from investments (1,125,260) 132,057 (16,123) (64,032)
Net unrealized appreciation (depreciation) of investments 2,471,439 912,604 (54,209) 2,001,666
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 67,805,689 $28,903,588 $38,121,082 $32,230,716
====================================================================================================================================
Authorized shares:
Common Unlimited Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited Unlimited
====================================================================================================================================
See accompanying notes to financial statements.
42
Statement of
OPERATIONS Year Ended May 31, 2004
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME $5,913,942 $ 2,783,395 $2,506,702 $ 4,287,158
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 769,502 376,852 347,375 616,692
Preferred shares - auction fees 96,115 48,936 43,917 80,452
Preferred shares - dividend disbursing agent fees 10,028 10,028 10,028 10,028
Shareholders' servicing agent fees and expenses 16,388 1,373 1,589 1,240
Custodian's fees and expenses 32,257 16,482 14,815 23,534
Trustees' fees and expenses 2,398 1,290 1,026 1,721
Professional fees 12,419 10,717 12,144 12,370
Shareholders' reports - printing and mailing expenses 16,033 5,149 7,695 13,065
Stock exchange listing fees 11,111 158 153 549
Investor relations expense 6,660 3,033 4,783 9,209
Other expenses 12,045 12,081 5,729 8,253
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense reimbursement 984,956 486,099 449,254 777,113
Custodian fee credit (3,028) (4,930) (2,587) (6,450)
Expense reimbursement -- (173,932) (160,327) (303,602)
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 981,928 307,237 286,340 467,061
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 4,932,014 2,476,158 2,220,362 3,820,097
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized gain (loss) from investments 722,872 (74,861) 241,031 (13,145)
Change in net unrealized appreciation (depreciation) of investments (5,838,457) (2,514,188) (2,843,481) (4,885,233)
------------------------------------------------------------------------------------------------------------------------------------
Net gain (loss) from investments (5,115,585) (2,589,049) (2,602,450) (4,898,378)
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (249,202) (129,979) (101,342) (232,209)
From accumulated net realized gains from investments -- -- (23,516) --
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common shares
from distributions to Preferred shareholders (249,202) (129,979) (124,858) (232,209)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable
to Common shares from operations $ (432,773) $ (242,870) $ (506,946) $(1,310,490)
====================================================================================================================================
See accompanying notes to financial statements.
43
Statement of
OPERATIONS Year Ended May 31, 2004 (continued)
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME $5,309,607 $2,189,042 $2,846,221 $2,562,192
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 674,834 292,061 389,640 320,034
Preferred shares - auction fees 85,325 37,643 51,446 41,153
Preferred shares - dividend disbursing agent fees 10,028 10,028 10,028 10,028
Shareholders' servicing agent fees and expenses 9,330 399 546 6,341
Custodian's fees and expenses 25,858 12,855 20,384 15,138
Trustees' fees and expenses 2,124 868 1,461 1,430
Professional fees 12,973 10,184 10,071 9,873
Shareholders' reports - printing and mailing expenses 16,657 3,698 6,830 5,630
Stock exchange listing fees 11,099 95 253 116
Investor relations expense 5,173 2,501 6,630 1,546
Other expenses 11,541 8,550 5,709 10,972
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense reimbursement 864,942 378,882 502,998 422,261
Custodian fee credit (5,590) (3,098) (13,679) (2,828)
Expense reimbursement -- (134,798) (191,823) --
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 859,352 240,986 297,496 419,433
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 4,450,255 1,948,056 2,548,725 2,142,759
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized gain (loss) from investments 942,951 254,529 (16,228) 444,042
Change in net unrealized appreciation (depreciation) of investments (5,525,901) (2,448,042) (3,274,453) (2,836,623)
------------------------------------------------------------------------------------------------------------------------------------
Net gain (loss) from investments (4,582,950) (2,193,513) (3,290,681) (2,392,581)
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (217,866) (75,765) (154,434) (122,983)
From accumulated net realized gains from investments -- (12,018) (4,012) --
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common shares
from distributions to Preferred shareholders (217,866) (87,783) (158,446) (122,983)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable
to Common shares from operations $ (350,561) $ (333,240) $ (900,402) $ (372,805)
====================================================================================================================================
See accompanying notes to financial statements.
44
Statement of
CHANGES IN NET ASSETS
CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK)
---------------------------- ----------------------------- ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
5/31/04 5/31/03 5/31/04 5/31/03 5/31/04 5/31/03
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 4,932,014 $ 5,198,312 $ 2,476,158 $ 2,551,921 $ 2,220,362 $ 2,263,151
Net realized gain (loss)
from investments 722,872 1,504,009 (74,861) (278,778) 241,031 325,473
Change in net unrealized
appreciation (depreciation)
of investments (5,838,457) 4,082,959 (2,514,188) 3,304,347 (2,843,481) 3,671,087
Distributions to Preferred
Shareholders:
From net investment income (249,202) (358,883) (129,979) (170,791) (101,342) (169,519)
From accumulated net realized
gains from investments -- -- -- -- (23,516) (11,970)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from operations (432,773) 10,426,397 (242,870) 5,406,699 (506,946) 6,078,222
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (4,686,749) (4,646,089) (2,261,395) (2,140,226) (2,004,077) (1,910,300)
From accumulated net realized gains
from investments -- -- -- -- (267,884) (143,733)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to
Common shares from distributions
to Common shareholders (4,686,749) (4,646,089) (2,261,395) (2,140,226) (2,271,961) (2,054,033)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Common shares:
Net proceeds from sale of shares -- -- 1,664 -- -- --
Net proceeds from shares
issued to shareholders due to
reinvestment of distributions 352,597 384,893 115,496 100,877 12,077 4,040
Preferred shares offering costs -- -- -- 23,986 (27,909) 5,020
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from capital share transactions 352,597 384,893 117,160 124,863 (15,832) 9,060
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares (4,766,925) 6,165,201 (2,387,105) 3,391,336 (2,794,739) 4,033,249
Net assets applicable to Common
shares at the beginning
of period 82,492,054 76,326,853 39,624,642 36,233,306 37,441,218 33,407,969
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of period $77,725,129 $82,492,054 $37,237,537 $39,624,642 $34,646,479 $37,441,218
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income at the
end of period $ 791,740 $ 796,522 $ 330,560 $ 245,776 $ 318,421 $ 203,941
====================================================================================================================================
See accompanying notes to financial statements.
45
Statement of
CHANGES IN NET ASSETS (continued)
CONNECTICUT MASSACHUSETTS PREMIUM MASSACHUSETTS
DIVIDEND ADVANTAGE 3 (NGO) INCOME (NMT) DIVIDEND ADVANTAGE (NMB)
---------------------------- ----------------------------- ----------------------------
FOR THE
PERIOD 9/26/02
(COMMENCEMENT
YEAR ENDED OF OPERATIONS) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
5/31/04 THROUGH 5/31/03 5/31/04 5/31/03 5/31/04 5/31/03
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 3,820,097 $ 2,173,106 $ 4,450,255 $ 4,619,396 $ 1,948,056 $ 2,027,149
Net realized gain (loss)
from investments (13,145) (265,032) 942,951 (16,814) 254,529 133,861
Change in net unrealized
appreciation (depreciation)
of investments (4,885,233) 4,293,882 (5,525,901) 3,635,536 (2,448,042) 3,241,102
Distributions to Preferred
Shareholders:
From net investment income (232,209) (163,989) (217,866) (315,608) (75,765) (139,815)
From accumulated net realized
gains from investments -- -- -- -- (12,018) --
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from operations (1,310,490) 6,037,967 (350,561) 7,922,510 (333,240) 5,262,297
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (3,390,125) (1,969,268) (4,161,260) (4,094,191) (1,786,931) (1,703,320)
From accumulated net realized
gains from investments -- -- -- -- (153,574) --
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to
Common shares from distributions
to Common shareholders (3,390,125) (1,969,268) (4,161,260) (4,094,191) (1,940,505) (1,703,320)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Common shares:
Net proceeds from sale of shares -- 61,625,745 -- -- 1,664 --
Net proceeds from shares
issued to shareholders due to
reinvestment of distributions 165,098 290,710 314,919 317,813 41,277 31,840
Preferred shares offering costs (14,584) (761,500) -- -- -- 24,400
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from capital share transactions 150,514 61,154,955 314,919 317,813 42,941 56,240
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares (4,550,101) 65,223,654 (4,196,902) 4,146,132 (2,230,804) 3,615,217
Net assets applicable to Common
shares at the beginning
of period 65,323,929 100,275 72,002,591 67,856,459 31,134,392 27,519,175
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of period $60,773,828 $65,323,929 $67,805,689 $72,002,591 $28,903,588 $31,134,392
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income at the
end of period $ 237,612 $ 39,849 $ 833,077 $ 813,281 $ 272,167 $ 190,315
====================================================================================================================================
See accompanying notes to financial statements.
46
INSURED MASSACHUSETTS MISSOURI PREMIUM
TAX-FREE ADVANTAGE (NGX) INCOME (NOM)
------------------------------ ---------------------------
FOR THE
PERIOD 11/21/02
(COMMENCEMENT
YEAR ENDED OF OPERATIONS) YEAR ENDED YEAR ENDED
5/31/04 THROUGH 5/31/03 5/31/04 5/31/03
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 2,548,725 $ 931,105 $ 2,142,759 $ 2,153,739
Net realized gain (loss) from investments (16,228) 44,352 444,042 (15,252)
Change in net unrealized appreciation
(depreciation) of investments (3,274,453) 3,220,244 (2,836,623) 2,231,265
Distributions to Preferred Shareholders:
From net investment income (154,434) (81,083) (122,983) (161,228)
From accumulated net realized
gains from investments (4,012) -- -- --
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from operations (900,402) 4,114,618 (372,805) 4,208,524
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (2,342,674) (974,628) (1,963,048) (1,919,228)
From accumulated net realized gains
from investments (39,926) -- -- --
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to
Common shares from distributions
to Common shareholders (2,382,600) (974,628) (1,963,048) (1,919,228)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Common shares:
Net proceeds from sale of shares -- 38,596,500 -- --
Net proceeds from shares
issued to shareholders due to
reinvestment of distributions 100,710 14,987 339,007 318,941
Preferred shares offering costs 6,822 (555,200) -- --
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares
from capital share transactions 107,532 38,056,287 339,007 318,941
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares (3,175,470) 41,196,277 (1,996,846) 2,608,237
Net assets applicable to Common
shares at the beginning of period 41,296,552 100,275 34,227,562 31,619,325
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common
shares at the end of period $38,121,082 $41,296,552 $32,230,716 $34,227,562
====================================================================================================================================
Undistributed (Over-distribution of)
net investment income at the
end of period $ (73,094) $ (124,606) $ 400,226 $ 344,130
====================================================================================================================================
See accompanying notes to financial statements.
47
Notes to
FINANCIAL STATEMENTS
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The state Funds (the "Funds") covered in this report and their corresponding
Common share stock exchange symbols are Nuveen Connecticut Premium Income
Municipal Fund (NTC), Nuveen Connecticut Dividend Advantage Municipal Fund
(NFC), Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK), Nuveen
Connecticut Dividend Advantage Municipal Fund 3 (NGO), Nuveen Massachusetts
Premium Income Municipal Fund (NMT), Nuveen Massachusetts Dividend Advantage
Municipal Fund (NMB), Nuveen Insured Massachusetts Tax-Free Advantage Municipal
Fund (NGX) and Nuveen Missouri Premium Income Municipal Fund (NOM). Common
shares of Connecticut Premium Income (NTC) and Massachusetts Premium Income
(NMT) are traded on the New York Stock Exchange while Common shares of
Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK),
Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB),
Insured Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM)
are traded on the American Stock Exchange. The Funds are registered under the
Investment Company Act of 1940, as amended, as closed-end management investment
companies.
Prior to the commencement of operations of Connecticut Dividend Advantage 3
(NGO) and Insured Massachusetts Tax-Free Advantage (NGX), each Fund had no
operations other than those related to organizational matters, the initial
capital contribution of $100,275 per Fund by Nuveen Advisory Corp. (the
"Adviser"), a wholly owned subsidiary of Nuveen Investments, Inc., and the
recording of the organization expenses ($11,500 per Fund) and their
reimbursement by Nuveen Investments, LLC, also a wholly owned subsidiary of
Nuveen Investments, Inc.
Each Fund seeks to provide current income exempt from both regular federal and
designated state income taxes, and in the case of Insured Massachusetts Tax-Free
Advantage (NGX) the alternative minimum tax applicable to individuals, by
investing primarily in a diversified portfolio of municipal obligations issued
by state and local government authorities within a single state.
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.
Securities Valuation
The prices of municipal bonds in each Fund's investment portfolio are provided
by a pricing service approved by the Fund's Board of Trustees. When price quotes
are not readily available (which is usually the case for municipal securities),
the pricing service establishes fair market value based on yields or prices of
municipal bonds of comparable quality, type of issue, coupon, maturity and
rating, indications of value from securities dealers, evaluations of anticipated
cash flows or collateral and general market conditions. If it is determined that
market prices for a security are unavailable or inappropriate, the Board of
Trustees of the Funds, or its designee, may establish a fair value for the
security. Temporary investments in securities that have variable rate and demand
features qualifying them as short-term securities are valued at amortized cost,
which approximates market value.
Securities Transactions
Securities transactions are recorded on a trade date basis. Realized gains and
losses from such transactions are determined on the specific identification
method. Securities purchased or sold on a when-issued or delayed delivery basis
may have extended settlement periods. The securities so purchased are subject to
market fluctuation during this period. The Funds have instructed the custodian
to segregate assets with a current value at least equal to the amount of the
when-issued and delayed delivery purchase commitments. At May 31, 2004,
Massachusetts Premium Income (NMT) and Massachusetts Dividend Advantage (NMB)
had outstanding when-issued purchase commitments of $400,000 and $200,000,
respectively. There were no such outstanding purchase commitments in any of the
other Funds.
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
48
Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund
intends to comply with the requirements of the Internal Revenue Code applicable
to regulated investment companies and to distribute all of its net investment
income to its shareholders. Therefore, no federal income tax provision is
required. Furthermore, each Fund intends to satisfy conditions which will enable
interest from municipal securities, which is exempt from regular federal and
designated state income taxes, and in the case of Insured Massachusetts Tax-Free
Advantage (NGX) the alternative minimum tax applicable to individuals, to retain
such tax-exempt status when distributed to shareholders of the Funds. All
monthly tax-exempt income dividends paid during the fiscal year ended May 31,
2004, have been designated Exempt Interest Dividends.
Dividends and Distributions to Common Shareholders
Dividends from tax-exempt net investment income are declared monthly. Net
realized capital gains and/or market discount from investment transactions, if
any, are distributed to shareholders not less frequently than annually.
Furthermore, capital gains are distributed only to the extent they exceed
available capital loss carryforwards.
Distributions to Common shareholders of tax-exempt net investment income, net
realized capital gains and/or market discount, if any, are recorded on the
ex-dividend date. The amount and timing of distributions are determined in
accordance with federal income tax regulations, which may differ from U.S.
generally accepted accounting principles.
Preferred Shares
The Funds have issued and outstanding $25,000 stated value Preferred shares.
Each Fund's Preferred shares are issued in one Series. The dividend rate on each
Series may change every seven days, as set pursuant to a dutch auction process
by the auction agent, and is payable at or near the end of each rate period. The
number of Preferred shares outstanding for each Fund is as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
----------------------------------------------------------------------------------------
Number of shares:
Series T -- 780 -- --
Series W -- -- 700 --
Series TH 1,532 -- -- --
Series F -- -- -- 1,280
========================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
----------------------------------------------------------------------------------------
Number of shares:
Series T -- 600 -- --
Series W -- -- 820 --
Series TH 1,360 -- -- 640
Series F -- -- -- --
========================================================================================
Effective November 15, 2002, Connecticut Dividend Advantage 3 (NGO) issued 1,280
Series F, $25,000 stated value Preferred shares.
Effective January 17, 2003, Insured Massachusetts Tax-Free Advantage (NGX)
issued 820 Series W, $25,000 stated value Preferred shares.
Insurance
Insured Massachusetts Tax-Free Advantage (NGX) invests at least 80% of its net
assets (including net assets applicable to Preferred shares) in municipal
securities that are covered by insurance. The Fund may also invest up to 20% of
its net assets (including net assets applicable to Preferred shares) in
municipal securities which are either (i) backed by an escrow or trust
containing sufficient U.S. Government or U.S. Government agency securities, or
(ii) municipal bonds that are rated, at the time of investment, within the four
highest grades (Baa or BBB or better by Moody's, S&P or Fitch) or unrated but
judged to be of comparable quality by the Adviser.
Each insured municipal security is covered by Original Issue Insurance,
Secondary Market Insurance or Portfolio Insurance. Such insurance does not
guarantee the market value of the municipal securities or the value of the
Fund's Common shares. Original Issue Insurance and Secondary Market Insurance
remain in effect as long as the municipal securities covered thereby remain
outstanding and the insurer remains in business, regardless of whether the Fund
ultimately disposes of such municipal securities. Consequently, the market value
of the municipal securities covered by Original Issue Insurance or Secondary
Market Insurance may reflect value attributable to the insurance. Portfolio
Insurance is effective only while the municipal securities are held by the Fund.
Accordingly, neither the prices used in determining the market value of the
underlying municipal securities nor the Common share net asset value of the Fund
includes value, if any, attributable to the Portfolio Insurance. Each policy of
the Portfolio Insurance does, however, give the Fund the right to obtain
permanent insurance with respect to the municipal security covered by the
Portfolio Insurance policy at the time of its sale.
49
Notes to
FINANCIAL STATEMENTS (continued)
Derivative Financial Instruments
The Funds may invest in certain derivative financial instruments including
futures, forward, swap and option contracts, and other financial instruments
with similar characteristics. Although the Funds are authorized to invest in
such financial instruments, and may do so in the future, they did not make any
such investments during the fiscal year ended May 31, 2004.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on each Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Offering Costs
Nuveen Investments, LLC has agreed to pay all Common share offering costs (other
than the sales load) that exceed $.03 per Common share for Connecticut Dividend
Advantage 3 (NGO) and Insured Massachusetts Tax-Free Advantage (NGX).
Connecticut Dividend Advantage 3's (NGO) and Insured Massachusetts Tax-Free
Advantage's (NGX) share of Common share offering costs ($129,330 and $81,000,
respectively) were recorded as a reduction of the proceeds from the sale of
Common shares.
Costs incurred by Connecticut Dividend Advantage 3 (NGO) and Insured
Massachusetts Tax-Free Advantage (NGX) in connection with their offering of
Preferred shares ($776,084 and $548,378, respectively) were recorded as a
reduction to paid-in surplus.
Indemnifications
Under the Funds' organizational documents, its 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.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles 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. FUND SHARES
Transactions in Common and Preferred shares were as follows:
CONNECTICUT CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND
PREMIUM INCOME (NTC) ADVANTAGE (NFC) ADVANTAGE 2 (NGK)
----------------------- ---------------------- -----------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
5/31/04 5/31/03 5/31/04 5/31/03 5/31/04 5/31/03
---------------------------------------------------------------------------------------------------------
Common shares:
Shares sold -- -- -- -- -- --
Shares issued to shareholders
due to reinvestment of
distributions 21,447 23,492 7,211 6,514 748 260
---------------------------------------------------------------------------------------------------------
21,447 23,492 7,211 6,514 748 260
=========================================================================================================
Preferred shares sold -- -- -- -- -- --
=========================================================================================================
50
CONNECTICUT DIVIDEND MASSACHUSETTS MASSACHUSETTS DIVIDEND
ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) ADVANTAGE (NMB)
--------------------------- ---------------------- ------------------------
FOR THE
PERIOD 9/26/02
(COMMENCEMENT
YEAR ENDED OF OPERATIONS) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
5/31/04 THROUGH 5/31/03 5/31/04 5/31/03 5/31/04 5/31/03
--------------------------------------------------------------------------------------------------------------
Common shares:
Shares sold -- 4,311,000 -- -- -- --
Shares issued to shareholders
due to reinvestment of
distributions 11,300 19,555 20,346 19,972 2,552 2,042
--------------------------------------------------------------------------------------------------------------
11,300 4,330,555 20,346 19,972 2,552 2,042
==============================================================================================================
Preferred shares sold -- 1,280 -- -- -- --
==============================================================================================================
INSURED
MASSACHUSETTS TAX-FREE MISSOURI
ADVANTAGE (NGX) PREMIUM INCOME (NOM)
---------------------------- -----------------------
FOR THE
PERIOD 11/21/02
(COMMENCEMENT
YEAR ENDED OF OPERATIONS) YEAR ENDED YEAR ENDED
5/31/04 THROUGH 5/31/03 5/31/04 5/31/03
-------------------------------------------------------------------------------------------------------
Common shares:
Shares sold -- 2,700,000 -- --
Shares issued to shareholders
due to reinvestment of
distributions 6,392 975 20,100 19,544
-------------------------------------------------------------------------------------------------------
6,392 2,700,975 20,100 19,544
=======================================================================================================
Preferred shares sold -- 820 -- --
=======================================================================================================
3. SECURITIES TRANSACTIONS
Purchases and sales (including maturities) of investments in long-term municipal
securities during the fiscal year ended May 31, 2004, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
-------------------------------------------------------------------------------------------------------
Purchases $18,667,683 $5,075,147 $5,294,860 $14,916,539
Sales and maturities 17,687,414 2,361,230 5,600,834 12,677,361
=======================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
-------------------------------------------------------------------------------------------------------
Purchases $22,705,663 $11,763,881 $58,195,802 $12,258,018
Sales and maturities 23,423,348 11,362,735 61,712,941 11,649,438
=======================================================================================================
51
Notes to
FINANCIAL STATEMENTS (continued)
4. 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 income on taxable market
discount securities and timing differences in recognizing certain gains and
losses on security transactions.
At May 31, 2004, the cost of investments were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
--------------------------------------------------------------------------------
Cost of investments $111,187,147 $54,811,976 $49,982,720 $91,817,496
================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
--------------------------------------------------------------------------------
Cost of investments $97,942,211 $42,156,449 $57,422,583 $44,882,345
================================================================================
Gross unrealized appreciation and gross unrealized depreciation of investments
at May 31, 2004, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
------------------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $3,864,229 $1,492,068 $1,786,684 $ 630,742
Depreciation (813,873) (388,577) (257,836) (1,211,903)
------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation)
of investments $3,050,356 $1,103,491 $1,528,848 $ (581,161)
============================================================================================================
52
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
-------------------------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $3,291,425 $1,093,301 $ 510,317 $2,218,908
Depreciation (688,508) (163,076) (564,491) (198,275)
-------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation)
of investments $2,602,917 $ 930,225 $ (54,174) $2,020,633
===================================================================================================================
The tax components of undistributed net investment income and net realized gains
at May 31, 2004, were as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
----------------------------------------------------------------------------------------------------------------
Undistributed net tax-exempt income $1,173,557 $502,475 $478,530 $512,881
Undistributed net ordinary income * -- -- -- 4,435
Undistributed net long-term capital gains -- -- 119,864 --
================================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
----------------------------------------------------------------------------------------------------------------
Undistributed net tax-exempt income $998,406 $406,831 $123,850 $547,030
Undistributed net ordinary income * 52,706 -- -- --
Undistributed net long-term capital gains -- 132,057 -- --
================================================================================================================
* 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 fiscal years ended May 31,
2004 and May 31, 2003, was designated for purposes of the dividends paid
deduction as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
2004 (NTC) (NFC) (NGK) (NGO)
----------------------------------------------------------------------------------------------------------
Distributions from net tax-exempt income $4,933,954 $2,378,343 $2,093,729 $3,619,201
Distributions from net ordinary income * -- -- 85,538 --
Distributions from net long-term capital gains -- -- 205,862 --
==========================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
2004 (NMT) (NMB) (NGX) (NOM)
----------------------------------------------------------------------------------------------------------
Distributions from net tax-exempt income $4,376,698 $1,853,471 $2,496,989 $2,082,426
Distributions from net ordinary income * -- -- 44,352 --
Distributions from net long-term capital gains -- 165,592 -- --
==========================================================================================================
* Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
53
Notes to
FINANCIAL STATEMENTS (continued)
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
2003 (NTC) (NFC) (NGK) (NGO)
----------------------------------------------------------------------------------------------------------
Distributions from net tax-exempt income $4,914,860 $2,309,669 $2,079,493 $1,846,495
Distributions from net ordinary income * 74,506 -- 124,592 --
Distributions from net long-term capital gains -- -- 31,111 --
==========================================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
2003 (NMT) (NMB) (NGX) (NOM)
-------------------------------------------------------------------------------------------------------------
Distributions from net tax-exempt income $4,392,112 $1,843,169 $858,850 $2,071,810
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.
At May 31, 2004, the following Funds had unused capital loss carryforwards
available for federal income tax purposes to be applied against future capital
gains, if any. If not applied, the carryforwards will expire as follows:
INSURED
CONNECTICUT CONNECTICUT CONNECTICUT MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND DIVIDEND PREMIUM TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE 3 INCOME ADVANTAGE INCOME
(NTC) (NFC) (NGO) (NMT) (NGX) (NOM)
--------------------------------------------------------------------------------------------------------------
Expiration year:
2005 $ -- $ -- $ -- $ 195,761 $ -- $ --
2006 -- -- -- -- -- --
2007 -- -- -- -- -- --
2008 -- -- -- 210,990 -- 57,433
2009 45,596 30,535 -- 718,509 -- --
2010 -- 42,027 -- -- -- 6,599
2011 -- -- 172,070 -- -- --
2012 -- 383,232 106,107 -- 16,123 --
--------------------------------------------------------------------------------------------------------------
Total $45,596 $455,794 $278,177 $1,125,260 $16,123 $64,032
==============================================================================================================
54
5. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Under Connecticut Premium Income's (NTC), Massachusetts Premium Income's (NMT)
and Missouri Premium Income's (NOM) investment management agreements with the
Adviser, each Fund pays an annual management fee, payable monthly, at the rates
set forth below, which are based upon the average daily net assets (including
net assets attributable to Preferred shares) of each Fund as follows:
AVERAGE DAILY NET ASSETS (INCLUDING NET ASSETS
ATTRIBUTABLE TO PREFERRED SHARES) MANAGEMENT FEE
--------------------------------------------------------------------------------
For the first $125 million .6500%
For the next $125 million .6375
For the next $250 million .6250
For the next $500 million .6125
For the next $1 billion .6000
For the next $3 billion .5875
For net assets over $5 billion .5750
================================================================================
Under Connecticut Dividend Advantage's (NFC), Connecticut Dividend Advantage 2's
(NGK), Connecticut Dividend Advantage 3's (NGO), Massachusetts Dividend
Advantage's (NMB) and Insured Massachusetts Tax-Free Advantage's (NGX)
investment management agreements with the Adviser, each Fund pays an annual
management fee, payable monthly, at the rates set forth below, which are based
upon the average daily net assets (including net assets attributable to
Preferred shares) of each Fund as follows:
AVERAGE DAILY NET ASSETS (INCLUDING NET ASSETS
ATTRIBUTABLE TO PREFERRED SHARES) MANAGEMENT FEE
--------------------------------------------------------------------------------
For the first $125 million .6500%
For the next $125 million .6375
For the next $250 million .6250
For the next $500 million .6125
For the next $1 billion .6000
For net assets over $2 billion .5750
================================================================================
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Funds pay no
compensation directly to those of its Trustees who are affiliated with the
Adviser or to their 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.
As approved by the Board of Trustees, a complex-wide fee schedule for all Funds
managed by the Adviser and its affiliates will go into effect on August 1, 2004.
The implementation of this complex-wide fee schedule is expected to result in a
marginal immediate decrease in the rate at which management fees are to be paid
by the Funds. As assets in the Nuveen Fund complex grow, the management fee
rates to be paid by the Funds will decrease further. Under no circumstances will
the complex-wide fee schedule result in an increase in the rate at which
management fees would be paid by the Funds if the complex-wide fee schedule were
not implemented.
55
Notes to
FINANCIAL STATEMENTS (continued)
For the first ten years of Connecticut Dividend Advantage's (NFC) and
Massachusetts Dividend Advantage's (NMB) operations, the Adviser has agreed to
reimburse the Funds, as a percentage of average daily net assets (including net
assets attributable to Preferred shares), for fees and expenses in the amounts
and for the time periods set forth below:
YEAR ENDING YEAR ENDING
JANUARY 31, JANUARY 31,
--------------------------------------------------------------------------------
2001* .30% 2007 .25%
2002 .30 2008 .20
2003 .30 2009 .15
2004 .30 2010 .10
2005 .30 2011 .05
2006 .30
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Connecticut Dividend Advantage (NFC) and
Massachusetts Dividend Advantage (NMB) for any portion of its fees and expenses
beyond January 31, 2011.
For the first ten years of Connecticut Dividend Advantage 2's (NGK) operations,
the Adviser has agreed to reimburse the Fund, as a percentage of average daily
net assets (including net assets attributable to Preferred shares), 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.
56
For the first eight years of Connecticut Dividend Advantage 3's (NGO)
operations, the Adviser has agreed to reimburse the Fund, as a percentage of
average daily net assets (including net assets attributable to Preferred
shares), for fees and expenses in the amounts and for the time periods set forth
below:
YEAR ENDING YEAR ENDING
SEPTEMBER 30, SEPTEMBER 30,
--------------------------------------------------------------------------------
2002* .32% 2007 .32%
2003 .32 2008 .24
2004 .32 2009 .16
2005 .32 2010 .08
2006 .32
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Connecticut Dividend Advantage 3 (NGO)
for any portion of its fees and expenses beyond September 30, 2010.
For the first eight years of Insured Massachusetts Tax-Free Advantage's (NGX)
operations, the Adviser has agreed to reimburse the Fund, as a percentage of
average daily net assets (including net assets attributable to Preferred
shares), for fees and expenses in the amounts and for the time periods set forth
below:
YEAR ENDING YEAR ENDING
NOVEMBER 30, NOVEMBER 30,
--------------------------------------------------------------------------------
2002* .32% 2007 .32%
2003 .32 2008 .24
2004 .32 2009 .16
2005 .32 2010 .08
2006 .32
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse Insured Massachusetts Tax-Free Advantage
(NGX) for any portion of its fees and expenses beyond November 30, 2010.
57
Notes to
FINANCIAL STATEMENTS (continued)
6. SUBSEQUENT EVENT
Distributions to Common Shareholders
The Funds declared Common share dividend distributions from their tax-exempt net
investment income which were paid on July 1, 2004, to shareholders of record on
June 15, 2004, as follows:
CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT
PREMIUM DIVIDEND DIVIDEND DIVIDEND
INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3
(NTC) (NFC) (NGK) (NGO)
--------------------------------------------------------------------------------
Dividend per share $.0735 $.0745 $.0735 $.0650
================================================================================
INSURED
MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI
PREMIUM DIVIDEND TAX-FREE PREMIUM
INCOME ADVANTAGE ADVANTAGE INCOME
(NMT) (NMB) (NGX) (NOM)
--------------------------------------------------------------------------------
Dividend per share $.0735 $.0775 $.0720 $.0735
================================================================================
Swap Transactions
The following Funds entered into forward starting swap transactions for the
purpose of hedging their portfolio duration. The swap transactions will be
marked to market daily with the corresponding unrealized gain or loss reflected
in the Fund's NAV. The Funds entered into forward starting swap transactions on
the dates and in the notational amounts as follows:
CONNECTICUT DIVIDEND CONNECTICUT DIVIDEND
ADVANTAGE (NFC) ADVANTAGE 2 (NGK)
--------------------------------------------------------------------------------
Trade Date July 1, 2004 July 15, 2004 July 1, 2004 July 15, 2004
--------------------------------------------------------------------------------
Notional Amount $51,500,000 $40,000,000 $51,500,000 $40,000,000
================================================================================
CONNECTICUT DIVIDEND INSURED MASSACHUSETTS
ADVANTAGE 3 (NGO) TAX-FREE ADVANTAGE (NGX)
--------------------------------------------------------------------------------
Trade Date July 1, 2004 July 15, 2004 June 9, 2004 June 23, 2004
--------------------------------------------------------------------------------
Notional Amount $51,500,000 $40,000,000 $33,000,000 $17,000,000
================================================================================
58
Financial
HIGHLIGHTS
59
FINANCIAL
HIGHLIGHTS
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
---------------------------------------------------------------- ------------------------------
Distributions Distributions
from Net from From Net
Beginning Net Investment Capital Investment Capital
Common Realized/ Income to Gains to Income to Gains to
Share Net Unrealized Preferred Preferred Common Common
Net Asset Investment Investment Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
====================================================================================================================================
CONNECTICUT PREMIUM
INCOME (NTC)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 $15.56 $ .93 $ (.96) $(.05) $ -- $ (.08) $(.88) $ -- $(.88)
2003 14.46 .98 1.07 (.07) -- 1.98 (.88) -- (.88)
2002 14.20 1.00 .20 (.10) -- 1.10 (.84) -- (.84)
2001 12.92 1.02 1.32 (.24) -- 2.10 (.82) -- (.82)
2000 14.44 1.06 (1.54) (.22) -- (.70) (.82) -- (.82)
CONNECTICUT DIVIDEND
ADVANTAGE (NFC)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 15.53 .97 (1.00) (.05) -- (.08) (.89) -- (.89)
2003 14.24 1.00 1.19 (.07) -- 2.12 (.84) -- (.84)
2002 13.88 1.00 .31 (.11) -- 1.20 (.84) -- (.84)
2001(a) 14.33 .21 (.23) (.05) -- (.07) (.21) -- (.21)
CONNECTICUT DIVIDEND
ADVANTAGE 2 (NGK)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 16.23 .96 (1.13) (.04) (.01) (.22) (.87) (.12) (.99)
2003 14.48 .98 1.74 (.07) (.01) 2.64 (.83) (.06) (.89)
2002(b) 14.33 .08 .30 -- -- .38 (.07) -- (.07)
CONNECTICUT DIVIDEND
ADVANTAGE 3 (NGO)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 15.06 .88 (1.14) (.05) -- (.31) (.78) -- (.78)
2003(c) 14.33 .51 .93 (.04) -- 1.40 (.46) -- (.46)
====================================================================================================================================
Total Returns
---------------------
Based
Offering on
Costs and Ending Common
Preferred Common Based Share
Share Share Ending on Net
Underwriting Net Asset Market Market Asset
Discounts Value Value Value** Value**
==========================================================================================
CONNECTICUT PREMIUM
INCOME (NTC)
------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 $ -- $14.60 $14.4700 (10.80)% (.51)%
2003 -- 15.56 17.1400 12.63 14.08
2002 -- 14.46 16.0500 5.01 7.87
2001 -- 14.20 16.1000 25.91 16.57
2000 -- 12.92 13.5000 (14.85) (4.87)
CONNECTICUT DIVIDEND
ADVANTAGE (NFC)
------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 -- 14.56 14.1200 (8.64) (.56)
2003 .01 15.53 16.3500 9.19 15.38
2002 -- 14.24 15.7900 8.61 8.81
2001(a) (.17) 13.88 15.3400 3.71 (1.67)
CONNECTICUT DIVIDEND
ADVANTAGE 2 (NGK)
------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 (.01) 15.01 14.1400 (4.65) (1.48)
2003 -- 16.23 15.8000 11.16 18.77
2002(b) (.16) 14.48 15.0500 .79 1.53
CONNECTICUT DIVIDEND
ADVANTAGE 3 (NGO)
------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 -- 13.97 13.0000 (8.92) (2.08)
2003(c) (.21) 15.06 15.0900 3.71 8.46
==========================================================================================
Ratios/Supplemental Data
----------------------------------------------------------------------------------------------------
Before Credit/Reimbursement After Credit/Reimbursement***
------------------------------- ---------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Ending Expenses Income to Expenses Income to
Net to Average Average to Average Average
Assets Net Assets Net Assets Net Assets Net Assets
Applicable Applicable Applicable Applicable Applicable Portfolio
to Common to Common to Common to Common to Common Turnover
Shares (000) Shares++ Shares++ Shares++ Shares++ Rate
================================================================================================================================
CONNECTICUT PREMIUM
INCOME (NTC)
--------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 $77,725 1.23% 6.16% 1.23% 6.16% 15%
2003 82,492 1.27 6.57 1.26 6.58 23
2002 76,327 1.34 6.90 1.34 6.91 12
2001 74,642 1.33 7.36 1.31 7.39 8
2000 67,579 1.36 7.87 1.32 7.91 19
CONNECTICUT DIVIDEND
ADVANTAGE (NFC)
--------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 37,238 1.26 5.97 .80 6.44 4
2003 39,625 1.27 6.29 .81 6.76 7
2002 36,233 1.38 6.56 .88 7.06 20
2001(a) 35,255 1.22* 4.10* .80* 4.52* 29
CONNECTICUT DIVIDEND
ADVANTAGE 2 (NGK)
--------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 34,646 1.25 5.73 .80 6.18 10
2003 37,441 1.31 5.94 .82 6.43 13
2002(b) 33,408 1.06* 2.90* .73* 3.23* --
CONNECTICUT DIVIDEND
ADVANTAGE 3 (NGO)
--------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 60,774 1.24 5.58 .74 6.08 14
2003(c) 65,324 1.19* 4.72* .71* 5.20* 18
================================================================================================================================
Preferred Shares at End of Period
-------------------------------------------
Aggregate Liquidation
Amount and Market Asset
Outstanding Value Coverage
(000) Per Share Per Share
======================================================================
CONNECTICUT PREMIUM
INCOME (NTC)
----------------------------------------------------------------------
Year Ended 5/31:
2004 $38,300 $25,000 $75,734
2003 38,300 25,000 78,846
2002 38,300 25,000 74,822
2001 38,300 25,000 73,722
2000 38,300 25,000 69,112
CONNECTICUT DIVIDEND
ADVANTAGE (NFC)
----------------------------------------------------------------------
Year Ended 5/31:
2004 19,500 25,000 72,740
2003 19,500 25,000 75,801
2002 19,500 25,000 71,453
2001(a) 19,500 25,000 70,198
CONNECTICUT DIVIDEND
ADVANTAGE 2 (NGK)
----------------------------------------------------------------------
Year Ended 5/31:
2004 17,500 25,000 74,495
2003 17,500 25,000 78,487
2002(b) 17,500 25,000 72,726
CONNECTICUT DIVIDEND
ADVANTAGE 3 (NGO)
----------------------------------------------------------------------
Year Ended 5/31:
2004 32,000 25,000 72,480
2003(c) 32,000 25,000 76,034
======================================================================
* Annualized.
** Total Investment Return on Market Value is the combination of reinvested
dividend income, reinvested capital gains distributions, if any, and
changes in stock price per share. Total Return on Common Share Net Asset
Value is the combination of reinvested dividend income at net asset value,
reinvested capital gains distributions at net asset value, if any, and
changes in Common share net asset value per share. Total returns are not
annualized.
*** After custodian fee credit and expense reimbursement, where applicable.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Preferred
shareholders; income ratios reflect income earned on assets attributable to
Preferred shares.
(a) For the period January 26, 2001 (commencement of operations) through May
31, 2001.
(b) For the period March 25, 2002 (commencement of operations) through May 31,
2002.
(c) For the period September 26, 2002 (commencement of operations) through May
31, 2003.
See accompanying notes to financial statements.
60-61 SPREAD
FINANCIAL HIGHLIGHTS (continued)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
---------------------------------------------------------------- ------------------------------
Distributions Distributions
from Net from From Net
Beginning Net Investment Capital Investment Capital
Common Realized/ Income to Gains to Income to Gains to
Share Net Unrealized Preferred Preferred Common Common
Net Asset Investment Investment Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
====================================================================================================================================
MASSACHUSETTS PREMIUM
INCOME (NMT)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 $15.30 $ .94 $ (.97) $(.05) $ -- $ (.08) $(.88) $ -- $ (.88)
2003 14.48 .98 .78 (.07) -- 1.69 (.87) -- (.87)
2002 14.26 1.03 .13 (.11) -- 1.05 (.83) -- (.83)
2001 13.17 1.05 1.10 (.24) -- 1.91 (.82) -- (.82)
2000 14.72 1.05 (1.54) (.21) -- (.70) (.85) -- (.85)
MASSACHUSETTS DIVIDEND
ADVANTAGE (NMB)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 16.00 1.00 (1.11) (.04) (.01) (.16) (.92) (.08) (1.00)
2003 14.16 1.04 1.74 (.07) -- 2.71 (.88) -- (.88)
2002 13.88 1.03 .25 (.12) -- 1.16 (.88) -- (.88)
2001(a) 14.33 .24 (.24) (.05) -- (.05) (.22) -- (.22)
INSURED MASSACHUSETTS
TAX-FREE ADVANTAGE (NGX)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 15.25 .94 (1.22) (.06) -- (.34) (.86) (.01) (.87)
2003(b) 14.33 .35 1.21 (.03) -- 1.53 (.37) -- (.37)
MISSOURI PREMIUM
INCOME (NOM)
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 15.40 .96 (1.05) (.06) -- (.15) (.88) -- (.88)
2003 14.35 .97 1.02 (.07) -- 1.92 (.87) -- (.87)
2002 13.97 1.01 .31 (.13) -- 1.19 (.81) -- (.81)
2001 12.77 1.02 1.18 (.26) -- 1.94 (.74) -- (.74)
2000 14.20 .99 (1.39) (.26) -- (.66) (.77) -- (.77)
====================================================================================================================================
Total Returns
---------------------
Based
Offering on
Costs and Ending Common
Preferred Common Based Share
Share Share Ending on Net
Underwriting Net Asset Market Market Asset
Discounts Value Value Value** Value**
==========================================================================================
MASSACHUSETTS PREMIUM
INCOME (NMT)
------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 $ -- $14.34 $14.3500 (9.51)% (.51)%
2003 -- 15.30 16.8000 12.98 12.02
2002 -- 14.48 15.7000 8.04 7.51
2001 -- 14.26 15.3300 15.71 14.72
2000 -- 13.17 14.0000 (7.66) (4.79)
MASSACHUSETTS DIVIDEND
ADVANTAGE (NMB)
------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 -- 14.84 14.8800 (3.74) (1.03)
2003 .01 16.00 16.4500 8.76 19.74
2002 -- 14.16 15.9500 14.15 8.46
2001(a) (.18) 13.88 14.8000 .13 (1.61)
INSURED MASSACHUSETTS
TAX-FREE ADVANTAGE (NGX)
------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 -- 14.04 13.9000 (6.83) (2.18)
2003(b) (.24) 15.25 15.7800 7.69 9.07
MISSOURI PREMIUM
INCOME (NOM)
------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 -- 14.37 15.1500 (5.35) (1.00)
2003 -- 15.40 16.8700 15.39 13.75
2002 -- 14.35 15.4100 14.11 8.65
2001 -- 13.97 14.2500 17.41 15.48
2000 -- 12.77 12.8125 (4.35) (4.63)
==========================================================================================
Ratios/Supplemental Data
----------------------------------------------------------------------------------------------------
Before Credit/Reimbursement After Credit/Reimbursement***
------------------------------- ---------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Ending Expenses Income to Expenses Income to
Net to Average Average to Average Average
Assets Net Assets Net Assets Net Assets Net Assets
Applicable Applicable Applicable Applicable Applicable Portfolio
to Common to Common to Common to Common to Common Turnover
Shares (000) Shares++ Shares++ Shares++ Shares++ Rate
==================================================================================================================================
MASSACHUSETTS PREMIUM
INCOME (NMT)
----------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 $67,806 1.24% 6.37% 1.23% 6.38% 22%
2003 72,003 1.28 6.61 1.27 6.63 18
2002 67,856 1.31 7.11 1.30 7.12 13
2001 66,579 1.37 7.46 1.35 7.48 14
2000 61,323 1.32 7.71 1.31 7.73 11
MASSACHUSETTS DIVIDEND
ADVANTAGE (NMB)
----------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 28,904 1.27 6.05 .81 6.51 26
2003 31,134 1.29 6.49 .83 6.95 8
2002 27,519 1.47 6.70 .94 7.24 9
2001(a) 26,951 1.28* 4.84* .84* 5.28* 18
INSURED MASSACHUSETTS
TAX-FREE ADVANTAGE (NGX)
----------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 38,121 1.28 5.94 .75 6.46 97
2003(b) 41,297 1.14* 4.17* .68* 4.64* 19
MISSOURI PREMIUM
INCOME (NOM)
----------------------------------------------------------------------------------------------------------------------------------
Year Ended 5/31:
2004 32,231 1.27 6.44 1.26 6.45 24
2003 34,228 1.34 6.56 1.32 6.58 15
2002 31,619 1.38 7.08 1.36 7.10 8
2001 30,508 1.39 7.48 1.38 7.50 31
2000 27,701 1.48 7.49 1.47 7.51 23
==================================================================================================================================
Preferred Shares at End of Period
-------------------------------------------
Aggregate Liquidation
Amount and Market Asset
Outstanding Value Coverage
(000) Per Share Per Share
=======================================================================
MASSACHUSETTS PREMIUM
INCOME (NMT)
-----------------------------------------------------------------------
Year Ended 5/31:
2004 $34,000 $25,000 $74,857
2003 34,000 25,000 77,943
2002 34,000 25,000 74,894
2001 34,000 25,000 73,955
2000 34,000 25,000 70,091
MASSACHUSETTS DIVIDEND
ADVANTAGE (NMB)
-----------------------------------------------------------------------
Year Ended 5/31:
2004 15,000 25,000 73,173
2003 15,000 25,000 76,891
2002 15,000 25,000 70,865
2001(a) 15,000 25,000 69,919
INSURED MASSACHUSETTS
TAX-FREE ADVANTAGE (NGX)
-----------------------------------------------------------------------
Year Ended 5/31:
2004 20,500 25,000 71,489
2003(b) 20,500 25,000 75,362
MISSOURI PREMIUM
INCOME (NOM)
-----------------------------------------------------------------------
Year Ended 5/31:
2004 16,000 25,000 75,360
2003 16,000 25,000 78,481
2002 16,000 25,000 74,405
2001 16,000 25,000 72,669
2000 16,000 25,000 68,282
=======================================================================
* Annualized.
** Total Investment Return on Market Value is the combination of reinvested
dividend income, reinvested capital gains distributions, if any, and
changes in stock price per share. Total Return on Common Share Net Asset
Value is the combination of reinvested dividend income at net asset value,
reinvested capital gains distributions at net asset value, if any, and
changes in Common share net asset value per share. Total returns are not
annualized.
*** After custodian fee credit and expense reimbursement, where applicable.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Preferred
shareholders; income ratios reflect income earned on assets attributable to
Preferred shares, where applicable.
(a) For the period January 30, 2001 (commencement of operations) through May
31, 2001.
(b) For the period November 21, 2002 (commencement of operations) through May
31, 2003.
See accompanying notes to financial statements.
62-63 SPREAD
Trustees
AND OFFICERS
The management of the Funds, including general supervision of the duties
performed for the Funds by the Adviser, is the responsibility of the Board of
Trustees of the Funds. The number of trustees of the Funds is currently set at
seven. None of the trustees who are not "interested" persons of the Funds has
ever been a director or employee of, or consultant to, Nuveen or its affiliates.
The names and business addresses of the trustees 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.
NUMBER OF
POSITION(S) YEAR FIRST PRINCIPAL OCCUPATION(S) PORTFOLIOS IN
NAME, BIRTHDATE HELD WITH ELECTED OR INCLUDING OTHER DIRECTORSHIPS FUND COMPLEX
AND ADDRESS THE FUNDS APPOINTED(2) DURING PAST 5 YEARS OVERSEEN BY TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
TRUSTEE WHO IS AN INTERESTED PERSON OF THE FUNDS:
------------------------------------------------------------------------------------------------------------------------------------
Timothy R. Schwertfeger (1) Chairman of 1994 Chairman and Director (since 1996) of Nuveen Investments, 144
3/28/49 the Board Inc. and Nuveen Investments, LLC; Director (since 1992) and
333 W. Wacker Drive and Trustee Chairman (since 1996) of Nuveen Advisory Corp. and Nuveen
Chicago, IL 60606 Institutional Advisory Corp.; Chairman and Director (since
1997) of Nuveen Asset Management, Inc.; Director (since
1996) of Institutional Capital Corporation; Chairman and
Director (since 1999) of Rittenhouse Asset Management, Inc.;
Chairman of Nuveen Investments Advisers Inc. (since 2002).
TRUSTEES WHO ARE NOT INTERESTED PERSONS OF THE FUNDS:
------------------------------------------------------------------------------------------------------------------------------------
Robert P. Bremner Trustee 1997 Private Investor and Management Consultant. 144
8/22/40
333 W. Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Lawrence H. Brown Trustee 1993 Retired (1989) as Senior Vice President of The Northern 144
7/29/34 Trust Company; Director, Community Advisory Board for
333 W. Wacker Drive Highland Park and Highwood, United Way of the North
Chicago, IL 60606 Shore (since 2002).
------------------------------------------------------------------------------------------------------------------------------------
Jack B. Evans Trustee 1999 President, The Hall-Perrine Foundation, a private philanthropic 144
10/22/48 corporation (since 1996); Director, Alliant Energy; Director and
333 W. Wacker Drive Vice Chairman, United Fire & Casualty Company; formerly
Chicago, IL 60606 Director, Federal Reserve Bank of Chicago; formerly, President
and Chief Operating Officer, SCI Financial Group, Inc., a
regional financial services firm.
------------------------------------------------------------------------------------------------------------------------------------
William C. Hunter Trustee 2004 Dean and Distinguished Professor of Finance, School of 144
3/6/48 Business at the University of Connecticut; previously Senior
333 W. Wacker Drive Vice President and Director of Research at the Federal
Chicago, IL 60606 Reserve Bank of Chicago (1995-2003); Director, Credit
Research Center at Georgetown University; Director of
Xerox Corporation (since 2004).
------------------------------------------------------------------------------------------------------------------------------------
64
NUMBER OF
POSITION(S) YEAR FIRST PRINCIPAL OCCUPATION(S) PORTFOLIOS IN
NAME, BIRTHDATE HELD WITH ELECTED OR INCLUDING OTHER DIRECTORSHIPS FUND COMPLEX
AND ADDRESS THE FUNDS APPOINTED(2) DURING PAST 5 YEARS OVERSEEN BY TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES WHO ARE NOT INTERESTED PERSONS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
William J. Schneider Trustee 1997 Senior Partner and Chief Operating Officer, Miller-Valentine 144
9/24/44 Group, Vice President, Miller-Valentine Realty, a construction
333 W. Wacker Drive company; Chair, Miami Valley Hospital; Chair, Dayton
Chicago, IL 60606 Development Coalition; formerly, Member, Community
Advisory Board, National City Bank, Dayton, Ohio and
Business Advisory Council, Cleveland Federal Reserve Bank.
------------------------------------------------------------------------------------------------------------------------------------
Judith M. Stockdale Trustee 1997 Executive Director, Gaylord and Dorothy Donnelley 144
12/29/47 Foundation (since 1994); prior thereto, Executive Director,
333 W. Wacker Drive Great Lakes Protection Fund (from 1990 to 1994)
Chicago, IL 60606
NUMBER OF
POSITION(S) YEAR FIRST PORTFOLIOS IN
NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) FUND COMPLEX
AND ADDRESS THE FUNDS APPOINTED(3) DURING PAST 5 YEARS OVERSEEN BY OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS:
------------------------------------------------------------------------------------------------------------------------------------
Gifford R. Zimmerman Chief 1988 Managing Director (since 2002), Assistant Secretary and 144
9/9/56 Administrative Associate General Counsel, formerly, Vice President and
333 W. Wacker Drive Officer Assistant General Counsel of Nuveen Investments, LLC;
Chicago, IL 60606 Managing Director (since 2002), General Counsel and
Assistant Secretary, formerly, Vice President of Nuveen
Advisory Corp. and Nuveen Institutional Advisory Corp.;
Managing Director (since 2002), Assistant Secretary and
Associate General Counsel, formerly, Vice President (since
2000), of Nuveen Asset Management, Inc. Assistant
Secretary of Nuveen Investments, Inc. (since 1994); Assistant
Secretary of NWQ Investment Management Company, LLC
(since 2002); Vice President and Assistant Secretary of
Nuveen Investments Advisers Inc. (since 2002); Managing
Director, Associate General Counsel and Assistant Secretary
of Rittenhouse Asset Management, Inc. (since 2003);
Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
Michael T. Atkinson Vice President 2000 Vice President (since 2002), formerly, Assistant Vice 144
2/3/66 and Assistant President (since 2000), previously, Associate of Nuveen
333 W. Wacker Drive Secretary Investments, LLC.
Chicago, IL 60606
65
Trustees
AND OFFICERS (CONTINUED)
NUMBER OF
POSITION(S) YEAR FIRST PORTFOLIOS IN
NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) FUND COMPLEX
AND ADDRESS THE FUNDS APPOINTED(3) DURING PAST 5 YEARS OVERSEEN BY OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
Paul L. Brennan Vice President 1999 Vice President (since 2002), formerly, Assistant Vice 128
11/10/66 President (since 1997), of Nuveen Advisory Corp.; prior
333 W. Wacker Drive thereto, portfolio manager of Flagship Financial Inc.;
Chicago, IL 60606 Chartered Financial Analyst and Certified Public Accountant.
------------------------------------------------------------------------------------------------------------------------------------
Peter H. D'Arrigo Vice President 1999 Vice President of Nuveen Investments, LLC (since 1999), 144
11/28/67 and Treasurer prior thereto, Assistant Vice President (since 1997); Vice
333 W. Wacker Drive President and Treasurer of Nuveen Investments, Inc. (since
Chicago, IL 60606 1999); Vice President and Treasurer of Nuveen Advisory Corp.
and Nuveen Institutional Advisory Corp (since 1999); Vice
President and Treasurer of Nuveen Asset Management, Inc.
(since 2002) and of Nuveen Investments Advisers Inc. (since
2002); Assistant Treasurer of NWQ Investment Management
Company, LLC (since 2002); Vice President and Treasurer of
Nuveen Rittenhouse Asset Management, Inc. (since 2003);
Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
Jessica R. Droeger Vice President 2000 Vice President (since 2002) and Assistant General Counsel 144
9/24/64 and Secretary (since 1998); formerly, Assistant Vice President (since 1998)
333 W. Wacker Drive of Nuveen Investments, LLC; Vice President (since 2002)
Chicago, IL 60606 and Assistant Secretary (since 1998), formerly Assistant
Vice President of Nuveen Advisory Corp. and Nuveen
Institutional Advisory Corp.
------------------------------------------------------------------------------------------------------------------------------------
Lorna C. Ferguson Vice President 1998 Managing Director (since 2004) formerly, Vice President of 144
10/24/45 Nuveen Investments, LLC; Managing Director (since 2004)
333 W. Wacker Drive formerly, Vice President (since 1998) of Nuveen Advisory
Chicago, IL 60606 Corp. and Nuveen Institutional Advisory Corp.
------------------------------------------------------------------------------------------------------------------------------------
William M. Fitzgerald Vice President 1995 Managing Director (since 2002) of Nuveen Investments, 144
3/2/64 LLC; Managing Director (since 2001), formerly Vice President
333 W. Wacker Drive of Nuveen Advisory Corp. and Nuveen Institutional Advisory
Chicago, IL 60606 Corp. (since 1995); Managing Director of Nuveen Asset
Management, Inc. (since 2001); Vice President of Nuveen
Investment Advisers Inc. (since 2002); Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
Stephen D. Foy Vice President 1998 Vice President (since 1993) and Funds Controller (since 1998) 144
5/31/54 and Controller of Nuveen Investments, LLC and Vice President and Funds
333 W. Wacker Drive Controller (since 1998) of Nuveen Investments, Inc.;
Chicago, IL 60606 Certified Public Accountant.
------------------------------------------------------------------------------------------------------------------------------------
J. Thomas Futrell Vice President 1988 Vice President of Nuveen Advisory Corp.; Chartered 128
7/5/55 Financial Analyst.
333 W. Wacker Drive
Chicago, IL 60606
66
NUMBER OF
POSITION(S) YEAR FIRST PORTFOLIOS IN
NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) FUND COMPLEX
AND ADDRESS THE FUNDS APPOINTED(3) DURING PAST 5 YEARS OVERSEEN BY OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
Steven J. Krupa Vice President 1990 Vice President of Nuveen Advisory Corp. 128
8/21/57
333 W. Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
David J. Lamb Vice President 2000 Vice President (since 2000) of Nuveen Investments, 144
3/22/63 LLC, previously Assistant Vice President (since 1999);
333 W. Wacker Drive prior thereto, Associate of Nuveen Investments, LLC;
Chicago, IL 60606 Certified Public Accountant.
------------------------------------------------------------------------------------------------------------------------------------
Tina M. Lazar Vice President 2002 Vice President (since 1999), previously, Assistant Vice 144
8/27/61 President (since 1993) of Nuveen Investments, LLC.
333 W. Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Larry W. Martin Vice President 1988 Vice President, Assistant Secretary and Assistant General 144
7/27/51 and Assistant Counsel of Nuveen Investments, LLC; Vice President and
333 W. Wacker Drive Secretary Assistant Secretary of Nuveen Advisory Corp. and Nuveen
Chicago, IL 60606 Institutional Advisory Corp.; Assistant Secretary of Nuveen
Investments, Inc. and (since 1997) Nuveen Asset Management,
Inc.; Vice President (since 2000), Assistant Secretary and
Assistant General Counsel (since 1998) of Rittenhouse Asset
Management, Inc.; Vice President and Assistant Secretary of
Nuveen Investments Advisers Inc. (since 2002); Assistant
Secretary of NWQ Investment Management Company, LLC
(since 2002).
------------------------------------------------------------------------------------------------------------------------------------
John V. Miller Vice President 2003 Vice President (since 2003) previously, Assistant Vice President 128
4/10/67 (since 1999), prior thereto, credit analyst (since 1996) of Nuveen
333 W. Wacker Drive Advisory Corp.; Chartered Financial Analyst.
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Edward F. Neild, IV Vice President 1996 Managing Director (since 2002) of Nuveen Investments, LLC; 144
7/7/65 Managing Director (since 1997), formerly Vice President
333 W. Wacker Drive (since 1996) of Nuveen Advisory Corp. and Nuveen Institutional
Chicago, IL 60606 Advisory Corp.; Managing Director of Nuveen Asset Management,
Inc. (since 1999). Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
Daniel S. Solender Vice President 2003 Vice President of Nuveen Advisory Corp. (since 2003); previously, 128
10/27/65 Principal and portfolio manager with The Vanguard Group
333 W. Wacker Drive (1999-2003); prior thereto, Assistant Vice President of the
Chicago, IL 60606 Nuveen Advisory Corp.; Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
Thomas C. Spalding Vice President 1982 Vice President of Nuveen Advisory Corp. and Nuveen 128
7/31/51 Institutional Advisory Corp.; Chartered Financial Analyst.
333 W. Wacker Drive
Chicago, IL 60606
(1) Mr. Schwertfeger is an "interested person" of the Funds, as defined in the
Investment Company Act of 1940, because he is an officer and trustee of the
Adviser.
(2) Trustees serve an indefinite term until his/her successor is elected. The
year first elected or appointed represents the year in which the Trustee
was first elected or appointed to any fund in the Nuveen Complex.
(3) Officers serve one year terms through July 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.
67
Build Your Wealth
AUTOMATICALLY
Sidebar text: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET
UP YOUR REINVESTMENT ACCOUNT.
NUVEEN CLOSED-END EXCHANGE-TRADED FUNDS DIVIDEND REINVESTMENT PLAN
Your Nuveen Closed-End Exchange-Traded Fund allows you to conveniently reinvest
dividends and/or capital gains 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 tax-free
compounding. Just like dividends or distributions in cash, there may be times
when income or capital gains taxes may be payable on dividends or 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 dividends and 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
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. Dividends
and distributions received to purchase shares in the open market will normally
be invested shortly after the dividend payment date. No interest will be paid on
dividends and distributions awaiting reinvestment. Because the market price of
shares may increase before purchases are completed, the average purchase price
per share may exceed the market price at the time of valuation, resulting in the
acquisition of fewer shares than if the dividend or 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.
FLEXIBILITY
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
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.
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.
68
Fund
INFORMATION
BOARD OF TRUSTEES
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
William C. Hunter
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
FUND MANAGER
Nuveen Advisory Corp.
333 West Wacker Drive
Chicago, IL 60606
CUSTODIAN
State Street Bank & Trust
Boston, MA
TRANSFER AGENT AND
SHAREHOLDER SERVICES
State Street Bank & Trust
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
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to portfolio securities is available (i) without
charge, upon request, by calling Nuveen Investments at (800) 257-8787; and (ii)
on the Commission's website at http://www.sec.gov.
GLOSSARY OF TERMS USED IN THIS REPORT
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 (including change in NAV and reinvested dividends) that
would have been necessary on an annual basis to equal the investment's actual
performance over the time period being considered.
Average Effective Maturity: The average of all the maturities of the bonds in a
fund's portfolio, computed by weighting each maturity date (the date the
security comes due) by the market value of the security. This figure does not
account for the likelihood of prepayments or the exercise of call provisions.
Leverage-Adjusted Duration: Duration is a measure of a bond or bond fund's
sensitivity to changes in interest rates. Generally, the longer a bond 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 generally longer than the duration of the actual
portfolio of individual bonds that make up the Fund.
Market Yield (also known as Dividend Yield or Current Yield): An investment's
current annualized dividend divided by its current market price.
Net Asset Value (NAV): A fund's NAV is calculated by subtracting the liabilities
of the fund from its total assets and then dividing the remainder by the number
of shares outstanding. Fund NAVs are calculated at the end of each business day.
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.
---------
Each Fund intends to repurchase shares of its own common or preferred stock in
the future at such times and in such amounts as is deemed advisable. No shares
were repurchased during the fiscal year ended May 31, 2004. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
69
Serving Investors
FOR GENERATIONS
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. For the past century,
Nuveen Investments has adhered to the belief that the best approach to investing
is to apply conservative risk-management principles to help minimize volatility.
Building on this tradition, we today offer a range of high quality equity and
fixed-income solutions that are integral to a well-diversified core portfolio.
Our clients have come to appreciate this diversity, as well as our continued
adherence to proven, long-term investing principles.
Managing $100 billion in assets, Nuveen Investments offers access to a number of
different asset classes and investing solutions through a variety of products.
Nuveen Investments markets its capabilities under four distinct brands: Nuveen,
a leader in tax-free investments; NWQ, a leader in value-style equities;
Rittenhouse, a leader in growth-style equities; and Symphony, a leading
institutional manager of market-neutral alternative investment portfolios.
To learn more about the products and services Nuveen Investments offers and for
a prospectus, where applicable, talk to your financial advisor, or call us at
(800) 257-8787. Please read the information carefully before you invest.
Distributed by
NUVEEN INVESTMENTS, LLC | 333 West Wacker Drive | Chicago, Illinois 60606
| www.nuveen.com
EAN-B-0504D
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. The registrant has posted such code of
ethics on its website at www.nuveen.com/etf.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
During the reporting period, the registrant's board of directors determined that
the registrant had 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 for the reporting period was William E. Bennett, who
was "independent" for purposes of Item 3 of Form N-CSR.
Although Mr. Bennett served as the audit committee financial expert for part of
reporting period, he unexpectedly resigned from the Board effective April 30,
2004. Since that time, the Audit Committee determined that Jack B. Evans, the
Chairman of the Audit Committee, qualifies as an audit committee financial
expert and recommended to the full Board that he be designated as such. On July
26, 2004, the full Board voted to so designate Mr. Evans.
Mr. Bennett was formerly Executive Vice President and Chief Credit Officer of
First Chicago Corporation and its principal subsidiary, The First National Bank
of Chicago. As part of his role as Chief Credit Officer, Mr. Bennett set policy
as to accrual of assets/loans; designated performing/non-performing assets; set
the level of reserves against the credit portfolo; and determined the carrying
value of credit related assets and exposure. Among other things, Mr. Bennett was
also responsible for the oversight of the internal analysis function including
setting ground rules for the review and preparation of financial analysis and
financial statements for use in making credit and risk decisions for financial
analysis and financial statements for use in making credit and risk decisions
for clients. Mr. Bennett has significant experience reviewing, analyzing and
evaluating financial statements of domestic and international companies in a
variety of industries with complex accounting issues.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND
FORM N-CSR DISCLOSURE RE: AUDIT FEES
The following table shows 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 entered into on or after May 6, 2003, 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 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 BILLED TO FUND BILLED TO FUND BILLED TO FUND
------------------------------------------------------------------------------------------------------------------------------------
May 31, 2004 $ 6,402 $ 0 $ 624 $ 2,450
------------------------------------------------------------------------------------------------------------------------------------
Percentage approved N/A 0% 0% 0%
pursuant to
pre-approval
exception
------------------------------------------------------------------------------------------------------------------------------------
May 31, 2003 $ 5,878 $ 0 $ 352 $ 2,250
------------------------------------------------------------------------------------------------------------------------------------
Percentage approved N/A 0% 0% 0%
pursuant to
pre-approval
exception
------------------------------------------------------------------------------------------------------------------------------------
The above "Tax Fees" were billed for professional services for tax advice, tax
compliance and tax planning.
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE
ADVISER AND AFFILIATED FUND SERVICE PROVIDERS
The following table shows the amount of fees billed by Ernst & Young LLP to
Nuveen Advisory Corp. ("NAC" or the "Adviser"), and any entity controlling,
controlled by or under common control with NAC ("Control Affiliate") 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 table also shows 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, 2004 $ 0 $ 0 $ 0
------------------------------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0%
pursuant to
pre-approval
exception
------------------------------------------------------------------------------------------------------------------------------------
May 31, 2003 $ 0 $ 0 $ 0
------------------------------------------------------------------------------------------------------------------------------------
Percentage approved N/A N/A N/A
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. For
engagements entered into on or after May 6, 2003, 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 de minimis 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 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, 2004 $ 3,074 $ 0 $ 0 $ 3,074
May 31, 2003 $ 2,602 $ 0 $ 0 $ 2,602
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.
Not applicable at this time.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable at this time.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
In the rare event that a municipal issuer held by the Fund were to issue a proxy
or that the Fund were to receive a proxy issued by a cash management security,
NAC would either engage an independent third party to determine how the proxy
should be voted or vote the proxy with the consent, or based on the
instructions, of the Fund's Board of Directors or Trustees or its
representative. In the case of a conflict of interest, the proxy would be
submitted to the applicable Fund's Board to determine how the proxy should be
voted. A member of the Adviser's legal department would oversee the
administration of the voting, and ensure that records were maintained in
accordance with Rule 204-2(c)(2) under the Investment Advisers Act of 1940 (17
CFR 275.204-2(c)(2)), reports were filed with the SEC on Form N-PX, and the
results were provided to the Board of Directors or Trustees and made available
to shareholders as required by applicable rules.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable at this time.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
In the event of a vacancy on the Board, the nominating and governance committee
receives suggestions from various sources, including shareholders, as to
suitable candidates. Suggestions should be sent in writing to Lorna Ferguson,
Vice President for Board Relations, Nuveen Investments, 333 West Wacker Drive,
Chicago, IL 60606. The nominating and governance committee sets appropriate
standards and requirements for nominations for new directors and reserves the
right to interview all candidates and to make the final selection of any new
directors.
ITEM 10. 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 registrant's last
fiscal half-year (the registrant's second fiscal half-year in the case
of an annual report) that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 11. 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 posted on registrant's website at www.nuveen.com/etf.
(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
at this time.
(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/ Jessica R. Droeger
----------------------------------------------
Jessica R. Droeger
Vice President and Secretary
Date: August 6, 2004
-------------------------------------------------------------------
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 6, 2004
-------------------------------------------------------------------
By (Signature and Title)* /s/ Stephen D. Foy
----------------------------------------------
Stephen D. Foy
Vice President and Controller
(Principal Financial Officer)
Date: August 6, 2004
-------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.